dekun
90be23e845
Hit A/B via open-to-high/low; day PnL equals target when touched, otherwise settle at close. Co-authored-by: Cursor <cursoragent@cursor.com>
1259 lines
43 KiB
Python
1259 lines
43 KiB
Python
"""中控振幅统计:OKX 指数(可降级永续)按时段切窗,点数口径.
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仅只读行情;不触及下单链路.
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"""
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from __future__ import annotations
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import csv
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import io
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import statistics
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import time
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from datetime import date, datetime, timedelta
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from typing import Any, Callable, Optional
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from zoneinfo import ZoneInfo
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import httpx
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APP_TZ = ZoneInfo("Asia/Shanghai")
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END_HOUR = 16
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EXCHANGE = "okx"
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TIMEFRAME = "1H"
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SYMBOLS: dict[str, dict[str, str]] = {
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"eth": {
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"label": "ETH",
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"index_inst": "ETH-USD",
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"swap_inst": "ETH-USDT-SWAP",
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},
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"btc": {
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"label": "BTC",
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"index_inst": "BTC-USD",
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"swap_inst": "BTC-USDT-SWAP",
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},
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}
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PERIOD_DAYS: dict[str, int] = {
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"1m": 30,
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"2m": 60,
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"3m": 90,
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"6m": 180,
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"1y": 365,
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}
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OKX_INDEX_CANDLES = "https://www.okx.com/api/v5/market/index-candles"
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OKX_HISTORY_INDEX_CANDLES = "https://www.okx.com/api/v5/market/history-index-candles"
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OKX_SWAP_CANDLES = "https://www.okx.com/api/v5/market/candles"
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OKX_HISTORY_SWAP_CANDLES = "https://www.okx.com/api/v5/market/history-candles"
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def normalize_symbol(raw: str) -> str:
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s = (raw or "").strip().lower()
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if s in ("eth", "ethereum"):
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return "eth"
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if s in ("btc", "bitcoin"):
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return "btc"
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raise ValueError("symbol 仅支持 eth / btc")
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def resolve_sample_days(period: str, custom_days: Any = None) -> int:
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p = (period or "2m").strip().lower()
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if p == "custom":
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try:
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n = int(custom_days)
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except (TypeError, ValueError):
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raise ValueError("自定义天数无效") from None
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return max(7, min(400, n))
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if p not in PERIOD_DAYS:
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raise ValueError("周期无效")
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return PERIOD_DAYS[p]
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def window_bounds_for_settlement(settlement: date, start_hour: int) -> tuple[datetime, datetime]:
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"""返回 [start, end) 的本地时刻;end 为结算日 16:00."""
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if not (0 <= int(start_hour) <= 23):
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raise ValueError("起点须为 0-23 整点")
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end = datetime(settlement.year, settlement.month, settlement.day, END_HOUR, 0, 0, tzinfo=APP_TZ)
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sh = int(start_hour)
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if sh >= END_HOUR:
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prev = settlement - timedelta(days=1)
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start = datetime(prev.year, prev.month, prev.day, sh, 0, 0, tzinfo=APP_TZ)
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else:
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start = datetime(settlement.year, settlement.month, settlement.day, sh, 0, 0, tzinfo=APP_TZ)
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return start, end
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def list_settlement_dates(*, sample_days: int, now: Optional[datetime] = None) -> list[date]:
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"""最近 sample_days 个已收窗结算日(不含进行中的今天未到 16:00)."""
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now = now or datetime.now(APP_TZ)
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if now.tzinfo is None:
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now = now.replace(tzinfo=APP_TZ)
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else:
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now = now.astimezone(APP_TZ)
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today = now.date()
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today_end = datetime(today.year, today.month, today.day, END_HOUR, 0, 0, tzinfo=APP_TZ)
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latest = today if now >= today_end else today - timedelta(days=1)
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return [latest - timedelta(days=i) for i in range(int(sample_days))]
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def _safe_float(v: Any) -> Optional[float]:
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try:
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if v is None or v == "":
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return None
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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 bars_to_map(bars: list[dict[str, Any]]) -> dict[int, dict[str, float]]:
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"""open_time_ms -> {o,h,l,c}."""
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m: dict[int, dict[str, float]] = {}
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for b in bars or []:
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if not isinstance(b, dict):
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continue
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ts = b.get("ts")
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if ts is None:
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ts = b.get("open_time_ms")
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try:
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ts_i = int(ts)
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except (TypeError, ValueError):
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continue
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o = _safe_float(b.get("o") if "o" in b else b.get("open"))
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h = _safe_float(b.get("h") if "h" in b else b.get("high"))
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l = _safe_float(b.get("l") if "l" in b else b.get("low"))
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c = _safe_float(b.get("c") if "c" in b else b.get("close"))
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if None in (o, h, l, c):
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continue
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m[ts_i] = {"o": float(o), "h": float(h), "l": float(l), "c": float(c)}
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return m
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def compute_day_row(
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settlement: date,
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start_hour: int,
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bar_map: dict[int, dict[str, float]],
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) -> Optional[dict[str, Any]]:
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start, end = window_bounds_for_settlement(settlement, start_hour)
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start_ms = int(start.timestamp() * 1000)
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# 1H 棒覆盖 [T, T+1h);窗终点 16:00 用 15:00 棒的 close
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last_bar_ms = int((end - timedelta(hours=1)).timestamp() * 1000)
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if start_ms not in bar_map or last_bar_ms not in bar_map:
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return None
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opens = bar_map[start_ms]["o"]
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close = bar_map[last_bar_ms]["c"]
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hi = bar_map[start_ms]["h"]
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lo = bar_map[start_ms]["l"]
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t = start_ms
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while t <= last_bar_ms:
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b = bar_map.get(t)
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if b:
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hi = max(hi, b["h"])
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lo = min(lo, b["l"])
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t += 3600 * 1000
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up = hi - opens
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down = opens - lo
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amp = hi - lo
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change = close - opens
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wd = settlement.weekday() # Mon=0 … Sun=6
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is_we = wd >= 5
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return {
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"settlement_day": settlement.isoformat(),
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"window_start": start.strftime("%Y-%m-%d %H:%M"),
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"window_end": end.strftime("%Y-%m-%d %H:%M"),
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"weekday": wd,
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"weekday_label": "六" if wd == 5 else ("日" if wd == 6 else ""),
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"is_weekend": is_we,
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"open": round(opens, 4),
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"high": round(hi, 4),
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"low": round(lo, 4),
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"close": round(close, 4),
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"up_points": round(up, 4),
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"down_points": round(down, 4),
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"amplitude": round(amp, 4),
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"change": round(change, 4),
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}
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def normalize_straddle_premium(raw: Any) -> Optional[float]:
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"""双边权利金(点数).空/≤0 表示不做跨式对照."""
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if raw is None or raw == "":
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return None
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try:
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v = float(raw)
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except (TypeError, ValueError):
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raise ValueError("双边权利金须为数字") from None
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if v <= 0:
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return None
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return v
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def normalize_take_profit(raw: Any) -> Optional[float]:
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"""止盈点.空/≤0 表示不止盈,有效波动用 |涨跌|."""
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if raw is None or raw == "":
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return None
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try:
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v = float(raw)
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except (TypeError, ValueError):
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raise ValueError("止盈点须为数字") from None
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if v <= 0:
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return None
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return v
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def normalize_weekend_filter(raw: Any) -> str:
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"""all | exclude | only;默认全部."""
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s = (str(raw) if raw is not None else "all").strip().lower()
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if s in ("", "all", "全部"):
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return "all"
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if s in ("exclude", "exclude_weekend", "no_weekend", "排除周末"):
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return "exclude"
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if s in ("only", "weekend_only", "only_weekend", "仅周末"):
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return "only"
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raise ValueError("周末筛选须为 all / exclude / only")
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def filter_weekend_rows(rows: list[dict[str, Any]], weekend_filter: Any = "all") -> list[dict[str, Any]]:
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mode = normalize_weekend_filter(weekend_filter)
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if mode == "all":
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return list(rows or [])
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out: list[dict[str, Any]] = []
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for r in rows or []:
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is_we = bool(r.get("is_weekend"))
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if "is_weekend" not in r and r.get("settlement_day"):
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try:
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is_we = date.fromisoformat(str(r["settlement_day"])).weekday() >= 5
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except ValueError:
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is_we = False
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if mode == "exclude" and is_we:
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continue
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if mode == "only" and not is_we:
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continue
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out.append(r)
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return out
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def effective_move_points(row: dict[str, Any], take_profit: Optional[float]) -> float:
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"""触达止盈(≥)用止盈点,否则用 |涨跌|."""
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abs_chg = abs(float(row.get("change") or 0))
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if take_profit is None:
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return abs_chg
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tp = float(take_profit)
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up = float(row.get("up_points") or 0)
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down = float(row.get("down_points") or 0)
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if up >= tp or down >= tp:
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return tp
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return abs_chg
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def enrich_rows_pnl(
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rows: list[dict[str, Any]],
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*,
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straddle_premium: Optional[float] = None,
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take_profit: Optional[float] = None,
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perp_hedge: Any = None,
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) -> list[dict[str, Any]]:
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"""为日表附加有效波动 / 是否触达止盈 / 收益(有权利金时) / 永期盈亏."""
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prem = normalize_straddle_premium(straddle_premium)
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tp = normalize_take_profit(take_profit)
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hedge = normalize_perp_hedge_params(perp_hedge)
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out: list[dict[str, Any]] = []
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for r in rows or []:
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item = dict(r)
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if "is_weekend" not in item and item.get("settlement_day"):
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try:
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wd = date.fromisoformat(str(item["settlement_day"])).weekday()
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item["weekday"] = wd
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item["weekday_label"] = "六" if wd == 5 else ("日" if wd == 6 else "")
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item["is_weekend"] = wd >= 5
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||
except ValueError:
|
||
item.setdefault("weekday_label", "")
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||
item.setdefault("is_weekend", False)
|
||
move = effective_move_points(item, tp)
|
||
hit = False
|
||
if tp is not None:
|
||
hit = float(item.get("up_points") or 0) >= tp or float(item.get("down_points") or 0) >= tp
|
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item["effective_move"] = round(move, 4)
|
||
item["take_profit_hit"] = hit
|
||
item["profit"] = round(move - prem, 4) if prem is not None else None
|
||
if hedge is not None:
|
||
day = perp_hedge_day_result(item, hedge)
|
||
item["perp_hedge_pnl"] = day["pnl"]
|
||
item["perp_hedge_exit"] = day["exit"]
|
||
item["perp_hedge_hit_a"] = day["hit_a"]
|
||
item["perp_hedge_hit_b"] = day["hit_b"]
|
||
else:
|
||
item["perp_hedge_pnl"] = None
|
||
item["perp_hedge_exit"] = None
|
||
item["perp_hedge_hit_a"] = False
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||
item["perp_hedge_hit_b"] = False
|
||
out.append(item)
|
||
return out
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||
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||
|
||
def normalize_perp_hedge_params(raw: Any) -> Optional[dict[str, float]]:
|
||
"""永期对冲对照参数.缺必填则返回 None(不做对照).
|
||
|
||
入场价按日开盘;表单只需目标盈利/杠杆/比例.旧字段 spot 可忽略.
|
||
"""
|
||
if raw is None or raw == "":
|
||
return None
|
||
if not isinstance(raw, dict):
|
||
return None
|
||
target = _safe_float(raw.get("target_profit_u") if "target_profit_u" in raw else raw.get("target"))
|
||
p_lev = _safe_float(raw.get("perp_leverage"))
|
||
o_lev = _safe_float(raw.get("option_leverage"))
|
||
rp = _safe_float(raw.get("ratio_perp"))
|
||
ro = _safe_float(raw.get("ratio_opt"))
|
||
ct = _safe_float(raw.get("ct_mult"))
|
||
if target is None or p_lev is None or o_lev is None:
|
||
return None
|
||
if target < 0 or p_lev <= 0 or o_lev <= 0:
|
||
return None
|
||
if rp is None or rp <= 0:
|
||
rp = 1.0
|
||
if ro is None or ro <= 0:
|
||
ro = 2.0
|
||
if ct is None or ct <= 0:
|
||
ct = 0.01
|
||
opt_coins = 1.0 * (ro / rp)
|
||
return {
|
||
"target_profit_u": target,
|
||
"perp_leverage": p_lev,
|
||
"option_leverage": o_lev,
|
||
"ratio_perp": rp,
|
||
"ratio_opt": ro,
|
||
"ct_mult": ct,
|
||
"opt_coins": opt_coins,
|
||
"opt_sheets": opt_coins / ct,
|
||
}
|
||
|
||
|
||
def perp_hedge_day_premium(*, open_px: float, option_leverage: float, opt_coins: float) -> float:
|
||
"""单日权利金总额 = 开盘 / 期权杠杆 × 期权币数."""
|
||
o = float(open_px or 0)
|
||
lev = float(option_leverage or 0)
|
||
coins = float(opt_coins or 0)
|
||
if o <= 0 or lev <= 0 or coins < 0:
|
||
return 0.0
|
||
return coins * (o / lev)
|
||
|
||
|
||
def perp_hedge_required_moves(
|
||
*,
|
||
open_px: float,
|
||
hedge: dict[str, float],
|
||
) -> tuple[Optional[float], Optional[float], Optional[str]]:
|
||
"""按当日开盘推 A/B 达目标盈利所需点数."""
|
||
from lib.hub.hub_perp_options_calc_lib import calc_perp_options_points
|
||
|
||
spot = float(open_px or 0)
|
||
if spot <= 0:
|
||
return None, None, "开盘价无效"
|
||
points_data, points_err = calc_perp_options_points(
|
||
base="ETH",
|
||
spot=spot,
|
||
capital_usdt=max(spot / hedge["perp_leverage"] * 2, 1000.0),
|
||
target_profit_u=hedge["target_profit_u"],
|
||
perp_leverage=hedge["perp_leverage"],
|
||
option_leverage=hedge["option_leverage"],
|
||
ratio_perp=hedge["ratio_perp"],
|
||
ratio_opt=hedge["ratio_opt"],
|
||
ct_mult=hedge["ct_mult"],
|
||
)
|
||
if not points_data:
|
||
return None, None, points_err
|
||
move_a = float((points_data.get("case_a") or {}).get("move_points") or 0) or None
|
||
mb = (points_data.get("case_b") or {}).get("move_points_portfolio")
|
||
move_b = float(mb) if mb is not None else None
|
||
return move_a, move_b, points_err
|
||
|
||
|
||
def perp_hedge_day_pnl_eod(
|
||
*,
|
||
change: float,
|
||
open_px: float,
|
||
close_px: float,
|
||
option_leverage: float,
|
||
opt_coins: float,
|
||
) -> float:
|
||
"""未触达目标时按收盘结算的组合净利.
|
||
|
||
上涨: change − 权利金 − 永续开平手续费
|
||
下跌: |change|×(opt_coins−1) − 权利金
|
||
"""
|
||
from lib.trade.trade_fee_lib import estimate_roundtrip_fee_usdt
|
||
|
||
chg = float(change or 0)
|
||
prem = perp_hedge_day_premium(
|
||
open_px=open_px, option_leverage=option_leverage, opt_coins=opt_coins
|
||
)
|
||
coins = float(opt_coins or 0)
|
||
if chg >= 0:
|
||
fee = 0.0
|
||
if open_px and close_px and open_px > 0 and close_px > 0:
|
||
fee = estimate_roundtrip_fee_usdt(open_px, close_px, qty=1.0, contract_size=1.0)
|
||
return round(chg - prem - fee, 4)
|
||
return round(abs(chg) * (coins - 1.0) - prem, 4)
|
||
|
||
|
||
def perp_hedge_day_result(row: dict[str, Any], hedge: dict[str, float]) -> dict[str, Any]:
|
||
"""单日永期结果:触达目标点数则按目标盈利出场,否则收盘结算.
|
||
|
||
A: 开→高 ≥ move_a → 出场净利 = 目标盈利
|
||
B: 开→低 ≥ move_b → 出场净利 = 目标盈利
|
||
两边都触达时仍按目标盈利(路径未知,任一边出场均约为目标).
|
||
"""
|
||
open_px = float(row.get("open") or 0)
|
||
close_px = float(row.get("close") or 0)
|
||
change = float(row.get("change") or 0)
|
||
up_pts = float(row.get("up_points") or 0)
|
||
down_pts = float(row.get("down_points") or 0)
|
||
target = float(hedge["target_profit_u"])
|
||
move_a, move_b, _err = perp_hedge_required_moves(open_px=open_px, hedge=hedge)
|
||
hit_a = bool(move_a is not None and move_a > 0 and up_pts >= move_a)
|
||
hit_b = bool(move_b is not None and move_b > 0 and down_pts >= move_b)
|
||
if hit_a or hit_b:
|
||
if hit_a and hit_b:
|
||
exit_tag = "target_both"
|
||
elif hit_a:
|
||
exit_tag = "target_a"
|
||
else:
|
||
exit_tag = "target_b"
|
||
return {
|
||
"pnl": round(target, 4),
|
||
"exit": exit_tag,
|
||
"hit_a": hit_a,
|
||
"hit_b": hit_b,
|
||
"move_a": move_a,
|
||
"move_b": move_b,
|
||
}
|
||
return {
|
||
"pnl": perp_hedge_day_pnl_eod(
|
||
change=change,
|
||
open_px=open_px,
|
||
close_px=close_px,
|
||
option_leverage=float(hedge["option_leverage"]),
|
||
opt_coins=float(hedge["opt_coins"]),
|
||
),
|
||
"exit": "eod",
|
||
"hit_a": False,
|
||
"hit_b": False,
|
||
"move_a": move_a,
|
||
"move_b": move_b,
|
||
}
|
||
|
||
|
||
# 兼容旧名:默认按「目标出场」完整日结果取 pnl
|
||
def perp_hedge_day_pnl(
|
||
*,
|
||
change: float,
|
||
open_px: float,
|
||
close_px: float,
|
||
option_leverage: float,
|
||
opt_coins: float,
|
||
up_points: Optional[float] = None,
|
||
down_points: Optional[float] = None,
|
||
target_profit_u: Optional[float] = None,
|
||
perp_leverage: float = 10.0,
|
||
ratio_perp: float = 1.0,
|
||
ratio_opt: float = 2.0,
|
||
ct_mult: float = 0.01,
|
||
) -> float:
|
||
"""单日盈亏.若给了目标与开→高/低,触达则按目标出场;否则收盘结算."""
|
||
if target_profit_u is None or up_points is None or down_points is None:
|
||
return perp_hedge_day_pnl_eod(
|
||
change=change,
|
||
open_px=open_px,
|
||
close_px=close_px,
|
||
option_leverage=option_leverage,
|
||
opt_coins=opt_coins,
|
||
)
|
||
hedge = {
|
||
"target_profit_u": float(target_profit_u),
|
||
"perp_leverage": float(perp_leverage),
|
||
"option_leverage": float(option_leverage),
|
||
"ratio_perp": float(ratio_perp),
|
||
"ratio_opt": float(ratio_opt),
|
||
"ct_mult": float(ct_mult),
|
||
"opt_coins": float(opt_coins),
|
||
"opt_sheets": float(opt_coins) / float(ct_mult),
|
||
}
|
||
return float(
|
||
perp_hedge_day_result(
|
||
{
|
||
"open": open_px,
|
||
"close": close_px,
|
||
"change": change,
|
||
"up_points": up_points,
|
||
"down_points": down_points,
|
||
},
|
||
hedge,
|
||
)["pnl"]
|
||
)
|
||
|
||
|
||
def perp_hedge_stats(
|
||
rows: list[dict[str, Any]],
|
||
hedge: dict[str, float],
|
||
) -> dict[str, Any]:
|
||
"""永期对冲:所需点数达标 + 按日组合盈亏汇总.
|
||
|
||
达标看开→高/开→低是否触达当日入场推得的 A/B 点数;
|
||
触达则日盈亏=目标盈利,否则收盘结算.汇总展示点数用样本开盘中位.
|
||
"""
|
||
opens = [float(r.get("open") or 0) for r in (rows or []) if float(r.get("open") or 0) > 0]
|
||
spot_ref = statistics.median(opens) if opens else None
|
||
prem_ref = (
|
||
perp_hedge_day_premium(
|
||
open_px=spot_ref,
|
||
option_leverage=hedge["option_leverage"],
|
||
opt_coins=hedge["opt_coins"],
|
||
)
|
||
if spot_ref is not None
|
||
else None
|
||
)
|
||
prem_per_coin_ref = (spot_ref / hedge["option_leverage"]) if spot_ref is not None else None
|
||
|
||
move_a = None
|
||
move_b = None
|
||
points_err = None
|
||
if spot_ref is not None and spot_ref > 0:
|
||
move_a, move_b, points_err = perp_hedge_required_moves(open_px=spot_ref, hedge=hedge)
|
||
else:
|
||
points_err = "样本无有效开盘价,无法推所需点数"
|
||
|
||
work: list[dict[str, Any]] = []
|
||
for r in rows or []:
|
||
item = dict(r)
|
||
day = perp_hedge_day_result(item, hedge)
|
||
item["perp_hedge_pnl"] = day["pnl"]
|
||
item["perp_hedge_exit"] = day["exit"]
|
||
item["perp_hedge_hit_a"] = day["hit_a"]
|
||
item["perp_hedge_hit_b"] = day["hit_b"]
|
||
work.append(item)
|
||
n = len(work)
|
||
empty = {
|
||
"enabled": True,
|
||
"entry": "open",
|
||
"exit": "target_or_eod",
|
||
"spot": None if spot_ref is None else round(spot_ref, 4),
|
||
"target_profit_u": round(hedge["target_profit_u"], 4),
|
||
"perp_leverage": round(hedge["perp_leverage"], 4),
|
||
"option_leverage": round(hedge["option_leverage"], 4),
|
||
"ratio_perp": round(hedge["ratio_perp"], 4),
|
||
"ratio_opt": round(hedge["ratio_opt"], 4),
|
||
"ratio_label": f"{hedge['ratio_perp']:g}:{hedge['ratio_opt']:g}",
|
||
"prem_per_coin": None if prem_per_coin_ref is None else round(prem_per_coin_ref, 4),
|
||
"opt_coins": round(hedge["opt_coins"], 4),
|
||
"opt_sheets": round(hedge["opt_sheets"], 4),
|
||
"premium_total": None if prem_ref is None else round(prem_ref, 4),
|
||
"move_a": None if move_a is None else round(move_a, 4),
|
||
"move_b": None if move_b is None else round(move_b, 4),
|
||
"points_error": points_err,
|
||
"sample_count": n,
|
||
"hit_a_days": 0,
|
||
"hit_a_ratio": None,
|
||
"hit_b_days": 0,
|
||
"hit_b_ratio": None,
|
||
"target_exit_days": 0,
|
||
"target_exit_ratio": None,
|
||
"eod_days": 0,
|
||
"pnl_total": None,
|
||
"pnl_avg": None,
|
||
"win_days": 0,
|
||
"win_ratio": None,
|
||
"pnl_max": None,
|
||
"pnl_min": None,
|
||
"up_days": 0,
|
||
"down_days": 0,
|
||
"up_pnl_total": None,
|
||
"down_pnl_total": None,
|
||
}
|
||
if n <= 0:
|
||
return empty
|
||
|
||
hit_a = sum(1 for r in work if r.get("perp_hedge_hit_a"))
|
||
hit_b = sum(1 for r in work if r.get("perp_hedge_hit_b"))
|
||
target_exits = sum(1 for r in work if str(r.get("perp_hedge_exit") or "").startswith("target"))
|
||
eod_days = sum(1 for r in work if r.get("perp_hedge_exit") == "eod")
|
||
|
||
pnls = [float(r["perp_hedge_pnl"]) for r in work if r.get("perp_hedge_pnl") is not None]
|
||
win = sum(1 for p in pnls if p > 0)
|
||
up_rows = [r for r in work if float(r.get("change") or 0) >= 0]
|
||
down_rows = [r for r in work if float(r.get("change") or 0) < 0]
|
||
up_pnls = [float(r["perp_hedge_pnl"]) for r in up_rows if r.get("perp_hedge_pnl") is not None]
|
||
down_pnls = [float(r["perp_hedge_pnl"]) for r in down_rows if r.get("perp_hedge_pnl") is not None]
|
||
|
||
empty.update(
|
||
{
|
||
"hit_a_days": hit_a,
|
||
"hit_a_ratio": round(hit_a / n, 4),
|
||
"hit_b_days": hit_b,
|
||
"hit_b_ratio": round(hit_b / n, 4),
|
||
"target_exit_days": target_exits,
|
||
"target_exit_ratio": round(target_exits / n, 4),
|
||
"eod_days": eod_days,
|
||
"pnl_total": round(sum(pnls), 4) if pnls else None,
|
||
"pnl_avg": round(statistics.fmean(pnls), 4) if pnls else None,
|
||
"win_days": win,
|
||
"win_ratio": round(win / n, 4),
|
||
"pnl_max": round(max(pnls), 4) if pnls else None,
|
||
"pnl_min": round(min(pnls), 4) if pnls else None,
|
||
"up_days": len(up_rows),
|
||
"down_days": len(down_rows),
|
||
"up_pnl_total": round(sum(up_pnls), 4) if up_pnls else None,
|
||
"down_pnl_total": round(sum(down_pnls), 4) if down_pnls else None,
|
||
}
|
||
)
|
||
return empty
|
||
|
||
|
||
def straddle_long_stats(
|
||
rows: list[dict[str, Any]],
|
||
premium: float,
|
||
*,
|
||
take_profit: Any = None,
|
||
) -> dict[str, Any]:
|
||
"""买跨:越过权利金用严格 >;收益=有效波动−权利金(止盈≥触达用止盈点,否则|涨跌|)."""
|
||
prem = float(premium)
|
||
if prem <= 0:
|
||
raise ValueError("双边权利金须 > 0")
|
||
tp = normalize_take_profit(take_profit)
|
||
enriched = enrich_rows_pnl(rows, straddle_premium=prem, take_profit=tp)
|
||
if not enriched:
|
||
return {
|
||
"side": "long_straddle",
|
||
"premium": prem,
|
||
"take_profit": tp,
|
||
"sample_count": 0,
|
||
"up_exceed_days": 0,
|
||
"up_exceed_ratio": None,
|
||
"down_exceed_days": 0,
|
||
"down_exceed_ratio": None,
|
||
"abs_change_exceed_days": 0,
|
||
"abs_change_exceed_ratio": None,
|
||
"tp_hit_days": 0,
|
||
"tp_hit_ratio": None,
|
||
"pnl_total": None,
|
||
"pnl_avg": None,
|
||
"win_days": 0,
|
||
"win_ratio": None,
|
||
"pnl_max": None,
|
||
"pnl_min": None,
|
||
}
|
||
n = len(enriched)
|
||
up_ex = sum(1 for r in enriched if float(r["up_points"]) > prem)
|
||
down_ex = sum(1 for r in enriched if float(r["down_points"]) > prem)
|
||
abs_ex = sum(1 for r in enriched if abs(float(r["change"])) > prem)
|
||
tp_hits = sum(1 for r in enriched if r.get("take_profit_hit"))
|
||
pnls = [float(r["profit"]) for r in enriched if r.get("profit") is not None]
|
||
win = sum(1 for p in pnls if p > 0)
|
||
return {
|
||
"side": "long_straddle",
|
||
"premium": round(prem, 4),
|
||
"take_profit": round(tp, 4) if tp is not None else None,
|
||
"sample_count": n,
|
||
"up_exceed_days": up_ex,
|
||
"up_exceed_ratio": round(up_ex / n, 4),
|
||
"down_exceed_days": down_ex,
|
||
"down_exceed_ratio": round(down_ex / n, 4),
|
||
"abs_change_exceed_days": abs_ex,
|
||
"abs_change_exceed_ratio": round(abs_ex / n, 4),
|
||
"tp_hit_days": tp_hits,
|
||
"tp_hit_ratio": round(tp_hits / n, 4) if tp is not None else None,
|
||
"pnl_total": round(sum(pnls), 4),
|
||
"pnl_avg": round(statistics.fmean(pnls), 4),
|
||
"win_days": win,
|
||
"win_ratio": round(win / n, 4),
|
||
"pnl_max": round(max(pnls), 4),
|
||
"pnl_min": round(min(pnls), 4),
|
||
}
|
||
|
||
|
||
def summarize_rows(
|
||
rows: list[dict[str, Any]],
|
||
*,
|
||
straddle_premium: Any = None,
|
||
take_profit: Any = None,
|
||
perp_hedge: Any = None,
|
||
) -> dict[str, Any]:
|
||
hedge = normalize_perp_hedge_params(perp_hedge)
|
||
if not rows:
|
||
out = {
|
||
"sample_count": 0,
|
||
"max_amplitude": None,
|
||
"max_amplitude_day": None,
|
||
"avg_amplitude": None,
|
||
"median_amplitude": None,
|
||
"max_up_points": None,
|
||
"avg_up_points": None,
|
||
"max_down_points": None,
|
||
"avg_down_points": None,
|
||
"up_day_ratio": None,
|
||
"down_day_ratio": None,
|
||
"straddle": None,
|
||
"perp_hedge": None,
|
||
}
|
||
prem = normalize_straddle_premium(straddle_premium)
|
||
if prem is not None:
|
||
out["straddle"] = straddle_long_stats([], prem, take_profit=take_profit)
|
||
if hedge is not None:
|
||
out["perp_hedge"] = perp_hedge_stats([], hedge)
|
||
return out
|
||
amps = [float(r["amplitude"]) for r in rows]
|
||
ups = [float(r["up_points"]) for r in rows]
|
||
downs = [float(r["down_points"]) for r in rows]
|
||
max_amp = max(amps)
|
||
max_amp_day = next(r["settlement_day"] for r in rows if float(r["amplitude"]) == max_amp)
|
||
up_days = sum(1 for r in rows if float(r["change"]) > 0)
|
||
down_days = sum(1 for r in rows if float(r["change"]) < 0)
|
||
n = len(rows)
|
||
out: dict[str, Any] = {
|
||
"sample_count": n,
|
||
"max_amplitude": round(max_amp, 4),
|
||
"max_amplitude_day": max_amp_day,
|
||
"avg_amplitude": round(statistics.fmean(amps), 4),
|
||
"median_amplitude": round(statistics.median(amps), 4),
|
||
"max_up_points": round(max(ups), 4),
|
||
"avg_up_points": round(statistics.fmean(ups), 4),
|
||
"max_down_points": round(max(downs), 4),
|
||
"avg_down_points": round(statistics.fmean(downs), 4),
|
||
"up_day_ratio": round(up_days / n, 4),
|
||
"down_day_ratio": round(down_days / n, 4),
|
||
"straddle": None,
|
||
"perp_hedge": None,
|
||
}
|
||
prem = normalize_straddle_premium(straddle_premium)
|
||
if prem is not None:
|
||
out["straddle"] = straddle_long_stats(rows, prem, take_profit=take_profit)
|
||
if hedge is not None:
|
||
out["perp_hedge"] = perp_hedge_stats(rows, hedge)
|
||
return out
|
||
|
||
|
||
def _parse_okx_candle_row(row: list) -> Optional[dict[str, Any]]:
|
||
if not row or len(row) < 5:
|
||
return None
|
||
try:
|
||
ts = int(row[0])
|
||
o, h, l, c = float(row[1]), float(row[2]), float(row[3]), float(row[4])
|
||
except (TypeError, ValueError, IndexError):
|
||
return None
|
||
return {"ts": ts, "o": o, "h": h, "l": l, "c": c}
|
||
|
||
|
||
def _okx_get_json(
|
||
client: httpx.Client,
|
||
url: str,
|
||
params: dict[str, str],
|
||
*,
|
||
retries: int = 8,
|
||
) -> dict[str, Any]:
|
||
"""GET OKX 公共行情;遇 429 指数退避重试."""
|
||
last_err: Optional[BaseException] = None
|
||
for attempt in range(max(1, int(retries))):
|
||
try:
|
||
r = client.get(url, params=params)
|
||
if r.status_code == 429:
|
||
wait = min(12.0, 0.7 * (2**attempt))
|
||
time.sleep(wait)
|
||
last_err = httpx.HTTPStatusError(
|
||
f"429 Too Many Requests for url '{r.url}'",
|
||
request=r.request,
|
||
response=r,
|
||
)
|
||
continue
|
||
r.raise_for_status()
|
||
body = r.json()
|
||
if not isinstance(body, dict):
|
||
raise RuntimeError("OKX 返回非对象 JSON")
|
||
return body
|
||
except httpx.HTTPStatusError as exc:
|
||
status = exc.response.status_code if exc.response is not None else None
|
||
if status == 429 and attempt + 1 < retries:
|
||
wait = min(12.0, 0.7 * (2**attempt))
|
||
time.sleep(wait)
|
||
last_err = exc
|
||
continue
|
||
raise
|
||
except httpx.TransportError as exc:
|
||
if attempt + 1 < retries:
|
||
time.sleep(min(8.0, 0.5 * (2**attempt)))
|
||
last_err = exc
|
||
continue
|
||
raise
|
||
if last_err is not None:
|
||
raise last_err
|
||
raise RuntimeError("OKX 请求失败")
|
||
|
||
|
||
def fetch_okx_candles(
|
||
*,
|
||
url: str,
|
||
inst_id: str,
|
||
since_ms: int,
|
||
until_ms: int,
|
||
bar: str = "1H",
|
||
client: Optional[httpx.Client] = None,
|
||
timeout: float = 30.0,
|
||
history_url: Optional[str] = None,
|
||
max_pages: int = 200,
|
||
page_pause_sec: float = 0.12,
|
||
history_page_pause_sec: float = 0.22,
|
||
) -> list[dict[str, Any]]:
|
||
"""拉取 [since_ms, until_ms] 覆盖的 K 线(含边界).
|
||
|
||
OKX 近期接口约仅 1440 根;更早需 history_* 端点续拉.
|
||
分页带间隔,429 自动退避重试.
|
||
"""
|
||
own = client is None
|
||
client = client or httpx.Client(
|
||
timeout=timeout,
|
||
trust_env=False,
|
||
headers={"User-Agent": "crypto_monitor-amp-stats/1.0"},
|
||
)
|
||
try:
|
||
out: dict[int, dict[str, Any]] = {}
|
||
after: Optional[str] = None
|
||
active_url = url
|
||
switched_history = False
|
||
for page_i in range(max(20, int(max_pages))):
|
||
if page_i > 0:
|
||
pause = history_page_pause_sec if switched_history or "history" in active_url else page_pause_sec
|
||
if pause > 0:
|
||
time.sleep(pause)
|
||
params: dict[str, str] = {"instId": inst_id, "bar": bar, "limit": "100"}
|
||
if after:
|
||
params["after"] = after
|
||
body = _okx_get_json(client, active_url, params)
|
||
if str(body.get("code") or "") not in ("0", "0.0", ""):
|
||
raise RuntimeError(body.get("msg") or f"OKX error {body.get('code')}")
|
||
data = body.get("data") or []
|
||
if not data:
|
||
# 近期接口到头 → 切历史端点再试
|
||
if history_url and not switched_history and after is not None:
|
||
active_url = history_url
|
||
switched_history = True
|
||
time.sleep(max(history_page_pause_sec, 0.35))
|
||
continue
|
||
break
|
||
oldest_ts = None
|
||
for row in data:
|
||
parsed = _parse_okx_candle_row(row)
|
||
if not parsed:
|
||
continue
|
||
ts = int(parsed["ts"])
|
||
oldest_ts = ts if oldest_ts is None else min(oldest_ts, ts)
|
||
if ts < since_ms - 3600 * 1000:
|
||
continue
|
||
if ts > until_ms + 3600 * 1000:
|
||
continue
|
||
out[ts] = parsed
|
||
if oldest_ts is None:
|
||
break
|
||
if oldest_ts <= since_ms:
|
||
break
|
||
# 无新进度时避免死循环
|
||
if after is not None and str(oldest_ts) == after:
|
||
if history_url and not switched_history:
|
||
active_url = history_url
|
||
switched_history = True
|
||
time.sleep(max(history_page_pause_sec, 0.35))
|
||
continue
|
||
break
|
||
after = str(oldest_ts)
|
||
# 近期接口返回变少且仍未覆盖 since → 切历史
|
||
if (
|
||
history_url
|
||
and not switched_history
|
||
and len(data) < 100
|
||
and oldest_ts > since_ms
|
||
):
|
||
active_url = history_url
|
||
switched_history = True
|
||
time.sleep(max(history_page_pause_sec, 0.35))
|
||
return [out[k] for k in sorted(out.keys())]
|
||
finally:
|
||
if own:
|
||
client.close()
|
||
|
||
|
||
def fetch_symbol_bars(
|
||
symbol: str,
|
||
*,
|
||
since_ms: int,
|
||
until_ms: int,
|
||
fetch_fn: Optional[Callable[..., list[dict[str, Any]]]] = None,
|
||
) -> tuple[list[dict[str, Any]], str, str]:
|
||
"""返回 (bars, price_source_label, inst_id)."""
|
||
key = normalize_symbol(symbol)
|
||
meta = SYMBOLS[key]
|
||
if fetch_fn:
|
||
bars = fetch_fn(inst_id=meta["index_inst"], since_ms=since_ms, until_ms=until_ms)
|
||
return bars, f"okx_index:{meta['index_inst']}", meta["index_inst"]
|
||
|
||
index_err: Optional[BaseException] = None
|
||
try:
|
||
bars = fetch_okx_candles(
|
||
url=OKX_INDEX_CANDLES,
|
||
history_url=OKX_HISTORY_INDEX_CANDLES,
|
||
inst_id=meta["index_inst"],
|
||
since_ms=since_ms,
|
||
until_ms=until_ms,
|
||
)
|
||
if bars:
|
||
return bars, f"okx_index:{meta['index_inst']}", meta["index_inst"]
|
||
except Exception as exc:
|
||
index_err = exc
|
||
# 指数侧已触发限频时先冷却,再降级永续,避免连环 429
|
||
time.sleep(1.2)
|
||
|
||
try:
|
||
bars = fetch_okx_candles(
|
||
url=OKX_SWAP_CANDLES,
|
||
history_url=OKX_HISTORY_SWAP_CANDLES,
|
||
inst_id=meta["swap_inst"],
|
||
since_ms=since_ms,
|
||
until_ms=until_ms,
|
||
)
|
||
except Exception as exc:
|
||
detail = f"index={index_err}; swap={exc}" if index_err else str(exc)
|
||
raise RuntimeError(f"OKX K线拉取失败({detail})") from exc
|
||
if not bars:
|
||
detail = f"index={index_err}" if index_err else "empty"
|
||
raise RuntimeError(f"OKX 指数与永续 K 线均无数据({detail})")
|
||
return bars, f"okx_swap:{meta['swap_inst']}", meta["swap_inst"]
|
||
|
||
|
||
def compute_amp_stats(
|
||
*,
|
||
symbol: str = "eth",
|
||
start_hour: int = 16,
|
||
period: str = "2m",
|
||
custom_days: Any = None,
|
||
straddle_premium: Any = None,
|
||
take_profit: Any = None,
|
||
weekend_filter: Any = "all",
|
||
perp_hedge: Any = None,
|
||
now: Optional[datetime] = None,
|
||
fetch_fn: Optional[Callable[..., list[dict[str, Any]]]] = None,
|
||
) -> dict[str, Any]:
|
||
key = normalize_symbol(symbol)
|
||
sh = int(start_hour)
|
||
if sh < 0 or sh > 23:
|
||
raise ValueError("起点须为 0-23 整点")
|
||
prem = normalize_straddle_premium(straddle_premium)
|
||
tp = normalize_take_profit(take_profit)
|
||
we_mode = normalize_weekend_filter(weekend_filter)
|
||
hedge = normalize_perp_hedge_params(perp_hedge)
|
||
sample_days = resolve_sample_days(period, custom_days)
|
||
settlements = list_settlement_dates(sample_days=sample_days, now=now)
|
||
if not settlements:
|
||
raise RuntimeError("无可用结算日")
|
||
# 最远窗起点
|
||
oldest = settlements[-1]
|
||
newest = settlements[0]
|
||
start0, _ = window_bounds_for_settlement(oldest, sh)
|
||
_, end1 = window_bounds_for_settlement(newest, sh)
|
||
since_ms = int(start0.timestamp() * 1000)
|
||
until_ms = int(end1.timestamp() * 1000)
|
||
bars, price_source, inst_id = fetch_symbol_bars(
|
||
key, since_ms=since_ms, until_ms=until_ms, fetch_fn=fetch_fn
|
||
)
|
||
bar_map = bars_to_map(bars)
|
||
rows_all: list[dict[str, Any]] = []
|
||
missing: list[str] = []
|
||
for d in settlements:
|
||
row = compute_day_row(d, sh, bar_map)
|
||
if row is None:
|
||
missing.append(d.isoformat())
|
||
continue
|
||
rows_all.append(row)
|
||
return build_amp_result(
|
||
rows_all=rows_all,
|
||
symbol_key=key,
|
||
start_hour=sh,
|
||
period=period,
|
||
sample_days=sample_days,
|
||
straddle_premium=prem,
|
||
take_profit=tp,
|
||
weekend_filter=we_mode,
|
||
perp_hedge=hedge,
|
||
price_source=price_source,
|
||
inst_id=inst_id,
|
||
missing=missing,
|
||
)
|
||
|
||
|
||
def build_amp_result(
|
||
*,
|
||
rows_all: list[dict[str, Any]],
|
||
symbol_key: str,
|
||
start_hour: int,
|
||
period: str,
|
||
sample_days: int,
|
||
straddle_premium: Any = None,
|
||
take_profit: Any = None,
|
||
weekend_filter: Any = "all",
|
||
perp_hedge: Any = None,
|
||
price_source: str = "",
|
||
inst_id: str = "",
|
||
missing: Optional[list[str]] = None,
|
||
) -> dict[str, Any]:
|
||
prem = normalize_straddle_premium(straddle_premium)
|
||
tp = normalize_take_profit(take_profit)
|
||
we_mode = normalize_weekend_filter(weekend_filter)
|
||
hedge = normalize_perp_hedge_params(perp_hedge)
|
||
filtered = filter_weekend_rows(rows_all, we_mode)
|
||
rows = enrich_rows_pnl(filtered, straddle_premium=prem, take_profit=tp, perp_hedge=hedge)
|
||
summary = summarize_rows(rows, straddle_premium=prem, take_profit=tp, perp_hedge=hedge)
|
||
if period == "custom" or str(period).startswith("custom:"):
|
||
period_label = period if str(period).startswith("custom:") else f"custom:{sample_days}"
|
||
else:
|
||
period_label = str(period)
|
||
miss = missing or []
|
||
return {
|
||
"ok": True,
|
||
"exchange": EXCHANGE,
|
||
"symbol": symbol_key,
|
||
"symbol_label": SYMBOLS[symbol_key]["label"],
|
||
"start_hour": start_hour,
|
||
"end_hour": END_HOUR,
|
||
"period": period_label,
|
||
"sample_days_requested": sample_days,
|
||
"straddle_premium": prem,
|
||
"take_profit": tp,
|
||
"weekend_filter": we_mode,
|
||
"perp_hedge": hedge,
|
||
"timeframe": TIMEFRAME,
|
||
"price_source": price_source,
|
||
"inst_id": inst_id,
|
||
"timezone": "Asia/Shanghai",
|
||
"rows_all": rows_all,
|
||
"rows": rows,
|
||
"summary": summary,
|
||
"missing_days": miss[:30],
|
||
"missing_count": len(miss),
|
||
}
|
||
|
||
|
||
def reframe_amp_stats(
|
||
*,
|
||
rows_all: list[dict[str, Any]],
|
||
symbol: str = "eth",
|
||
start_hour: int = 16,
|
||
period: str = "2m",
|
||
sample_days: int = 60,
|
||
straddle_premium: Any = None,
|
||
take_profit: Any = None,
|
||
weekend_filter: Any = "all",
|
||
perp_hedge: Any = None,
|
||
price_source: str = "",
|
||
inst_id: str = "",
|
||
missing: Optional[list[str]] = None,
|
||
) -> dict[str, Any]:
|
||
"""已有日表上改周末/权利金/止盈/永期参数,不拉 K 线."""
|
||
key = normalize_symbol(symbol)
|
||
return build_amp_result(
|
||
rows_all=list(rows_all or []),
|
||
symbol_key=key,
|
||
start_hour=int(start_hour),
|
||
period=period,
|
||
sample_days=int(sample_days or 60),
|
||
straddle_premium=straddle_premium,
|
||
take_profit=take_profit,
|
||
weekend_filter=weekend_filter,
|
||
perp_hedge=perp_hedge,
|
||
price_source=price_source,
|
||
inst_id=inst_id,
|
||
missing=missing,
|
||
)
|
||
|
||
|
||
def rows_page(rows: list[dict[str, Any]], *, page: int = 1, page_size: int = 20) -> dict[str, Any]:
|
||
page = max(1, int(page or 1))
|
||
page_size = max(5, min(100, int(page_size or 20)))
|
||
total = len(rows)
|
||
start = (page - 1) * page_size
|
||
chunk = rows[start : start + page_size]
|
||
return {
|
||
"page": page,
|
||
"page_size": page_size,
|
||
"total": total,
|
||
"total_pages": max(1, (total + page_size - 1) // page_size) if total else 1,
|
||
"rows": chunk,
|
||
}
|
||
|
||
|
||
def build_export_csv(payload: dict[str, Any]) -> str:
|
||
buf = io.StringIO()
|
||
# Excel 友好 BOM
|
||
buf.write("\ufeff")
|
||
w = csv.writer(buf)
|
||
s = payload.get("summary") or {}
|
||
w.writerow(["【统计摘要】"])
|
||
w.writerow(["交易所", payload.get("exchange")])
|
||
w.writerow(["标的", payload.get("symbol_label")])
|
||
w.writerow(["价源", payload.get("price_source")])
|
||
w.writerow(["起点整点", f"{payload.get('start_hour')}:00"])
|
||
w.writerow(["终点", f"{payload.get('end_hour')}:00"])
|
||
w.writerow(["周期", payload.get("period")])
|
||
w.writerow(["周末筛选", payload.get("weekend_filter")])
|
||
w.writerow(["样本数", s.get("sample_count")])
|
||
w.writerow(["最大振幅", s.get("max_amplitude"), "日期", s.get("max_amplitude_day")])
|
||
w.writerow(["振幅均值", s.get("avg_amplitude"), "中位数", s.get("median_amplitude")])
|
||
w.writerow(["开→高最大", s.get("max_up_points"), "均值", s.get("avg_up_points")])
|
||
w.writerow(["开→低最大", s.get("max_down_points"), "均值", s.get("avg_down_points")])
|
||
w.writerow(["上涨窗占比", s.get("up_day_ratio"), "下跌窗占比", s.get("down_day_ratio")])
|
||
st = s.get("straddle") or {}
|
||
if st:
|
||
w.writerow([])
|
||
w.writerow(["【买跨对照·双边权利金】", st.get("premium"), "止盈点", st.get("take_profit")])
|
||
w.writerow(["开→高超过权利金", st.get("up_exceed_days"), "占比", st.get("up_exceed_ratio")])
|
||
w.writerow(["开→低超过权利金", st.get("down_exceed_days"), "占比", st.get("down_exceed_ratio")])
|
||
w.writerow(["|涨跌|超过权利金", st.get("abs_change_exceed_days"), "占比", st.get("abs_change_exceed_ratio")])
|
||
if st.get("take_profit") is not None:
|
||
w.writerow(["触达止盈天数", st.get("tp_hit_days"), "占比", st.get("tp_hit_ratio")])
|
||
w.writerow(
|
||
[
|
||
"买跨点数盈亏合计",
|
||
st.get("pnl_total"),
|
||
"日均",
|
||
st.get("pnl_avg"),
|
||
"赚钱天数",
|
||
st.get("win_days"),
|
||
"胜率",
|
||
st.get("win_ratio"),
|
||
]
|
||
)
|
||
w.writerow(["单日最大赚", st.get("pnl_max"), "单日最大亏", st.get("pnl_min")])
|
||
ph = s.get("perp_hedge") or {}
|
||
if ph:
|
||
w.writerow([])
|
||
w.writerow(
|
||
[
|
||
"【永期对冲对照】",
|
||
"比例",
|
||
ph.get("ratio_label"),
|
||
"入场",
|
||
"按日开盘",
|
||
"推点数开盘中位",
|
||
ph.get("spot"),
|
||
"目标",
|
||
ph.get("target_profit_u"),
|
||
]
|
||
)
|
||
w.writerow(
|
||
[
|
||
"单币权利金(开盘中位)",
|
||
ph.get("prem_per_coin"),
|
||
"权利金总额(开盘中位)",
|
||
ph.get("premium_total"),
|
||
"期权币数",
|
||
ph.get("opt_coins"),
|
||
]
|
||
)
|
||
w.writerow(
|
||
[
|
||
"A所需点数",
|
||
ph.get("move_a"),
|
||
"A达标天(开→高)",
|
||
ph.get("hit_a_days"),
|
||
"占比",
|
||
ph.get("hit_a_ratio"),
|
||
]
|
||
)
|
||
w.writerow(
|
||
[
|
||
"B所需点数(组合)",
|
||
ph.get("move_b"),
|
||
"B达标天(开→低)",
|
||
ph.get("hit_b_days"),
|
||
"占比",
|
||
ph.get("hit_b_ratio"),
|
||
]
|
||
)
|
||
w.writerow(
|
||
[
|
||
"目标出场天",
|
||
ph.get("target_exit_days"),
|
||
"收盘结算天",
|
||
ph.get("eod_days"),
|
||
"目标盈利",
|
||
ph.get("target_profit_u"),
|
||
]
|
||
)
|
||
w.writerow(
|
||
[
|
||
"组合盈亏合计",
|
||
ph.get("pnl_total"),
|
||
"日均",
|
||
ph.get("pnl_avg"),
|
||
"胜率",
|
||
ph.get("win_ratio"),
|
||
]
|
||
)
|
||
w.writerow(
|
||
[
|
||
"上涨日盈亏",
|
||
ph.get("up_pnl_total"),
|
||
"下跌日盈亏",
|
||
ph.get("down_pnl_total"),
|
||
"最大赚/亏",
|
||
f"{ph.get('pnl_max')} / {ph.get('pnl_min')}",
|
||
]
|
||
)
|
||
w.writerow([])
|
||
w.writerow(["【日表明细】"])
|
||
w.writerow(
|
||
[
|
||
"结算日",
|
||
"星期",
|
||
"周末",
|
||
"窗起点",
|
||
"窗终点",
|
||
"开盘",
|
||
"最高",
|
||
"最低",
|
||
"收盘",
|
||
"开→高",
|
||
"开→低",
|
||
"振幅",
|
||
"涨跌值",
|
||
"有效波动",
|
||
"触达止盈",
|
||
"收益",
|
||
"永期盈亏",
|
||
]
|
||
)
|
||
for r in payload.get("rows") or []:
|
||
w.writerow(
|
||
[
|
||
r.get("settlement_day"),
|
||
r.get("weekday_label") or "",
|
||
"是" if r.get("is_weekend") else "否",
|
||
r.get("window_start"),
|
||
r.get("window_end"),
|
||
r.get("open"),
|
||
r.get("high"),
|
||
r.get("low"),
|
||
r.get("close"),
|
||
r.get("up_points"),
|
||
r.get("down_points"),
|
||
r.get("amplitude"),
|
||
r.get("change"),
|
||
r.get("effective_move"),
|
||
"是" if r.get("take_profit_hit") else "否",
|
||
r.get("profit"),
|
||
r.get("perp_hedge_pnl"),
|
||
]
|
||
)
|
||
return buf.getvalue()
|
||
|
||
|
||
def export_filename(payload: dict[str, Any]) -> str:
|
||
sym = (payload.get("symbol") or "eth").lower()
|
||
sh = int(payload.get("start_hour") or 16)
|
||
period = str(payload.get("period") or "2m").replace(":", "")
|
||
day = datetime.now(APP_TZ).strftime("%Y%m%d")
|
||
return f"okx_{sym}_amp_{sh}to16_{period}_{day}.csv"
|