dekun
335 lines
11 KiB
Python
335 lines
11 KiB
Python
"""期权按买盘平仓门控:可回收/净盈亏换算为 USDT 后校验,并持续 hold 秒才允许平仓."""
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from __future__ import annotations
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import os
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import threading
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import time
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from typing import Any
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def _env_float(key: str, default: float) -> float:
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try:
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return float(os.getenv(key, str(default)))
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except (TypeError, ValueError):
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return default
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def _env_optional_float(key: str) -> float | None:
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raw = os.getenv(key)
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if raw is None or str(raw).strip() == "":
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return None
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try:
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return float(raw)
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except (TypeError, ValueError):
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return None
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CLOSE_RECYCLE_HOLD_SECONDS = _env_float("OKX_OPTIONS_CLOSE_HOLD_SECONDS", 120.0)
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def close_net_pnl_min_u() -> float:
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return _env_float("OKX_OPTIONS_CLOSE_NET_PNL_MIN_U", 0.0)
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def close_gate_mode() -> str:
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m = (os.getenv("OKX_OPTIONS_CLOSE_GATE_MODE") or "premium").strip().lower()
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return m if m in ("premium", "net_pnl") else "premium"
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def resolve_close_recycle_mult(premium_ccy: str | None, min_mult: float | None = None) -> float:
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if min_mult is not None:
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m = float(min_mult)
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return m if m > 0 else 1.05
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global_mult = _env_optional_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT")
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if global_mult is not None and global_mult > 0:
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return global_mult
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ccy = (premium_ccy or "USDC").strip().upper() or "USDC"
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if ccy in ("ETH", "BTC"):
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return _env_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT_COIN", 1.05)
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return _env_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT_USDC", 2.0)
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# 兼容旧引用
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CLOSE_RECYCLE_MIN_MULT = resolve_close_recycle_mult("USDC")
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_lock = threading.Lock()
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# inst_id -> {"ok_since": float|None, "recycle": float, "premium": float, "updated": float}
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_gates: dict[str, dict[str, Any]] = {}
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def _safe_float(v: Any) -> float | None:
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if v is None or v == "":
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return None
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try:
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return float(v)
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except (TypeError, ValueError):
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return None
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def _normalize_premium_ccy(premium_ccy: str | None) -> str:
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ccy = (premium_ccy or "USDC").strip().upper() or "USDC"
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if ccy not in ("ETH", "BTC", "USDC"):
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ccy = "USDC"
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return ccy
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def _to_usdt(amount: float | None, ccy: str, index_px: float | None) -> float | None:
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if amount is None:
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return None
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unit = _normalize_premium_ccy(ccy)
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if unit in ("ETH", "BTC"):
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idx = _safe_float(index_px)
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if idx is None or idx <= 0:
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return None
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return float(amount) * float(idx)
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return float(amount)
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def _fmt_gate_amt(v: float, *, ccy: str) -> str:
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unit = _normalize_premium_ccy(ccy)
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if unit in ("ETH", "BTC"):
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txt = f"{float(v):.8f}".rstrip("0").rstrip(".")
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return txt or "0"
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return f"{float(v):.4f}"
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def _fmt_usdt(v: float | None) -> str:
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if v is None:
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return "—"
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return f"{float(v):.2f}"
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def clear_close_gate(inst_id: str | None = None) -> None:
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with _lock:
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if inst_id:
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_gates.pop(str(inst_id).strip(), None)
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else:
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_gates.clear()
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def mark_close_gate_passed(inst_id: str) -> None:
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"""标记同仓已通过门控,续批平仓只验流动性."""
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inst = (inst_id or "").strip()
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if not inst:
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return
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with _lock:
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st = _gates.get(inst) or {}
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st["passed"] = True
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st["updated"] = time.time()
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_gates[inst] = st
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def is_close_gate_passed(inst_id: str) -> bool:
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inst = (inst_id or "").strip()
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if not inst:
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return False
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with _lock:
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return bool((_gates.get(inst) or {}).get("passed"))
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def update_close_gate(
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inst_id: str,
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*,
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recycle_usdc: float | None,
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premium_paid: float | None,
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now: float | None = None,
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min_mult: float | None = None,
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hold_seconds: float | None = None,
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premium_ccy: str | None = None,
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index_px: float | None = None,
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) -> dict[str, Any]:
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"""
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根据当前买盘可回收金额刷新门控(比较口径均为 USDT 估值).
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premium 模式:可回收(U) ≥ 权利金(U) × 倍数
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net_pnl 模式:净盈亏(U) > OKX_OPTIONS_CLOSE_NET_PNL_MIN_U
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"""
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inst = (inst_id or "").strip()
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if not inst:
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return {
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"ok": False,
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"ready": False,
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"recycle_ok": False,
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"msg": "缺少合约",
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}
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ts = float(now if now is not None else time.time())
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mode = close_gate_mode()
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hold = float(hold_seconds if hold_seconds is not None else CLOSE_RECYCLE_HOLD_SECONDS)
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if hold < 0:
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hold = 0.0
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with _lock:
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prev_ccy = (_gates.get(inst) or {}).get("premium_ccy")
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ccy = _normalize_premium_ccy(premium_ccy or prev_ccy)
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mult = resolve_close_recycle_mult(ccy, min_mult)
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min_pnl_u = close_net_pnl_min_u()
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prem = _safe_float(premium_paid)
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recv = _safe_float(recycle_usdc)
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recv_u = _to_usdt(recv, ccy, index_px)
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prem_u = _to_usdt(prem, ccy, index_px)
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net_u = round(recv_u - prem_u, 4) if recv_u is not None and prem_u is not None else None
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need_u = round(prem_u * mult, 4) if prem_u is not None and prem_u > 0 and mode == "premium" else None
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missing_index = ccy in ("ETH", "BTC") and (index_px is None or _safe_float(index_px) is None or _safe_float(index_px) <= 0)
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if missing_index and prem is not None and prem > 0 and recv is not None:
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recycle_ok = False
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elif mode == "net_pnl":
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recycle_ok = bool(net_u is not None and net_u > min_pnl_u + 1e-9)
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else:
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recycle_ok = bool(
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prem_u is not None
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and prem_u > 0
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and recv_u is not None
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and need_u is not None
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and recv_u + 1e-9 >= need_u
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)
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with _lock:
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prev = _gates.get(inst) or {}
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ok_since = prev.get("ok_since")
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if recycle_ok:
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if ok_since is None:
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ok_since = ts
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else:
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ok_since = None
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held = (ts - float(ok_since)) if ok_since is not None else 0.0
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ready = bool(recycle_ok and held + 1e-9 >= hold)
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prev_passed = bool(prev.get("passed"))
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passed = prev_passed or ready
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state = {
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"ok_since": ok_since,
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"recycle": recv,
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"premium": prem,
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"need": need_u,
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"updated": ts,
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"min_mult": mult,
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"hold_seconds": hold,
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"passed": passed,
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"premium_ccy": ccy,
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"gate_mode": mode,
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"index_px": _safe_float(index_px),
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"recycle_usdt": recv_u,
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"premium_usdt": prem_u,
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"need_recycle_usdt": need_u,
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"net_pnl_usdt": net_u,
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"net_pnl_min_u": min_pnl_u if mode == "net_pnl" else None,
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}
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_gates[inst] = state
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remain = max(0.0, hold - held) if recycle_ok and not ready else None
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if prem is None or prem <= 0:
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msg = "缺少权利金,无法校验平仓门控"
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elif recv is None:
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msg = "暂无有效买盘可回收金额"
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elif missing_index:
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msg = "缺少指数价,无法按 USDT 校验目标平仓门控"
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elif mode == "net_pnl":
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if not recycle_ok:
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msg = (
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f"净盈亏 {_fmt_usdt(net_u)}U(估) ≤ {_fmt_usdt(min_pnl_u)}U,"
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f"目标平仓门控未过"
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)
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elif not ready:
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msg = (
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f"净盈亏 {_fmt_usdt(net_u)}U(估) 已>{_fmt_usdt(min_pnl_u)}U,"
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f"需再持续 {remain:.0f}s(已 {held:.0f}/{hold:.0f}s)门控才通过"
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)
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else:
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msg = (
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f"净盈亏 {_fmt_usdt(net_u)}U(估) 已>{_fmt_usdt(min_pnl_u)}U"
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f"且持续≥{hold:.0f}s,目标触达后可按买一平仓"
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)
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elif not recycle_ok:
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msg = (
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f"可回收 {_fmt_usdt(recv_u)}U(估) < 权利金×{mult:g}"
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f"({_fmt_usdt(need_u)}U),目标平仓门控未过"
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)
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elif not ready:
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msg = (
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f"可回收 {_fmt_usdt(recv_u)}U(估) 已达×{mult:g}"
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f"({_fmt_usdt(recv_u)}/{_fmt_usdt(need_u)}U),"
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f"需再持续 {remain:.0f}s(已 {held:.0f}/{hold:.0f}s)门控才通过"
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)
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else:
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msg = (
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f"可回收 {_fmt_usdt(recv_u)}U(估) 已达×{mult:g}且持续≥{hold:.0f}s,"
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f"目标触达后可按买一平仓"
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)
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auto_blocked = not (ready or passed)
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return {
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"ok": True,
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"ready": ready,
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"passed": passed,
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"recycle_ok": recycle_ok,
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"recycle_usdc": recv,
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"premium_paid": prem,
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"need_recycle_usdc": need_u,
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"premium_ccy": ccy,
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"min_mult": mult,
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"hold_seconds": hold,
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"held_seconds": round(held, 1) if recycle_ok else 0.0,
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"remain_seconds": round(remain, 1) if remain is not None else None,
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"ok_since": ok_since,
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"msg": msg,
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"gate_mode": mode,
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"index_px": _safe_float(index_px),
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"recycle_usdt": recv_u,
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"premium_usdt": prem_u,
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"need_recycle_usdt": need_u,
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"net_pnl_usdt": net_u,
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"net_pnl_min_u": min_pnl_u if mode == "net_pnl" else None,
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"auto_close_blocked": auto_blocked,
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"close_gate_blocked": auto_blocked,
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}
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def check_close_gate(
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inst_id: str,
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*,
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recycle_usdc: float | None = None,
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premium_paid: float | None = None,
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premium_ccy: str | None = None,
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index_px: float | None = None,
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refresh: bool = True,
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) -> dict[str, Any]:
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"""检查是否允许平仓;默认先用最新回收/权利金刷新."""
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inst = (inst_id or "").strip()
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if refresh:
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if recycle_usdc is None or premium_paid is None or premium_ccy is None or index_px is None:
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with _lock:
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prev = _gates.get(inst) or {}
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if recycle_usdc is None:
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recycle_usdc = prev.get("recycle")
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if premium_paid is None:
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premium_paid = prev.get("premium")
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if premium_ccy is None:
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premium_ccy = prev.get("premium_ccy")
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if index_px is None:
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index_px = prev.get("index_px")
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return update_close_gate(
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inst,
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recycle_usdc=recycle_usdc,
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premium_paid=premium_paid,
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premium_ccy=premium_ccy,
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index_px=index_px,
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)
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with _lock:
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prev = _gates.get(inst)
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if not prev:
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return update_close_gate(
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inst,
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recycle_usdc=recycle_usdc,
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premium_paid=premium_paid,
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premium_ccy=premium_ccy,
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index_px=index_px,
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)
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return update_close_gate(
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inst,
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recycle_usdc=recycle_usdc if recycle_usdc is not None else prev.get("recycle"),
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premium_paid=premium_paid if premium_paid is not None else prev.get("premium"),
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premium_ccy=premium_ccy if premium_ccy is not None else prev.get("premium_ccy"),
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index_px=index_px if index_px is not None else prev.get("index_px"),
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)
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