Initial standalone crypto_okx with one-click deploy.
Add deploy/manage.sh bootstrap for git.bz121.com/dekun/crypto_okx and point docs at this repo. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
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"""永期「以期权为主」:定仓、方向映射、目标位与净利口径(纯函数为主)."""
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from __future__ import annotations
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import math
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import os
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from typing import Any, Optional
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PREMIUM_EXEC_FACTOR = 0.95
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DEFAULT_MIN_HOURS = 36.0
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DEFAULT_STRIKE_INTERVAL = 15.0
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DEFAULT_PERP_LEVERAGE = 100
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DEFAULT_OPT_LEVERAGE_ITM_ATM = 100.0
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DEFAULT_OPT_LEVERAGE_OTM = 200.0
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DEFAULT_RATIO_ITM_ATM = 2.0
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DEFAULT_RATIO_OTM = 4.0
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OTM_LEV_FLOOR = 180.0
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def _sf(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 is_option_primary(body_or_plan: dict[str, Any] | None) -> bool:
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if not body_or_plan:
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return False
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v = body_or_plan.get("option_primary")
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if v in (True, 1, "1", "true", "yes", "on"):
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return True
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try:
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return int(v or 0) == 1
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except (TypeError, ValueError):
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return False
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def fee_rate() -> float:
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try:
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return max(0.0, float(os.getenv("HEDGE_PLAN_FEE_RATE") or os.getenv("OKX_TAKER_FEE") or "0.0005"))
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except (TypeError, ValueError):
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return 0.0005
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def floor2(v: float) -> float:
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"""ETH 数量向下取两位小数."""
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if v <= 0:
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return 0.0
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return math.floor(float(v) * 100.0 + 1e-12) / 100.0
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def opt_type_for_view(direction: str) -> str:
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"""看法做多→Call,做空→Put."""
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return "P" if str(direction or "").strip().lower() == "short" else "C"
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def perp_direction_for_view(direction: str) -> str:
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"""看法做多→永续空,做空→永续多."""
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return "long" if str(direction or "").strip().lower() == "short" else "short"
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def default_opt_leverage(moneyness: str) -> float:
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m = (moneyness or "").strip().lower()
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return DEFAULT_OPT_LEVERAGE_OTM if m == "otm" else DEFAULT_OPT_LEVERAGE_ITM_ATM
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def default_ratio(moneyness: str) -> float:
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m = (moneyness or "").strip().lower()
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return DEFAULT_RATIO_OTM if m == "otm" else DEFAULT_RATIO_ITM_ATM
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def effective_min_opt_leverage(moneyness: str, configured: Any) -> float:
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cfg = _sf(configured)
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base = cfg if cfg is not None and cfg > 0 else default_opt_leverage(moneyness)
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if (moneyness or "").strip().lower() == "otm":
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return max(base, OTM_LEV_FLOOR)
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return base
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def hours_to_expiry_from_ms(exp_ms: Any, *, now_ms: Optional[float] = None) -> Optional[float]:
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exp = _sf(exp_ms)
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if exp is None or exp <= 0:
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return None
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# OKX exp 多为毫秒
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if exp < 1e12:
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exp *= 1000.0
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now = now_ms if now_ms is not None else __import__("time").time() * 1000.0
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return (exp - now) / 3600000.0
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def target_hit(*, view_side: str, index_px: float, strike: float, points: float) -> bool:
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"""相对 K 的点数目标:做多 index≥K+N;做空 index≤K−N.点数须 >0."""
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n = float(points or 0)
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k = float(strike)
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s = float(index_px)
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if n <= 0 or k <= 0 or s <= 0:
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return False
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side = str(view_side or "").strip().lower()
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if side == "short":
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return s <= (k - n)
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return s >= (k + n)
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def option_bid_liquidity_ok(bid: Any, bid_sz: Any, *, need_sheets: float = 0) -> tuple[bool, str]:
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b = _sf(bid)
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if b is None or b <= 0:
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return False, "暂无买一报价,无法平期权"
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sz = _sf(bid_sz)
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if sz is not None and sz <= 0:
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return False, "买一深度为 0,无法平期权"
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need = float(need_sheets or 0)
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if need > 0 and sz is not None and sz + 1e-12 < need:
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return False, f"买一深度不足(需 {need:g} 张,买一 {sz:g})"
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return True, ""
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def size_from_premium(
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*,
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premium_budget: float,
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ask: float,
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ct_mult: float,
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ratio: float,
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contract_size: float,
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exec_factor: float = PREMIUM_EXEC_FACTOR,
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) -> dict[str, Any]:
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"""权利金×0.95 → ETH 两位小数 → 期权张 → 永续跟比例."""
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budget = float(premium_budget or 0)
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a = float(ask or 0)
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ct = float(ct_mult or 0.01)
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r = float(ratio or 0)
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cs = float(contract_size or 0.01)
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usable = budget * float(exec_factor or PREMIUM_EXEC_FACTOR)
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if budget <= 0 or a <= 0 or ct <= 0 or r <= 0 or cs <= 0:
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return {
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"ok": False,
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"msg": "定仓参数无效",
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"usable_premium": round(usable, 4),
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"eth_qty": 0.0,
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"sheets": 0.0,
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"perp_eth": 0.0,
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"contracts": 0.0,
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}
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# ask 为每 1 币权利金;ETH 数量 = usable / ask
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eth_qty = floor2(usable / a)
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if eth_qty <= 0:
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return {
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"ok": False,
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"msg": "权利金不足以买入 0.01 ETH 名义期权",
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"usable_premium": round(usable, 4),
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"eth_qty": 0.0,
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"sheets": 0.0,
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"perp_eth": 0.0,
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"contracts": 0.0,
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}
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sheets = eth_qty / ct
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# 张数向下取整到整数张(OKX 期权常见整张)
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sheets_i = float(math.floor(sheets + 1e-12))
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if sheets_i <= 0:
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return {
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"ok": False,
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"msg": "换算期权张数不足 1 张",
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"usable_premium": round(usable, 4),
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"eth_qty": eth_qty,
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"sheets": 0.0,
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"perp_eth": 0.0,
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"contracts": 0.0,
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}
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# 用整张回写 ETH,保持与下单一致
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eth_qty = round(sheets_i * ct, 2)
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perp_eth = eth_qty / r
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contracts = perp_eth / cs
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premium_est = a * sheets_i * ct
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return {
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"ok": True,
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"msg": "",
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"usable_premium": round(usable, 4),
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"eth_qty": eth_qty,
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"sheets": sheets_i,
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"perp_eth": round(perp_eth, 6),
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"contracts": contracts,
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"premium_est": round(premium_est, 4),
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"ratio": r,
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"exec_factor": float(exec_factor or PREMIUM_EXEC_FACTOR),
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}
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def estimate_combo_net_pnl(
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*,
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view_side: str,
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strike: float,
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index_px: float,
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ask_open: float,
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bid: float,
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sheets: float,
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ct_mult: float,
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perp_direction: str,
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perp_entry: float,
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perp_mark: float,
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contracts: float,
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contract_size: float,
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fee: Optional[float] = None,
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) -> dict[str, Any]:
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"""组合净利(扣费);平仓/卖出手续费按买入费率估算."""
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fr = fee if fee is not None else fee_rate()
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ct = float(ct_mult or 0.01)
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sh = float(sheets or 0)
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a = float(ask_open or 0)
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b = float(bid or 0)
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premium = a * sh * ct
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opt_proceeds = b * sh * ct
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opt_open_fee = premium * fr
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opt_close_fee = opt_proceeds * fr # 卖出费用按买入费率
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opt_net = opt_proceeds - premium - opt_open_fee - opt_close_fee
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coins = float(contracts or 0) * float(contract_size or 0.01)
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entry = float(perp_entry or 0)
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mark = float(perp_mark or 0)
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pd = str(perp_direction or "").strip().lower()
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if pd == "short":
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perp_gross = (entry - mark) * coins
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else:
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perp_gross = (mark - entry) * coins
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perp_notional_open = abs(entry * coins)
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perp_notional_close = abs(mark * coins)
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perp_open_fee = perp_notional_open * fr
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perp_close_fee = perp_notional_close * fr
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perp_net = perp_gross - perp_open_fee - perp_close_fee
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total = opt_net + perp_net
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return {
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"opt_net": round(opt_net, 4),
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"perp_net": round(perp_net, 4),
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"net": round(total, 4),
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"fee_rate": fr,
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"premium": round(premium, 4),
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"opt_proceeds": round(opt_proceeds, 4),
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}
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def validate_option_primary_moneyness(
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*,
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opt_type: str,
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strike: Any,
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index_px: Any,
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ask: Any = None,
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moneyness: str = "atm",
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strike_interval: Any = DEFAULT_STRIKE_INTERVAL,
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min_hours: Any = DEFAULT_MIN_HOURS,
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hours_to_expiry: Any = None,
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min_opt_leverage: Any = None,
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) -> Optional[str]:
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from lib.hedge_plan.hedge_plan_moneyness_lib import (
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classify_moneyness,
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is_atm_or_otm,
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is_itm_or_atm,
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normalize_opt_type,
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)
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o = normalize_opt_type(opt_type)
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k = _sf(strike)
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s = _sf(index_px)
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if o not in ("C", "P"):
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return "期权类型无效"
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if k is None or s is None or s <= 0:
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return "行权价或指数无效"
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m_want = (moneyness or "atm").strip().lower()
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m_got = classify_moneyness(opt_type=o, strike=k, index_px=s)
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if m_want == "itm":
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if not is_itm_or_atm(opt_type=o, strike=k, index_px=s):
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return "所选须为实值或平值"
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elif m_want == "atm":
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# 平值:距指数在间隔内即可(不强制 classify==atm)
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pass
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elif m_want == "otm":
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if m_got == "itm":
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return "虚值模式不可选实值"
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if not is_atm_or_otm(opt_type=o, strike=k, index_px=s):
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return "虚值模式须选虚值或平值档"
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else:
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return "期权类型(实/平/虚)无效"
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interval = float(_sf(strike_interval) or DEFAULT_STRIKE_INTERVAL)
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if interval > 0 and abs(k - s) > interval + 1e-9:
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return f"行权价偏离指数 {abs(k - s):.1f} > 间隔 {interval:.0f}"
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min_h = float(_sf(min_hours) or DEFAULT_MIN_HOURS)
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h = _sf(hours_to_expiry)
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if min_h > 0 and h is not None and h < min_h:
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return f"剩余到期约 {h:.1f}h,低于最短 {min_h:.0f}h"
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a = _sf(ask)
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min_lev = effective_min_opt_leverage(m_want if m_want != "atm" else m_got or "atm", min_opt_leverage)
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if min_lev > 0 and a is not None and a > 0:
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lev = s / a
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if lev < min_lev:
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return f"期权杠杆 S/ask≈{lev:.0f} 低于门槛 {min_lev:.0f}"
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return None
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def validate_option_primary_watch(body: dict[str, Any]) -> Optional[str]:
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"""盯盘启动校验:只要参数,不要求已选具体合约."""
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need = (
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"direction",
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"exchange_symbol",
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"premium_budget",
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"option_target_points",
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"perp_target_points",
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"option_perp_ratio",
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"option_leverage",
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)
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for k in need:
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if body.get(k) in (None, ""):
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return f"缺少字段: {k}"
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try:
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if float(body["premium_budget"]) <= 0:
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return "权利金须大于 0"
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if float(body["option_target_points"]) <= 0 or float(body["perp_target_points"]) <= 0:
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return "目标位点数须大于 0"
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if float(body["option_perp_ratio"]) <= 0:
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return "期权永续比例须大于 0"
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if float(body["option_leverage"]) <= 0:
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return "期权杠杆须大于 0"
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lev_perp = _sf(body.get("leverage"))
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if lev_perp is not None and lev_perp <= 0:
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return "永续杠杆须大于 0"
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except (TypeError, ValueError):
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return "数值字段无效"
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direction = str(body.get("direction") or "").strip().lower()
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if direction not in ("long", "short"):
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return "方向须为 long 或 short"
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moneyness = str(body.get("moneyness") or body.get("option_moneyness") or "otm").strip().lower()
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if moneyness not in ("itm", "atm", "otm"):
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return "期权类型(实/平/虚)无效"
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return None
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def validate_option_primary_start(body: dict[str, Any]) -> Optional[str]:
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need = (
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"direction",
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"contracts",
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"opt_inst_id",
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"sheets",
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"exchange_symbol",
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"premium_budget",
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"option_target_points",
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"perp_target_points",
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"option_perp_ratio",
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)
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for k in need:
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if body.get(k) in (None, ""):
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return f"缺少字段: {k}"
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try:
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if float(body["contracts"]) <= 0 or float(body["sheets"]) <= 0:
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return "张数必须大于 0"
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if float(body["premium_budget"]) <= 0:
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return "权利金须大于 0"
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if float(body["option_target_points"]) <= 0 or float(body["perp_target_points"]) <= 0:
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return "目标位点数须大于 0"
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if float(body["option_perp_ratio"]) <= 0:
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return "期权永续比例须大于 0"
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except (TypeError, ValueError):
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return "数值字段无效"
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direction = str(body.get("direction") or "").strip().lower()
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if direction not in ("long", "short"):
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return "方向须为 long 或 short"
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opt_type = str(body.get("opt_type") or "").strip().upper()
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if not opt_type:
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inst = str(body.get("opt_inst_id") or "")
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if inst.upper().endswith("-P"):
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opt_type = "P"
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elif inst.upper().endswith("-C"):
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opt_type = "C"
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want = opt_type_for_view(direction)
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if opt_type != want:
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return f"以期权为主时做{'多' if direction == 'long' else '空'}须用 {'Call' if want == 'C' else 'Put'}"
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moneyness = str(body.get("moneyness") or body.get("option_moneyness") or "otm").strip().lower()
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from lib.hedge_plan.hedge_plan_moneyness_lib import parse_strike_from_inst
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strike = body.get("strike")
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if strike in (None, ""):
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strike = parse_strike_from_inst(str(body.get("opt_inst_id") or ""))
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index_px = body.get("index_px") or body.get("entry")
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return validate_option_primary_moneyness(
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opt_type=opt_type,
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strike=strike,
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index_px=index_px,
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ask=body.get("ask"),
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moneyness=moneyness,
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strike_interval=body.get("strike_interval", DEFAULT_STRIKE_INTERVAL),
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min_hours=body.get("min_option_hours", DEFAULT_MIN_HOURS),
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hours_to_expiry=body.get("hours_to_expiry"),
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min_opt_leverage=body.get("option_leverage") or body.get("min_opt_leverage"),
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)
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def pick_option_primary_candidate(
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chain: dict[str, Any],
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*,
|
||||
direction: str,
|
||||
moneyness: str = "otm",
|
||||
strike_interval: Any = DEFAULT_STRIKE_INTERVAL,
|
||||
min_hours: Any = DEFAULT_MIN_HOURS,
|
||||
min_opt_leverage: Any = None,
|
||||
) -> Optional[dict[str, Any]]:
|
||||
"""从期权链挑最近达标合约(间隔+虚实值+杠杆门)."""
|
||||
from lib.hedge_plan.hedge_plan_moneyness_lib import classify_moneyness
|
||||
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||||
want = opt_type_for_view(direction)
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m_want = (moneyness or "otm").strip().lower()
|
||||
interval = float(_sf(strike_interval) or DEFAULT_STRIKE_INTERVAL)
|
||||
min_h = float(_sf(min_hours) or DEFAULT_MIN_HOURS)
|
||||
try:
|
||||
idx = float(chain.get("index_px") or 0)
|
||||
except (TypeError, ValueError):
|
||||
idx = 0.0
|
||||
if idx <= 0:
|
||||
return None
|
||||
|
||||
best: Optional[dict[str, Any]] = None
|
||||
best_dist: Optional[float] = None
|
||||
for exp in chain.get("expiries") or []:
|
||||
h = hours_to_expiry_from_ms(exp.get("exp_time"))
|
||||
if min_h > 0 and h is not None and h < min_h:
|
||||
continue
|
||||
for c in exp.get("contracts") or []:
|
||||
if str(c.get("opt_type") or "").upper() != want:
|
||||
continue
|
||||
try:
|
||||
k = float(c.get("strike") or 0)
|
||||
ask = float(c.get("ask") or 0)
|
||||
except (TypeError, ValueError):
|
||||
continue
|
||||
if k <= 0 or ask <= 0:
|
||||
continue
|
||||
if interval > 0 and abs(k - idx) > interval + 1e-9:
|
||||
continue
|
||||
m_got = classify_moneyness(opt_type=want, strike=k, index_px=idx)
|
||||
if m_want == "itm" and m_got not in ("itm", "atm"):
|
||||
continue
|
||||
if m_want == "atm" and m_got != "atm":
|
||||
continue
|
||||
if m_want == "otm" and m_got == "itm":
|
||||
continue
|
||||
min_lev = effective_min_opt_leverage(m_want if m_want != "atm" else (m_got or "atm"), min_opt_leverage)
|
||||
if min_lev > 0 and idx / ask < min_lev - 1e-9:
|
||||
continue
|
||||
dist = abs(k - idx)
|
||||
if best is None or best_dist is None or dist < best_dist:
|
||||
best = {
|
||||
**dict(c),
|
||||
"hours_to_expiry": h,
|
||||
"exp_time": exp.get("exp_time"),
|
||||
"moneyness": m_got,
|
||||
"index_px": idx,
|
||||
"leverage": round(idx / ask, 1),
|
||||
}
|
||||
best_dist = dist
|
||||
return best
|
||||
|
||||
|
||||
def build_option_primary_preview(body: dict[str, Any]) -> dict[str, Any]:
|
||||
"""情景:期权目标 / 永续目标粗估净利."""
|
||||
view = str(body.get("direction") or "long").lower()
|
||||
strike = float(body["strike"])
|
||||
n = float(body.get("option_target_points") or 0)
|
||||
m = float(body.get("perp_target_points") or 0)
|
||||
ask = float(body.get("ask") or 0)
|
||||
sheets = float(body.get("sheets") or 0)
|
||||
ct = float(body.get("ct_mult") or 0.01)
|
||||
contracts = float(body.get("contracts") or 0)
|
||||
cs = float(body.get("contract_size") or 0.01)
|
||||
entry = float(body.get("entry") or body.get("index_px") or 0)
|
||||
perp_dir = perp_direction_for_view(view)
|
||||
# 粗估到点时期权卖价:按内在价值近似(下限 0)
|
||||
def intrinsic(spot: float) -> float:
|
||||
o = opt_type_for_view(view)
|
||||
if o == "C":
|
||||
return max(0.0, spot - strike)
|
||||
return max(0.0, strike - spot)
|
||||
|
||||
scenarios = []
|
||||
for label, pts, reason in (
|
||||
("期权目标", n, "opt_target_points"),
|
||||
("永续目标", m, "perp_target_points"),
|
||||
):
|
||||
spot = strike + pts if view != "short" else strike - pts
|
||||
bid_est = max(ask * 0.5, intrinsic(spot) * 0.85) # 保守估价
|
||||
net = estimate_combo_net_pnl(
|
||||
view_side=view,
|
||||
strike=strike,
|
||||
index_px=spot,
|
||||
ask_open=ask,
|
||||
bid=bid_est,
|
||||
sheets=sheets,
|
||||
ct_mult=ct,
|
||||
perp_direction=perp_dir,
|
||||
perp_entry=entry,
|
||||
perp_mark=spot,
|
||||
contracts=contracts,
|
||||
contract_size=cs,
|
||||
)
|
||||
scenarios.append(
|
||||
{
|
||||
"label": label,
|
||||
"reason": reason,
|
||||
"index": spot,
|
||||
"perp_pnl": net["perp_net"],
|
||||
"options_pnl": net["opt_net"],
|
||||
"total": net["net"],
|
||||
"note": "扣费净利估价;平仓费按买入费率",
|
||||
}
|
||||
)
|
||||
premium = ask * sheets * ct
|
||||
return {
|
||||
"plan_type": "perp_options",
|
||||
"option_primary": True,
|
||||
"summary": {
|
||||
"premium_paid": round(premium, 4),
|
||||
"usable_premium": round(float(body.get("premium_budget") or 0) * PREMIUM_EXEC_FACTOR, 4),
|
||||
"opt_target_total": scenarios[0]["total"] if scenarios else None,
|
||||
"perp_target_total": scenarios[1]["total"] if len(scenarios) > 1 else None,
|
||||
"perp_direction": perp_dir,
|
||||
"opt_type": opt_type_for_view(view),
|
||||
},
|
||||
"scenarios": scenarios,
|
||||
}
|
||||
Reference in New Issue
Block a user