dekun
328 lines
12 KiB
Python
328 lines
12 KiB
Python
"""OKX 对冲计划:P0 测算页与 API 注册."""
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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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from flask import Flask, jsonify, request
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from jinja2 import ChoiceLoader, FileSystemLoader
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from lib.hedge_plan.hedge_plan_calc_lib import (
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build_options_options_preview,
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build_perp_options_preview,
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gate_status,
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option_premium_total,
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suggest_contracts_from_notional,
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)
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from lib.trade.position_sizing_lib import (
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compute_full_margin_sizing,
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load_position_sizing_mode,
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)
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def _env_bool(key: str, default: bool = False) -> bool:
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raw = (os.getenv(key) or "").strip().lower()
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if not raw:
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return default
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return raw in ("1", "true", "yes", "on")
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def attach_hedge_plan_templates(app: Flask, repo_root: str) -> None:
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tpl_dir = os.path.join(repo_root, "lib", "hedge_plan", "templates")
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if not os.path.isdir(tpl_dir):
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return
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existing = app.jinja_loader
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loaders = [FileSystemLoader(tpl_dir)]
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if existing is not None:
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if isinstance(existing, ChoiceLoader):
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loaders = list(existing.loaders) + loaders
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else:
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loaders.insert(0, existing)
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app.jinja_loader = ChoiceLoader(loaders)
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def install_hedge_plan(app: Flask, repo_root: str, app_module: Any) -> None:
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attach_hedge_plan_templates(app, repo_root)
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cfg = _build_cfg(app_module)
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app.extensions["hedge_plan_cfg"] = cfg
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register_hedge_plan_routes(app, cfg)
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def _build_cfg(app_module: Any) -> dict[str, Any]:
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from lib.exchange.okx_options_lib import build_option_chain
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return {
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"get_db": app_module.get_db,
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"login_required": app_module.login_required,
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"render_main_page": app_module.render_main_page,
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"exchange": getattr(app_module, "exchange", None),
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"exchange_options": getattr(app_module, "exchange_options", None),
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"get_available_trading_usdt": getattr(app_module, "get_available_trading_usdt", None),
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"get_contract_size": getattr(app_module, "get_contract_size", None),
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"normalize_exchange_symbol": getattr(app_module, "normalize_exchange_symbol", None),
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"ensure_markets_loaded": getattr(app_module, "ensure_markets_loaded", None),
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"build_option_chain": build_option_chain,
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"btc_leverage": int(getattr(app_module, "BTC_LEVERAGE", 10) or 10),
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"alt_leverage": int(getattr(app_module, "ALT_LEVERAGE", 5) or 5),
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"full_margin_buffer": float(getattr(app_module, "FULL_MARGIN_BUFFER_RATIO", 0.98) or 0.98),
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"funds_decimals": int(getattr(app_module, "FUNDS_DECIMALS", 2) or 2),
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"options_enabled": _env_bool("OKX_OPTIONS_ENABLED", False),
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"default_underly": (os.getenv("OKX_OPTIONS_DEFAULT_UNDERLY") or "ETH").strip().upper(),
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"chain_max_dte": float(os.getenv("OKX_OPTIONS_CHAIN_MAX_DTE_DAYS") or os.getenv("OKX_OPTIONS_MAX_DTE_DAYS") or "14"),
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}
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def _hedge_enabled() -> bool:
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return _env_bool("HEDGE_PLAN_ENABLED", False)
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def register_hedge_plan_routes(app: Flask, cfg: dict[str, Any]) -> None:
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lr = cfg["login_required"]
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@app.route("/hedge-plan")
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@lr
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def page_hedge_plan():
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from lib.instance.instance_embed_lib import redirect_to_embed_shell_if_enabled
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redir = redirect_to_embed_shell_if_enabled("hedge_plan")
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if redir is not None:
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return redir
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return cfg["render_main_page"]("hedge_plan")
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@app.route("/api/hedge-plan/gates")
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@lr
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def api_hedge_gates():
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plan_type = (request.args.get("plan_type") or "perp_options").strip()
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return jsonify(
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{
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"ok": True,
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**gate_status(
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hedge_enabled=_hedge_enabled(),
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sizing_mode=load_position_sizing_mode(),
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plan_type=plan_type,
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options_enabled=bool(cfg.get("options_enabled")),
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),
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}
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)
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@app.route("/api/hedge-plan/market")
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@lr
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def api_hedge_market():
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base = (request.args.get("base") or cfg.get("default_underly") or "ETH").strip().upper()
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if base not in ("BTC", "ETH"):
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return jsonify({"ok": False, "msg": "对冲计划仅支持 BTC/ETH"}), 400
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direction = (request.args.get("direction") or "long").strip().lower()
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if direction not in ("long", "short"):
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direction = "long"
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data, err = _fetch_perp_market(cfg, base)
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if err:
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return jsonify({"ok": False, "msg": err}), 400
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sizing_mode = load_position_sizing_mode()
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gates = gate_status(
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hedge_enabled=_hedge_enabled(),
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sizing_mode=sizing_mode,
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plan_type="perp_options",
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options_enabled=bool(cfg.get("options_enabled")),
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)
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out = {
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"ok": True,
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"base": base,
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"direction": direction,
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"suggested_opt_type": "P" if direction == "long" else "C",
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**data,
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"gates": gates,
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"sizing_mode": sizing_mode,
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}
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return jsonify(out)
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@app.route("/api/hedge-plan/options-chain")
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@lr
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def api_hedge_options_chain():
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if not cfg.get("options_enabled"):
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return jsonify({"ok": False, "msg": "期权模块未启用"}), 400
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ex = cfg.get("exchange_options")
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if ex is None:
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return jsonify({"ok": False, "msg": "期权交易所未初始化"}), 400
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u = (request.args.get("underlying") or cfg.get("default_underly") or "ETH").upper()
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try:
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chain = cfg["build_option_chain"](
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ex,
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u,
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max_dte_days=float(cfg.get("chain_max_dte") or 14),
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itm_only=False,
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itm_max_dist_usd=float(os.getenv("OKX_OPTIONS_ITM_MAX_DIST_USD") or "30"),
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)
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except Exception as e:
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return jsonify({"ok": False, "msg": f"拉取期权链失败: {e}"}), 500
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return jsonify({"ok": True, **chain, "chain_max_dte_days": cfg.get("chain_max_dte")})
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@app.route("/api/hedge-plan/preview", methods=["POST"])
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@lr
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def api_hedge_preview():
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body = request.get_json(silent=True) or {}
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plan_type = (body.get("plan_type") or "perp_options").strip().lower()
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gates = gate_status(
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hedge_enabled=_hedge_enabled(),
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sizing_mode=load_position_sizing_mode(),
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plan_type=plan_type,
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options_enabled=bool(cfg.get("options_enabled")),
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)
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if not gates.get("can_preview"):
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return jsonify({"ok": False, "msg": "; ".join(gates.get("reasons") or ["不可测算"]), "gates": gates}), 400
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try:
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if plan_type == "options_options":
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data = _preview_oo(body)
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else:
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data = _preview_po(body)
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except ValueError as e:
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return jsonify({"ok": False, "msg": str(e)}), 400
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except Exception as e:
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return jsonify({"ok": False, "msg": f"测算失败: {e}"}), 500
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return jsonify({"ok": True, "gates": gates, **data})
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def _preview_po(body: dict[str, Any]) -> dict[str, Any]:
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direction = str(body.get("direction") or "long").lower()
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entry = float(body["entry"])
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tp = float(body["tp"])
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sl = float(body["sl"])
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contracts = float(body["contracts"])
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contract_size = float(body.get("contract_size") or 0.01)
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opt_type = str(body.get("opt_type") or ("P" if direction == "long" else "C"))
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strike = float(body["strike"])
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sheets = float(body.get("sheets") or 1)
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ct_mult = float(body.get("ct_mult") or 0.01)
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ask = body.get("ask")
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premium = body.get("premium_paid")
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if premium is None:
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if ask is None:
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raise ValueError("缺少权利金或卖一价")
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premium = option_premium_total(ask=float(ask), sheets=sheets, ct_mult=ct_mult)
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index_px = body.get("index_px")
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return build_perp_options_preview(
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direction=direction,
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entry=entry,
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tp=tp,
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sl=sl,
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contracts=contracts,
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contract_size=contract_size,
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opt_type=opt_type,
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strike=strike,
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sheets=sheets,
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ct_mult=ct_mult,
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premium_paid=float(premium),
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index_px=float(index_px) if index_px is not None else None,
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)
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def _preview_oo(body: dict[str, Any]) -> dict[str, Any]:
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target = float(body["target_price"])
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index_px = float(body.get("index_px") or target)
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leg_a = body.get("leg_a") or {}
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leg_b = body.get("leg_b") or {}
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for name, leg in (("leg_a", leg_a), ("leg_b", leg_b)):
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if not leg.get("strike"):
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raise ValueError(f"缺少 {name} 行权价")
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if leg.get("premium_paid") is None and leg.get("ask") is not None:
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leg["premium_paid"] = option_premium_total(
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ask=float(leg["ask"]),
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sheets=float(leg.get("sheets") or 1),
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ct_mult=float(leg.get("ct_mult") or 0.01),
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)
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if leg.get("premium_paid") is None:
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raise ValueError(f"缺少 {name} 权利金")
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return build_options_options_preview(
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target_price=target,
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index_px=index_px,
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leg_a=leg_a,
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leg_b=leg_b,
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)
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def _fetch_perp_market(cfg: dict[str, Any], base: str) -> tuple[dict[str, Any], str | None]:
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ex = cfg.get("exchange")
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if ex is None:
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return {}, "永续交易所未初始化"
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ensure = cfg.get("ensure_markets_loaded")
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if callable(ensure):
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try:
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ensure()
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except Exception as e:
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return {}, f"加载市场失败: {e}"
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norm = cfg.get("normalize_exchange_symbol")
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sym = f"{base}/USDT:USDT"
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if callable(norm):
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try:
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sym = norm(f"{base}/USDT")
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except Exception:
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sym = f"{base}/USDT:USDT"
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mark = bid = ask = last = None
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try:
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t = ex.fetch_ticker(sym)
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last = _sf(t.get("last"))
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mark = _sf(t.get("info", {}).get("markPx")) if isinstance(t.get("info"), dict) else None
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if mark is None:
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mark = _sf(t.get("mark")) or last
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bid = _sf(t.get("bid"))
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ask = _sf(t.get("ask"))
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except Exception as e:
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return {}, f"拉永续行情失败: {e}"
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cs = 0.01
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get_cs = cfg.get("get_contract_size")
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if callable(get_cs):
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try:
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cs = float(get_cs(sym) or 0.01)
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except Exception:
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cs = 0.01
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available = None
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get_av = cfg.get("get_available_trading_usdt")
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if callable(get_av):
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try:
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available = get_av()
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except Exception:
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available = None
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entry = float(mark or last or 0)
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sizing = None
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suggest_contracts = None
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if available is not None and entry > 0:
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sizing, _serr = compute_full_margin_sizing(
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symbol=sym,
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available_usdt=float(available),
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capital_base=float(available),
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buffer_ratio=float(cfg.get("full_margin_buffer") or 0.98),
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btc_leverage=int(cfg.get("btc_leverage") or 10),
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alt_leverage=int(cfg.get("alt_leverage") or 5),
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funds_decimals=int(cfg.get("funds_decimals") or 2),
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)
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if sizing:
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suggest_contracts = suggest_contracts_from_notional(
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notional=float(sizing["notional_value"]),
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entry=entry,
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contract_size=cs,
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)
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return {
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"exchange_symbol": sym,
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"mark": mark,
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"last": last,
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"bid": bid,
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"ask": ask,
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"contract_size": cs,
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"available_usdt": available,
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"full_margin_sizing": sizing,
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"suggest_contracts": round(suggest_contracts, 6) if suggest_contracts is not None else None,
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"entry_ref": entry or None,
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}, None
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def _sf(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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