dekun
326 lines
10 KiB
Python
326 lines
10 KiB
Python
"""OKX 单笔期权本位模式与币本位 USDT 预算."""
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from __future__ import annotations
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import os
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from typing import Any
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MODE_USDC = "usdc"
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MODE_COIN = "coin"
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def _env_bool(name: str, default: bool = False) -> bool:
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v = (os.getenv(name) or "").strip().lower()
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if not v:
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return default
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return v in ("1", "true", "yes", "on", "y")
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def _env_float(name: str, default: float) -> float:
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try:
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return float(os.getenv(name) or default)
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except (TypeError, ValueError):
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return float(default)
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def normalize_options_margin_mode(raw: Any = None) -> str:
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"""返回 usdc | coin;未配置时默认币本位."""
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if raw is None:
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raw = os.getenv("OKX_OPTIONS_MARGIN_MODE")
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v = str(raw or MODE_COIN).strip().lower()
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if v in ("usdc", "usdc_margin", "usd_margin", "u本位", "u"):
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return MODE_USDC
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if v in ("coin", "coin_margin", "crypto", "crypto_margin", "币本位"):
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return MODE_COIN
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# 空串或未知值:默认币本位
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if not v:
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return MODE_COIN
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return MODE_COIN
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def is_coin_margin_mode(raw: Any = None) -> bool:
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return normalize_options_margin_mode(raw) == MODE_COIN
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def inst_family_for_underlying(underlying: str, *, margin_mode: str | None = None) -> str:
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u = (underlying or "ETH").strip().upper() or "ETH"
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mode = normalize_options_margin_mode(margin_mode)
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if mode == MODE_COIN:
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return f"{u}-USD"
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return f"{u}-USD_UM"
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def margin_mode_from_inst_id(inst_id: str) -> str:
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inst = (inst_id or "").strip().upper()
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if not inst:
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return normalize_options_margin_mode()
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if "_UM" in inst:
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return MODE_USDC
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# ETH-USD-260701-2500-C / BTC-USD-...
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if "-USD-" in inst and "_UM" not in inst:
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return MODE_COIN
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return normalize_options_margin_mode()
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def premium_ccy_for_mode(margin_mode: str, underlying: str = "ETH") -> str:
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if normalize_options_margin_mode(margin_mode) == MODE_COIN:
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return (underlying or "ETH").strip().upper() or "ETH"
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return "USDC"
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def spot_quote_inst_id(underlying: str) -> str:
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"""现货市价买卖: ETH-USDT / BTC-USDT."""
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u = (underlying or "ETH").strip().upper() or "ETH"
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return f"{u}-USDT"
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def compute_coin_budget_usdt(
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trading_usdt: float,
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*,
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compound: bool | None = None,
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buffer: float | None = None,
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fixed_budget_usdt: float | None = None,
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max_enabled: bool | None = None,
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max_usdt: float | None = None,
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) -> dict[str, Any]:
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"""
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币本位单笔 USDT 预算.
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复利开: trading_usdt × buffer; 复利关: fixed × buffer.
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上限开: min(..., max_usdt).
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"""
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bal = max(0.0, float(trading_usdt or 0))
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use_compound = _env_bool("OKX_OPTIONS_COIN_COMPOUND", True) if compound is None else bool(compound)
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buf = float(buffer) if buffer is not None else _env_float("OKX_OPTIONS_BUDGET_BUFFER", 0.95)
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if buf <= 0:
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buf = 0.95
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fixed = (
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float(fixed_budget_usdt)
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if fixed_budget_usdt is not None
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else _env_float("OKX_OPTIONS_COIN_BUDGET_USDT", 10.0)
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)
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if use_compound:
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raw = bal * buf
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source = "compound"
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else:
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raw = max(0.0, fixed) * buf
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source = "fixed"
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capped = False
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max_on = (
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_env_bool("OKX_OPTIONS_COIN_MAX_USDT_ENABLED", False)
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if max_enabled is None
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else bool(max_enabled)
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)
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max_n = (
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float(max_usdt)
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if max_usdt is not None
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else _env_float("OKX_OPTIONS_COIN_MAX_USDT", 50.0)
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)
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budget = raw
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if max_on and max_n > 0 and budget > max_n:
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budget = max_n
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capped = True
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return {
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"ok": budget > 0,
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"budget_usdt": round(budget, 8),
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"raw_usdt": round(raw, 8),
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"trading_usdt": round(bal, 8),
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"buffer": buf,
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"compound": use_compound,
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"source": source,
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"max_enabled": max_on,
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"max_usdt": max_n if max_on else None,
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"capped_by_max": capped,
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"msg": "" if budget > 0 else "交易账户 USDT 不足,无法计算币本位预算",
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}
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def normalize_coin_spot_buy_buffer(raw: Any = None) -> float:
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"""
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现货买入相对权利金的倍数缓冲.
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env OKX_OPTIONS_COIN_SPOT_BUY_BUFFER 默认 1.10(=多买 10%).
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也可写 0.10 表示 +10%.
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"""
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if raw is None:
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v = _env_float("OKX_OPTIONS_COIN_SPOT_BUY_BUFFER", 1.10)
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else:
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try:
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v = float(raw)
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except (TypeError, ValueError):
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v = 1.10
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if v <= 0:
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return 1.10
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if v < 1.0:
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return 1.0 + v
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return v
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def plan_coin_open_by_budget(
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*,
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quote_per_unit: float,
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ct_mult: float,
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min_sz: int,
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budget_usdt: float,
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index_px: float,
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ask_sz: float | None = None,
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spot_buy_buffer: float | None = None,
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target_sheets: int | None = None,
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) -> dict[str, Any]:
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"""
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先按预算/卖一估最大可开张数,再按「权利金 × 现货缓冲」算应买现货 USDT.
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不全额把预算换成币.
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"""
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import math
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from lib.exchange.okx_options_lib import cap_option_buy_sheets_to_ask_depth
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ask = float(quote_per_unit or 0)
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mult = float(ct_mult or 0.01)
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need = max(1, int(min_sz or 1))
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budget = max(0.0, float(budget_usdt or 0))
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idx = float(index_px or 0)
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buf = normalize_coin_spot_buy_buffer(spot_buy_buffer)
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if ask <= 0 or mult <= 0:
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return {"ok": False, "msg": "卖一价无效", "sheets": 0, "buy_usdt": 0.0}
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if idx <= 0:
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return {"ok": False, "msg": "缺少指数价,无法估算买币 USDT", "sheets": 0, "buy_usdt": 0.0}
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if budget <= 0:
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return {"ok": False, "msg": "USDT 预算无效", "sheets": 0, "buy_usdt": 0.0}
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per_sheet_coin = ask * mult
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# 每张开仓需买的币(含缓冲)及其约合 USDT
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per_sheet_buy_coin = per_sheet_coin * buf
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per_sheet_usdt = per_sheet_buy_coin * idx
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if per_sheet_usdt <= 0:
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return {"ok": False, "msg": "无法计算单张买币成本", "sheets": 0, "buy_usdt": 0.0}
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max_by_budget = int(math.floor((budget / per_sheet_usdt) + 1e-12))
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if target_sheets is not None:
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try:
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want = int(target_sheets)
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except (TypeError, ValueError):
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want = 0
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if want < need:
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return {
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"ok": False,
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"msg": f"指定张数无效(需≥{need})",
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"sheets": 0,
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"buy_usdt": 0.0,
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"max_by_budget": max_by_budget,
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}
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sheets = min(want, max_by_budget)
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if sheets < want:
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return {
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"ok": False,
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"msg": (
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f"预算约可开 {max_by_budget} 张(含现货缓冲×{buf:g}),"
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f"不足指定 {want} 张"
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),
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"sheets": 0,
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"buy_usdt": 0.0,
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"max_by_budget": max_by_budget,
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"spot_buy_buffer": buf,
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}
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else:
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sheets = max_by_budget
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capped, cap_msg = cap_option_buy_sheets_to_ask_depth(sheets, ask_sz, min_sz=need)
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ask_depth_capped = False
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if capped is None:
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return {
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"ok": False,
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"msg": cap_msg or "卖一深度不足",
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"sheets": 0,
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"buy_usdt": 0.0,
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"spot_buy_buffer": buf,
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}
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if int(capped) < sheets:
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sheets = int(capped)
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ask_depth_capped = True
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if sheets < need:
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return {
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"ok": False,
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"msg": (
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f"预算不足,无法买入 {need} 张"
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f"(单张约需 {per_sheet_usdt:.4f} USDT,含现货缓冲×{buf:g})"
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),
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"sheets": sheets,
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"buy_usdt": 0.0,
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"per_sheet_usdt": round(per_sheet_usdt, 8),
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"spot_buy_buffer": buf,
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"max_by_budget": max_by_budget,
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}
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premium_coin = sheets * per_sheet_coin
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buy_coin = premium_coin * buf
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buy_usdt = min(budget, buy_coin * idx)
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# 再保险:向下对齐,避免浮点导致略超预算
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buy_usdt = min(budget, round(buy_usdt, 8))
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out = {
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"ok": True,
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"msg": "" if not ask_depth_capped else (cap_msg or f"已按卖一深度限制为 {sheets} 张"),
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"sheets": sheets,
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"eth_amount": round(sheets * mult, 8),
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"coin_premium": round(premium_coin, 8),
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"total_premium": round(premium_coin, 8),
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"per_sheet_coin": per_sheet_coin,
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"buy_coin": round(buy_coin, 8),
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"buy_usdt": round(buy_usdt, 8),
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"budget_usdt": round(budget, 8),
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"spot_buy_buffer": buf,
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"index_px": idx,
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"max_by_budget": max_by_budget,
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"ask_depth_capped": ask_depth_capped,
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"est_note": (
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f"按最大可开 {sheets} 张×卖一权利金×现货缓冲{buf:g}估买币;"
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f"不全额兑换预算"
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),
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}
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if target_sheets is not None:
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out["est_note"] = (
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f"指定 {sheets} 张×卖一权利金×现货缓冲{buf:g}估买币;不全额兑换"
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)
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out["target_sheets"] = int(target_sheets)
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return out
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def calc_sheets_from_coin_balance(
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*,
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quote_per_unit: float,
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ct_mult: float,
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min_sz: int,
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coin_available: float,
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) -> dict[str, Any]:
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"""用可用标的币尽量开满(权利金以币计)."""
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import math
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ask = float(quote_per_unit or 0)
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mult = float(ct_mult or 0.01)
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need = max(1, int(min_sz or 1))
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coin = max(0.0, float(coin_available or 0))
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# 留一点手续费/精度缓冲,避免算满张后下单 51008
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coin_eff = coin * 0.97
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if ask <= 0 or mult <= 0:
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return {"ok": False, "msg": "卖一价无效", "sheets": 0, "coin_premium": 0.0}
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per_sheet = ask * mult
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if per_sheet <= 0:
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return {"ok": False, "msg": "无法计算单张权利金(币)", "sheets": 0, "coin_premium": 0.0}
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sheets = int(math.floor((coin_eff / per_sheet) + 1e-12))
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if sheets < need:
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return {
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"ok": False,
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"msg": f"可用币不足,无法买入 {need} 张(单张约 {per_sheet:.8g} 币,可用 {coin:g})",
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"sheets": sheets,
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"coin_premium": round(sheets * per_sheet, 8),
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"per_sheet_coin": per_sheet,
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}
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prem = sheets * per_sheet
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return {
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"ok": True,
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"msg": "",
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"sheets": sheets,
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"coin_premium": round(prem, 8),
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"per_sheet_coin": per_sheet,
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"eth_amount": round(sheets * mult, 8),
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}
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