dekun
8ecc70a61c
Replace single S* with up/down targets across UI, preview, persist, monitor, and alerts so ranging breakouts can close the winner either way. Co-authored-by: Cursor <cursoragent@cursor.com>
386 lines
12 KiB
Python
386 lines
12 KiB
Python
"""对冲计划:情景测算与全仓建议仓(纯函数,无 IO)."""
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from __future__ import annotations
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from typing import Any, Optional
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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 perp_coin_amount(*, contracts: float, contract_size: float) -> float:
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return float(contracts) * float(contract_size or 1.0)
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def perp_pnl(
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*,
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direction: str,
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entry: float,
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exit_px: float,
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contracts: float,
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contract_size: float,
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) -> float:
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coins = perp_coin_amount(contracts=contracts, contract_size=contract_size)
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d = (direction or "long").strip().lower()
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if d == "short":
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return (float(entry) - float(exit_px)) * coins
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return (float(exit_px) - float(entry)) * coins
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def option_premium_total(*, ask: float, sheets: float, ct_mult: float) -> float:
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"""卖一报价为每 1 币;权利金 = ask × 张数 × ct_mult."""
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return float(ask) * float(sheets) * float(ct_mult or 0.01)
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def option_expiry_pnl(
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*,
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opt_type: str,
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strike: float,
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spot: float,
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sheets: float,
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ct_mult: float,
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premium_paid: float,
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) -> float:
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o = (opt_type or "").strip().upper()
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intrinsic_per_coin = 0.0
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if o in ("C", "CALL"):
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intrinsic_per_coin = max(0.0, float(spot) - float(strike))
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elif o in ("P", "PUT"):
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intrinsic_per_coin = max(0.0, float(strike) - float(spot))
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else:
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return -float(premium_paid)
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value = intrinsic_per_coin * float(sheets) * float(ct_mult or 0.01)
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return value - float(premium_paid)
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def suggest_contracts_from_notional(
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*,
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notional: float,
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entry: float,
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contract_size: float,
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) -> float:
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if entry <= 0 or contract_size <= 0 or notional <= 0:
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return 0.0
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return float(notional) / (float(entry) * float(contract_size))
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def floor_contracts_to_precision(contracts: float, decimals: int) -> float:
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"""按交易所张数精度向下取整,避免建议张数超过可用保证金."""
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import math
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raw = float(contracts or 0.0)
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if raw <= 0:
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return 0.0
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try:
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d = int(decimals)
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except (TypeError, ValueError):
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d = 0
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if d <= 0:
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return float(math.floor(raw + 1e-12))
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scale = 10**d
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return math.floor(raw * scale + 1e-12) / scale
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def build_perp_options_preview(
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*,
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direction: str,
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entry: float,
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tp: float,
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sl: float,
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contracts: float,
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contract_size: float,
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opt_type: str,
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strike: float,
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sheets: float,
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ct_mult: float,
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premium_paid: float,
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index_px: Optional[float] = None,
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) -> dict[str, Any]:
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"""
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永期情景.
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止盈账:永续止盈盈利 - 权利金.
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止损账:期权到期内在(按 SL 价) - 永续止损亏损额.
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"""
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d = (direction or "long").strip().lower()
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pnl_tp_perp = perp_pnl(
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direction=d, entry=entry, exit_px=tp, contracts=contracts, contract_size=contract_size
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)
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pnl_sl_perp = perp_pnl(
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direction=d, entry=entry, exit_px=sl, contracts=contracts, contract_size=contract_size
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)
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# 止盈统计口径
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tp_total = float(pnl_tp_perp) - float(premium_paid)
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# 止损:期权按 SL 价结算内在 - |永续亏损|
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opt_at_sl = option_expiry_pnl(
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opt_type=opt_type,
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strike=strike,
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spot=sl,
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sheets=sheets,
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ct_mult=ct_mult,
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premium_paid=premium_paid,
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)
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sl_total = float(opt_at_sl) - abs(float(pnl_sl_perp)) if pnl_sl_perp < 0 else float(opt_at_sl) + float(
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pnl_sl_perp
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)
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# 有符号相加更稳:期权盈亏 + 永续盈亏
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sl_total_signed = float(opt_at_sl) + float(pnl_sl_perp)
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spot = float(index_px) if index_px is not None else float(entry)
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opt_flat = option_expiry_pnl(
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opt_type=opt_type,
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strike=strike,
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spot=spot,
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sheets=sheets,
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ct_mult=ct_mult,
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premium_paid=premium_paid,
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)
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flat_total = 0.0 + float(opt_flat)
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opt_at_tp = option_expiry_pnl(
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opt_type=opt_type,
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strike=strike,
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spot=tp,
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sheets=sheets,
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ct_mult=ct_mult,
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premium_paid=premium_paid,
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)
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return {
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"plan_type": "perp_options",
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"direction": d,
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"contracts": contracts,
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"coin_amount": perp_coin_amount(contracts=contracts, contract_size=contract_size),
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"premium_paid": round(float(premium_paid), 6),
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"scenarios": [
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{
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"id": "tp",
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"label": "止盈(计划结束口径)",
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"spot": tp,
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"perp_pnl": round(pnl_tp_perp, 4),
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"options_pnl": round(-float(premium_paid), 4),
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"total": round(tp_total, 4),
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"note": "止盈盈利 − 权利金;期权可不强平",
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},
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{
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"id": "sl",
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"label": "止损(计划结束口径)",
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"spot": sl,
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"perp_pnl": round(pnl_sl_perp, 4),
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"options_pnl": round(opt_at_sl, 4),
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"total": round(sl_total_signed, 4),
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"note": "期权盈利 − 永续亏损(有符号相加);期权须强平",
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},
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{
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"id": "flat",
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"label": "到期·现价附近",
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"spot": spot,
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"perp_pnl": 0.0,
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"options_pnl": round(opt_flat, 4),
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"total": round(flat_total, 4),
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"note": "示意:永续未动,期权按到期内在",
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},
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{
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"id": "expiry_tp",
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"label": "到期·止盈价",
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"spot": tp,
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"perp_pnl": round(pnl_tp_perp, 4),
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"options_pnl": round(opt_at_tp, 4),
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"total": round(pnl_tp_perp + opt_at_tp, 4),
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"note": "若期权拿到 TP 价到期(参考)",
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},
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{
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"id": "expiry_sl",
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"label": "到期·止损价",
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"spot": sl,
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"perp_pnl": round(pnl_sl_perp, 4),
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"options_pnl": round(opt_at_sl, 4),
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"total": round(pnl_sl_perp + opt_at_sl, 4),
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"note": "与止损口径相近(期权用内在)",
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},
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],
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"summary": {
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"tp_total": round(tp_total, 4),
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"sl_total": round(sl_total_signed, 4),
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"premium_paid": round(float(premium_paid), 4),
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"hedge_ratio_at_sl": _hedge_ratio(opt_at_sl, pnl_sl_perp),
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},
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}
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def _hedge_ratio(opt_pnl: float, perp_pnl: float) -> Optional[float]:
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loss = abs(float(perp_pnl)) if float(perp_pnl) < 0 else 0.0
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if loss <= 1e-12:
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return None
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if float(opt_pnl) <= 0:
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return 0.0
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return round(float(opt_pnl) / loss * 100.0, 2)
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def build_options_options_preview(
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*,
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target_price: float | None = None,
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target_price_up: float | None = None,
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target_price_down: float | None = None,
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index_px: float,
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leg_a: dict[str, Any],
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leg_b: dict[str, Any],
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) -> dict[str, Any]:
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"""期期情景:上破/下破目标价 / 到期现价 / 最大保费损耗."""
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def _leg_pnl(leg: dict[str, Any], spot: float) -> float:
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return option_expiry_pnl(
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opt_type=str(leg.get("opt_type") or ""),
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strike=float(leg["strike"]),
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spot=spot,
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sheets=float(leg.get("sheets") or 0),
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ct_mult=float(leg.get("ct_mult") or 0.01),
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premium_paid=float(leg.get("premium_paid") or 0),
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)
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# 兼容旧单目标:若未传上下目标则用 target_price 填两边
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up = target_price_up if target_price_up is not None else target_price
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down = target_price_down if target_price_down is not None else target_price
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if up is None or down is None:
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raise ValueError("缺少上破/下破目标价")
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up_f = float(up)
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down_f = float(down)
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prem = float(leg_a.get("premium_paid") or 0) + float(leg_b.get("premium_paid") or 0)
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a_up = _leg_pnl(leg_a, up_f)
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b_up = _leg_pnl(leg_b, up_f)
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at_up = a_up + b_up
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win_up = "a" if a_up >= b_up else "b"
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a_dn = _leg_pnl(leg_a, down_f)
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b_dn = _leg_pnl(leg_b, down_f)
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at_dn = a_dn + b_dn
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win_dn = "a" if a_dn >= b_dn else "b"
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a_flat = _leg_pnl(leg_a, index_px)
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b_flat = _leg_pnl(leg_b, index_px)
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flat_total = a_flat + b_flat
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expiry_loss = flat_total if flat_total <= 0 else flat_total
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return {
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"plan_type": "options_options",
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"premium_paid": round(prem, 6),
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"target_price": up_f, # 兼容旧字段,取上破
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"target_price_up": up_f,
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"target_price_down": down_f,
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"winner_at_up": win_up,
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"winner_at_down": win_dn,
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"winner_at_target": win_up,
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"scenarios": [
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{
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"id": "target_up",
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"label": "上破目标",
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"spot": up_f,
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"leg_a_pnl": round(a_up, 4),
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"leg_b_pnl": round(b_up, 4),
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"total": round(at_up, 4),
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"note": f"盈利方≈腿{win_up.upper()}(可平);亏损方默认到期",
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},
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{
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"id": "target_down",
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"label": "下破目标",
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"spot": down_f,
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"leg_a_pnl": round(a_dn, 4),
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"leg_b_pnl": round(b_dn, 4),
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"total": round(at_dn, 4),
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"note": f"盈利方≈腿{win_dn.upper()}(可平);亏损方默认到期",
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},
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{
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"id": "expiry_flat",
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"label": "到期·现价(无突破)",
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"spot": index_px,
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"leg_a_pnl": round(a_flat, 4),
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"leg_b_pnl": round(b_flat, 4),
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"total": round(flat_total, 4),
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"note": "无盈利则记总亏损结束" if flat_total <= 0 else "到期仍可能有净值",
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},
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{
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"id": "max_premium_loss",
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"label": "最大保费损耗",
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"spot": None,
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"leg_a_pnl": round(-float(leg_a.get("premium_paid") or 0), 4),
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"leg_b_pnl": round(-float(leg_b.get("premium_paid") or 0), 4),
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"total": round(-prem, 4),
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"note": "双腿权利金全部损失",
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},
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],
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"summary": {
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"at_target_up_total": round(at_up, 4),
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"at_target_down_total": round(at_dn, 4),
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"at_target_total": round(at_up, 4),
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"expiry_flat_total": round(expiry_loss, 4),
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"premium_paid": round(prem, 6),
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"expiry_is_loss": flat_total <= 0,
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},
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}
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def gate_status(
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*,
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hedge_enabled: bool,
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sizing_mode: str,
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plan_type: str,
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options_enabled: bool,
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live_order: bool = False,
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live_trading: bool = False,
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active_count: int = 0,
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max_active: int = 1,
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) -> dict[str, Any]:
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from lib.trade.position_sizing_lib import is_full_margin_mode
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full = is_full_margin_mode(sizing_mode)
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pt = (plan_type or "").strip().lower()
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can_preview = True
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can_start = True
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reasons: list[str] = []
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if not hedge_enabled:
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can_start = False
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reasons.append("对冲计划未启用(HEDGE_PLAN_ENABLED)")
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if not options_enabled:
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can_preview = False
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can_start = False
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reasons.append("期权模块未启用")
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if not live_order:
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can_start = False
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reasons.append("未允许对冲真实下单(HEDGE_PLAN_LIVE_ORDER)")
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if active_count >= max(1, int(max_active or 1)):
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can_start = False
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reasons.append(f"活跃计划已达上限({max_active})")
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if pt == "perp_options":
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if not full:
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can_start = False
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reasons.append("永期开仓仅全仓模式可用(当前可测算)")
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if not live_trading:
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can_start = False
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reasons.append("未开启实盘(LIVE_TRADING_ENABLED)")
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elif pt == "options_options":
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pass
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else:
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can_start = False
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reasons.append("未知计划类型")
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if can_start:
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reasons = []
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return {
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"hedge_enabled": hedge_enabled,
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"options_enabled": options_enabled,
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"sizing_mode": sizing_mode,
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"is_full_margin": full,
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"plan_type": pt,
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"live_order": live_order,
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"live_trading": live_trading,
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"active_count": active_count,
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"max_active": max_active,
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"can_preview": can_preview,
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"can_start": can_start,
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"reasons": reasons,
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}
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