dekun
9f3395de2f
Show premium wipeout plus flat round-trip perp fees as case C for both size and points modes. Co-authored-by: Cursor <cursoragent@cursor.com>
363 lines
12 KiB
Python
363 lines
12 KiB
Python
"""中控永期对冲计算器:永续 1 币 + 按目标盈利反推期权仓位/波动点数(纯函数)."""
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from __future__ import annotations
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from typing import Any, Optional, Tuple
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from lib.trade.trade_fee_lib import estimate_roundtrip_fee_usdt, taker_fee_rate
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DEFAULT_CT_MULT = 0.01
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PERP_COINS = 1.0
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def _f(v: Any) -> Optional[float]:
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if v is None or v == "":
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return None
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try:
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return float(v)
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except (TypeError, ValueError):
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return None
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def _parse_base_common(
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*,
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base: str,
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spot: Any,
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capital_usdt: Any,
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target_profit_u: Any,
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perp_leverage: Any,
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option_leverage: Any,
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ct_mult: Any,
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) -> Tuple[Optional[dict[str, float]], Optional[str]]:
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b = (base or "ETH").strip().upper()
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if b not in ("ETH", "BTC"):
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return None, "币种仅支持 BTC / ETH"
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s = _f(spot)
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capital = _f(capital_usdt)
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target = _f(target_profit_u)
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p_lev = _f(perp_leverage)
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o_lev = _f(option_leverage)
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ct = _f(ct_mult)
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if s is None or capital is None or target is None or p_lev is None or o_lev is None:
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return None, "参数格式错误"
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if ct is None or ct <= 0:
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ct = DEFAULT_CT_MULT
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if s <= 0 or capital <= 0 or p_lev <= 0 or o_lev <= 0:
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return None, "现价、资金、杠杆须大于 0"
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if target < 0:
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return None, "目标盈利不能为负"
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prem_per_coin = s / o_lev
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if prem_per_coin <= 0:
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return None, "单币权利金无效"
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margin = (s * PERP_COINS) / p_lev
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return {
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"base_ok": 1.0,
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"spot": s,
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"capital": capital,
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"target": target,
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"p_lev": p_lev,
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"o_lev": o_lev,
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"ct": ct,
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"prem_per_coin": prem_per_coin,
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"margin": margin,
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"fee_rate": taker_fee_rate(),
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}, None
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def _move_for_perp_correct(*, spot: float, target: float, premium: float, fee_rate: float) -> float:
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"""净利 = move − premium − fee(move) = target → 解 move.
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fee = (2*spot + move) * fee_rate
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move*(1-fee_rate) = target + premium + 2*spot*fee_rate
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"""
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denom = 1.0 - float(fee_rate)
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if denom <= 0:
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return 0.0
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return (float(target) + float(premium) + 2.0 * float(spot) * float(fee_rate)) / denom
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def _case_sideways(*, spot: float, premium_total: float) -> dict[str, Any]:
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"""横盘/到期无方向:永续≈0,期权权利金全亏,另计永续开平同价手续费.
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最大亏损(正数) = 权利金总额 + 开平手续费(exit=entry)
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组合净利 = −最大亏损
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"""
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fee_flat = estimate_roundtrip_fee_usdt(spot, spot, qty=PERP_COINS, contract_size=1.0)
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prem = float(premium_total)
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max_loss = prem + float(fee_flat)
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return {
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"label": "横盘",
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"perp_pnl_u": 0.0,
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"premium_u": round(prem, 8),
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"fee_u": round(float(fee_flat), 8),
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"max_loss_u": round(max_loss, 8),
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"net_u": round(-max_loss, 8),
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}
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def calc_perp_options_hedge(
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*,
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base: str = "ETH",
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spot: float,
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capital_usdt: float,
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target_profit_u: float,
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move_mode: str = "points",
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move_value: float,
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perp_leverage: float,
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option_leverage: float,
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ct_mult: float = DEFAULT_CT_MULT,
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) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
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"""由波动反推期权开仓币数/张数(calc_mode=size)."""
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common, err = _parse_base_common(
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base=base,
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spot=spot,
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capital_usdt=capital_usdt,
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target_profit_u=target_profit_u,
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perp_leverage=perp_leverage,
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option_leverage=option_leverage,
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ct_mult=ct_mult,
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)
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if err or not common:
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return None, err
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s = common["spot"]
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capital = common["capital"]
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target = common["target"]
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p_lev = common["p_lev"]
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o_lev = common["o_lev"]
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ct = common["ct"]
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prem_per_coin = common["prem_per_coin"]
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margin = common["margin"]
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fee_rate = common["fee_rate"]
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b = (base or "ETH").strip().upper()
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move = _f(move_value)
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mode = (move_mode or "points").strip().lower()
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if mode not in ("points", "pct", "percent", "rate"):
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return None, "波动模式须为 points 或 pct"
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if mode in ("percent", "rate"):
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mode = "pct"
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if move is None:
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return None, "参数格式错误"
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if move <= 0:
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return None, "现价、资金、波动、杠杆须大于 0"
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if mode == "pct":
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move_points = s * (move / 100.0)
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else:
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move_points = move
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if move_points <= 0:
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return None, "波动对应价格变动须大于 0"
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exit_px = s + move_points
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perp_gross = move_points * PERP_COINS
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fee = estimate_roundtrip_fee_usdt(s, exit_px, qty=PERP_COINS, contract_size=1.0)
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premium_budget = perp_gross - target - fee
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if premium_budget <= 0:
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return None, "波动收益不足以覆盖目标盈利+手续费，无法开期权"
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opt_coins = premium_budget / prem_per_coin
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opt_sheets = opt_coins / ct
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premium_total = opt_coins * prem_per_coin
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case_a_net = perp_gross - premium_total - fee
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opt_intrinsic = opt_coins * move_points
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opt_net = opt_intrinsic - premium_total
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perp_loss = -perp_gross
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portfolio_net = opt_net + perp_loss
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return {
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"calc_mode": "size",
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"base": b,
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"spot": round(s, 8),
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"capital_usdt": round(capital, 8),
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"target_profit_u": round(target, 8),
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"move_mode": mode,
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"move_value": round(move, 8),
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"move_points": round(move_points, 8),
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"exit_price": round(exit_px, 8),
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"perp_coins": PERP_COINS,
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"perp_leverage": round(p_lev, 8),
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"option_leverage": round(o_lev, 8),
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"ct_mult": ct,
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"prem_per_coin": round(prem_per_coin, 8),
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"perp_gross_u": round(perp_gross, 8),
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"perp_fee_u": round(fee, 8),
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"fee_rate": fee_rate,
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"premium_budget_u": round(premium_budget, 8),
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"opt_coins": round(opt_coins, 8),
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"opt_sheets": round(opt_sheets, 8),
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"premium_total_u": round(premium_total, 8),
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"perp_margin_u": round(margin, 8),
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"capital_ok": bool(capital >= margin),
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"case_a": {
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"label": "永续方向对",
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"perp_pnl_u": round(perp_gross, 8),
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"premium_u": round(premium_total, 8),
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"fee_u": round(fee, 8),
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"net_u": round(case_a_net, 8),
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},
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"case_b": {
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"label": "期权方向对",
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"opt_intrinsic_u": round(opt_intrinsic, 8),
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"premium_u": round(premium_total, 8),
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"opt_net_u": round(opt_net, 8),
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"perp_pnl_u": round(perp_loss, 8),
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"portfolio_net_u": round(portfolio_net, 8),
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},
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"case_sideways": _case_sideways(spot=s, premium_total=premium_total),
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}, None
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def calc_perp_options_points(
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*,
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base: str = "ETH",
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spot: float,
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capital_usdt: float,
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target_profit_u: float,
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perp_leverage: float,
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option_leverage: float,
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ratio_perp: float = 1.0,
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ratio_opt: float = 2.0,
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ct_mult: float = DEFAULT_CT_MULT,
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) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
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"""按永续:期权比例 + 目标盈利,反推两套情景所需波动点数.
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永续币数固定为 ratio 归一后的 1 币侧(perp_coins = PERP_COINS).
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期权币数 = PERP_COINS * (ratio_opt / ratio_perp),例 1:2 → 2 币.
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A 永续方向对: move − premium − fee(move) = 目标盈利
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B 期权方向对:
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- 期权净利达目标: opt_coins*move − premium = 目标
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- 组合净利达目标: move*(opt_coins − perp_coins) − premium = 目标
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"""
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common, err = _parse_base_common(
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base=base,
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spot=spot,
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capital_usdt=capital_usdt,
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target_profit_u=target_profit_u,
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perp_leverage=perp_leverage,
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option_leverage=option_leverage,
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ct_mult=ct_mult,
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)
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if err or not common:
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return None, err
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rp = _f(ratio_perp)
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ro = _f(ratio_opt)
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if rp is None or ro is None or rp <= 0 or ro <= 0:
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return None, "永续:期权比例须大于 0"
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s = common["spot"]
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capital = common["capital"]
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target = common["target"]
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p_lev = common["p_lev"]
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o_lev = common["o_lev"]
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ct = common["ct"]
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prem_per_coin = common["prem_per_coin"]
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margin = common["margin"]
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fee_rate = common["fee_rate"]
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b = (base or "ETH").strip().upper()
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opt_coins = PERP_COINS * (ro / rp)
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premium_total = opt_coins * prem_per_coin
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opt_sheets = opt_coins / ct
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move_a = _move_for_perp_correct(spot=s, target=target, premium=premium_total, fee_rate=fee_rate)
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if move_a <= 0:
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return None, "无法解出永续方向对所需点数"
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fee_a = estimate_roundtrip_fee_usdt(s, s + move_a, qty=PERP_COINS, contract_size=1.0)
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net_a = move_a * PERP_COINS - premium_total - fee_a
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# 期权净利 = 目标
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move_b_opt = (target + premium_total) / opt_coins
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opt_net_at_b_opt = opt_coins * move_b_opt - premium_total
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portfolio_at_b_opt = opt_net_at_b_opt - move_b_opt * PERP_COINS
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# 组合净利 = 目标
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edge = opt_coins - PERP_COINS
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if edge <= 0:
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move_b_port = None
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port_err = "期权币数须大于永续币数,组合才能在方向对时赚到目标盈利"
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else:
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move_b_port = (target + premium_total) / edge
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port_err = None
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if move_b_port is not None:
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opt_net_at_b_port = opt_coins * move_b_port - premium_total
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portfolio_at_b_port = opt_net_at_b_port - move_b_port * PERP_COINS
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else:
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opt_net_at_b_port = None
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portfolio_at_b_port = None
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return {
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"calc_mode": "points",
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"base": b,
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"spot": round(s, 8),
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"capital_usdt": round(capital, 8),
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"target_profit_u": round(target, 8),
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"ratio_perp": round(rp, 8),
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"ratio_opt": round(ro, 8),
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"ratio_label": f"{_fmt_ratio(rp)}:{_fmt_ratio(ro)}",
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"perp_coins": PERP_COINS,
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"opt_coins": round(opt_coins, 8),
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"opt_sheets": round(opt_sheets, 8),
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"perp_leverage": round(p_lev, 8),
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"option_leverage": round(o_lev, 8),
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"ct_mult": ct,
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"prem_per_coin": round(prem_per_coin, 8),
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"premium_total_u": round(premium_total, 8),
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"fee_rate": fee_rate,
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"perp_margin_u": round(margin, 8),
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"capital_ok": bool(capital >= margin),
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"case_a": {
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"label": "永续方向对",
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"move_points": round(move_a, 8),
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"move_pct": round(move_a / s * 100.0, 8),
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"perp_pnl_u": round(move_a * PERP_COINS, 8),
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"premium_u": round(premium_total, 8),
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"fee_u": round(fee_a, 8),
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"net_u": round(net_a, 8),
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},
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"case_b": {
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"label": "期权方向对",
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"move_points_opt_net": round(move_b_opt, 8),
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"move_pct_opt_net": round(move_b_opt / s * 100.0, 8),
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"opt_net_u": round(opt_net_at_b_opt, 8),
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"portfolio_net_at_opt_target_u": round(portfolio_at_b_opt, 8),
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"move_points_portfolio": None if move_b_port is None else round(move_b_port, 8),
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"move_pct_portfolio": None
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if move_b_port is None
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else round(move_b_port / s * 100.0, 8),
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"opt_net_at_portfolio_target_u": None
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if opt_net_at_b_port is None
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else round(opt_net_at_b_port, 8),
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"portfolio_net_u": None if portfolio_at_b_port is None else round(portfolio_at_b_port, 8),
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"portfolio_error": port_err,
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"premium_u": round(premium_total, 8),
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},
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"case_sideways": _case_sideways(spot=s, premium_total=premium_total),
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}, None
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def _fmt_ratio(v: float) -> str:
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if abs(v - round(v)) < 1e-9:
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return str(int(round(v)))
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s = f"{v:.4f}".rstrip("0").rstrip(".")
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return s
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def calc_perp_options(
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*,
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calc_mode: str = "size",
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**kwargs: Any,
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) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
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"""统一入口:size=由波动推仓位;points=由比例推点数."""
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mode = (calc_mode or "size").strip().lower()
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if mode in ("points", "ratio", "move"):
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return calc_perp_options_points(**kwargs)
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# size mode: ignore ratio kwargs if present
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kwargs.pop("ratio_perp", None)
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kwargs.pop("ratio_opt", None)
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return calc_perp_options_hedge(**kwargs)
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