dekun
aa1a2da2b7
Call 为 BE−K、Put 为 K−BE；链/下单/持仓统一；顺带修复 format_position_row 中 row_mode 引用顺序。 Co-authored-by: Cursor <cursoragent@cursor.com>
1884 lines
66 KiB
Python
1884 lines
66 KiB
Python
"""OKX USDⓈ 期权 API 封装(主账户 exchange_options 专用)."""
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from __future__ import annotations
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import json
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import math
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import re
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import threading
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import time
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from typing import Any, Callable
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import ccxt
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from lib.options.options_pricing_lib import (
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expiry_breakeven_from_ask,
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idx_distance_to_be,
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intrinsic_px_per_unit,
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is_shallow_itm,
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option_moneyness,
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option_moneyness_label,
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strike_distance_to_be,
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)
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_OKX_OPTION_ERR_ZH: dict[str, str] = {
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"51008": "可用余额或保证金不足(币本位请确认交易账户 ETH/BTC 足够;USDC 模式请确认 USDC 足够)",
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"51018": "期权账户不能持有净空头头寸",
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"51019": "期权买入须使用逐仓模式(全仓模式下不能持有多头净头寸)",
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}
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def _okx_trade_error_message(exc: BaseException | None = None, resp: Any = None) -> str:
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row: dict[str, Any] | None = None
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if isinstance(resp, dict):
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data = resp.get("data") or []
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if data and isinstance(data[0], dict):
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row = data[0]
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if row is None and exc is not None:
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text = str(exc)
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match = re.search(r"\{.*\}", text, re.DOTALL)
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if match:
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try:
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payload = json.loads(match.group(0))
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data = payload.get("data") or []
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if data and isinstance(data[0], dict):
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row = data[0]
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except json.JSONDecodeError:
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pass
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if row:
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code = str(row.get("sCode") or "")
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msg = str(row.get("sMsg") or "").strip()
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low = msg.lower()
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if code == "51008":
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# 勿写死「资金账户 USDT」:USDC 模式常因交易户 USDC 不足;币本位则是标的币不足
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if "usdc" in low:
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return "交易账户 USDC 可用余额不足"
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if "usdt" in low:
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return "USDT 可用余额不足"
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try:
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from lib.options.options_margin_mode_lib import is_coin_margin_mode
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if is_coin_margin_mode():
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return "可用余额或保证金不足(币本位请确认交易账户 ETH/BTC 足够,或减少张数)"
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except Exception:
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pass
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return _OKX_OPTION_ERR_ZH["51008"]
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zh = _OKX_OPTION_ERR_ZH.get(code)
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if zh:
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return zh
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if msg:
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return msg
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if exc is not None:
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text = str(exc).strip()
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if text.lower().startswith("okx "):
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text = text[4:].strip()
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return text or "下单失败"
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return "下单失败"
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_OPTIONS_BALANCE_CACHE: dict[str, Any] = {"updated_at": 0.0, "data": None}
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# public/instruments 全族缓存:合约列表变化慢,限频时用旧数据保活
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_OPTION_INSTRUMENTS_CACHE: dict[str, dict[str, Any]] = {}
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_OPTION_INSTRUMENTS_CACHE_LOCK = threading.Lock()
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_OPTION_INSTRUMENTS_CACHE_TTL = 90.0
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_OPTION_INSTRUMENTS_STALE_MAX = 600.0
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def invalidate_options_balance_cache() -> None:
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_OPTIONS_BALANCE_CACHE["updated_at"] = 0.0
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_OPTIONS_BALANCE_CACHE["data"] = None
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def invalidate_option_instruments_cache(inst_family: str | None = None) -> None:
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with _OPTION_INSTRUMENTS_CACHE_LOCK:
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if inst_family:
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_OPTION_INSTRUMENTS_CACHE.pop(str(inst_family), None)
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else:
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_OPTION_INSTRUMENTS_CACHE.clear()
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def td_mode_for_option_buy(configured: str | None = None) -> str:
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"""OKX 买入期权(多头)必须使用逐仓."""
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mode = (configured or "isolated").strip().lower()
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return "isolated" if mode == "cross" else mode or "isolated"
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def create_options_exchange(
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api_key: str = "",
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api_secret: str = "",
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passphrase: str = "",
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proxies: dict[str, str] | None = None,
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) -> ccxt.okx:
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"""创建 option 客户端.未传密钥时读 OKX_API_*(与永续同源)."""
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import os
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key = (api_key or os.getenv("OKX_API_KEY") or "").strip()
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secret = (api_secret or os.getenv("OKX_API_SECRET") or "").strip()
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password = (passphrase or os.getenv("OKX_API_PASSPHRASE") or "").strip()
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ex = ccxt.okx(
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{
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"apiKey": key,
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"secret": secret,
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"password": password,
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"enableRateLimit": True,
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"options": {"defaultType": "option"},
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}
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)
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if proxies:
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ex.proxies = proxies
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return ex
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def _safe_float(v: Any) -> float | None:
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if v is None or v == "":
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return None
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try:
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return float(v)
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except (TypeError, ValueError):
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return None
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def round_option_px(px: float, tick_sz: Any, side: str) -> float:
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"""按 OKX tickSz 对齐:买入向上取整,卖出向下取整."""
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tick = _safe_float(tick_sz)
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if tick is None or tick <= 0 or px <= 0:
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return px
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steps = px / tick
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side_l = (side or "").lower()
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if side_l == "buy":
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return math.ceil(steps - 1e-12) * tick
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return math.floor(steps + 1e-12) * tick
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def format_option_px(px: float, tick_sz: Any) -> str:
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tick = _safe_float(tick_sz)
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if tick is None or tick <= 0:
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# 无 tick 时裁到 4 位并去尾零,避免 482.4881990066513 这类浮点毛刺
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s = f"{float(px):.4f}".rstrip("0").rstrip(".")
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return s or "0"
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if tick < 1:
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decimals = max(0, -int(round(math.log10(tick))))
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return f"{px:.{decimals}f}".rstrip("0").rstrip(".") or "0"
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# tick>=1(如 BTC 期权 tickSz=5):只按整数展示,禁止 rstrip('0') 把 1370 变成 137
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if "." in str(tick):
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decimals = len(str(tick).split(".")[-1])
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return f"{px:.{decimals}f}".rstrip("0").rstrip(".") or "0"
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return str(int(round(float(px))))
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def format_usdc_amount(v: float | None) -> str | None:
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"""USDC 金额展示(权利金/回收等,固定 2 位小数)."""
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if v is None:
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return None
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return f"{float(v):.2f}"
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def format_premium_amount(v: float | None, *, ccy: str | None = "USDC") -> str | None:
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"""权利金/回收金额文案:USDC 2 位;币本位 ETH/BTC 最多 8 位去尾零."""
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if v is None:
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return None
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try:
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n = float(v)
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except (TypeError, ValueError):
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return None
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unit = (ccy or "USDC").strip().upper() or "USDC"
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if unit in ("ETH", "BTC"):
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txt = f"{n:.8f}".rstrip("0").rstrip(".")
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return txt or "0"
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return f"{n:.2f}"
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def is_option_full_close_history(raw: dict[str, Any]) -> bool:
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"""仅保留 OKX 历史仓位中的「全部平仓/强平/ADL 全平」记录,排除部分平仓."""
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close_type = str(raw.get("type") or "").strip()
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return close_type in ("2", "3", "6")
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def option_history_row_key(
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*,
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source: str,
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inst_id: str = "",
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pos_id: str | None = None,
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close_ms: int | None = None,
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) -> str:
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inst_id = (inst_id or "").strip()
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pos_id = (pos_id or "").strip()
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if source == "live":
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return f"live:{inst_id}:{pos_id or close_ms or '0'}"
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# OKX 可能对同合约多次开平复用 posId,必须带上平仓时间区分
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if pos_id:
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if close_ms:
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return f"ex:{pos_id}:{int(close_ms)}"
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return f"ex:{pos_id}"
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return f"ex:{inst_id}:{close_ms or 0}"
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def _ms_to_iso(ms: Any) -> str | None:
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val = _safe_float(ms)
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if val is None or val <= 0:
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return None
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try:
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from datetime import datetime, timezone
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dt = datetime.fromtimestamp(int(val) / 1000.0, tz=timezone.utc).astimezone()
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return dt.strftime("%Y-%m-%d %H:%M:%S")
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except (TypeError, ValueError, OSError):
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return None
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def option_instrument_meta_cached(
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ex: ccxt.okx,
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inst_id: str,
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cache: dict[str, dict[str, Any] | None] | None = None,
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) -> dict[str, Any] | None:
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inst_id = (inst_id or "").strip()
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if not inst_id:
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return None
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if cache is not None and inst_id in cache:
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return cache[inst_id]
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meta = fetch_option_instrument_meta(ex, inst_id)
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if cache is not None:
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cache[inst_id] = meta
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return meta
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def tick_sz_and_ct_mult(
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ex: ccxt.okx,
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inst_id: str,
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cache: dict[str, dict[str, Any] | None] | None = None,
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) -> tuple[Any, float]:
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meta = option_instrument_meta_cached(ex, inst_id, cache)
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tick_sz = meta.get("tickSz") if meta else None
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ct_mult = _safe_float(meta.get("ctMult")) if meta else None
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return tick_sz, ct_mult or 0.01
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def _resolve_chain_quote(
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*,
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ticker: dict[str, Any],
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meta: dict[str, Any],
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opt_type: str,
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strike: float,
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index_px: float,
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inst_id: str | None = None,
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) -> dict[str, Any]:
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"""链列表报价:卖一缺失时用标记价/内在价值估算(深度实值常见无卖一)."""
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tick_sz = meta.get("tickSz")
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ask = _safe_float(ticker.get("askPx"))
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bid = _safe_float(ticker.get("bidPx"))
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mark = _safe_float(ticker.get("markPx"))
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ask_sz = _safe_float(ticker.get("askSz"))
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bid_sz = _safe_float(ticker.get("bidSz"))
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ask_estimated = False
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iid = (inst_id or str(meta.get("instId") or "")).strip()
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if ask is None and mark is not None and mark > 0:
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ask = round_option_px(mark, tick_sz, "buy")
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ask_estimated = True
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if ask is None:
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intrinsic = intrinsic_px_per_unit(opt_type, strike, index_px, inst_id=iid or None)
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if intrinsic is not None and intrinsic > 0:
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ask = round_option_px(intrinsic, tick_sz, "buy")
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ask_estimated = True
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if bid is None and mark is not None and mark > 0:
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bid = round_option_px(mark, tick_sz, "sell")
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if bid is None:
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intrinsic = intrinsic_px_per_unit(opt_type, strike, index_px, inst_id=iid or None)
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if intrinsic is not None and intrinsic > 0:
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bid = round_option_px(intrinsic, tick_sz, "sell")
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if ask_estimated:
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ask_sz = None
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return {
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"ask": ask,
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"bid": bid,
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"ask_sz": ask_sz,
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"bid_sz": bid_sz,
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"mark_px": mark,
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"ask_estimated": ask_estimated,
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}
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def _fetch_book_bid_ask(ex: ccxt.okx, inst_id: str) -> tuple[float | None, float | None]:
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bid, ask, _, _ = _fetch_book_top(ex, inst_id)
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return bid, ask
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def _normalize_book_levels(rows: list[Any], depth: int) -> list[dict[str, float]]:
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levels: list[dict[str, float]] = []
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for row in rows[: max(0, int(depth))]:
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if not isinstance(row, (list, tuple)) or len(row) < 2:
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continue
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px = _safe_float(row[0])
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sz = _safe_float(row[1])
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if px is None or sz is None or px <= 0 or sz <= 0:
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continue
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levels.append({"px": px, "sz": sz})
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return levels
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def fetch_option_book_depth(ex: ccxt.okx, inst_id: str, depth: int = 5) -> dict[str, list[dict[str, float]]]:
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"""获取期权盘口深度,sz 为 OKX 返回的张数口径."""
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inst_id = (inst_id or "").strip()
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if not inst_id:
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return {"bids": [], "asks": []}
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try:
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sz = str(max(1, min(int(depth), 10)))
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rows = ex.public_get_market_books({"instId": inst_id, "sz": sz}).get("data") or []
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if not rows:
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return {"bids": [], "asks": []}
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row = rows[0]
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return {
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"bids": _normalize_book_levels(row.get("bids") or [], int(depth)),
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"asks": _normalize_book_levels(row.get("asks") or [], int(depth)),
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}
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except Exception:
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return {"bids": [], "asks": []}
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def _fetch_book_top(
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ex: ccxt.okx, inst_id: str
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) -> tuple[float | None, float | None, float | None, float | None]:
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try:
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rows = ex.public_get_market_books({"instId": inst_id, "sz": "1"}).get("data") or []
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if not rows:
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return None, None, None, None
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row = rows[0]
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asks = row.get("asks") or []
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bids = row.get("bids") or []
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ask = _safe_float(asks[0][0]) if asks else None
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bid = _safe_float(bids[0][0]) if bids else None
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ask_sz = _safe_float(asks[0][1]) if asks and len(asks[0]) > 1 else None
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bid_sz = _safe_float(bids[0][1]) if bids and len(bids[0]) > 1 else None
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return bid, ask, bid_sz, ask_sz
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except Exception:
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return None, None, None, None
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|
|
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def _pos_side_from_position(pos: dict[str, Any] | None) -> str | None:
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if not pos:
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return None
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ps = str(pos.get("posSide") or "").strip().lower()
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if ps in ("long", "short", "net"):
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return ps
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sheets = _safe_float(pos.get("pos")) or 0.0
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if sheets > 0:
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return "long"
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if sheets < 0:
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return "short"
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return "net"
|
|
|
|
|
|
def inst_family_from_inst_id(inst_id: str) -> str | None:
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"""从 instId 解析 instFamily,如 ETH-USD_UM-260707-1790-C → ETH-USD_UM."""
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parts = (inst_id or "").strip().split("-")
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if len(parts) < 4:
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return None
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return "-".join(parts[:-3])
|
|
|
|
|
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def option_fields_from_inst_id(inst_id: str) -> tuple[str | None, float | None]:
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"""从 instId 解析 optType 与 strike,如 ETH-USD_UM-260709-1700-P."""
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parts = (inst_id or "").strip().split("-")
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if len(parts) < 2:
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return None, None
|
|
tail = parts[-1].upper()
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opt_type = tail if tail in ("C", "P") else None
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strike = _safe_float(parts[-2]) if len(parts) >= 2 else None
|
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return opt_type, strike
|
|
|
|
|
|
def expiry_ms_from_inst_id(inst_id: str) -> int | None:
|
|
"""从 instId 日期段解析到期时刻(OKX 期权默认 08:00 UTC)."""
|
|
parts = (inst_id or "").strip().split("-")
|
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if len(parts) < 3:
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return None
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|
date_part = parts[-3]
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if not re.fullmatch(r"\d{6}", date_part):
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return None
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|
try:
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from datetime import datetime, timezone
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|
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|
yy, mm, dd = int(date_part[0:2]), int(date_part[2:4]), int(date_part[4:6])
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dt = datetime(2000 + yy, mm, dd, 8, 0, 0, tzinfo=timezone.utc)
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return int(dt.timestamp() * 1000)
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except (ValueError, OSError):
|
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return None
|
|
|
|
|
|
def normalize_option_exp_ms(exp_time: Any, inst_id: str = "") -> int | None:
|
|
"""统一期权到期毫秒时间戳(优先 API expTime,否则从 instId 推算)."""
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raw = _safe_float(exp_time)
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if raw is not None and raw > 0:
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ms = int(raw)
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|
if ms < 10_000_000_000:
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ms *= 1000
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return ms
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return expiry_ms_from_inst_id(inst_id)
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|
|
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def _is_okx_rate_limit(err: BaseException) -> bool:
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text = str(err) or ""
|
|
name = err.__class__.__name__
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|
return "50011" in text or "Too Many Requests" in text or "RateLimit" in name
|
|
|
|
|
|
def _meta_from_inst_id_fallback(inst_id: str) -> dict[str, Any]:
|
|
"""行情在但 instruments 限频时,用合约 ID 拼最小 meta,避免误报「合约不存在」."""
|
|
family = inst_family_from_inst_id(inst_id) or ""
|
|
opt_type, strike = option_fields_from_inst_id(inst_id)
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|
uly = family.replace("_UM", "") if family else ""
|
|
return {
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"instId": inst_id,
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"instFamily": family,
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"uly": uly,
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"optType": opt_type,
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"stk": strike,
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"ctMult": 0.01,
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|
"minSz": "1",
|
|
"tickSz": "0.0001",
|
|
"state": "live",
|
|
}
|
|
|
|
|
|
def fetch_option_instrument_meta(ex: ccxt.okx, inst_id: str) -> dict[str, Any] | None:
|
|
family = inst_family_from_inst_id(inst_id)
|
|
if not family:
|
|
return None
|
|
# 优先从全族缓存取,避免每选一腿再打 instruments
|
|
try:
|
|
cached_rows = fetch_option_instruments(ex, family, allow_stale=True)
|
|
for r in cached_rows:
|
|
if isinstance(r, dict) and str(r.get("instId")) == inst_id:
|
|
return r
|
|
except Exception:
|
|
pass
|
|
last_err: BaseException | None = None
|
|
for attempt in range(2):
|
|
try:
|
|
rows = ex.public_get_public_instruments(
|
|
{"instType": "OPTION", "instFamily": family, "instId": inst_id}
|
|
).get("data") or []
|
|
if rows and isinstance(rows[0], dict):
|
|
return rows[0]
|
|
rows = fetch_option_instruments(ex, family, allow_stale=True)
|
|
for r in rows:
|
|
if isinstance(r, dict) and str(r.get("instId")) == inst_id:
|
|
return r
|
|
return None
|
|
except Exception as e:
|
|
last_err = e
|
|
if _is_okx_rate_limit(e) and attempt < 1:
|
|
time.sleep(1.2)
|
|
continue
|
|
break
|
|
if last_err is not None and _is_okx_rate_limit(last_err):
|
|
try:
|
|
t_rows = ex.public_get_market_ticker({"instId": inst_id}).get("data") or []
|
|
if t_rows:
|
|
return _meta_from_inst_id_fallback(inst_id)
|
|
except Exception:
|
|
pass
|
|
return None
|
|
|
|
|
|
def _extract_ccy_free(balance: dict[str, Any], ccy: str) -> float | None:
|
|
ccy = (ccy or "").upper()
|
|
if not isinstance(balance, dict):
|
|
return None
|
|
info = balance.get(ccy)
|
|
if isinstance(info, dict):
|
|
v = _safe_float(info.get("free"))
|
|
if v is not None:
|
|
return v
|
|
free_map = balance.get("free") or {}
|
|
if isinstance(free_map, dict):
|
|
return _safe_float(free_map.get(ccy))
|
|
return None
|
|
|
|
|
|
def _extract_ccy_balance(balance: dict[str, Any], ccy: str) -> float | None:
|
|
ccy = (ccy or "").upper()
|
|
if not isinstance(balance, dict):
|
|
return None
|
|
info = balance.get(ccy)
|
|
if isinstance(info, dict):
|
|
for k in ("free", "total", "eq"):
|
|
v = _safe_float(info.get(k))
|
|
if v is not None:
|
|
return v
|
|
total_map = balance.get("total") or {}
|
|
if isinstance(total_map, dict):
|
|
v = _safe_float(total_map.get(ccy))
|
|
if v is not None:
|
|
return v
|
|
free_map = balance.get("free") or {}
|
|
if isinstance(free_map, dict):
|
|
v = _safe_float(free_map.get(ccy))
|
|
if v is not None:
|
|
return v
|
|
return None
|
|
|
|
|
|
def fetch_account_balances_by_type(
|
|
ex: ccxt.okx,
|
|
account_type: str,
|
|
) -> tuple[dict[str, float | None], dict[str, float | None]]:
|
|
out: dict[str, float | None] = {"USDT": None, "USDC": None, "USDG": None, "ETH": None, "BTC": None}
|
|
avail: dict[str, float | None] = {"USDT": None, "USDC": None, "USDG": None, "ETH": None, "BTC": None}
|
|
try:
|
|
bal = ex.fetch_balance(params={"type": account_type})
|
|
for c in out:
|
|
out[c] = _extract_ccy_balance(bal, c)
|
|
avail[c] = _extract_ccy_free(bal, c)
|
|
except Exception:
|
|
pass
|
|
return out, avail
|
|
|
|
|
|
def fetch_funding_balances_via_asset_api(
|
|
ex: ccxt.okx,
|
|
) -> tuple[dict[str, float | None], dict[str, float | None]]:
|
|
"""OKX 资金账户余额(GET /api/v5/asset/balances),比 ccxt fetch_balance 更准确."""
|
|
out: dict[str, float | None] = {"USDT": None, "USDC": None, "USDG": None, "ETH": None, "BTC": None}
|
|
avail: dict[str, float | None] = {"USDT": None, "USDC": None, "USDG": None, "ETH": None, "BTC": None}
|
|
try:
|
|
resp = ex.private_get_asset_balances({})
|
|
for row in (resp or {}).get("data") or []:
|
|
if not isinstance(row, dict):
|
|
continue
|
|
ccy = str(row.get("ccy") or "").upper()
|
|
if ccy not in out:
|
|
continue
|
|
a = _safe_float(row.get("availBal"))
|
|
b = _safe_float(row.get("bal")) or _safe_float(row.get("eq"))
|
|
avail[ccy] = a
|
|
out[ccy] = b if b is not None else a
|
|
except Exception:
|
|
pass
|
|
return out, avail
|
|
|
|
|
|
def _merge_balance_maps(
|
|
primary: dict[str, float | None],
|
|
secondary: dict[str, float | None],
|
|
) -> dict[str, float | None]:
|
|
merged = dict(primary)
|
|
for ccy, val in secondary.items():
|
|
if merged.get(ccy) is None and val is not None:
|
|
merged[ccy] = val
|
|
return merged
|
|
|
|
|
|
def fetch_subaccount_asset_balances(ex: ccxt.okx, sub_acct: str) -> dict[str, float | None]:
|
|
"""子账户各币种可用余额(主/子划转「全部」用)."""
|
|
sub = (sub_acct or "").strip()
|
|
out: dict[str, float | None] = {"USDT": None, "USDC": None}
|
|
if not sub:
|
|
return out
|
|
try:
|
|
resp = ex.private_get_asset_subaccount_balances({"subAcct": sub})
|
|
for row in (resp or {}).get("data") or []:
|
|
if not isinstance(row, dict):
|
|
continue
|
|
ccy = str(row.get("ccy") or "").upper()
|
|
if ccy not in out:
|
|
continue
|
|
out[ccy] = _safe_float(row.get("availBal")) or _safe_float(row.get("bal"))
|
|
except Exception:
|
|
pass
|
|
return out
|
|
|
|
|
|
def fetch_options_balances(
|
|
ex: ccxt.okx,
|
|
*,
|
|
force: bool = False,
|
|
scope: str = "main",
|
|
sub_acct: str = "",
|
|
) -> dict[str, Any]:
|
|
import os
|
|
|
|
if (scope or "").strip().lower() == "sub":
|
|
sub_bal = fetch_subaccount_asset_balances(ex, sub_acct)
|
|
return {
|
|
"scope": "sub",
|
|
"funding_usdt": sub_bal.get("USDT"),
|
|
"funding_usdc": sub_bal.get("USDC"),
|
|
"funding_usdt_avail": sub_bal.get("USDT"),
|
|
"funding_usdc_avail": sub_bal.get("USDC"),
|
|
"trading_usdt": sub_bal.get("USDT"),
|
|
"trading_usdc": sub_bal.get("USDC"),
|
|
"trading_usdt_avail": sub_bal.get("USDT"),
|
|
"trading_usdc_avail": sub_bal.get("USDC"),
|
|
}
|
|
|
|
ttl = float(os.getenv("OKX_OPTIONS_BALANCE_REFRESH_SEC", "30"))
|
|
now = time.time()
|
|
cached = _OPTIONS_BALANCE_CACHE.get("data")
|
|
if not force and cached is not None and now - float(_OPTIONS_BALANCE_CACHE.get("updated_at") or 0) < ttl:
|
|
return dict(cached)
|
|
|
|
funding, funding_avail = fetch_account_balances_by_type(ex, "funding")
|
|
asset_funding, asset_funding_avail = fetch_funding_balances_via_asset_api(ex)
|
|
funding = _merge_balance_maps(funding, asset_funding)
|
|
funding_avail = _merge_balance_maps(funding_avail, asset_funding_avail)
|
|
trading, trading_avail = fetch_account_balances_by_type(ex, "trading")
|
|
# OKX 统一账户:option 客户端拉 type=trading 常缺 USDT/币;用 swap 补齐缺失项
|
|
if any(trading.get(c) is None for c in ("USDT", "USDC", "ETH", "BTC")):
|
|
swap_bal, swap_avail = fetch_account_balances_by_type(ex, "swap")
|
|
for ccy in ("USDT", "USDC", "USDG", "ETH", "BTC"):
|
|
if trading.get(ccy) is None and swap_bal.get(ccy) is not None:
|
|
trading[ccy] = swap_bal[ccy]
|
|
if trading_avail.get(ccy) is None and swap_avail.get(ccy) is not None:
|
|
trading_avail[ccy] = swap_avail[ccy]
|
|
result = {
|
|
"scope": "main",
|
|
"funding_usdt": funding.get("USDT"),
|
|
"funding_usdc": funding.get("USDC"),
|
|
"funding_usdg": funding.get("USDG"),
|
|
"funding_eth": funding.get("ETH"),
|
|
"funding_btc": funding.get("BTC"),
|
|
"funding_usdt_avail": funding_avail.get("USDT"),
|
|
"funding_usdc_avail": funding_avail.get("USDC"),
|
|
"funding_eth_avail": funding_avail.get("ETH"),
|
|
"funding_btc_avail": funding_avail.get("BTC"),
|
|
"trading_usdt": trading.get("USDT"),
|
|
"trading_usdc": trading.get("USDC"),
|
|
"trading_usdg": trading.get("USDG"),
|
|
"trading_eth": trading.get("ETH"),
|
|
"trading_btc": trading.get("BTC"),
|
|
"trading_usdt_avail": trading_avail.get("USDT"),
|
|
"trading_usdc_avail": trading_avail.get("USDC"),
|
|
"trading_eth_avail": trading_avail.get("ETH"),
|
|
"trading_btc_avail": trading_avail.get("BTC"),
|
|
}
|
|
_OPTIONS_BALANCE_CACHE["updated_at"] = now
|
|
_OPTIONS_BALANCE_CACHE["data"] = result
|
|
return result
|
|
|
|
|
|
def options_header_balances(
|
|
ex: ccxt.okx,
|
|
*,
|
|
force: bool = False,
|
|
) -> tuple[float | None, float | None, float | None, float | None]:
|
|
"""顶栏期权两格用 USDC;顺带返回同账户 USDT(调用方勿再计入总资金,避免与永续栏重复).
|
|
|
|
返回:(trading_usdc, funding_usdc, funding_usdt, trading_usdt)
|
|
"""
|
|
pack = options_header_balance_pack(ex, force=force)
|
|
return (
|
|
pack.get("trading_usdc"),
|
|
pack.get("funding_usdc"),
|
|
pack.get("funding_usdt"),
|
|
pack.get("trading_usdt"),
|
|
)
|
|
|
|
|
|
def options_header_balance_pack(
|
|
ex: ccxt.okx,
|
|
*,
|
|
force: bool = False,
|
|
) -> dict[str, Any]:
|
|
"""顶栏/快照用期权资金包(含币本位 ETH/BTC)."""
|
|
import os
|
|
|
|
bal = fetch_options_balances(ex, force=force)
|
|
|
|
def _round(v: Any, nd: int = 2) -> float | None:
|
|
if v is None:
|
|
return None
|
|
try:
|
|
return round(float(v), nd)
|
|
except (TypeError, ValueError):
|
|
return None
|
|
|
|
def _round_coin(v: Any) -> float | None:
|
|
if v is None:
|
|
return None
|
|
try:
|
|
return round(float(v), 8)
|
|
except (TypeError, ValueError):
|
|
return None
|
|
|
|
try:
|
|
from lib.options.options_margin_mode_lib import normalize_options_margin_mode
|
|
|
|
margin_mode = normalize_options_margin_mode()
|
|
except Exception:
|
|
margin_mode = "usdc"
|
|
underly = (os.getenv("OKX_OPTIONS_DEFAULT_UNDERLY") or "ETH").strip().upper() or "ETH"
|
|
coin_key = "btc" if underly == "BTC" else "eth"
|
|
return {
|
|
"trading_usdc": _round(bal.get("trading_usdc")),
|
|
"funding_usdc": _round(bal.get("funding_usdc")),
|
|
"funding_usdt": _round(bal.get("funding_usdt")),
|
|
"trading_usdt": _round(bal.get("trading_usdt")),
|
|
"funding_eth": _round_coin(bal.get("funding_eth")),
|
|
"trading_eth": _round_coin(bal.get("trading_eth")),
|
|
"funding_btc": _round_coin(bal.get("funding_btc")),
|
|
"trading_btc": _round_coin(bal.get("trading_btc")),
|
|
"options_margin_mode": margin_mode,
|
|
"options_underly": underly,
|
|
"funding_coin": _round_coin(bal.get(f"funding_{coin_key}")),
|
|
"trading_coin": _round_coin(bal.get(f"trading_{coin_key}")),
|
|
}
|
|
|
|
|
|
def fetch_index_price(ex: ccxt.okx, uly: str) -> float | None:
|
|
inst = f"{uly}" if "-" in uly else f"{uly}-USD"
|
|
try:
|
|
rows = ex.public_get_market_index_tickers({"instId": inst}).get("data") or []
|
|
if rows:
|
|
return _safe_float(rows[0].get("idxPx"))
|
|
except Exception:
|
|
pass
|
|
return None
|
|
|
|
|
|
def fetch_option_instruments(
|
|
ex: ccxt.okx,
|
|
inst_family: str,
|
|
*,
|
|
force: bool = False,
|
|
allow_stale: bool = True,
|
|
) -> list[dict[str, Any]]:
|
|
"""拉取 OPTION instruments;进程内缓存,50011 时回退旧列表."""
|
|
family = str(inst_family or "").strip()
|
|
if not family:
|
|
return []
|
|
now = time.time()
|
|
with _OPTION_INSTRUMENTS_CACHE_LOCK:
|
|
entry = _OPTION_INSTRUMENTS_CACHE.get(family)
|
|
if (
|
|
not force
|
|
and entry is not None
|
|
and entry.get("rows") is not None
|
|
and now - float(entry.get("updated_at") or 0) < _OPTION_INSTRUMENTS_CACHE_TTL
|
|
):
|
|
return list(entry["rows"])
|
|
|
|
try:
|
|
rows = ex.public_get_public_instruments(
|
|
{"instType": "OPTION", "instFamily": family}
|
|
).get("data") or []
|
|
live = [r for r in rows if isinstance(r, dict) and r.get("state") == "live"]
|
|
with _OPTION_INSTRUMENTS_CACHE_LOCK:
|
|
_OPTION_INSTRUMENTS_CACHE[family] = {"updated_at": now, "rows": live}
|
|
return list(live)
|
|
except Exception as e:
|
|
if allow_stale:
|
|
with _OPTION_INSTRUMENTS_CACHE_LOCK:
|
|
entry = _OPTION_INSTRUMENTS_CACHE.get(family)
|
|
if entry is not None and entry.get("rows") is not None:
|
|
age = now - float(entry.get("updated_at") or 0)
|
|
if age <= _OPTION_INSTRUMENTS_STALE_MAX:
|
|
return list(entry["rows"])
|
|
raise
|
|
|
|
|
|
def fetch_option_tickers(ex: ccxt.okx, inst_family: str) -> dict[str, dict[str, Any]]:
|
|
out: dict[str, dict[str, Any]] = {}
|
|
try:
|
|
rows = ex.public_get_market_tickers(
|
|
{"instType": "OPTION", "instFamily": inst_family}
|
|
).get("data") or []
|
|
for r in rows:
|
|
if isinstance(r, dict) and r.get("instId"):
|
|
out[str(r["instId"])] = r
|
|
except Exception:
|
|
pass
|
|
return out
|
|
|
|
|
|
def build_option_chain(
|
|
ex: ccxt.okx,
|
|
underlying: str,
|
|
*,
|
|
max_dte_days: float = 2.0,
|
|
itm_only: bool = True,
|
|
itm_max_dist_usd: float = 30.0,
|
|
index_px: float | None = None,
|
|
margin_mode: str | None = None,
|
|
inst_family: str | None = None,
|
|
) -> dict[str, Any]:
|
|
u = (underlying or "ETH").upper()
|
|
if inst_family:
|
|
family = str(inst_family).strip()
|
|
else:
|
|
try:
|
|
from lib.options.options_margin_mode_lib import inst_family_for_underlying
|
|
|
|
family = inst_family_for_underlying(u, margin_mode=margin_mode)
|
|
except Exception:
|
|
family = f"{u}-USD_UM"
|
|
uly = f"{u}-USD"
|
|
idx = index_px if index_px is not None else fetch_index_price(ex, uly)
|
|
chain_margin = "usdc" if "_UM" in family.upper() else "coin"
|
|
now_ms = time.time() * 1000
|
|
max_ms = now_ms + max_dte_days * 86400 * 1000
|
|
instruments_err = ""
|
|
instruments: list[dict[str, Any]] = []
|
|
try:
|
|
instruments = fetch_option_instruments(ex, family)
|
|
if not instruments:
|
|
# 空列表可能是瞬时空;短退避后强制再拉一次(非 50011)
|
|
time.sleep(0.5)
|
|
instruments = fetch_option_instruments(ex, family, force=True)
|
|
if not instruments:
|
|
instruments_err = "期权合约列表为空"
|
|
except Exception as e:
|
|
instruments = []
|
|
instruments_err = str(e) or e.__class__.__name__
|
|
# 限频:再等一下用 stale/缓存,不要连打
|
|
if _is_okx_rate_limit(e):
|
|
time.sleep(1.5)
|
|
try:
|
|
instruments = fetch_option_instruments(ex, family, allow_stale=True)
|
|
if instruments:
|
|
instruments_err = ""
|
|
except Exception as e2:
|
|
instruments_err = str(e2) or e2.__class__.__name__
|
|
tickers = fetch_option_tickers(ex, family)
|
|
expiries: dict[str, list[dict[str, Any]]] = {}
|
|
skipped_no_index = 0
|
|
for meta in instruments:
|
|
try:
|
|
exp_ms = int(meta.get("expTime") or 0)
|
|
except (TypeError, ValueError):
|
|
continue
|
|
if exp_ms <= now_ms or exp_ms > max_ms:
|
|
continue
|
|
opt_type = str(meta.get("optType") or "")
|
|
strike = _safe_float(meta.get("stk"))
|
|
if strike is None:
|
|
continue
|
|
if idx is None:
|
|
skipped_no_index += 1
|
|
continue
|
|
if itm_only and not is_shallow_itm(
|
|
opt_type=opt_type,
|
|
strike=strike,
|
|
index_px=idx,
|
|
max_dist_usd=itm_max_dist_usd,
|
|
):
|
|
continue
|
|
inst_id = str(meta.get("instId") or "")
|
|
t = tickers.get(inst_id) or {}
|
|
q = _resolve_chain_quote(
|
|
ticker=t,
|
|
meta=meta,
|
|
opt_type=opt_type,
|
|
strike=strike,
|
|
index_px=idx,
|
|
inst_id=inst_id,
|
|
)
|
|
ask = q["ask"]
|
|
bid = q["bid"]
|
|
mark = q["mark_px"]
|
|
ask_sz = q["ask_sz"]
|
|
bid_sz = q["bid_sz"]
|
|
expiry_be = expiry_breakeven_from_ask(
|
|
opt_type=opt_type,
|
|
strike=strike,
|
|
ask_px=ask,
|
|
mark_px=mark,
|
|
inst_id=inst_id,
|
|
margin_mode=chain_margin,
|
|
)
|
|
mny = option_moneyness(opt_type=opt_type, strike=strike, index_px=idx)
|
|
exp_key = str(exp_ms)
|
|
expiries.setdefault(exp_key, []).append(
|
|
{
|
|
"inst_id": inst_id,
|
|
"strike": strike,
|
|
"opt_type": opt_type,
|
|
"exp_time": exp_ms,
|
|
"ask": ask,
|
|
"bid": bid,
|
|
"ask_sz": ask_sz,
|
|
"bid_sz": bid_sz,
|
|
"mark_px": mark,
|
|
"ask_estimated": q["ask_estimated"],
|
|
"expiry_be_px": expiry_be,
|
|
"dist_expiry_be": strike_distance_to_be(strike, expiry_be, opt_type=opt_type),
|
|
"moneyness": mny,
|
|
"moneyness_label": option_moneyness_label(mny),
|
|
"ct_mult": _safe_float(meta.get("ctMult")) or 0.01,
|
|
"tick_sz": meta.get("tickSz"),
|
|
"min_sz": int(_safe_float(meta.get("minSz")) or 1),
|
|
}
|
|
)
|
|
exp_list = []
|
|
for exp_ms_str, contracts in sorted(expiries.items(), key=lambda x: int(x[0])):
|
|
contracts.sort(key=lambda c: (c["opt_type"], c["strike"]))
|
|
exp_list.append({"exp_time": int(exp_ms_str), "contracts": contracts})
|
|
out: dict[str, Any] = {
|
|
"underlying": u,
|
|
"index_px": idx,
|
|
"inst_family": family,
|
|
"margin_mode": "usdc" if "_UM" in family.upper() else "coin",
|
|
"premium_ccy": "USDC" if "_UM" in family.upper() else u,
|
|
"expiries": exp_list,
|
|
"instruments_count": len(instruments),
|
|
}
|
|
if not exp_list:
|
|
if instruments_err:
|
|
out["chain_error"] = f"拉取期权合约失败: {instruments_err}"
|
|
elif idx is None:
|
|
out["chain_error"] = "指数价获取失败,无法构建期权链"
|
|
elif skipped_no_index:
|
|
out["chain_error"] = "指数价缺失,合约已跳过"
|
|
elif instruments:
|
|
out["chain_error"] = f"近 {max_dte_days:g} 日内无可用到期(已过滤 {len(instruments)} 个合约)"
|
|
else:
|
|
out["chain_error"] = "期权合约列表为空,请稍后刷新"
|
|
return out
|
|
|
|
|
|
def option_buy_liquidity_ok(ask: Any, ask_sz: Any) -> tuple[bool, str]:
|
|
"""开仓仅认真实卖一价+卖一深度;不接受标记价/内在价值顶包."""
|
|
a = _safe_float(ask)
|
|
s = _safe_float(ask_sz)
|
|
if a is None or a <= 0:
|
|
return False, "暂无卖一价,无法买入"
|
|
if s is None or s <= 0:
|
|
return False, "暂无卖一深度,无法买入"
|
|
return True, ""
|
|
|
|
|
|
def cap_option_buy_sheets_to_ask_depth(
|
|
sheets: int,
|
|
ask_sz: Any,
|
|
*,
|
|
min_sz: int = 1,
|
|
) -> tuple[int | None, str]:
|
|
"""将买入张数限制在卖一深度内(向下取整)."""
|
|
depth = _safe_float(ask_sz)
|
|
if depth is None or depth <= 0:
|
|
return None, "暂无卖一深度,无法买入"
|
|
max_sheets = int(math.floor(depth + 1e-12))
|
|
need = max(1, int(min_sz or 1))
|
|
if max_sheets < need:
|
|
return None, f"卖一深度不足 {need} 张(当前 {depth:g})"
|
|
want = max(0, int(sheets))
|
|
capped = min(want, max_sheets)
|
|
if capped < need:
|
|
return None, f"卖一深度不足 {need} 张(当前 {depth:g})"
|
|
return capped, ""
|
|
|
|
|
|
def quote_option_contract(ex: ccxt.okx, inst_id: str) -> dict[str, Any]:
|
|
inst_id = (inst_id or "").strip()
|
|
if not inst_id:
|
|
return {"ok": False, "msg": "缺少 inst_id"}
|
|
try:
|
|
meta = fetch_option_instrument_meta(ex, inst_id)
|
|
t_rows: list[Any] = []
|
|
ticker_err: BaseException | None = None
|
|
for attempt in range(3):
|
|
try:
|
|
t_rows = ex.public_get_market_ticker({"instId": inst_id}).get("data") or []
|
|
ticker_err = None
|
|
break
|
|
except Exception as e:
|
|
ticker_err = e
|
|
if _is_okx_rate_limit(e) and attempt < 2:
|
|
time.sleep(0.45 * (attempt + 1))
|
|
continue
|
|
break
|
|
if not meta and t_rows:
|
|
meta = _meta_from_inst_id_fallback(inst_id)
|
|
if not meta:
|
|
if ticker_err is not None and _is_okx_rate_limit(ticker_err):
|
|
return {"ok": False, "msg": "行情限频,请稍后重试"}
|
|
return {"ok": False, "msg": "合约不存在"}
|
|
t = t_rows[0] if t_rows else {}
|
|
# 开仓用真实盘口卖一;绝不把标记价写入 ask
|
|
ask = _safe_float(t.get("askPx"))
|
|
bid = _safe_float(t.get("bidPx"))
|
|
ask_sz = _safe_float(t.get("askSz"))
|
|
bid_sz = _safe_float(t.get("bidSz"))
|
|
if ask is None or bid is None or ask_sz is None or bid_sz is None:
|
|
book_bid, book_ask, book_bid_sz, book_ask_sz = _fetch_book_top(ex, inst_id)
|
|
if ask is None:
|
|
ask = book_ask
|
|
if bid is None:
|
|
bid = book_bid
|
|
if ask_sz is None:
|
|
ask_sz = book_ask_sz
|
|
if bid_sz is None:
|
|
bid_sz = book_bid_sz
|
|
mark = _safe_float(t.get("markPx"))
|
|
tick_sz = meta.get("tickSz")
|
|
# 买一缺失时仍可用标记价补展示(平仓路径读 bid);开仓 ask 不顶包
|
|
if bid is None and mark is not None:
|
|
bid = round_option_px(mark, tick_sz, "sell")
|
|
ref_ask = None
|
|
if ask is None and mark is not None and mark > 0:
|
|
ref_ask = round_option_px(mark, tick_sz, "buy")
|
|
can_open, open_block_msg = option_buy_liquidity_ok(ask, ask_sz)
|
|
book_ask = ask
|
|
book_ask_sz = ask_sz
|
|
uly = str(meta.get("uly") or "")
|
|
idx = fetch_index_price(ex, uly)
|
|
opt_type = meta.get("optType")
|
|
strike = _safe_float(meta.get("stk"))
|
|
expiry_be = expiry_breakeven_from_ask(
|
|
opt_type=str(opt_type or ""),
|
|
strike=strike,
|
|
ask_px=book_ask if can_open else None,
|
|
mark_px=mark,
|
|
inst_id=inst_id,
|
|
)
|
|
return {
|
|
"ok": True,
|
|
"inst_id": inst_id,
|
|
"meta": meta,
|
|
"ask": book_ask if can_open else None,
|
|
"bid": bid,
|
|
"ask_sz": book_ask_sz if can_open else None,
|
|
"bid_sz": bid_sz,
|
|
"mark": mark,
|
|
"ref_ask": ref_ask,
|
|
"book_ask": book_ask,
|
|
"book_ask_sz": book_ask_sz,
|
|
"can_open": can_open,
|
|
"ask_source": "book" if can_open else "none",
|
|
"open_block_msg": "" if can_open else open_block_msg,
|
|
"index_px": idx,
|
|
"expiry_be_px": expiry_be,
|
|
"dist_expiry_be": strike_distance_to_be(strike, expiry_be, opt_type=str(opt_type or "")),
|
|
"ct_mult": _safe_float(meta.get("ctMult")) or 0.01,
|
|
"min_sz": int(_safe_float(meta.get("minSz")) or 1),
|
|
"tick_sz": tick_sz,
|
|
"strike": strike,
|
|
"opt_type": opt_type,
|
|
"exp_time": meta.get("expTime"),
|
|
}
|
|
except Exception as e:
|
|
return {"ok": False, "msg": str(e)}
|
|
|
|
|
|
def fetch_option_pending_orders(ex: ccxt.okx, inst_id: str | None = None) -> list[dict[str, Any]]:
|
|
"""未成交期权委托(限价挂单)."""
|
|
params: dict[str, Any] = {"instType": "OPTION"}
|
|
inst = (inst_id or "").strip()
|
|
if inst:
|
|
params["instId"] = inst
|
|
try:
|
|
rows = ex.private_get_trade_orders_pending(params).get("data") or []
|
|
except Exception:
|
|
return []
|
|
out: list[dict[str, Any]] = []
|
|
for o in rows:
|
|
if not isinstance(o, dict):
|
|
continue
|
|
oid = str(o.get("ordId") or "").strip()
|
|
iid = str(o.get("instId") or "").strip()
|
|
if not oid or not iid:
|
|
continue
|
|
side = str(o.get("side") or "").lower()
|
|
px = _safe_float(o.get("px"))
|
|
sz = _safe_float(o.get("sz"))
|
|
fill_sz = _safe_float(o.get("fillSz")) or 0.0
|
|
acc_fill = _safe_float(o.get("accFillSz"))
|
|
if acc_fill is not None:
|
|
fill_sz = acc_fill
|
|
out.append(
|
|
{
|
|
"ord_id": oid,
|
|
"inst_id": iid,
|
|
"side": side,
|
|
"side_label": "买入" if side == "buy" else ("卖出" if side == "sell" else side or "—"),
|
|
"px": px,
|
|
"sz": int(sz) if sz is not None else None,
|
|
"fill_sz": int(fill_sz) if fill_sz is not None else 0,
|
|
"state": str(o.get("state") or ""),
|
|
"ord_type": str(o.get("ordType") or ""),
|
|
"c_time": o.get("cTime"),
|
|
"u_time": o.get("uTime"),
|
|
"reduce_only": str(o.get("reduceOnly") or "").lower() in ("true", "1", "yes"),
|
|
}
|
|
)
|
|
out.sort(key=lambda x: int(float(x.get("c_time") or 0)), reverse=True)
|
|
return out
|
|
|
|
|
|
def cancel_option_order(ex: ccxt.okx, *, inst_id: str, ord_id: str) -> dict[str, Any]:
|
|
inst_id = (inst_id or "").strip()
|
|
ord_id = (ord_id or "").strip()
|
|
if not inst_id or not ord_id:
|
|
return {"ok": False, "msg": "缺少 inst_id 或 ord_id"}
|
|
try:
|
|
resp = ex.private_post_trade_cancel_order({"instId": inst_id, "ordId": ord_id})
|
|
data = (resp or {}).get("data") or []
|
|
if data and str(data[0].get("sCode")) == "0":
|
|
return {"ok": True, "data": data[0], "raw": resp}
|
|
return {"ok": False, "msg": _okx_trade_error_message(resp=resp), "raw": resp}
|
|
except Exception as e:
|
|
return {"ok": False, "msg": _okx_trade_error_message(e)}
|
|
|
|
|
|
def fetch_option_order(ex: ccxt.okx, *, inst_id: str, ord_id: str) -> dict[str, Any]:
|
|
"""查询单笔期权订单状态."""
|
|
inst_id = (inst_id or "").strip()
|
|
ord_id = (ord_id or "").strip()
|
|
if not inst_id or not ord_id:
|
|
return {"ok": False, "msg": "缺少 inst_id 或 ord_id"}
|
|
try:
|
|
resp = ex.private_get_trade_order({"instId": inst_id, "ordId": ord_id})
|
|
data = (resp or {}).get("data") or []
|
|
if not data or not isinstance(data[0], dict):
|
|
return {"ok": False, "msg": "订单不存在或暂不可查", "raw": resp}
|
|
o = data[0]
|
|
sz = _safe_float(o.get("sz"))
|
|
acc = _safe_float(o.get("accFillSz"))
|
|
if acc is None:
|
|
acc = _safe_float(o.get("fillSz")) or 0.0
|
|
avg = _safe_float(o.get("avgPx"))
|
|
fill_px = _safe_float(o.get("fillPx"))
|
|
if avg is None or avg <= 0:
|
|
avg = fill_px
|
|
state = str(o.get("state") or "").strip().lower()
|
|
return {
|
|
"ok": True,
|
|
"ord_id": str(o.get("ordId") or ord_id),
|
|
"inst_id": str(o.get("instId") or inst_id),
|
|
"state": state,
|
|
"sz": int(sz) if sz is not None else None,
|
|
"acc_fill_sz": float(acc or 0),
|
|
"avg_px": avg,
|
|
"side": str(o.get("side") or "").lower(),
|
|
"ord_type": str(o.get("ordType") or ""),
|
|
"raw": o,
|
|
}
|
|
except Exception as e:
|
|
return {"ok": False, "msg": _okx_trade_error_message(e)}
|
|
|
|
|
|
def wait_option_order_full_fill(
|
|
ex: ccxt.okx,
|
|
*,
|
|
inst_id: str,
|
|
ord_id: str,
|
|
need_sheets: int,
|
|
timeout_sec: float = 12.0,
|
|
poll_sec: float = 0.35,
|
|
cancel_on_timeout: bool = True,
|
|
) -> dict[str, Any]:
|
|
"""轮询至完全成交;超时则撤单.未完全成交返回 ok=False."""
|
|
need = max(1, int(need_sheets))
|
|
deadline = time.time() + max(0.5, float(timeout_sec))
|
|
last: dict[str, Any] = {}
|
|
while time.time() < deadline:
|
|
last = fetch_option_order(ex, inst_id=inst_id, ord_id=ord_id)
|
|
if not last.get("ok"):
|
|
time.sleep(max(0.15, float(poll_sec)))
|
|
continue
|
|
acc = float(last.get("acc_fill_sz") or 0)
|
|
state = str(last.get("state") or "")
|
|
if acc + 1e-9 >= need or state == "filled":
|
|
if acc + 1e-9 < need:
|
|
return {
|
|
"ok": False,
|
|
"msg": f"订单已结束但成交不足 {need} 张(已成 {acc:g})",
|
|
"filled_sheets": acc,
|
|
"order": last,
|
|
}
|
|
return {
|
|
"ok": True,
|
|
"filled_sheets": int(round(acc)),
|
|
"avg_px": last.get("avg_px"),
|
|
"state": state,
|
|
"order": last,
|
|
}
|
|
if state in ("canceled", "cancelled", "mmp_canceled"):
|
|
if acc + 1e-9 >= need:
|
|
return {
|
|
"ok": True,
|
|
"filled_sheets": int(round(acc)),
|
|
"avg_px": last.get("avg_px"),
|
|
"state": state,
|
|
"order": last,
|
|
}
|
|
return {
|
|
"ok": False,
|
|
"msg": f"订单已撤销且未完全成交(已成 {acc:g}/{need})",
|
|
"filled_sheets": acc,
|
|
"order": last,
|
|
}
|
|
time.sleep(max(0.15, float(poll_sec)))
|
|
|
|
if cancel_on_timeout:
|
|
cancel_option_order(ex, inst_id=inst_id, ord_id=ord_id)
|
|
time.sleep(0.25)
|
|
last = fetch_option_order(ex, inst_id=inst_id, ord_id=ord_id)
|
|
acc = float((last or {}).get("acc_fill_sz") or 0) if (last or {}).get("ok") else 0.0
|
|
if acc + 1e-9 >= need:
|
|
return {
|
|
"ok": True,
|
|
"filled_sheets": int(round(acc)),
|
|
"avg_px": (last or {}).get("avg_px"),
|
|
"state": (last or {}).get("state"),
|
|
"order": last,
|
|
"timed_out": True,
|
|
}
|
|
return {
|
|
"ok": False,
|
|
"msg": f"等待成交超时({float(timeout_sec):g}s),已撤未成交部分;已成 {acc:g}/{need}",
|
|
"filled_sheets": acc,
|
|
"order": last,
|
|
"timed_out": True,
|
|
}
|
|
|
|
|
|
def place_option_limit_order(
|
|
ex: ccxt.okx,
|
|
*,
|
|
inst_id: str,
|
|
side: str,
|
|
sheets: int,
|
|
price: float,
|
|
td_mode: str = "isolated",
|
|
tick_sz: Any = None,
|
|
reduce_only: bool = False,
|
|
pos_side: str | None = None,
|
|
ord_type: str = "limit",
|
|
) -> dict[str, Any]:
|
|
side_l = (side or "").lower()
|
|
if side_l not in ("buy", "sell"):
|
|
return {"ok": False, "msg": "side 必须为 buy 或 sell"}
|
|
if sheets < 1:
|
|
return {"ok": False, "msg": "张数至少为 1"}
|
|
ot = (ord_type or "limit").strip().lower()
|
|
if ot not in ("limit", "ioc", "fok", "post_only"):
|
|
return {"ok": False, "msg": f"不支持的 ordType: {ord_type}"}
|
|
px = round_option_px(float(price), tick_sz, side_l)
|
|
if px <= 0:
|
|
return {"ok": False, "msg": "价格无效"}
|
|
body: dict[str, Any] = {
|
|
"instId": inst_id,
|
|
"tdMode": td_mode,
|
|
"side": side_l,
|
|
"ordType": ot,
|
|
"px": format_option_px(px, tick_sz),
|
|
"sz": str(int(sheets)),
|
|
}
|
|
if pos_side:
|
|
body["posSide"] = pos_side
|
|
if reduce_only:
|
|
body["reduceOnly"] = "true"
|
|
try:
|
|
resp = ex.private_post_trade_order(body)
|
|
data = (resp or {}).get("data") or []
|
|
if data and str(data[0].get("sCode")) == "0":
|
|
return {"ok": True, "data": data[0], "raw": resp, "px": px, "ord_type": ot}
|
|
return {"ok": False, "msg": _okx_trade_error_message(resp=resp), "raw": resp, "px": px}
|
|
except Exception as e:
|
|
return {"ok": False, "msg": _okx_trade_error_message(e), "px": px}
|
|
|
|
|
|
def place_option_market_order(
|
|
ex: ccxt.okx,
|
|
*,
|
|
inst_id: str,
|
|
side: str,
|
|
sheets: int,
|
|
td_mode: str = "isolated",
|
|
reduce_only: bool = False,
|
|
pos_side: str | None = None,
|
|
) -> dict[str, Any]:
|
|
side_l = (side or "").lower()
|
|
if side_l not in ("buy", "sell"):
|
|
return {"ok": False, "msg": "side 必须为 buy 或 sell"}
|
|
if sheets < 1:
|
|
return {"ok": False, "msg": "张数至少为 1"}
|
|
body: dict[str, Any] = {
|
|
"instId": inst_id,
|
|
"tdMode": td_mode,
|
|
"side": side_l,
|
|
"ordType": "market",
|
|
"sz": str(int(sheets)),
|
|
}
|
|
if pos_side:
|
|
body["posSide"] = pos_side
|
|
if reduce_only:
|
|
body["reduceOnly"] = "true"
|
|
try:
|
|
resp = ex.private_post_trade_order(body)
|
|
data = (resp or {}).get("data") or []
|
|
if data and str(data[0].get("sCode")) == "0":
|
|
return {"ok": True, "data": data[0], "raw": resp}
|
|
return {"ok": False, "msg": _okx_trade_error_message(resp=resp), "raw": resp}
|
|
except Exception as e:
|
|
return {"ok": False, "msg": _okx_trade_error_message(e)}
|
|
|
|
|
|
_OPTION_POSITIONS_CACHE: dict[str, Any] = {"updated_at": 0.0, "rows": None, "failed": False}
|
|
_OPTION_POSITIONS_CACHE_LOCK = threading.Lock()
|
|
_OPTION_POSITIONS_CACHE_TTL = 4.0
|
|
_OPTION_POSITIONS_STALE_OK_SEC = 30.0
|
|
|
|
|
|
def invalidate_option_positions_cache() -> None:
|
|
with _OPTION_POSITIONS_CACHE_LOCK:
|
|
_OPTION_POSITIONS_CACHE["updated_at"] = 0.0
|
|
_OPTION_POSITIONS_CACHE["failed"] = False
|
|
|
|
|
|
def fetch_option_positions(ex: ccxt.okx) -> list[dict[str, Any]] | None:
|
|
"""期权持仓:有仓返回列表,无仓返回 [],API 失败返回 None(短时回退缓存)."""
|
|
now = time.time()
|
|
with _OPTION_POSITIONS_CACHE_LOCK:
|
|
age = now - float(_OPTION_POSITIONS_CACHE["updated_at"] or 0.0)
|
|
cached = _OPTION_POSITIONS_CACHE["rows"]
|
|
if age < _OPTION_POSITIONS_CACHE_TTL and cached is not None and not _OPTION_POSITIONS_CACHE["failed"]:
|
|
return list(cached)
|
|
try:
|
|
rows = ex.private_get_account_positions({"instType": "OPTION"}).get("data") or []
|
|
out = []
|
|
for r in rows:
|
|
if not isinstance(r, dict):
|
|
continue
|
|
pos = _safe_float(r.get("pos"))
|
|
if pos is None or abs(pos) < 1e-12:
|
|
continue
|
|
out.append(r)
|
|
with _OPTION_POSITIONS_CACHE_LOCK:
|
|
_OPTION_POSITIONS_CACHE["updated_at"] = now
|
|
_OPTION_POSITIONS_CACHE["rows"] = out
|
|
_OPTION_POSITIONS_CACHE["failed"] = False
|
|
return out
|
|
except Exception:
|
|
with _OPTION_POSITIONS_CACHE_LOCK:
|
|
cached = _OPTION_POSITIONS_CACHE["rows"]
|
|
age = now - float(_OPTION_POSITIONS_CACHE["updated_at"] or 0.0)
|
|
if cached is not None and age < _OPTION_POSITIONS_STALE_OK_SEC:
|
|
return list(cached)
|
|
_OPTION_POSITIONS_CACHE["updated_at"] = now
|
|
_OPTION_POSITIONS_CACHE["rows"] = None
|
|
_OPTION_POSITIONS_CACHE["failed"] = True
|
|
return None
|
|
|
|
|
|
def fetch_option_position_history(
|
|
ex: ccxt.okx,
|
|
inst_id: str,
|
|
*,
|
|
limit: int = 20,
|
|
) -> list[dict[str, Any]]:
|
|
"""OKX 期权历史仓位(含到期结算/平仓)."""
|
|
inst_id = (inst_id or "").strip()
|
|
if not inst_id:
|
|
return []
|
|
try:
|
|
resp = ex.private_get_account_positions_history(
|
|
{
|
|
"instType": "OPTION",
|
|
"instId": inst_id,
|
|
"limit": str(max(1, min(int(limit), 100))),
|
|
}
|
|
)
|
|
rows = (resp or {}).get("data") or []
|
|
return [r for r in rows if isinstance(r, dict)]
|
|
except Exception:
|
|
return []
|
|
|
|
|
|
def fetch_all_option_positions_history(
|
|
ex: ccxt.okx,
|
|
*,
|
|
limit: int = 200,
|
|
) -> list[dict[str, Any]]:
|
|
"""拉取 OKX 期权全部历史仓位(分页,按平仓时间倒序)."""
|
|
cap = max(1, min(int(limit), 500))
|
|
out: list[dict[str, Any]] = []
|
|
after: str | None = None
|
|
while len(out) < cap:
|
|
page_limit = min(100, cap - len(out))
|
|
params: dict[str, Any] = {
|
|
"instType": "OPTION",
|
|
"limit": str(page_limit),
|
|
}
|
|
if after is not None:
|
|
params["after"] = after
|
|
try:
|
|
resp = ex.private_get_account_positions_history(params)
|
|
except Exception:
|
|
break
|
|
rows = (resp or {}).get("data") or []
|
|
batch = [r for r in rows if isinstance(r, dict)]
|
|
if not batch:
|
|
break
|
|
out.extend(batch)
|
|
if len(batch) < page_limit:
|
|
break
|
|
utimes = [_safe_float(r.get("uTime")) for r in batch]
|
|
utimes = [int(u) for u in utimes if u is not None and u > 0]
|
|
if not utimes:
|
|
break
|
|
oldest = min(utimes)
|
|
if after is not None and str(oldest) == after:
|
|
break
|
|
after = str(oldest)
|
|
out = [r for r in out if is_option_full_close_history(r)]
|
|
out.sort(key=lambda r: int(_safe_float(r.get("uTime")) or 0), reverse=True)
|
|
return out[:cap]
|
|
|
|
|
|
def format_option_history_row(
|
|
raw: dict[str, Any],
|
|
*,
|
|
tick_sz: Any = None,
|
|
ct_mult: float = 0.01,
|
|
) -> dict[str, Any]:
|
|
"""标准化 OKX positions-history 单条记录供前端展示."""
|
|
from lib.options.options_pricing_lib import total_premium
|
|
|
|
inst_id = str(raw.get("instId") or "").strip()
|
|
open_avg = _safe_float(raw.get("openAvgPx"))
|
|
close_avg = _safe_float(raw.get("closeAvgPx"))
|
|
sheets = _safe_float(raw.get("closeTotalPos"))
|
|
if sheets is None or sheets <= 0:
|
|
sheets = _safe_float(raw.get("openMaxPos"))
|
|
sheets_i = int(abs(sheets or 0))
|
|
eth_amount = round(abs(sheets or 0) * ct_mult, 8) if sheets else 0.0
|
|
premium_paid = (
|
|
round(total_premium(open_avg, eth_amount), 8)
|
|
if open_avg is not None and eth_amount > 0
|
|
else None
|
|
)
|
|
realized = _safe_float(raw.get("realizedPnl"))
|
|
if realized is None:
|
|
realized = _safe_float(raw.get("pnl"))
|
|
pnl_ratio = _safe_float(raw.get("pnlRatio"))
|
|
close_type = str(raw.get("type") or "").strip()
|
|
utime = _safe_float(raw.get("uTime"))
|
|
ctime = _safe_float(raw.get("cTime"))
|
|
opt_type, strike = option_fields_from_inst_id(inst_id)
|
|
uly = str(raw.get("uly") or inst_id.split("-")[0] or "").replace("-USD_UM", "").replace("-USD", "")
|
|
try:
|
|
from lib.options.options_margin_mode_lib import margin_mode_from_inst_id, premium_ccy_for_mode
|
|
|
|
row_mode = margin_mode_from_inst_id(inst_id) if inst_id else "usdc"
|
|
premium_ccy = premium_ccy_for_mode(row_mode, uly or "ETH")
|
|
except Exception:
|
|
row_mode = "usdc"
|
|
premium_ccy = "USDC"
|
|
idx_px = _safe_float(raw.get("idxPx") or raw.get("idx_px"))
|
|
if close_type in ("3", "4"):
|
|
status_label = "强平"
|
|
else:
|
|
status_label = "已平"
|
|
pos_id = str(raw.get("posId") or "").strip() or None
|
|
close_ms = int(utime) if utime is not None else None
|
|
return {
|
|
"source": "exchange",
|
|
"history_key": option_history_row_key(
|
|
source="exchange",
|
|
inst_id=inst_id,
|
|
pos_id=pos_id,
|
|
close_ms=close_ms,
|
|
),
|
|
"pos_id": pos_id,
|
|
"inst_id": inst_id,
|
|
"underlying": uly,
|
|
"opt_type": opt_type,
|
|
"strike": strike,
|
|
"sheets": sheets_i,
|
|
"eth_amount": eth_amount,
|
|
"ct_mult": ct_mult,
|
|
"open_avg_px": open_avg,
|
|
"open_avg_px_fmt": format_option_px(open_avg, tick_sz) if open_avg is not None else None,
|
|
"close_avg_px": close_avg,
|
|
"close_avg_px_fmt": format_option_px(close_avg, tick_sz) if close_avg is not None else None,
|
|
"premium_paid": premium_paid,
|
|
"premium_paid_fmt": format_premium_amount(premium_paid, ccy=premium_ccy),
|
|
"premium_ccy": premium_ccy,
|
|
"margin_mode": row_mode,
|
|
"margin_mode_label": "币本位" if row_mode == "coin" else "USDC",
|
|
"idx_px": idx_px,
|
|
"realized_pnl": realized,
|
|
"pnl_ratio_pct": round(pnl_ratio * 100, 2) if pnl_ratio is not None else None,
|
|
"status": "closed",
|
|
"status_label": status_label,
|
|
"close_type": close_type,
|
|
"created_at": _ms_to_iso(ctime),
|
|
"closed_at": _ms_to_iso(utime),
|
|
"close_ms": close_ms,
|
|
"tick_sz": tick_sz,
|
|
"raw": raw,
|
|
}
|
|
|
|
|
|
def format_live_option_history_row(
|
|
row: dict[str, Any],
|
|
*,
|
|
open_ms: int | None = None,
|
|
) -> dict[str, Any]:
|
|
"""将当前持仓格式化为历史列表中的「持仓中」行."""
|
|
inst_id = str(row.get("inst_id") or "").strip()
|
|
pos_id = str((row.get("raw") or {}).get("posId") or "").strip() or None
|
|
close_ms = open_ms
|
|
premium_ccy = str(row.get("premium_ccy") or "USDC").strip().upper() or "USDC"
|
|
return {
|
|
"source": "live",
|
|
"history_key": option_history_row_key(
|
|
source="live",
|
|
inst_id=inst_id,
|
|
pos_id=pos_id,
|
|
close_ms=close_ms,
|
|
),
|
|
"pos_id": pos_id,
|
|
"inst_id": inst_id,
|
|
"underlying": str(row.get("underlying") or inst_id.split("-")[0] or ""),
|
|
"opt_type": row.get("opt_type"),
|
|
"strike": row.get("strike"),
|
|
"sheets": int(abs(_safe_float(row.get("pos")) or 0)),
|
|
"eth_amount": row.get("eth_amount"),
|
|
"open_avg_px": row.get("avg_px"),
|
|
"open_avg_px_fmt": row.get("avg_px_fmt"),
|
|
"close_avg_px": None,
|
|
"close_avg_px_fmt": None,
|
|
"premium_paid": row.get("premium_paid"),
|
|
"premium_paid_fmt": row.get("premium_paid_fmt"),
|
|
"premium_ccy": premium_ccy,
|
|
"margin_mode": row.get("margin_mode"),
|
|
"margin_mode_label": row.get("margin_mode_label"),
|
|
"idx_px": row.get("idx_px"),
|
|
"realized_pnl": row.get("upl"),
|
|
"pnl_ratio_pct": row.get("upl_ratio_pct"),
|
|
"status": "open",
|
|
"status_label": "持仓中",
|
|
"close_type": None,
|
|
"created_at": _ms_to_iso(open_ms),
|
|
"closed_at": None,
|
|
"close_ms": open_ms,
|
|
"tick_sz": row.get("tick_sz"),
|
|
"raw": row.get("raw"),
|
|
}
|
|
|
|
|
|
def resolve_option_close_from_history(
|
|
hist_rows: list[dict[str, Any]],
|
|
*,
|
|
open_ms: int | None = None,
|
|
close_ms: int | None = None,
|
|
sheets: float | int | None = None,
|
|
) -> dict[str, Any] | None:
|
|
"""从 positions-history 选取匹配的平仓记录.
|
|
|
|
同合约多次开平时,优先按开仓时间(cTime≈open_ms)对齐,再按平仓时间/张数;
|
|
无锚点时取开仓后最晚一条(供刚平掉的持仓同步)。
|
|
"""
|
|
candidates: list[tuple[int, dict[str, Any]]] = []
|
|
for row in hist_rows:
|
|
u_ms = _safe_float(row.get("uTime"))
|
|
if u_ms is None or u_ms <= 0:
|
|
continue
|
|
u_i = int(u_ms)
|
|
# 本地时间偶发与交易所差整时区时,放宽到 12h,主要靠 cTime/张数精配
|
|
if open_ms is not None and u_i < int(open_ms) - 12 * 3600_000:
|
|
continue
|
|
candidates.append((u_i, row))
|
|
if not candidates:
|
|
return None
|
|
|
|
has_ctime = any(_safe_float(row.get("cTime")) is not None for _, row in candidates)
|
|
want_sheets = _safe_float(sheets)
|
|
|
|
def _score(item: tuple[int, dict[str, Any]]) -> tuple:
|
|
u_i, row = item
|
|
c_ms = _safe_float(row.get("cTime"))
|
|
parts: list[float] = []
|
|
# 张数优先:同合约多笔时最稳,且不受本地/交易所时区偏差影响
|
|
if want_sheets is not None:
|
|
hist_sheets = _safe_float(row.get("closeTotalPos"))
|
|
if hist_sheets is None:
|
|
hist_sheets = _safe_float(row.get("openMaxPos"))
|
|
parts.append(
|
|
abs(float(hist_sheets) - float(want_sheets))
|
|
if hist_sheets is not None
|
|
else 1e12
|
|
)
|
|
if open_ms is not None and c_ms is not None:
|
|
parts.append(float(abs(int(c_ms) - int(open_ms))))
|
|
if close_ms is not None:
|
|
parts.append(float(abs(u_i - int(close_ms))))
|
|
if not parts:
|
|
parts.append(float(-u_i))
|
|
# 同距时偏向更晚平仓
|
|
parts.append(float(-u_i))
|
|
return tuple(parts)
|
|
|
|
if open_ms is None and close_ms is None and want_sheets is None:
|
|
u_i, best = max(candidates, key=lambda item: item[0])
|
|
elif open_ms is not None and close_ms is None and want_sheets is None and not has_ctime:
|
|
# 兼容旧调用:只有 open_ms 时仍取最晚一条
|
|
u_i, best = max(candidates, key=lambda item: item[0])
|
|
else:
|
|
u_i, best = min(candidates, key=_score)
|
|
|
|
realized = _safe_float(best.get("realizedPnl"))
|
|
if realized is None:
|
|
realized = _safe_float(best.get("pnl"))
|
|
return {
|
|
"close_quote": _safe_float(best.get("closeAvgPx")),
|
|
"realized_pnl": realized,
|
|
"close_ms": u_i,
|
|
"pos_id": str(best.get("posId") or "").strip() or None,
|
|
}
|
|
|
|
|
|
def fetch_options_unrealized_pnl_usdc(ex: ccxt.okx) -> float | None:
|
|
"""
|
|
期权浮盈合计(USDC≈U).
|
|
优先返回交易所标记价 upl;实例顶栏应改用
|
|
`options_positions_lib.sum_options_net_pnl_usdc`(买一净盈亏)以与持仓卡一致.
|
|
"""
|
|
positions = fetch_option_positions(ex)
|
|
if positions is None:
|
|
return None
|
|
total = 0.0
|
|
found = False
|
|
for pos in positions:
|
|
upl = _safe_float(pos.get("upl"))
|
|
if upl is None:
|
|
continue
|
|
found = True
|
|
total += upl
|
|
return round(total, 4) if found else None
|
|
|
|
|
|
def estimate_usdt_to_usdc(ex: ccxt.okx, usdt_amount: float) -> dict[str, Any]:
|
|
if usdt_amount <= 0:
|
|
return {"ok": False, "msg": "兑换数量须大于 0"}
|
|
try:
|
|
resp = ex.private_post_asset_convert_estimate_quote(
|
|
{
|
|
"baseCcy": "USDC",
|
|
"quoteCcy": "USDT",
|
|
"side": "buy",
|
|
"rfqSz": str(usdt_amount),
|
|
"rfqSzCcy": "USDT",
|
|
}
|
|
)
|
|
data = (resp or {}).get("data") or []
|
|
if not data:
|
|
return {"ok": False, "msg": "询价失败", "raw": resp}
|
|
row = data[0]
|
|
return {
|
|
"ok": True,
|
|
"quote_id": row.get("quoteId"),
|
|
"base_ccy": row.get("baseCcy"),
|
|
"quote_ccy": row.get("quoteCcy"),
|
|
"cnvt_px": _safe_float(row.get("cnvtPx")),
|
|
"base_sz": _safe_float(row.get("baseSz")),
|
|
"quote_sz": _safe_float(row.get("quoteSz")),
|
|
"rfq_sz": usdt_amount,
|
|
"raw": row,
|
|
}
|
|
except Exception as e:
|
|
return {"ok": False, "msg": str(e)}
|
|
|
|
|
|
def execute_convert(ex: ccxt.okx, quote_id: str) -> dict[str, Any]:
|
|
if not quote_id:
|
|
return {"ok": False, "msg": "缺少 quoteId"}
|
|
try:
|
|
resp = ex.private_post_asset_convert_trade({"quoteId": str(quote_id)})
|
|
data = (resp or {}).get("data") or []
|
|
if data and str(data[0].get("sCode", "0")) == "0":
|
|
return {"ok": True, "data": data[0], "raw": resp}
|
|
return {"ok": False, "msg": _okx_trade_error_message(resp=resp), "raw": resp}
|
|
except Exception as e:
|
|
return {"ok": False, "msg": _okx_trade_error_message(e)}
|
|
|
|
|
|
def transfer_ccy(
|
|
ex: ccxt.okx,
|
|
ccy: str,
|
|
amount: float,
|
|
from_account: str,
|
|
to_account: str,
|
|
) -> dict[str, Any]:
|
|
if amount <= 0:
|
|
return {"ok": False, "msg": "划转金额须大于 0"}
|
|
try:
|
|
resp = ex.transfer(str(ccy).upper(), float(amount), from_account, to_account)
|
|
return {"ok": True, "data": resp}
|
|
except Exception as e:
|
|
return {"ok": False, "msg": _okx_trade_error_message(e)}
|
|
|
|
|
|
_OKX_ACCT_CODE = {"funding": "6", "trading": "18", "spot": "18"}
|
|
|
|
|
|
def fetch_options_trading_usdc(ex: ccxt.okx, *, force: bool = False) -> float | None:
|
|
bal = fetch_options_balances(ex, force=force)
|
|
v = bal.get("trading_usdc")
|
|
if v is None:
|
|
return None
|
|
return round(float(v), 2)
|
|
|
|
|
|
def fetch_options_funding_usdc(ex: ccxt.okx, *, force: bool = False) -> float | None:
|
|
bal = fetch_options_balances(ex, force=force)
|
|
v = bal.get("funding_usdc")
|
|
if v is None:
|
|
return None
|
|
return round(float(v), 2)
|
|
|
|
|
|
def fetch_options_funding_usdt(ex: ccxt.okx, *, force: bool = False) -> float | None:
|
|
bal = fetch_options_balances(ex, force=force)
|
|
v = bal.get("funding_usdt")
|
|
if v is None:
|
|
return None
|
|
return round(float(v), 2)
|
|
|
|
|
|
def spot_market_swap_usdt_usdc(
|
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ex: ccxt.okx,
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*,
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direction: str,
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amount: float,
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) -> dict[str, Any]:
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"""现货市价兑换 USDC-USDT.direction: usdt_to_usdc | usdc_to_usdt."""
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if amount <= 0:
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return {"ok": False, "msg": "数量须大于 0"}
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d = (direction or "").lower()
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inst_id = "USDC-USDT"
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try:
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if d == "usdt_to_usdc":
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body = {
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"instId": inst_id,
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"tdMode": "cash",
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"side": "buy",
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"ordType": "market",
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"sz": str(amount),
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"tgtCcy": "quote_ccy",
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}
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elif d == "usdc_to_usdt":
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body = {
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"instId": inst_id,
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"tdMode": "cash",
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"side": "sell",
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"ordType": "market",
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"sz": str(amount),
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"tgtCcy": "base_ccy",
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}
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else:
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return {"ok": False, "msg": "direction 须为 usdt_to_usdc 或 usdc_to_usdt"}
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resp = ex.private_post_trade_order(body)
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data = (resp or {}).get("data") or []
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if data and str(data[0].get("sCode")) == "0":
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return {"ok": True, "data": data[0], "raw": resp}
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return {"ok": False, "msg": _okx_trade_error_message(resp=resp), "raw": resp}
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except Exception as e:
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return {"ok": False, "msg": _okx_trade_error_message(e)}
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def format_position_row(
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pos: dict[str, Any],
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ct_mult: float = 0.01,
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*,
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tick_sz: Any = None,
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) -> dict[str, Any]:
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from lib.options.options_pricing_lib import (
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close_breakeven_idx,
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expiry_breakeven_px,
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idx_distance_to_be,
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strike_distance_to_be,
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total_premium,
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)
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sheets = _safe_float(pos.get("pos")) or 0.0
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avg = _safe_float(pos.get("avgPx"))
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mark = _safe_float(pos.get("markPx"))
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upl = _safe_float(pos.get("upl"))
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upl_ratio = _safe_float(pos.get("uplRatio"))
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idx_px = _safe_float(pos.get("idxPx"))
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inst_id = str(pos.get("instId") or "")
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opt_type = pos.get("optType")
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strike = _safe_float(pos.get("stk"))
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parsed_type, parsed_strike = option_fields_from_inst_id(inst_id)
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if not opt_type:
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opt_type = parsed_type
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if strike is None:
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strike = parsed_strike
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try:
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from lib.options.options_margin_mode_lib import margin_mode_from_inst_id, premium_ccy_for_mode
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row_mode = margin_mode_from_inst_id(inst_id) if inst_id else "usdc"
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underly = (inst_id.split("-")[0] if inst_id else "ETH") or "ETH"
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premium_ccy = premium_ccy_for_mode(row_mode, underly)
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except Exception:
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row_mode = "usdc"
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underly = (inst_id.split("-")[0] if inst_id else "ETH") or "ETH"
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premium_ccy = "USDC"
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eth_amount = round(abs(sheets) * ct_mult, 8)
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premium_paid = (
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round(total_premium(avg, eth_amount), 8) if avg is not None and eth_amount > 0 else None
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)
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|
delta_pa = _safe_float(pos.get("deltaPA"))
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|
expiry_be = expiry_breakeven_px(
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opt_type=str(opt_type or ""),
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strike=strike,
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avg_px=avg,
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be_px_api=_safe_float(pos.get("bePx")),
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inst_id=inst_id,
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|
margin_mode=row_mode,
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)
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|
close_be = close_breakeven_idx(
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|
opt_type=str(opt_type or ""),
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idx_px=idx_px,
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mark_px=mark,
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|
avg_px=avg,
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delta_pa=delta_pa,
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pos=sheets,
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|
ct_mult=ct_mult,
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|
)
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|
exp_time_ms = normalize_option_exp_ms(pos.get("expTime"), inst_id)
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return {
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|
"inst_id": inst_id or pos.get("instId"),
|
|
"pos": sheets,
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|
"eth_amount": eth_amount,
|
|
"avg_px": avg,
|
|
"mark_px": mark,
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|
"avg_px_fmt": format_option_px(avg, tick_sz) if avg is not None else None,
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"mark_px_fmt": format_option_px(mark, tick_sz) if mark is not None else None,
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|
"premium_paid_fmt": format_premium_amount(premium_paid, ccy=premium_ccy),
|
|
"tick_sz": tick_sz,
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|
"ct_mult": ct_mult,
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|
"idx_px": idx_px,
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|
"premium_paid": premium_paid,
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|
"margin_mode": row_mode,
|
|
"premium_ccy": premium_ccy,
|
|
"underlying": underly,
|
|
"upl": upl,
|
|
"upl_ratio_pct": round(upl_ratio * 100, 2) if upl_ratio is not None else None,
|
|
"exp_time": exp_time_ms,
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|
"exp_time_ms": exp_time_ms,
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|
"opt_type": opt_type,
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|
"strike": strike,
|
|
"avail_pos": _safe_float(pos.get("availPos")),
|
|
"expiry_be_px": expiry_be,
|
|
"close_be_px": close_be,
|
|
"dist_expiry_be": strike_distance_to_be(strike, expiry_be, opt_type=str(opt_type or "")),
|
|
"dist_close_be": idx_distance_to_be(idx_px, close_be),
|
|
"raw": pos,
|
|
}
|
|
|
|
|
|
def options_api_ready(ex: ccxt.okx | None) -> tuple[bool, str]:
|
|
if ex is None:
|
|
return False, "期权 API 未配置"
|
|
if not ex.apiKey or not ex.secret or not ex.password:
|
|
return False, "期权 API Key 不完整"
|
|
return True, ""
|