11 Commits

Author SHA1 Message Date
dekun 0acba5e351 移除全部对冲计划模块:crypto_okx 改为币本位单独期权执行机。
交易模式锁定 options;okx_trade_mode / 到期盈亏迁入 options;保留期权/桥/关键位/企微与中控预留快照口径。恢复点:backup/before-remove-hedge 与 tag backup-before-remove-hedge-20260930。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-30 23:20:21 +08:00
dekun 8a62cfbb48 修复比特币期权浮盈把币数量当成 U:看板/中控改为按指数折 USDT。
币本位 BTC/ETH 净盈亏须 × 指数后再标 U;并兜底从合约推断 premium_ccy,避免缺失时漏折算。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-30 22:01:41 +08:00
dekun 41c85c36a9 澄清翻倍出场文案:按当前倍数显示需回收公式,避免误读成按1倍算。
Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-30 21:59:25 +08:00
dekun 06f9b23f44 修复翻倍出场达标却不自动平:对冲异常不再整段跳过,并按买一价×全仓判定。
原先对冲表异常会直接 return 0 导致翻倍出场永不执行;可回收改为买一价×全部张数,买一深度不足时仍会触发分批平仓。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-30 21:54:00 +08:00
dekun a03c208a5f 修复模拟盘期权历史分批平仓盈亏:用卖平成交重算已平记录。
加载历史前按 sim_option_orders(或钱包流水)合计各批收回,纠正只记最后一笔的旧数据。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-24 21:25:31 +08:00
dekun a7015ec5c8 修复期权分批平仓只记最后一笔收回导致盈亏漏算。
每次部分成交累加权利金与张数,全平后再合计 realized_pnl,并优先匹配交易所全平历史。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-24 21:13:05 +08:00
dekun f5104fe68b 修复翻倍/目标位平仓把备注写进平仓时间:纠正 SQL 参数顺序并自动对调历史坏数据。
Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-16 05:48:42 +08:00
dekun c5cfbb34e4 README 增加新机纯实盘部署文档入口。
Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-15 12:28:31 +08:00
dekun ea58a4778e 新增新机纯实盘部署文档,并与部署/使用说明互相链接。
Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-15 12:28:16 +08:00
dekun d16821c7b7 模拟盘无 API Key 时复盘K线改为优先走 OKX 公开行情接口。
Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-15 12:16:06 +08:00
dekun d6bb99b5bb 移植期权复盘自动K线、时区修复与保存后轮询展示,与今日 crypto_monitor 改动对齐。
Co-authored-by: Cursor <cursoragent@cursor.com>
2026-09-15 11:51:41 +08:00
54 changed files with 12823 additions and 21112 deletions
+1 -1
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@@ -20,7 +20,7 @@ curl -fsSL https://git.bz121.com/dekun/crypto_okx/raw/branch/main/deploy/manage.
安装到 `/opt/crypto_okx`,PM2 进程名 `crypto_okx`,默认端口 **5004**.
详见 **[部署文档.md](./部署文档.md)**、**[deploy/README.md](./deploy/README.md)**.
详见 **[部署文档.md](./部署文档.md)**、**[新机纯实盘部署.md](./新机纯实盘部署.md)**、**[deploy/README.md](./deploy/README.md)**.
## 环境要求
+7547 -7454
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+17 -1
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@@ -1674,6 +1674,21 @@
return fmt(n, 2) + "倍";
}
function profitExitHint(mult, req, premCcy) {
const n = Number(mult);
const m = Number.isFinite(n) && n > 0 ? n : 1;
const needFactor = 1 + m;
const factorTxt = Math.abs(needFactor - Math.round(needFactor)) < 1e-9
? String(Math.round(needFactor))
: fmt(needFactor, 2);
let hint = formatProfitExitMultLabel(m) + "=盈利达权利金×" + fmt(m, 2)
+ " → 需回收≥权利金×" + factorTxt;
if (req != null) {
hint += " · 即≥" + fmtPremiumAmt(req, premCcy) + " " + premCcy;
}
return hint;
}
function renderProfitExitRow(p) {
const inst = p.inst_id || "";
if (p.hedge_plan_target) {
@@ -1694,6 +1709,7 @@
const statePe = String(p.profit_exit_state || (enabled ? "active" : "idle"));
const req = p.profit_exit_required_recycle;
const premCcy = posPremiumCcy(p);
const hintMult = Number.isFinite(multNum) && multNum > 0 ? multNum : serverMult;
let statusTxt = enabled ? ("监控中 · " + multLabel) : "未开启";
if (enabled && statePe === "closing") statusTxt = "平仓挂单中 · " + multLabel;
return (
@@ -1710,7 +1726,7 @@
'<span class="opt-target-armed">' + statusTxt + "</span>" +
'<span class="muted opt-target-row-hint">' +
(enabled
? ("1倍=盈利=权利金" + (req != null ? (" · 需回收≥" + fmtPremiumAmt(req, premCcy) + " " + premCcy) : ""))
? profitExitHint(hintMult, req, premCcy)
: "开启后自选倍数;达标按买一限价平;可随时关闭") +
"</span>" +
"</div>"
+139 -17
View File
@@ -582,31 +582,103 @@
}
}
var detailChartPollTimer = null;
var detailChartPollTradeId = 0;
function hideDetail() {
hideLightbox();
stopDetailChartPoll();
var backdrop = $("or-detail-backdrop");
if (backdrop) backdrop.hidden = true;
}
function openDetail(tradeId) {
function stopDetailChartPoll() {
if (detailChartPollTimer) {
clearTimeout(detailChartPollTimer);
detailChartPollTimer = null;
}
detailChartPollTradeId = 0;
}
function tradeHasAutoChart(t) {
var images = ((t && t.entry) || {}).images || [];
for (var i = 0; i < images.length; i++) {
var tf = String((images[i] && images[i].tf) || "").trim();
var file = String((images[i] && images[i].file) || "").trim();
if (tf === "auto" && file) return true;
}
return false;
}
function openDetail(tradeId, opts) {
opts = opts || {};
var waitAuto = !!opts.waitAutoChart;
var backdrop = $("or-detail-backdrop");
if (!backdrop) return;
stopDetailChartPoll();
backdrop.hidden = false;
($("or-detail-title") || {}).textContent = "加载中…";
($("or-detail-meta") || {}).innerHTML = "";
($("or-detail-text") || {}).innerHTML = "";
($("or-detail-images") || {}).innerHTML = "";
($("or-detail-images") || {}).innerHTML = waitAuto
? '<div class="or-detail-img-cell"><span class="or-detail-img-label">自动K线</span><div class="or-detail-img-miss">生成中…</div></div>'
: "";
fetch("/api/options/review/trades/" + tradeId, { credentials: "same-origin" })
.then(function (r) {
function applyTrade(trade, pendingAuto) {
renderDetail(trade, { pendingAuto: !!pendingAuto });
}
function fetchOnce() {
return fetch("/api/options/review/trades/" + tradeId, {
credentials: "same-origin",
}).then(function (r) {
return r.json();
})
});
}
fetchOnce()
.then(function (data) {
if (!data.ok || !data.trade) {
($("or-detail-title") || {}).textContent = "加载失败";
return;
}
renderDetail(data.trade);
if (!waitAuto || tradeHasAutoChart(data.trade)) {
applyTrade(data.trade, false);
return;
}
applyTrade(data.trade, true);
detailChartPollTradeId = tradeId;
var tries = 0;
var maxTries = 20;
function poll() {
if (detailChartPollTradeId !== tradeId) return;
tries += 1;
fetchOnce()
.then(function (again) {
if (detailChartPollTradeId !== tradeId) return;
if (again.ok && again.trade && tradeHasAutoChart(again.trade)) {
stopDetailChartPoll();
applyTrade(again.trade, false);
loadReviewed({ sync: false, soft: true });
return;
}
if (tries >= maxTries) {
stopDetailChartPoll();
applyTrade((again && again.trade) || data.trade, false);
return;
}
detailChartPollTimer = setTimeout(poll, 1500);
})
.catch(function () {
if (detailChartPollTradeId !== tradeId) return;
if (tries >= maxTries) {
stopDetailChartPoll();
return;
}
detailChartPollTimer = setTimeout(poll, 1500);
});
}
detailChartPollTimer = setTimeout(poll, 1200);
})
.catch(function () {
($("or-detail-title") || {}).textContent = "加载失败";
@@ -626,9 +698,29 @@
return base + encodeURIComponent(name);
}
function renderDetailImages(images) {
function chartTfLabel(tf) {
if (tf === "auto") return "自动K线";
if (tf === "_") return "截图";
return tf;
}
function setChartOptionsVisible(visible) {
var box = $("or-chart-options");
var hint = $("or-chart-hint");
if (box) box.classList.toggle("hidden", !visible);
if (hint) hint.classList.toggle("hidden", !visible);
}
function resetChartOptions() {
var cb = $("or-exchange-chart");
if (cb) cb.checked = false;
}
function renderDetailImages(images, opts) {
var imagesHost = $("or-detail-images");
if (!imagesHost) return;
opts = opts || {};
var pendingAuto = !!opts.pendingAuto;
var byTf = {};
(images || []).forEach(function (img) {
var tf = String((img && img.tf) || "").trim();
@@ -637,16 +729,29 @@
var key = tf || "_";
byTf[key] = file;
});
var order = ["5m", "15m", "1h", "4h"];
// 互斥:有自动K线只显示自动;否则只显示手动四周期
var hasAuto = !!byTf.auto;
if (pendingAuto && !hasAuto) {
imagesHost.innerHTML =
'<div class="or-detail-img-cell">' +
'<span class="or-detail-img-label">自动K线</span>' +
'<div class="or-detail-img-miss">生成中…</div>' +
"</div>";
return;
}
var order = hasAuto ? ["auto"] : ["5m", "15m", "1h", "4h"];
var keys = order.slice();
Object.keys(byTf).forEach(function (k) {
if (keys.indexOf(k) < 0) keys.push(k);
});
if (!hasAuto) {
Object.keys(byTf).forEach(function (k) {
if (k === "auto") return;
if (keys.indexOf(k) < 0) keys.push(k);
});
}
var cells = keys
.map(function (tf) {
var file = byTf[tf];
if (!file) {
if (order.indexOf(tf) < 0) return "";
if (hasAuto || order.indexOf(tf) < 0) return "";
return (
'<div class="or-detail-img-cell">' +
'<span class="or-detail-img-label">' +
@@ -657,7 +762,7 @@
);
}
var src = optionsJournalImgSrc(file);
var label = escapeHtml(tf === "_" ? "截图" : tf);
var label = escapeHtml(chartTfLabel(tf));
return (
'<div class="or-detail-img-cell">' +
'<span class="or-detail-img-label">' +
@@ -698,7 +803,7 @@
});
}
function renderDetail(t) {
function renderDetail(t, opts) {
var e = t.entry || {};
reviewedCache[t.id] = t;
($("or-detail-title") || {}).textContent =
@@ -782,7 +887,7 @@
var imagesHost = $("or-detail-images");
if (imagesHost) {
renderDetailImages(e.images || []);
renderDetailImages(e.images || [], opts || {});
}
}
@@ -992,6 +1097,8 @@
($("or-f-note") || {}).value = "";
setMoodTags("");
resetUploadSlots();
resetChartOptions();
setChartOptionsVisible(false);
var summary = $("or-journal-summary");
if (summary) {
summary.textContent = "截图槽位与合约复盘相同(5m / 15m / 1h / 4h).";
@@ -1053,6 +1160,8 @@
setSelectValue($("or-f-entry"), e.entry_logic || "");
($("or-f-note") || {}).value = e.note || "";
setMoodTags(e.mistake_tags);
resetChartOptions();
setChartOptionsVisible(t.source_type === "option_spot");
var summary = $("or-journal-summary");
if (summary) {
@@ -1068,6 +1177,8 @@
}
(e.images || []).forEach(function (img) {
var tf = String((img && img.tf) || "").trim();
if (tf === "auto") return;
var hidden = document.querySelector(
'#or-upload-slots .or-upload-hidden[data-tf="' + img.tf + '"]'
);
@@ -1167,6 +1278,15 @@
note: ($("or-f-note") || {}).value || "",
images: collectImages(),
};
var chartBox = $("or-chart-options");
var chartVisible = chartBox && !chartBox.classList.contains("hidden");
if (chartVisible && ($("or-exchange-chart") || {}).checked) {
payload.journal_exchange_chart = true;
payload.journal_chart_tf1 = ($("or-chart-tf1") || {}).value || "";
payload.journal_chart_tf2 = ($("or-chart-tf2") || {}).value || "";
payload.journal_chart_limit = ($("or-chart-limit") || {}).value || "";
payload.journal_chart_anchor = ($("or-chart-anchor") || {}).value || "close";
}
($("or-save-status") || {}).textContent = "保存中…";
fetch("/api/options/review/entry", {
method: "POST",
@@ -1182,10 +1302,12 @@
($("or-save-status") || {}).textContent = data.msg || "保存失败";
return;
}
($("or-save-status") || {}).textContent = "已保存";
($("or-save-status") || {}).textContent = data.chart_queued
? "已保存,K线图后台生成中"
: "已保存";
hideJournalForm();
reloadAll();
openDetail(tradeId);
openDetail(tradeId, { waitAutoChart: !!data.chart_queued });
})
.catch(function () {
($("or-save-status") || {}).textContent = "保存失败";
+4 -4
View File
@@ -307,11 +307,11 @@ def _effective_env_value(key: str, file_values: dict[str, str], schema_default:
# 展示值必须与运行时 get_okx_trade_mode() 一致,避免未写入时默认 options 静默改模式
file_val = str(file_values.get(key) or "").strip() if key in file_values else ""
if file_val:
from lib.hedge_plan.okx_trade_mode_lib import normalize_okx_trade_mode
from lib.options.okx_trade_mode_lib import normalize_okx_trade_mode
return normalize_okx_trade_mode(file_val) or file_val
try:
from lib.hedge_plan.okx_trade_mode_lib import get_okx_trade_mode
from lib.options.okx_trade_mode_lib import get_okx_trade_mode
return get_okx_trade_mode()
except Exception:
@@ -398,7 +398,7 @@ def _build_field(
def _okx_mode_for_env_ui() -> str:
try:
from lib.hedge_plan.okx_trade_mode_lib import get_okx_trade_mode
from lib.options.okx_trade_mode_lib import get_okx_trade_mode
return get_okx_trade_mode()
except Exception:
@@ -431,7 +431,7 @@ def ui_sections_for_exchange(
sections.append({"title": "交易所与实盘", "fields": live_fields})
sections.extend(_SHARED_SECTIONS)
if ex in _MODE_SECTION.get("exchanges", frozenset()):
from lib.hedge_plan.okx_trade_mode_lib import normalize_okx_trade_mode
from lib.options.okx_trade_mode_lib import normalize_okx_trade_mode
m = normalize_okx_trade_mode(mode) if mode else ""
if not m:
+7 -10
View File
@@ -213,16 +213,10 @@ def option_history_row_key(
def _ms_to_iso(ms: Any) -> str | None:
val = _safe_float(ms)
if val is None or val <= 0:
return None
try:
from datetime import datetime, timezone
"""OKX ms → 业务时区墙钟(默认 Asia/Shanghai);勿用系统本地时区."""
from lib.options.options_time_lib import ms_to_options_app_str
dt = datetime.fromtimestamp(int(val) / 1000.0, tz=timezone.utc).astimezone()
return dt.strftime("%Y-%m-%d %H:%M:%S")
except (TypeError, ValueError, OSError):
return None
return ms_to_options_app_str(ms)
def option_instrument_meta_cached(
@@ -1601,6 +1595,9 @@ def resolve_option_close_from_history(
u_i, row = item
c_ms = _safe_float(row.get("cTime"))
parts: list[float] = []
# 全平/强平/ADL 优先于部分平仓(同合约多条时避免只吃到 type=1)
close_type = str(row.get("type") or "").strip()
parts.append(0.0 if close_type in ("2", "3", "6") else 1.0)
# 张数优先:同合约多笔时最稳,且不受本地/交易所时区偏差影响
if want_sheets is not None:
hist_sheets = _safe_float(row.get("closeTotalPos"))
@@ -1615,7 +1612,7 @@ def resolve_option_close_from_history(
parts.append(float(abs(int(c_ms) - int(open_ms))))
if close_ms is not None:
parts.append(float(abs(u_i - int(close_ms))))
if not parts:
if len(parts) <= 1:
parts.append(float(-u_i))
# 同距时偏向更晚平仓
parts.append(float(-u_i))
-1
View File
@@ -1 +0,0 @@
# hedge_plan package
@@ -1,86 +0,0 @@
"""对冲计划与单独期权开仓互斥门控.
默认开启:有进行中对冲计划时禁止单独开期权;有纯期权持仓时禁止启动对冲计划.
关闭 HEDGE_PLAN_OPTIONS_MUTUAL_EXCLUSIVE 后两边可同时开.
"""
from __future__ import annotations
import os
from typing import Any, Callable, Optional
def _env_bool(key: str, default: bool = False) -> bool:
v = (os.getenv(key) or "").strip().lower()
if not v:
return default
return v in ("1", "true", "yes", "on")
def mutual_exclusive_enabled() -> bool:
return _env_bool("HEDGE_PLAN_OPTIONS_MUTUAL_EXCLUSIVE", True)
def block_standalone_option_open_msg(conn: Any) -> Optional[str]:
"""若应拦截单独开期权,返回中文原因;否则 None."""
if not mutual_exclusive_enabled():
return None
try:
from lib.hedge_plan.hedge_plan_db import count_active_plans, init_hedge_plan_tables
init_hedge_plan_tables(conn)
if count_active_plans(conn) > 0:
return "存在进行中对冲计划,禁止单独开期权(可在 env「对冲与期权互斥门控」关闭)"
except Exception:
return "互斥门控校验失败,暂禁止单独开期权"
return None
def _pos_nonzero(raw: dict[str, Any]) -> bool:
try:
return abs(float(raw.get("pos") or 0)) > 1e-12
except (TypeError, ValueError):
return False
def has_standalone_option_position(conn: Any, raw_positions: list[dict[str, Any]] | None) -> bool:
"""交易所期权持仓中,是否存在未挂在进行中对冲计划腿上的仓位."""
if not raw_positions:
return False
from lib.instance.instance_dashboard_lib import _resolve_options_source
for p in raw_positions:
if not isinstance(p, dict) or not _pos_nonzero(p):
continue
inst = str(p.get("instId") or p.get("inst_id") or "").strip()
if not inst:
continue
source, _, _ = _resolve_options_source(conn, inst)
if source == "option":
return True
return False
def block_hedge_plan_start_msg(
conn: Any,
*,
fetch_positions: Optional[Callable[[Any], Any]] = None,
exchange: Any = None,
raw_positions: list[dict[str, Any]] | None = None,
) -> Optional[str]:
"""若应拦截启动对冲计划,返回中文原因;否则 None."""
if not mutual_exclusive_enabled():
return None
rows = raw_positions
if rows is None:
if fetch_positions is None or exchange is None:
return None
try:
rows = fetch_positions(exchange) or []
except Exception:
return "获取期权持仓失败,暂禁止启动对冲计划"
try:
if has_standalone_option_position(conn, rows):
return "存在单独期权持仓,禁止启动对冲计划(可在 env「对冲与期权互斥门控」关闭)"
except Exception:
return "互斥门控校验失败,暂禁止启动对冲计划"
return None
-782
View File
@@ -1,782 +0,0 @@
"""对冲计划:情景测算与全仓建议仓(纯函数,无 IO)."""
from __future__ import annotations
from typing import Any, Optional
def _f(v: Any) -> Optional[float]:
if v is None or v == "":
return None
try:
return float(v)
except (TypeError, ValueError):
return None
def perp_coin_amount(*, contracts: float, contract_size: float) -> float:
return float(contracts) * float(contract_size or 1.0)
def perp_pnl(
*,
direction: str,
entry: float,
exit_px: float,
contracts: float,
contract_size: float,
) -> float:
coins = perp_coin_amount(contracts=contracts, contract_size=contract_size)
d = (direction or "long").strip().lower()
if d == "short":
return (float(entry) - float(exit_px)) * coins
return (float(exit_px) - float(entry)) * coins
def option_premium_total(*, ask: float, sheets: float, ct_mult: float) -> float:
"""卖一报价为每 1 币;权利金 = ask × 张数 × ct_mult."""
return float(ask) * float(sheets) * float(ct_mult or 0.01)
def option_expiry_pnl(
*,
opt_type: str,
strike: float,
spot: float,
sheets: float,
ct_mult: float,
premium_paid: float,
) -> float:
o = (opt_type or "").strip().upper()
intrinsic_per_coin = 0.0
if o in ("C", "CALL"):
intrinsic_per_coin = max(0.0, float(spot) - float(strike))
elif o in ("P", "PUT"):
intrinsic_per_coin = max(0.0, float(strike) - float(spot))
else:
return -float(premium_paid)
value = intrinsic_per_coin * float(sheets) * float(ct_mult or 0.01)
return value - float(premium_paid)
def spot_from_expiry_intrinsic_profit(
*,
opt_type: str,
strike: float,
sheets: float,
ct_mult: float,
premium_paid: float,
profit: float,
) -> float | None:
"""按到期实值反推现货价:使该腿到期盈亏 ≈ profit.
到期价值=实值×张数×乘数;盈亏=价值−权利金 → 实值/币=(profit+权利金)/(张数×乘数).
Call: spot=K+实值/币; Put: spot=K−实值/币.
"""
try:
k = float(strike)
n = float(sheets or 0)
ct = float(ct_mult or 0.01)
prem = float(premium_paid or 0)
pnl = float(profit)
except (TypeError, ValueError):
return None
denom = n * ct
if denom <= 0:
return None
need = (pnl + prem) / denom
if need < 0:
need = 0.0
o = (opt_type or "").strip().upper()
if o in ("C", "CALL"):
return round(k + need, 2)
if o in ("P", "PUT"):
return round(k - need, 2)
return None
def suggest_contracts_from_notional(
*,
notional: float,
entry: float,
contract_size: float,
) -> float:
if entry <= 0 or contract_size <= 0 or notional <= 0:
return 0.0
return float(notional) / (float(entry) * float(contract_size))
def floor_contracts_to_precision(contracts: float, decimals: int) -> float:
"""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."""
import math
raw = float(contracts or 0.0)
if raw <= 0:
return 0.0
try:
d = int(decimals)
except (TypeError, ValueError):
d = 0
if d <= 0:
return float(math.floor(raw + 1e-12))
scale = 10**d
return math.floor(raw * scale + 1e-12) / scale
def option_unit_cost_usdc(*, ask: float, ct_mult: float) -> float:
"""单张权利金(USDC) = 卖一价 × ct_mult."""
a = _f(ask)
if a is None or a <= 0:
return 0.0
return float(a) * float(ct_mult or 0.01)
def resolve_oo_budget_usdc(
*,
trading_usdc: Any,
trade_budget_usdc: Any,
buffer_ratio: Any = 0.95,
) -> dict[str, Any]:
"""期期可用预算 = min(交易户×buffer, 单笔预算)."""
import math
trading = _f(trading_usdc)
cap = _f(trade_budget_usdc)
buf = _f(buffer_ratio)
if buf is None or buf <= 0:
buf = 0.95
if buf > 1:
buf = 1.0
trading_cap = None if trading is None else max(0.0, float(trading) * float(buf))
trade_cap = None if cap is None else max(0.0, float(cap))
if trading_cap is None and trade_cap is None:
return {
"ok": False,
"budget_usdc": 0.0,
"trading_cap": None,
"trade_budget_cap": None,
"buffer_ratio": float(buf),
"msg": "缺少交易户余额与单笔预算",
}
if trading_cap is None:
budget = float(trade_cap or 0.0)
elif trade_cap is None:
budget = float(trading_cap)
else:
budget = min(float(trading_cap), float(trade_cap))
budget = float(math.floor(budget * 1e6 + 1e-12) / 1e6)
return {
"ok": budget > 0,
"budget_usdc": budget,
"trading_cap": None if trading_cap is None else round(float(trading_cap), 6),
"trade_budget_cap": None if trade_cap is None else round(float(trade_cap), 6),
"buffer_ratio": float(buf),
"msg": "" if budget > 0 else "可用预算为 0",
}
def _cap_sheets_by_ask_depth(sheets: int, ask_sz: Any) -> int:
import math
n = max(0, int(sheets))
depth = _f(ask_sz)
if depth is None:
return n
if depth <= 0:
return 0
return min(n, int(math.floor(float(depth) + 1e-12)))
def _normalize_oo_sheets_mode(mode: str) -> str:
m = (mode or "same_sheets").strip().lower()
if m in ("long_bias", "bias_long", "long", "做多"):
return "long_bias"
if m in ("short_bias", "bias_short", "short", "做空"):
return "short_bias"
# 旧「均分」兼容:按预算 50/50(页面已移除)
if m in ("split", "equal_budget", "split_budget", "均分"):
return "split_budget"
return "same_sheets"
def _normalize_oo_bias_split_by(raw: Any) -> str:
v = str(raw or "budget").strip().lower()
if v in ("sheets", "qty", "quantity", "张数"):
return "sheets"
return "budget"
def _clamp_oo_bias_ratio(raw: Any, default: float = 0.7) -> float:
try:
r = float(raw)
except (TypeError, ValueError):
r = float(default)
if r <= 0 or r >= 1:
r = float(default)
return r
def _oo_call_put_leg_index(opt_type_a: str, opt_type_b: str) -> tuple[Optional[str], Optional[str], str]:
"""返回 (call_side, put_side, err);side 为 'a'/'b'."""
a = (opt_type_a or "").strip().upper()
b = (opt_type_b or "").strip().upper()
if a.startswith("C"):
a = "C"
elif a.startswith("P"):
a = "P"
if b.startswith("C"):
b = "C"
elif b.startswith("P"):
b = "P"
if {a, b} != {"C", "P"}:
return None, None, "做多/做空需一腿 Call、一腿 Put"
call_side = "a" if a == "C" else "b"
put_side = "b" if call_side == "a" else "a"
return call_side, put_side, ""
def suggest_oo_sheets(
*,
mode: str,
budget_usdc: float,
ask_a: float,
ct_mult_a: float = 0.01,
ask_sz_a: Any = None,
opt_type_a: str = "",
ask_b: float,
ct_mult_b: float = 0.01,
ask_sz_b: Any = None,
opt_type_b: str = "",
bias_split_by: str = "budget",
bias_ratio: float = 0.7,
) -> dict[str, Any]:
"""期期建议张数:same_sheets / long_bias / short_bias(及旧 split_budget)."""
import math
m = _normalize_oo_sheets_mode(mode)
split_by = _normalize_oo_bias_split_by(bias_split_by)
ratio = _clamp_oo_bias_ratio(bias_ratio)
budget = max(0.0, float(budget_usdc or 0.0))
cost_a = option_unit_cost_usdc(ask=ask_a, ct_mult=ct_mult_a)
cost_b = option_unit_cost_usdc(ask=ask_b, ct_mult=ct_mult_b)
def _fail(msg: str, n_a: int = 0, n_b: int = 0) -> dict[str, Any]:
return {
"mode": m,
"sheets_a": n_a,
"sheets_b": n_b,
"cost_a": round(cost_a, 8),
"cost_b": round(cost_b, 8),
"premium_est": round(cost_a * n_a + cost_b * n_b, 6),
"ok": False,
"msg": msg,
"bias_split_by": split_by,
"bias_ratio": ratio,
}
if budget <= 0:
return _fail("可用预算为 0")
if cost_a <= 0 or cost_b <= 0:
return _fail("缺少有效卖一价,无法建议张数")
pair = cost_a + cost_b
n_pair = int(math.floor(budget / pair + 1e-12)) if pair > 0 else 0
# 与同张数一致:先按预算得 n,再各自深度封顶后取 min
n_same = min(
_cap_sheets_by_ask_depth(n_pair, ask_sz_a),
_cap_sheets_by_ask_depth(n_pair, ask_sz_b),
)
if m == "same_sheets":
n_a = n_same
n_b = n_same
elif m == "split_budget":
half = budget / 2.0
n_a = int(math.floor(half / cost_a + 1e-12))
n_b = int(math.floor(half / cost_b + 1e-12))
n_a = _cap_sheets_by_ask_depth(n_a, ask_sz_a)
n_b = _cap_sheets_by_ask_depth(n_b, ask_sz_b)
else:
call_side, put_side, err = _oo_call_put_leg_index(opt_type_a, opt_type_b)
if err:
return _fail(err)
major_is_call = m == "long_bias"
if split_by == "sheets":
# 总张数 = 同张数两侧合计(每腿 n → 共 2n),再按比例拆到 Call/Put
total = int(n_same) * 2
if total < 2:
return _fail("同张数总规模不足 2,无法按比例拆分")
major_n = int(round(total * ratio))
major_n = max(1, min(major_n, total - 1))
minor_n = total - major_n
n_call = major_n if major_is_call else minor_n
n_put = minor_n if major_is_call else major_n
else:
maj_budget = budget * ratio
min_budget = budget * (1.0 - ratio)
cost_call = cost_a if call_side == "a" else cost_b
cost_put = cost_b if call_side == "a" else cost_a
if major_is_call:
n_call = int(math.floor(maj_budget / cost_call + 1e-12)) if cost_call > 0 else 0
n_put = int(math.floor(min_budget / cost_put + 1e-12)) if cost_put > 0 else 0
else:
n_put = int(math.floor(maj_budget / cost_put + 1e-12)) if cost_put > 0 else 0
n_call = int(math.floor(min_budget / cost_call + 1e-12)) if cost_call > 0 else 0
n_a = n_call if call_side == "a" else n_put
n_b = n_put if call_side == "a" else n_call
n_a = _cap_sheets_by_ask_depth(n_a, ask_sz_a)
n_b = _cap_sheets_by_ask_depth(n_b, ask_sz_b)
prem = cost_a * n_a + cost_b * n_b
ok = n_a >= 1 and n_b >= 1
msg = "" if ok else "预算不够开 1+1(或卖一深度不足)"
return {
"mode": m,
"sheets_a": n_a,
"sheets_b": n_b,
"cost_a": round(cost_a, 8),
"cost_b": round(cost_b, 8),
"premium_est": round(prem, 6),
"ok": ok,
"msg": msg,
"bias_split_by": split_by,
"bias_ratio": ratio,
}
def build_perp_options_preview(
*,
direction: str,
entry: float,
tp: float,
sl: float,
contracts: float,
contract_size: float,
opt_type: str,
strike: float,
sheets: float,
ct_mult: float,
premium_paid: float,
index_px: Optional[float] = None,
) -> dict[str, Any]:
"""
永期情景.
止盈账:永续止盈盈利 - 权利金.
止损账:期权到期内在(按 SL 价) - 永续止损亏损额.
"""
d = (direction or "long").strip().lower()
pnl_tp_perp = perp_pnl(
direction=d, entry=entry, exit_px=tp, contracts=contracts, contract_size=contract_size
)
pnl_sl_perp = perp_pnl(
direction=d, entry=entry, exit_px=sl, contracts=contracts, contract_size=contract_size
)
# 止盈统计口径
tp_total = float(pnl_tp_perp) - float(premium_paid)
# 止损:期权按 SL 价结算内在 - |永续亏损|
opt_at_sl = option_expiry_pnl(
opt_type=opt_type,
strike=strike,
spot=sl,
sheets=sheets,
ct_mult=ct_mult,
premium_paid=premium_paid,
)
sl_total = float(opt_at_sl) - abs(float(pnl_sl_perp)) if pnl_sl_perp < 0 else float(opt_at_sl) + float(
pnl_sl_perp
)
# 有符号相加更稳:期权盈亏 + 永续盈亏
sl_total_signed = float(opt_at_sl) + float(pnl_sl_perp)
spot = float(index_px) if index_px is not None else float(entry)
opt_flat = option_expiry_pnl(
opt_type=opt_type,
strike=strike,
spot=spot,
sheets=sheets,
ct_mult=ct_mult,
premium_paid=premium_paid,
)
flat_total = 0.0 + float(opt_flat)
opt_at_tp = option_expiry_pnl(
opt_type=opt_type,
strike=strike,
spot=tp,
sheets=sheets,
ct_mult=ct_mult,
premium_paid=premium_paid,
)
return {
"plan_type": "perp_options",
"direction": d,
"contracts": contracts,
"coin_amount": perp_coin_amount(contracts=contracts, contract_size=contract_size),
"premium_paid": round(float(premium_paid), 6),
"scenarios": [
{
"id": "tp",
"label": "止盈(计划结束口径)",
"spot": tp,
"perp_pnl": round(pnl_tp_perp, 4),
"options_pnl": round(-float(premium_paid), 4),
"total": round(tp_total, 4),
"note": "止盈盈利 − 权利金;期权可不强平",
},
{
"id": "sl",
"label": "止损(计划结束口径)",
"spot": sl,
"perp_pnl": round(pnl_sl_perp, 4),
"options_pnl": round(opt_at_sl, 4),
"total": round(sl_total_signed, 4),
"note": "期权盈利 − 永续亏损(有符号相加);期权须强平",
},
{
"id": "flat",
"label": "到期·现价附近",
"spot": spot,
"perp_pnl": 0.0,
"options_pnl": round(opt_flat, 4),
"total": round(flat_total, 4),
"note": "示意:永续未动,期权按到期内在",
},
{
"id": "expiry_tp",
"label": "到期·止盈价",
"spot": tp,
"perp_pnl": round(pnl_tp_perp, 4),
"options_pnl": round(opt_at_tp, 4),
"total": round(pnl_tp_perp + opt_at_tp, 4),
"note": "若期权拿到 TP 价到期(参考)",
},
{
"id": "expiry_sl",
"label": "到期·止损价",
"spot": sl,
"perp_pnl": round(pnl_sl_perp, 4),
"options_pnl": round(opt_at_sl, 4),
"total": round(pnl_sl_perp + opt_at_sl, 4),
"note": "与止损口径相近(期权用内在)",
},
],
"summary": {
"tp_total": round(tp_total, 4),
"sl_total": round(sl_total_signed, 4),
"premium_paid": round(float(premium_paid), 4),
"hedge_ratio_at_sl": _hedge_ratio(opt_at_sl, pnl_sl_perp),
},
}
def _hedge_ratio(opt_pnl: float, perp_pnl: float) -> Optional[float]:
loss = abs(float(perp_pnl)) if float(perp_pnl) < 0 else 0.0
if loss <= 1e-12:
return None
if float(opt_pnl) <= 0:
return 0.0
return round(float(opt_pnl) / loss * 100.0, 2)
def build_options_options_preview(
*,
target_price: float | None = None,
target_price_up: float | None = None,
target_price_down: float | None = None,
profit_rr: float | None = None,
index_px: float,
leg_a: dict[str, Any],
leg_b: dict[str, Any],
) -> dict[str, Any]:
"""期期情景:盈亏比达标 / 到期现价 / 最大保费损耗.
新口径优先 profit_rr(盈利金额/总权利金);若未传则兼容旧上/下破目标价.
残值按亏损腿本合约权利金的 20% 计.
"""
def _leg_pnl(leg: dict[str, Any], spot: float) -> float:
return option_expiry_pnl(
opt_type=str(leg.get("opt_type") or ""),
strike=float(leg["strike"]),
spot=spot,
sheets=float(leg.get("sheets") or 0),
ct_mult=float(leg.get("ct_mult") or 0.01),
premium_paid=float(leg.get("premium_paid") or 0),
)
prem_a = float(leg_a.get("premium_paid") or 0)
prem_b = float(leg_b.get("premium_paid") or 0)
prem = prem_a + prem_b
rr = float(profit_rr) if profit_rr is not None else None
# 新:盈亏比情景(不依赖指数上下破价)
if rr is not None and rr > 0:
# 盈利腿达 RR:盈利金额 = rr × 总权利金;亏损腿按全亏 / 本合约残值20%回收
win_profit = rr * prem
a_at_a = win_profit
b_at_a_full = -prem_b
b_at_a_res = -prem_b * 0.8 # 本合约回收 20%
b_at_b = win_profit
a_at_b_full = -prem_a
a_at_b_res = -prem_a * 0.8
spot_a = spot_from_expiry_intrinsic_profit(
opt_type=str(leg_a.get("opt_type") or ""),
strike=float(leg_a["strike"]),
sheets=float(leg_a.get("sheets") or 0),
ct_mult=float(leg_a.get("ct_mult") or 0.01),
premium_paid=prem_a,
profit=win_profit,
)
spot_b = spot_from_expiry_intrinsic_profit(
opt_type=str(leg_b.get("opt_type") or ""),
strike=float(leg_b["strike"]),
sheets=float(leg_b.get("sheets") or 0),
ct_mult=float(leg_b.get("ct_mult") or 0.01),
premium_paid=prem_b,
profit=win_profit,
)
a_flat = _leg_pnl(leg_a, index_px)
b_flat = _leg_pnl(leg_b, index_px)
flat_total = a_flat + b_flat
return {
"plan_type": "options_options",
"premium_paid": round(prem, 6),
"profit_rr": rr,
"target_price": None,
"target_price_up": None,
"target_price_down": None,
"winner_at_up": "a",
"winner_at_down": "b",
"winner_at_target": "a",
"scenarios": [
{
"id": "rr_leg_a_full",
"label": f"腿A达盈亏比{rr:g}(亏腿全损)",
"spot": spot_a,
"leg_a_pnl": round(a_at_a, 4),
"leg_b_pnl": round(b_at_a_full, 4),
"total": round(a_at_a + b_at_a_full, 4),
"note": "现货=到期实值反推;盈利=总权利金×盈亏比;亏腿本合约全亏",
},
{
"id": "rr_leg_b_full",
"label": f"腿B达盈亏比{rr:g}(亏腿全损)",
"spot": spot_b,
"leg_a_pnl": round(a_at_b_full, 4),
"leg_b_pnl": round(b_at_b, 4),
"total": round(a_at_b_full + b_at_b, 4),
"note": "现货=到期实值反推;盈利=总权利金×盈亏比;亏腿本合约全亏",
},
{
"id": "rr_leg_a_residual",
"label": f"腿A达盈亏比{rr:g}(亏腿残值20%)",
"spot": spot_a,
"leg_a_pnl": round(a_at_a, 4),
"leg_b_pnl": round(b_at_a_res, 4),
"total": round(a_at_a + b_at_a_res, 4),
"note": "现货同腿A达标反推;亏腿买一回收约本合约权利金20%",
},
{
"id": "expiry_flat",
"label": "到期·现价",
"spot": index_px,
"leg_a_pnl": round(a_flat, 4),
"leg_b_pnl": round(b_flat, 4),
"total": round(flat_total, 4),
"note": "无盈利则记总亏损结束" if flat_total <= 0 else "到期仍可能有净值",
},
{
"id": "max_premium_loss",
"label": "最大保费损耗",
"spot": None,
"leg_a_pnl": round(-prem_a, 4),
"leg_b_pnl": round(-prem_b, 4),
"total": round(-prem, 4),
"note": "双腿权利金全部损失",
},
],
"summary": {
"profit_rr": rr,
"spot_at_rr_a": spot_a,
"spot_at_rr_b": spot_b,
"at_rr_a_full_total": round(a_at_a + b_at_a_full, 4),
"at_rr_b_full_total": round(a_at_b_full + b_at_b, 4),
"at_rr_a_residual_total": round(a_at_a + b_at_a_res, 4),
"at_target_up_total": round(a_at_a + b_at_a_full, 4),
"at_target_down_total": round(a_at_b_full + b_at_b, 4),
"at_target_total": round(a_at_a + b_at_a_full, 4),
"expiry_flat_total": round(flat_total, 4),
"premium_paid": round(prem, 6),
"expiry_is_loss": flat_total <= 0,
"rr_risk_premium": round(prem, 6),
"rr_at_up": round((a_at_a + b_at_a_full) / prem, 4) if prem > 0 else None,
"rr_at_down": round((a_at_b_full + b_at_b) / prem, 4) if prem > 0 else None,
},
}
# 兼容旧单目标:若未传上下目标则用 target_price 填两边
up = target_price_up if target_price_up is not None else target_price
down = target_price_down if target_price_down is not None else target_price
if up is None or down is None:
raise ValueError("缺少盈亏比或上破/下破目标价")
up_f = float(up)
down_f = float(down)
a_up = _leg_pnl(leg_a, up_f)
b_up = _leg_pnl(leg_b, up_f)
at_up = a_up + b_up
win_up = "a" if a_up >= b_up else "b"
a_dn = _leg_pnl(leg_a, down_f)
b_dn = _leg_pnl(leg_b, down_f)
at_dn = a_dn + b_dn
win_dn = "a" if a_dn >= b_dn else "b"
a_flat = _leg_pnl(leg_a, index_px)
b_flat = _leg_pnl(leg_b, index_px)
flat_total = a_flat + b_flat
expiry_loss = flat_total if flat_total <= 0 else flat_total
return {
"plan_type": "options_options",
"premium_paid": round(prem, 6),
"target_price": up_f, # 兼容旧字段,取上破
"target_price_up": up_f,
"target_price_down": down_f,
"winner_at_up": win_up,
"winner_at_down": win_dn,
"winner_at_target": win_up,
"scenarios": [
{
"id": "target_up",
"label": "上破目标",
"spot": up_f,
"leg_a_pnl": round(a_up, 4),
"leg_b_pnl": round(b_up, 4),
"total": round(at_up, 4),
"note": f"盈利方≈腿{win_up.upper()}(可平);亏损方默认到期",
},
{
"id": "target_down",
"label": "下破目标",
"spot": down_f,
"leg_a_pnl": round(a_dn, 4),
"leg_b_pnl": round(b_dn, 4),
"total": round(at_dn, 4),
"note": f"盈利方≈腿{win_dn.upper()}(可平);亏损方默认到期",
},
{
"id": "expiry_flat",
"label": "到期·现价(无突破)",
"spot": index_px,
"leg_a_pnl": round(a_flat, 4),
"leg_b_pnl": round(b_flat, 4),
"total": round(flat_total, 4),
"note": "无盈利则记总亏损结束" if flat_total <= 0 else "到期仍可能有净值",
},
{
"id": "max_premium_loss",
"label": "最大保费损耗",
"spot": None,
"leg_a_pnl": round(-prem_a, 4),
"leg_b_pnl": round(-prem_b, 4),
"total": round(-prem, 4),
"note": "双腿权利金全部损失",
},
],
"summary": {
"at_target_up_total": round(at_up, 4),
"at_target_down_total": round(at_dn, 4),
"at_target_total": round(at_up, 4),
"expiry_flat_total": round(expiry_loss, 4),
"premium_paid": round(prem, 6),
"expiry_is_loss": flat_total <= 0,
# 盈亏比:盈利/全亏保费(风险=权利金全损)
"rr_risk_premium": round(prem, 6),
"rr_at_up": round(at_up / prem, 4) if prem > 0 else None,
"rr_at_down": round(at_dn / prem, 4) if prem > 0 else None,
},
}
def gate_status(
*,
hedge_enabled: bool,
sizing_mode: str,
plan_type: str,
options_enabled: bool,
live_order: bool = False,
live_trading: bool = False,
active_count: int = 0,
max_active: int = 1,
show_perp_options: bool = True,
show_options_options: bool = True,
mutual_exclusive: bool = True,
has_standalone_option: bool = False,
) -> dict[str, Any]:
from lib.trade.position_sizing_lib import is_full_margin_mode
full = is_full_margin_mode(sizing_mode)
pt = (plan_type or "").strip().lower()
can_preview = True
can_start = True
reasons: list[str] = []
if not hedge_enabled:
can_start = False
reasons.append("对冲计划未启用(HEDGE_PLAN_ENABLED)")
if not options_enabled:
can_preview = False
can_start = False
reasons.append("期权模块未启用")
if pt == "perp_options" and not show_perp_options:
can_preview = False
can_start = False
reasons.append("永期对冲已隐藏(HEDGE_PLAN_SHOW_PERP_OPTIONS)")
if pt == "options_options" and not show_options_options:
can_preview = False
can_start = False
reasons.append("期期对冲已隐藏(HEDGE_PLAN_SHOW_OPTIONS_OPTIONS)")
if not live_order:
can_start = False
reasons.append("未允许对冲真实下单(HEDGE_PLAN_LIVE_ORDER)")
if active_count >= max(1, int(max_active or 1)):
can_start = False
reasons.append(f"活跃计划已达上限({max_active})")
if mutual_exclusive and has_standalone_option:
can_start = False
reasons.append("存在单独期权持仓,禁止启动对冲计划(互斥门控)")
if pt == "perp_options":
if not full:
can_start = False
reasons.append("永期开仓仅全仓模式可用(当前可测算)")
if not live_trading:
can_start = False
reasons.append("未开启实盘(LIVE_TRADING_ENABLED)")
elif pt == "options_options":
pass
else:
can_start = False
reasons.append("未知计划类型")
if can_start:
reasons = []
return {
"hedge_enabled": hedge_enabled,
"options_enabled": options_enabled,
"sizing_mode": sizing_mode,
"is_full_margin": full,
"plan_type": pt,
"live_order": live_order,
"live_trading": live_trading,
"active_count": active_count,
"max_active": max_active,
"show_perp_options": bool(show_perp_options),
"show_options_options": bool(show_options_options),
"mutual_exclusive": bool(mutual_exclusive),
"has_standalone_option": bool(has_standalone_option),
"can_preview": can_preview,
"can_start": can_start,
"reasons": reasons,
}
-468
View File
@@ -1,468 +0,0 @@
"""对冲计划 SQLite 表."""
from __future__ import annotations
import sqlite3
from typing import Any, Optional
def init_hedge_plan_tables(conn: sqlite3.Connection) -> None:
conn.execute(
"""
CREATE TABLE IF NOT EXISTS hedge_plans (
id INTEGER PRIMARY KEY AUTOINCREMENT,
plan_type TEXT NOT NULL,
status TEXT NOT NULL,
underlying TEXT NOT NULL,
direction TEXT,
entry_mark REAL,
tp REAL,
sl REAL,
target_price REAL,
sizing_mode_at_open TEXT,
perp_size REAL,
margin REAL,
leverage REAL,
premium_total REAL,
realized_pnl_perp REAL,
realized_pnl_options REAL,
realized_pnl_total REAL,
stats_bucket TEXT,
close_reason TEXT,
wechat_start_sent INTEGER DEFAULT 0,
wechat_end_sent INTEGER DEFAULT 0,
note TEXT,
preview_json TEXT,
created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
opened_at TIMESTAMP,
closed_at TIMESTAMP
)
"""
)
conn.execute(
"""
CREATE TABLE IF NOT EXISTS hedge_plan_legs (
id INTEGER PRIMARY KEY AUTOINCREMENT,
plan_id INTEGER NOT NULL,
leg_role TEXT NOT NULL,
symbol TEXT,
inst_id TEXT,
opt_type TEXT,
strike REAL,
side TEXT,
size REAL,
avg_open REAL,
premium REAL,
status TEXT,
linked_monitor_id INTEGER,
options_trade_id INTEGER,
exchange_ord_id TEXT,
realized_pnl REAL,
close_reason TEXT,
opened_at TIMESTAMP,
closed_at TIMESTAMP,
FOREIGN KEY(plan_id) REFERENCES hedge_plans(id)
)
"""
)
conn.execute(
"CREATE INDEX IF NOT EXISTS idx_hedge_plans_status ON hedge_plans(status)"
)
conn.execute(
"CREATE INDEX IF NOT EXISTS idx_hedge_plan_legs_plan ON hedge_plan_legs(plan_id)"
)
_ensure_column(conn, "hedge_plans", "target_price_up", "REAL")
_ensure_column(conn, "hedge_plans", "target_price_down", "REAL")
# 期期出场:盈利金额/总权利金(默认2);有值则走盈亏比监控,旧单仍用上/下破价
_ensure_column(conn, "hedge_plans", "profit_rr", "REAL")
# close_all=残值平(本合约权利金≤20%且有买一);hold_expiry=残腿持有至到期
_ensure_column(conn, "hedge_plans", "oo_close_mode", "TEXT")
# 永期「以期权为主」
_ensure_column(conn, "hedge_plans", "option_primary", "INTEGER")
_ensure_column(conn, "hedge_plans", "option_target_points", "REAL")
_ensure_column(conn, "hedge_plans", "perp_target_points", "REAL")
_ensure_column(conn, "hedge_plans", "option_perp_ratio", "REAL")
_ensure_column(conn, "hedge_plans", "premium_budget", "REAL")
_ensure_column(conn, "hedge_plans", "strike_interval", "REAL")
_ensure_column(conn, "hedge_plans", "min_option_hours", "REAL")
_ensure_column(conn, "hedge_plans", "option_moneyness", "TEXT")
_ensure_column(conn, "hedge_plans", "option_leverage", "REAL")
_ensure_column(conn, "hedge_plans", "perp_direction", "TEXT")
_ensure_column(conn, "hedge_plan_legs", "ct_mult", "REAL")
def _ensure_column(conn: sqlite3.Connection, table: str, col: str, typedef: str) -> None:
rows = conn.execute(f"PRAGMA table_info({table})").fetchall()
names: set[str] = set()
for r in rows:
try:
names.add(str(r["name"]))
except (TypeError, KeyError, IndexError):
names.add(str(r[1]))
if col not in names:
conn.execute(f"ALTER TABLE {table} ADD COLUMN {col} {typedef}")
_ACTIVE_STATUSES = ("opening", "active", "partial", "watching")
def count_active_plans(conn: sqlite3.Connection, plan_type: Optional[str] = None) -> int:
statuses = ",".join(f"'{s}'" for s in _ACTIVE_STATUSES)
if plan_type:
row = conn.execute(
f"SELECT COUNT(1) AS c FROM hedge_plans WHERE status IN ({statuses}) AND plan_type=?",
(plan_type,),
).fetchone()
else:
row = conn.execute(
f"SELECT COUNT(1) AS c FROM hedge_plans WHERE status IN ({statuses})"
).fetchone()
return int((row["c"] if row else 0) or 0)
def insert_plan(conn: sqlite3.Connection, row: dict[str, Any]) -> int:
cols = list(row.keys())
placeholders = ",".join(["?"] * len(cols))
conn.execute(
f"INSERT INTO hedge_plans ({','.join(cols)}) VALUES ({placeholders})",
[row[c] for c in cols],
)
return int(conn.execute("SELECT last_insert_rowid()").fetchone()[0])
def insert_leg(conn: sqlite3.Connection, row: dict[str, Any]) -> int:
cols = list(row.keys())
placeholders = ",".join(["?"] * len(cols))
conn.execute(
f"INSERT INTO hedge_plan_legs ({','.join(cols)}) VALUES ({placeholders})",
[row[c] for c in cols],
)
return int(conn.execute("SELECT last_insert_rowid()").fetchone()[0])
def update_plan(conn: sqlite3.Connection, plan_id: int, **fields: Any) -> None:
if not fields:
return
sets = ", ".join(f"{k}=?" for k in fields)
conn.execute(f"UPDATE hedge_plans SET {sets} WHERE id=?", [*fields.values(), plan_id])
def update_leg(conn: sqlite3.Connection, leg_id: int, **fields: Any) -> None:
if not fields:
return
sets = ", ".join(f"{k}=?" for k in fields)
conn.execute(f"UPDATE hedge_plan_legs SET {sets} WHERE id=?", [*fields.values(), int(leg_id)])
def missing_leg_role(legs: list[dict[str, Any]]) -> Optional[str]:
for leg in legs or []:
if str(leg.get("status") or "").strip().lower() == "pending":
role = str(leg.get("leg_role") or "").strip()
if role:
return role
return None
def list_plans(
conn: sqlite3.Connection,
*,
status: Optional[str] = None,
plan_type: Optional[str] = None,
underlying: Optional[str] = None,
limit: int = 50,
) -> list[dict[str, Any]]:
wheres: list[str] = []
args: list[Any] = []
if status:
wheres.append("status=?")
args.append(status)
if plan_type:
wheres.append("plan_type=?")
args.append(plan_type)
if underlying:
wheres.append("underlying=?")
args.append(underlying)
where = (" WHERE " + " AND ".join(wheres)) if wheres else ""
rows = conn.execute(
f"SELECT * FROM hedge_plans{where} ORDER BY id DESC LIMIT ?",
[*args, int(limit)],
).fetchall()
return [dict(r) for r in rows]
def get_plan(conn: sqlite3.Connection, plan_id: int) -> Optional[dict[str, Any]]:
row = conn.execute("SELECT * FROM hedge_plans WHERE id=?", (plan_id,)).fetchone()
return dict(row) if row else None
def get_plan_legs(conn: sqlite3.Connection, plan_id: int) -> list[dict[str, Any]]:
rows = conn.execute(
"SELECT * FROM hedge_plan_legs WHERE plan_id=? ORDER BY id", (plan_id,)
).fetchall()
return [dict(r) for r in rows]
def delete_plan(conn: sqlite3.Connection, plan_id: int) -> dict[str, Any]:
"""删除已结束/失败/取消的计划及其腿;活跃计划拒绝删除."""
plan = get_plan(conn, int(plan_id))
if not plan:
return {"ok": False, "msg": "计划不存在"}
st = str(plan.get("status") or "")
if st in ("opening", "active", "partial", "watching"):
return {"ok": False, "msg": "进行中的计划不可删除,请先结束"}
conn.execute("DELETE FROM hedge_plan_legs WHERE plan_id=?", (int(plan_id),))
conn.execute("DELETE FROM hedge_plans WHERE id=?", (int(plan_id),))
return {"ok": True, "deleted_id": int(plan_id)}
def legs_contract_summary(legs: list[dict[str, Any]]) -> str:
parts: list[str] = []
for leg in legs:
role = str(leg.get("leg_role") or "")
st = str(leg.get("status") or "").strip().lower()
if st == "pending":
suffix = "(待补)"
elif st in ("cancelled", "canceled"):
suffix = "(未成交)"
else:
suffix = ""
if role == "perp":
name = str(leg.get("symbol") or "永续")
parts.append(f"永续 {name}{suffix}")
else:
inst = str(leg.get("inst_id") or "")
ot = str(leg.get("opt_type") or "").upper()
strike = leg.get("strike")
label = inst or (f"{ot}{strike}" if ot or strike is not None else role)
parts.append(f"{label}{suffix}")
return " · ".join(parts) if parts else "—"
def attach_legs_to_plans(conn: sqlite3.Connection, plans: list[dict[str, Any]]) -> list[dict[str, Any]]:
out: list[dict[str, Any]] = []
for p in plans:
legs = get_plan_legs(conn, int(p["id"]))
row = dict(p)
row["legs"] = legs
summary = legs_contract_summary(legs)
if str(p.get("status") or "") == "watching" and (not legs or summary == "—"):
money = str(p.get("option_moneyness") or "otm")
money_lab = {"itm": "实/平", "atm": "平值", "otm": "虚值"}.get(money, money)
parts = [f"盯盘·{money_lab}"]
try:
if p.get("strike_interval") not in (None, ""):
parts.append(f"间隔{float(p.get('strike_interval')):g}")
except (TypeError, ValueError):
pass
try:
if p.get("option_leverage") not in (None, ""):
parts.append(f"杠杆≥{float(p.get('option_leverage')):g}")
except (TypeError, ValueError):
pass
summary = "·".join(parts)
row["contracts_summary"] = summary
row["missing_leg"] = missing_leg_role(legs)
out.append(row)
return out
def active_options_targets_by_inst(conn: sqlite3.Connection) -> dict[str, dict[str, Any]]:
"""返回由进行中「期期对冲」托管的期权目标,仅供期权页只读展示。
这些目标由 hedge_plan_monitor_lib 执行,绝不能写入 options_target_monitors,
否则两套监控会同时尝试平掉同一条期权腿。
"""
rows = conn.execute(
"""
SELECT p.id AS plan_id, p.underlying, p.target_price_up, p.target_price_down,
p.profit_rr, l.inst_id, l.opt_type
FROM hedge_plans p
JOIN hedge_plan_legs l ON l.plan_id = p.id
WHERE p.plan_type = 'options_options'
AND p.status IN ('opening', 'active', 'partial')
AND l.status = 'open'
AND l.inst_id IS NOT NULL
AND l.inst_id != ''
ORDER BY p.id DESC, l.id DESC
"""
).fetchall()
out: dict[str, dict[str, Any]] = {}
for raw in rows:
row = dict(raw)
inst_id = str(row.get("inst_id") or "")
opt_type = str(row.get("opt_type") or "").upper()
if not inst_id or inst_id in out:
continue
profit_rr = _sf(row.get("profit_rr"))
if profit_rr is not None and profit_rr > 0:
out[inst_id] = {
"plan_id": int(row["plan_id"]),
"inst_id": inst_id,
"underlying": row.get("underlying"),
"opt_type": opt_type,
"profit_rr": profit_rr,
"target_index": None,
"exit_mode": "profit_rr",
"managed_by": "hedge_plan",
}
continue
target = row.get("target_price_up") if opt_type == "C" else row.get("target_price_down")
target_f = _sf(target)
if target_f is None or target_f <= 0:
continue
out[inst_id] = {
"plan_id": int(row["plan_id"]),
"inst_id": inst_id,
"underlying": row.get("underlying"),
"opt_type": opt_type,
"target_index": target_f,
"plan_type": "options_options",
"managed_by": "hedge_plan",
}
return out
def active_hedge_option_inst_ids(conn: sqlite3.Connection) -> set[str]:
"""进行中对冲计划托管的期权合约,禁止单独期权页 close/target 拆组."""
rows = conn.execute(
"""
SELECT DISTINCT l.inst_id
FROM hedge_plan_legs l
JOIN hedge_plans p ON p.id = l.plan_id
WHERE p.status IN ('opening', 'active', 'partial')
AND l.status IN ('open', 'hold_to_expiry')
AND l.inst_id IS NOT NULL
AND TRIM(l.inst_id) != ''
AND (
l.leg_role LIKE 'option%'
OR (l.opt_type IS NOT NULL AND TRIM(l.opt_type) != '')
)
"""
).fetchall()
return {str(r[0]).strip() for r in rows if r and r[0]}
def _sf(v: Any) -> Optional[float]:
try:
if v is None or v == "":
return None
return float(v)
except (TypeError, ValueError):
return None
def _metrics_from_pnls(rows: list[dict[str, Any]]) -> dict[str, Any]:
"""对一组已结束计划计算胜率/盈亏比/最大盈亏/最大回撤."""
pnls: list[float] = []
timed: list[tuple[str, float]] = []
for r in rows:
pnl = _sf(r.get("realized_pnl_total"))
if pnl is None:
continue
pnls.append(pnl)
t = str(r.get("closed_at") or r.get("opened_at") or r.get("created_at") or "")
timed.append((t, pnl))
n = len(pnls)
if n == 0:
return {
"count": 0,
"wins": 0,
"losses": 0,
"win_rate": None,
"net_pnl": 0.0,
"avg_pnl": None,
"avg_premium": None,
"profit_factor": None,
"max_profit": None,
"max_loss": None,
"max_drawdown": None,
}
wins = [x for x in pnls if x > 0]
losses = [x for x in pnls if x < 0]
gross_win = sum(wins)
gross_loss = abs(sum(losses))
if gross_loss > 0:
profit_factor = round(gross_win / gross_loss, 4)
elif gross_win > 0:
profit_factor = None # 全胜,标无限
else:
profit_factor = 0.0
timed.sort(key=lambda x: x[0] or "")
cum = 0.0
peak = 0.0
mdd = 0.0
for _, p in timed:
cum += p
if cum > peak:
peak = cum
dd = peak - cum
if dd > mdd:
mdd = dd
premiums = [_sf(r.get("premium_total")) for r in rows]
premiums_f = [x for x in premiums if x is not None]
return {
"count": n,
"wins": len(wins),
"losses": len(losses),
"win_rate": round(len(wins) / n, 4),
"net_pnl": round(sum(pnls), 4),
"avg_pnl": round(sum(pnls) / n, 4),
"avg_premium": round(sum(premiums_f) / len(premiums_f), 4) if premiums_f else None,
"profit_factor": profit_factor,
"profit_factor_infinite": bool(gross_loss <= 0 and gross_win > 0),
"max_profit": round(max(pnls), 4),
"max_loss": round(min(pnls), 4),
"max_drawdown": round(mdd, 4),
}
def stats_summary(conn: sqlite3.Connection) -> dict[str, Any]:
reason_rows = conn.execute(
"""
SELECT plan_type, close_reason, COUNT(1) AS n,
COALESCE(SUM(realized_pnl_total), 0) AS pnl
FROM hedge_plans
WHERE status='closed'
GROUP BY plan_type, close_reason
"""
).fetchall()
closed_rows = [
dict(r)
for r in conn.execute(
"SELECT * FROM hedge_plans WHERE status='closed' ORDER BY COALESCE(closed_at, opened_at, created_at), id"
).fetchall()
]
active = count_active_plans(conn)
overall = _metrics_from_pnls(closed_rows)
by_type = {
"perp_options": _metrics_from_pnls(
[r for r in closed_rows if r.get("plan_type") == "perp_options"]
),
"options_options": _metrics_from_pnls(
[r for r in closed_rows if r.get("plan_type") == "options_options"]
),
}
# 永期止盈/止损分桶
po = [r for r in closed_rows if r.get("plan_type") == "perp_options"]
by_type["perp_options"]["buckets"] = {
"tp": _metrics_from_pnls([r for r in po if r.get("close_reason") == "perp_tp"]),
"sl": _metrics_from_pnls([r for r in po if r.get("close_reason") == "perp_sl"]),
}
oo = [r for r in closed_rows if r.get("plan_type") == "options_options"]
by_type["options_options"]["buckets"] = {
"expiry_loss": _metrics_from_pnls(
[r for r in oo if r.get("close_reason") == "oo_expiry_loss"]
),
"expiry_win": _metrics_from_pnls(
[r for r in oo if r.get("close_reason") == "oo_expiry_win"]
),
}
return {
"active": active,
"closed_count": overall["count"],
"closed_pnl_total": overall["net_pnl"],
"overall": overall,
"by_type": by_type,
"by_reason": [dict(r) for r in reason_rows],
}
-285
View File
@@ -1,285 +0,0 @@
"""对冲计划虚实值选约与校验.
永期(perp_options):期权腿仅允许实值或平值(禁虚值).
期期(options_options):两腿仅允许平值或虚值(禁实值).
"""
from __future__ import annotations
import os
from typing import Any, Optional
def _env_float(name: str, default: float) -> float:
try:
return float(os.getenv(name) or default)
except (TypeError, ValueError):
return float(default)
def itm_max_dist_usd() -> float:
"""过深实值上限(USD).优先对冲专用,否则回退期权页."""
raw = (os.getenv("HEDGE_PLAN_ITM_MAX_DIST_USD") or "").strip()
if raw:
try:
return max(0.0, float(raw))
except ValueError:
pass
return max(0.0, _env_float("OKX_OPTIONS_ITM_MAX_DIST_USD", 30.0))
def min_option_hours() -> float:
return max(0.0, _env_float("HEDGE_PLAN_MIN_OPTION_HOURS", 8.0))
def min_option_leverage() -> float:
"""指数/卖一 最低杠杆门槛;0=不启用."""
return max(0.0, _env_float("HEDGE_PLAN_MIN_OPTION_LEVERAGE", 0.0))
def _sf(v: Any) -> Optional[float]:
if v is None or v == "":
return None
try:
return float(v)
except (TypeError, ValueError):
return None
def normalize_opt_type(opt_type: Any, inst_id: str = "") -> str:
o = str(opt_type or "").strip().upper()
if o in ("C", "CALL"):
return "C"
if o in ("P", "PUT"):
return "P"
inst = str(inst_id or "").upper()
if inst.endswith("-C") or inst.endswith("-CALL"):
return "C"
if inst.endswith("-P") or inst.endswith("-PUT"):
return "P"
return ""
def classify_moneyness(*, opt_type: str, strike: float, index_px: float) -> str:
"""itm / atm / otm / unknown.与 options_pricing_lib.option_moneyness 同口径."""
from lib.options.options_pricing_lib import option_moneyness
return option_moneyness(opt_type=opt_type, strike=strike, index_px=index_px)
def is_itm_or_atm(*, opt_type: str, strike: float, index_px: float) -> bool:
"""Call: K<=S(+atm 带);Put: K>=S.用 classify 结果含 atm/itm."""
m = classify_moneyness(opt_type=opt_type, strike=strike, index_px=index_px)
if m in ("itm", "atm"):
return True
# 几何兜底(与 eth_hedge_sim 一致),避免 atm 带边界漏判
o = normalize_opt_type(opt_type)
k = float(strike)
s = float(index_px)
if o == "C":
return k <= s + 1e-9
if o == "P":
return k >= s - 1e-9
return False
def is_atm_or_otm(*, opt_type: str, strike: float, index_px: float) -> bool:
m = classify_moneyness(opt_type=opt_type, strike=strike, index_px=index_px)
if m in ("atm", "otm"):
return True
o = normalize_opt_type(opt_type)
k = float(strike)
s = float(index_px)
if o == "C":
return k >= s - 1e-9 # 平值带内或虚值
if o == "P":
return k <= s + 1e-9
return False
def itm_depth_usd(*, opt_type: str, strike: float, index_px: float) -> float:
o = normalize_opt_type(opt_type)
k = float(strike)
s = float(index_px)
if o == "C" and k < s:
return s - k
if o == "P" and k > s:
return k - s
return 0.0
def parse_strike_from_inst(inst_id: str) -> Optional[float]:
"""从 OKX 合约名解析行权价: ETH-USD-260731-1800-P."""
parts = str(inst_id or "").strip().upper().split("-")
if len(parts) < 5:
return None
return _sf(parts[-2])
def pick_itm_or_atm_contract(
contracts: list[dict[str, Any]],
*,
opt_type: str,
index_px: float,
itm_max_dist: Optional[float] = None,
) -> Optional[dict[str, Any]]:
"""在合约列表中选距标的最近的实值/平值腿."""
want = normalize_opt_type(opt_type)
if not want or index_px <= 0:
return None
max_dist = itm_max_dist if itm_max_dist is not None else itm_max_dist_usd()
cands: list[tuple[float, float, dict[str, Any]]] = []
for c in contracts or []:
if normalize_opt_type(c.get("opt_type"), str(c.get("inst_id") or "")) != want:
continue
k = _sf(c.get("strike"))
if k is None:
continue
if not is_itm_or_atm(opt_type=want, strike=k, index_px=index_px):
continue
depth = itm_depth_usd(opt_type=want, strike=k, index_px=index_px)
if max_dist > 0 and depth > max_dist:
continue
cands.append((abs(k - index_px), k, c))
if not cands:
return None
cands.sort(key=lambda x: (x[0], x[1]))
return cands[0][2]
def pick_atm_or_otm_contract(
contracts: list[dict[str, Any]],
*,
opt_type: str,
index_px: float,
prefer: str = "atm",
) -> Optional[dict[str, Any]]:
"""选平值或虚值腿.prefer=atm 取距标的最近;prefer=otm 取最近虚值(不含实值)."""
want = normalize_opt_type(opt_type)
if not want or index_px <= 0:
return None
prefer_l = (prefer or "atm").strip().lower()
cands: list[tuple[float, float, dict[str, Any]]] = []
for c in contracts or []:
if normalize_opt_type(c.get("opt_type"), str(c.get("inst_id") or "")) != want:
continue
k = _sf(c.get("strike"))
if k is None:
continue
if not is_atm_or_otm(opt_type=want, strike=k, index_px=index_px):
continue
m = classify_moneyness(opt_type=want, strike=k, index_px=index_px)
if prefer_l == "otm" and m != "otm":
continue
if prefer_l == "atm" and m == "otm":
# 仍可入选,但排序靠后(先 atm)
cands.append((1_000_000 + abs(k - index_px), k, c))
else:
cands.append((abs(k - index_px), k, c))
if not cands:
return None
cands.sort(key=lambda x: (x[0], x[1]))
return cands[0][2]
def recommend_oo_legs(
contracts: list[dict[str, Any]],
*,
index_px: float,
template: str = "atm_straddle",
) -> Optional[tuple[dict[str, Any], dict[str, Any]]]:
"""期期推荐两腿.atm_straddle=最近平值 Call+Put;double_otm=最近虚值 Call+Put."""
tpl = (template or "atm_straddle").strip().lower()
prefer = "otm" if tpl in ("double_otm", "otm_otm", "otm") else "atm"
call = pick_atm_or_otm_contract(
contracts, opt_type="C", index_px=index_px, prefer=prefer
)
put = pick_atm_or_otm_contract(
contracts, opt_type="P", index_px=index_px, prefer=prefer
)
if not call or not put:
return None
if str(call.get("inst_id") or "") == str(put.get("inst_id") or ""):
return None
return call, put
def validate_po_option_moneyness(
*,
opt_type: str,
strike: Any,
index_px: Any,
ask: Any = None,
hours_to_expiry: Any = None,
) -> Optional[str]:
"""永期保险腿校验;返回错误文案或 None."""
o = normalize_opt_type(opt_type)
k = _sf(strike)
s = _sf(index_px)
if o not in ("C", "P"):
return "期权类型无效"
if k is None or s is None or s <= 0:
return "行权价或指数无效,无法校验虚实值"
if not is_itm_or_atm(opt_type=o, strike=k, index_px=s):
return "永期保险腿须为实值或平值,不可选虚值"
max_dist = itm_max_dist_usd()
depth = itm_depth_usd(opt_type=o, strike=k, index_px=s)
if max_dist > 0 and depth > max_dist:
return f"实值过深(距现价 {depth:.1f}U > {max_dist:.0f}U),请换更接近平值的档"
min_h = min_option_hours()
h = _sf(hours_to_expiry)
if min_h > 0 and h is not None and h < min_h:
return f"剩余到期约 {h:.1f}h,低于最低 {min_h:.0f}h"
min_lev = min_option_leverage()
a = _sf(ask)
if min_lev > 0 and a is not None and a > 0:
lev = s / a
if lev < min_lev:
return f"期权杠杆 S/ask≈{lev:.0f} 低于门槛 {min_lev:.0f}"
return None
def validate_oo_leg_moneyness(
*,
opt_type: str,
strike: Any,
index_px: Any,
role: str = "腿",
) -> Optional[str]:
o = normalize_opt_type(opt_type)
k = _sf(strike)
s = _sf(index_px)
if o not in ("C", "P"):
return f"{role}期权类型无效"
if k is None or s is None or s <= 0:
return f"{role}行权价或指数无效,无法校验虚实值"
m = classify_moneyness(opt_type=o, strike=k, index_px=s)
if m == "itm":
return f"{role}须为平值或虚值,不可选实值"
if not is_atm_or_otm(opt_type=o, strike=k, index_px=s):
return f"{role}须为平值或虚值"
return None
def validate_oo_legs_moneyness(
leg_a: dict[str, Any],
leg_b: dict[str, Any],
*,
index_px: Any,
) -> Optional[str]:
err = validate_oo_leg_moneyness(
opt_type=leg_a.get("opt_type"),
strike=leg_a.get("strike"),
index_px=index_px,
role="腿A",
)
if err:
return err
err = validate_oo_leg_moneyness(
opt_type=leg_b.get("opt_type"),
strike=leg_b.get("strike"),
index_px=index_px,
role="腿B",
)
if err:
return err
return None
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@@ -1,216 +0,0 @@
"""对冲计划企业微信推送(起止必发,幂等落库标记)."""
from __future__ import annotations
from typing import Any, Callable, Optional
from lib.hedge_plan.hedge_plan_db import update_plan
def _fmt(v: Any, d: int = 2) -> str:
try:
if v is None or v == "":
return "—"
return f"{float(v):.{d}f}"
except (TypeError, ValueError):
return str(v)
def _type_label(plan_type: str) -> str:
return "永期对冲" if (plan_type or "") == "perp_options" else "期期对冲"
def _dir_label(direction: str) -> str:
d = (direction or "").lower()
if d == "long":
return "做多"
if d == "short":
return "做空"
return "—"
def build_hedge_start_message(plan: dict[str, Any], *, legs: Optional[list[dict[str, Any]]] = None) -> str:
pt = plan.get("plan_type") or ""
lines = [
f"🟢 对冲计划启动 #{plan.get('id')}",
f"📌 类型:{_type_label(pt)}",
f"🪙 标的:{plan.get('underlying') or '—'}",
]
if pt == "perp_options":
lines.extend(
[
f"📈 方向:{_dir_label(plan.get('direction') or '')}",
f"💵 开仓参考:{_fmt(plan.get('entry_mark'))}",
f"🎯 止盈:{_fmt(plan.get('tp'))}|止损:{_fmt(plan.get('sl'))}",
f"📦 永续张数:{_fmt(plan.get('perp_size'), 4)}|杠杆:{_fmt(plan.get('leverage'), 0)}x",
f"💎 期权保费合计:{_fmt(plan.get('premium_total'), 4)} USDC",
]
)
else:
rr = plan.get("profit_rr")
if rr not in (None, ""):
lines.extend(
[
f"🎯 盈亏比:{_fmt(rr)} (盈利金额/总权利金)",
f"💎 期权保费合计:{_fmt(plan.get('premium_total'), 4)} USDC",
]
)
else:
lines.extend(
[
f"🎯 上破:{_fmt(plan.get('target_price_up') or plan.get('target_price'))}"
f"|下破:{_fmt(plan.get('target_price_down') or plan.get('target_price'))}",
f"💎 期权保费合计:{_fmt(plan.get('premium_total'), 4)} USDC",
]
)
if legs:
for leg in legs:
role = leg.get("leg_role") or ""
if role == "perp":
lines.append(f"· 永续腿 {leg.get('symbol') or ''} ×{_fmt(leg.get('size'), 4)}")
else:
lines.append(
f"· {role} {(leg.get('opt_type') or '')} K{_fmt(leg.get('strike'), 0)} "
f"×{_fmt(leg.get('size'), 0)}张 {leg.get('inst_id') or ''}"
)
lines.append("📎 独立模块推送,不进普通交易复盘")
return "\n".join(lines)
def build_hedge_end_message(plan: dict[str, Any]) -> str:
reason = plan.get("close_reason") or "—"
total = plan.get("realized_pnl_total")
try:
tv = float(total) if total is not None else None
except (TypeError, ValueError):
tv = None
head = "🔴" if (tv is not None and tv < 0) else "🟢"
reason_map = {
"perp_tp": "永续止盈(期权默认不平)",
"perp_sl": "永续止损(期权强制平)",
"target_win_leg": "期期已平盈利腿(中间态)",
"target_up_win_leg": "期期上破·已平盈利腿",
"target_down_win_leg": "期期下破·已平盈利腿",
"profit_rr_win_leg": "期期盈亏比达标·已平盈利腿",
"oo_rest_closing": "期期残值平·清亏损腿中",
"oo_rest_closed": "期期残值平·两腿已平",
"oo_expiry_loss": "期期到期无盈利·总亏损",
"oo_expiry_win": "期期到期仍盈利",
"expiry": "到期收口",
"manual": "人工结束",
"partial_fail": "半腿失败收尾",
"cancelled": "已取消",
}
lines = [
f"{head} 对冲计划结束 #{plan.get('id')}",
f"📌 类型:{_type_label(plan.get('plan_type') or '')}",
f"🪙 标的:{plan.get('underlying') or '—'}",
f"📎 原因:{reason_map.get(reason, reason)}",
f"💰 合计≈U:{_fmt(total)}",
f"· 永续分项:{_fmt(plan.get('realized_pnl_perp'))} USDT",
f"· 期权分项:{_fmt(plan.get('realized_pnl_options'))} USDC(≈U 1:1)",
f"⏱ 开仓:{plan.get('opened_at') or '—'}|结束:{plan.get('closed_at') or '—'}",
]
return "\n".join(lines)
def build_hedge_alert_message(
*,
title: str,
plan_id: Any = None,
detail: str = "",
) -> str:
lines = [f"⚠️ 对冲计划告警{(' #' + str(plan_id)) if plan_id else ''}", f"📌 {title}"]
if detail:
lines.append(str(detail)[:800])
return "\n".join(lines)
def notify_hedge(
cfg: dict[str, Any],
content: str,
) -> bool:
send: Optional[Callable[[str], Any]] = cfg.get("send_wechat")
if not callable(send):
return False
try:
send(content)
return True
except Exception:
return False
def notify_plan_start(
cfg: dict[str, Any],
conn: Any,
plan: dict[str, Any],
legs: Optional[list[dict[str, Any]]] = None,
) -> bool:
if int(plan.get("wechat_start_sent") or 0):
return False
ok = notify_hedge(cfg, build_hedge_start_message(plan, legs=legs))
if ok and plan.get("id") is not None:
update_plan(conn, int(plan["id"]), wechat_start_sent=1)
plan["wechat_start_sent"] = 1
return ok
def notify_plan_end(cfg: dict[str, Any], conn: Any, plan: dict[str, Any]) -> bool:
if int(plan.get("wechat_end_sent") or 0):
return False
# 中间态 target_win_leg 不算正式结束推送(用告警)
if (plan.get("close_reason") or "") in (
"target_win_leg",
"target_up_win_leg",
"target_down_win_leg",
"profit_rr_win_leg",
"oo_rest_closing",
) and (plan.get("status") or "") != "closed":
cr = str(plan.get("close_reason") or "")
if "profit_rr" in cr:
side = "盈亏比达标"
elif "up" in cr:
side = "上破"
elif "down" in cr:
side = "下破"
else:
side = "目标"
mode = (plan.get("oo_close_mode") or "").strip().lower()
if mode in ("close_all", "全平", "残值平"):
rest_txt = "另一腿残值平(本合约权利金≤20%且有买一,失败重试)"
else:
rest_txt = "另一腿到期平(持有至到期结算)"
rr = plan.get("profit_rr")
if rr not in (None, ""):
detail = f"盈亏比 {_fmt(rr)} (盈利金额/总权利金)"
else:
detail = (
f"上破 {_fmt(plan.get('target_price_up') or plan.get('target_price'))}"
f"|下破 {_fmt(plan.get('target_price_down') or plan.get('target_price'))}"
)
notify_hedge(
cfg,
build_hedge_alert_message(
title=f"期期{side}已平盈利腿 · {rest_txt}",
plan_id=plan.get("id"),
detail=detail,
),
)
return True
ok = notify_hedge(cfg, build_hedge_end_message(plan))
if ok and plan.get("id") is not None:
update_plan(conn, int(plan["id"]), wechat_end_sent=1)
plan["wechat_end_sent"] = 1
return ok
def notify_partial_fail(cfg: dict[str, Any], *, plan_type: str, msg: str, results: Any = None) -> bool:
detail = msg
if results:
try:
detail = f"{msg}\n路径结果:{results}"[:800]
except Exception:
pass
return notify_hedge(
cfg,
build_hedge_alert_message(title=f"{_type_label(plan_type)}半腿失败", detail=detail),
)
@@ -1,527 +0,0 @@
"""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)."""
from __future__ import annotations
import math
import os
from typing import Any, Optional
PREMIUM_EXEC_FACTOR = 0.95
DEFAULT_MIN_HOURS = 36.0
DEFAULT_STRIKE_INTERVAL = 15.0
DEFAULT_PERP_LEVERAGE = 100
DEFAULT_OPT_LEVERAGE_ITM_ATM = 100.0
DEFAULT_OPT_LEVERAGE_OTM = 200.0
DEFAULT_RATIO_ITM_ATM = 2.0
DEFAULT_RATIO_OTM = 4.0
OTM_LEV_FLOOR = 180.0
def _sf(v: Any) -> Optional[float]:
if v is None or v == "":
return None
try:
return float(v)
except (TypeError, ValueError):
return None
def is_option_primary(body_or_plan: dict[str, Any] | None) -> bool:
if not body_or_plan:
return False
v = body_or_plan.get("option_primary")
if v in (True, 1, "1", "true", "yes", "on"):
return True
try:
return int(v or 0) == 1
except (TypeError, ValueError):
return False
def fee_rate() -> float:
try:
return max(0.0, float(os.getenv("HEDGE_PLAN_FEE_RATE") or os.getenv("OKX_TAKER_FEE") or "0.0005"))
except (TypeError, ValueError):
return 0.0005
def floor2(v: float) -> float:
"""ETH 数量向下取两位小数."""
if v <= 0:
return 0.0
return math.floor(float(v) * 100.0 + 1e-12) / 100.0
def opt_type_for_view(direction: str) -> str:
"""看法做多→Call,做空→Put."""
return "P" if str(direction or "").strip().lower() == "short" else "C"
def perp_direction_for_view(direction: str) -> str:
"""看法做多→永续空,做空→永续多."""
return "long" if str(direction or "").strip().lower() == "short" else "short"
def default_opt_leverage(moneyness: str) -> float:
m = (moneyness or "").strip().lower()
return DEFAULT_OPT_LEVERAGE_OTM if m == "otm" else DEFAULT_OPT_LEVERAGE_ITM_ATM
def default_ratio(moneyness: str) -> float:
m = (moneyness or "").strip().lower()
return DEFAULT_RATIO_OTM if m == "otm" else DEFAULT_RATIO_ITM_ATM
def effective_min_opt_leverage(moneyness: str, configured: Any) -> float:
cfg = _sf(configured)
base = cfg if cfg is not None and cfg > 0 else default_opt_leverage(moneyness)
if (moneyness or "").strip().lower() == "otm":
return max(base, OTM_LEV_FLOOR)
return base
def hours_to_expiry_from_ms(exp_ms: Any, *, now_ms: Optional[float] = None) -> Optional[float]:
exp = _sf(exp_ms)
if exp is None or exp <= 0:
return None
# OKX exp 多为毫秒
if exp < 1e12:
exp *= 1000.0
now = now_ms if now_ms is not None else __import__("time").time() * 1000.0
return (exp - now) / 3600000.0
def target_hit(*, view_side: str, index_px: float, strike: float, points: float) -> bool:
"""相对 K 的点数目标:做多 index≥K+N;做空 index≤K−N.点数须 >0."""
n = float(points or 0)
k = float(strike)
s = float(index_px)
if n <= 0 or k <= 0 or s <= 0:
return False
side = str(view_side or "").strip().lower()
if side == "short":
return s <= (k - n)
return s >= (k + n)
def option_bid_liquidity_ok(bid: Any, bid_sz: Any, *, need_sheets: float = 0) -> tuple[bool, str]:
b = _sf(bid)
if b is None or b <= 0:
return False, "暂无买一报价,无法平期权"
sz = _sf(bid_sz)
if sz is not None and sz <= 0:
return False, "买一深度为 0,无法平期权"
need = float(need_sheets or 0)
if need > 0 and sz is not None and sz + 1e-12 < need:
return False, f"买一深度不足(需 {need:g} 张,买一 {sz:g})"
return True, ""
def size_from_premium(
*,
premium_budget: float,
ask: float,
ct_mult: float,
ratio: float,
contract_size: float,
exec_factor: float = PREMIUM_EXEC_FACTOR,
) -> dict[str, Any]:
"""权利金×0.95 → ETH 两位小数 → 期权张 → 永续跟比例."""
budget = float(premium_budget or 0)
a = float(ask or 0)
ct = float(ct_mult or 0.01)
r = float(ratio or 0)
cs = float(contract_size or 0.01)
usable = budget * float(exec_factor or PREMIUM_EXEC_FACTOR)
if budget <= 0 or a <= 0 or ct <= 0 or r <= 0 or cs <= 0:
return {
"ok": False,
"msg": "定仓参数无效",
"usable_premium": round(usable, 4),
"eth_qty": 0.0,
"sheets": 0.0,
"perp_eth": 0.0,
"contracts": 0.0,
}
# ask 为每 1 币权利金;ETH 数量 = usable / ask
eth_qty = floor2(usable / a)
if eth_qty <= 0:
return {
"ok": False,
"msg": "权利金不足以买入 0.01 ETH 名义期权",
"usable_premium": round(usable, 4),
"eth_qty": 0.0,
"sheets": 0.0,
"perp_eth": 0.0,
"contracts": 0.0,
}
sheets = eth_qty / ct
# 张数向下取整到整数张(OKX 期权常见整张)
sheets_i = float(math.floor(sheets + 1e-12))
if sheets_i <= 0:
return {
"ok": False,
"msg": "换算期权张数不足 1 张",
"usable_premium": round(usable, 4),
"eth_qty": eth_qty,
"sheets": 0.0,
"perp_eth": 0.0,
"contracts": 0.0,
}
# 用整张回写 ETH,保持与下单一致
eth_qty = round(sheets_i * ct, 2)
perp_eth = eth_qty / r
contracts = perp_eth / cs
premium_est = a * sheets_i * ct
return {
"ok": True,
"msg": "",
"usable_premium": round(usable, 4),
"eth_qty": eth_qty,
"sheets": sheets_i,
"perp_eth": round(perp_eth, 6),
"contracts": contracts,
"premium_est": round(premium_est, 4),
"ratio": r,
"exec_factor": float(exec_factor or PREMIUM_EXEC_FACTOR),
}
def estimate_combo_net_pnl(
*,
view_side: str,
strike: float,
index_px: float,
ask_open: float,
bid: float,
sheets: float,
ct_mult: float,
perp_direction: str,
perp_entry: float,
perp_mark: float,
contracts: float,
contract_size: float,
fee: Optional[float] = None,
) -> dict[str, Any]:
"""组合净利(扣费);平仓/卖出手续费按买入费率估算."""
fr = fee if fee is not None else fee_rate()
ct = float(ct_mult or 0.01)
sh = float(sheets or 0)
a = float(ask_open or 0)
b = float(bid or 0)
premium = a * sh * ct
opt_proceeds = b * sh * ct
opt_open_fee = premium * fr
opt_close_fee = opt_proceeds * fr # 卖出费用按买入费率
opt_net = opt_proceeds - premium - opt_open_fee - opt_close_fee
coins = float(contracts or 0) * float(contract_size or 0.01)
entry = float(perp_entry or 0)
mark = float(perp_mark or 0)
pd = str(perp_direction or "").strip().lower()
if pd == "short":
perp_gross = (entry - mark) * coins
else:
perp_gross = (mark - entry) * coins
perp_notional_open = abs(entry * coins)
perp_notional_close = abs(mark * coins)
perp_open_fee = perp_notional_open * fr
perp_close_fee = perp_notional_close * fr
perp_net = perp_gross - perp_open_fee - perp_close_fee
total = opt_net + perp_net
return {
"opt_net": round(opt_net, 4),
"perp_net": round(perp_net, 4),
"net": round(total, 4),
"fee_rate": fr,
"premium": round(premium, 4),
"opt_proceeds": round(opt_proceeds, 4),
}
def validate_option_primary_moneyness(
*,
opt_type: str,
strike: Any,
index_px: Any,
ask: Any = None,
moneyness: str = "atm",
strike_interval: Any = DEFAULT_STRIKE_INTERVAL,
min_hours: Any = DEFAULT_MIN_HOURS,
hours_to_expiry: Any = None,
min_opt_leverage: Any = None,
) -> Optional[str]:
from lib.hedge_plan.hedge_plan_moneyness_lib import (
classify_moneyness,
is_atm_or_otm,
is_itm_or_atm,
normalize_opt_type,
)
o = normalize_opt_type(opt_type)
k = _sf(strike)
s = _sf(index_px)
if o not in ("C", "P"):
return "期权类型无效"
if k is None or s is None or s <= 0:
return "行权价或指数无效"
m_want = (moneyness or "atm").strip().lower()
m_got = classify_moneyness(opt_type=o, strike=k, index_px=s)
if m_want == "itm":
if not is_itm_or_atm(opt_type=o, strike=k, index_px=s):
return "所选须为实值或平值"
elif m_want == "atm":
# 平值:距指数在间隔内即可(不强制 classify==atm)
pass
elif m_want == "otm":
if m_got == "itm":
return "虚值模式不可选实值"
if not is_atm_or_otm(opt_type=o, strike=k, index_px=s):
return "虚值模式须选虚值或平值档"
else:
return "期权类型(实/平/虚)无效"
interval = float(_sf(strike_interval) or DEFAULT_STRIKE_INTERVAL)
if interval > 0 and abs(k - s) > interval + 1e-9:
return f"行权价偏离指数 {abs(k - s):.1f} > 间隔 {interval:.0f}"
min_h = float(_sf(min_hours) or DEFAULT_MIN_HOURS)
h = _sf(hours_to_expiry)
if min_h > 0 and h is not None and h < min_h:
return f"剩余到期约 {h:.1f}h,低于最短 {min_h:.0f}h"
a = _sf(ask)
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 a is not None and a > 0:
lev = s / a
if lev < min_lev:
return f"期权杠杆 S/ask≈{lev:.0f} 低于门槛 {min_lev:.0f}"
return None
def validate_option_primary_watch(body: dict[str, Any]) -> Optional[str]:
"""盯盘启动校验:只要参数,不要求已选具体合约."""
need = (
"direction",
"exchange_symbol",
"premium_budget",
"option_target_points",
"perp_target_points",
"option_perp_ratio",
"option_leverage",
)
for k in need:
if body.get(k) in (None, ""):
return f"缺少字段: {k}"
try:
if float(body["premium_budget"]) <= 0:
return "权利金须大于 0"
if float(body["option_target_points"]) <= 0 or float(body["perp_target_points"]) <= 0:
return "目标位点数须大于 0"
if float(body["option_perp_ratio"]) <= 0:
return "期权永续比例须大于 0"
if float(body["option_leverage"]) <= 0:
return "期权杠杆须大于 0"
lev_perp = _sf(body.get("leverage"))
if lev_perp is not None and lev_perp <= 0:
return "永续杠杆须大于 0"
except (TypeError, ValueError):
return "数值字段无效"
direction = str(body.get("direction") or "").strip().lower()
if direction not in ("long", "short"):
return "方向须为 long 或 short"
moneyness = str(body.get("moneyness") or body.get("option_moneyness") or "otm").strip().lower()
if moneyness not in ("itm", "atm", "otm"):
return "期权类型(实/平/虚)无效"
return None
def validate_option_primary_start(body: dict[str, Any]) -> Optional[str]:
need = (
"direction",
"contracts",
"opt_inst_id",
"sheets",
"exchange_symbol",
"premium_budget",
"option_target_points",
"perp_target_points",
"option_perp_ratio",
)
for k in need:
if body.get(k) in (None, ""):
return f"缺少字段: {k}"
try:
if float(body["contracts"]) <= 0 or float(body["sheets"]) <= 0:
return "张数必须大于 0"
if float(body["premium_budget"]) <= 0:
return "权利金须大于 0"
if float(body["option_target_points"]) <= 0 or float(body["perp_target_points"]) <= 0:
return "目标位点数须大于 0"
if float(body["option_perp_ratio"]) <= 0:
return "期权永续比例须大于 0"
except (TypeError, ValueError):
return "数值字段无效"
direction = str(body.get("direction") or "").strip().lower()
if direction not in ("long", "short"):
return "方向须为 long 或 short"
opt_type = str(body.get("opt_type") or "").strip().upper()
if not opt_type:
inst = str(body.get("opt_inst_id") or "")
if inst.upper().endswith("-P"):
opt_type = "P"
elif inst.upper().endswith("-C"):
opt_type = "C"
want = opt_type_for_view(direction)
if opt_type != want:
return f"以期权为主时做{'多' if direction == 'long' else '空'}须用 {'Call' if want == 'C' else 'Put'}"
moneyness = str(body.get("moneyness") or body.get("option_moneyness") or "otm").strip().lower()
from lib.hedge_plan.hedge_plan_moneyness_lib import parse_strike_from_inst
strike = body.get("strike")
if strike in (None, ""):
strike = parse_strike_from_inst(str(body.get("opt_inst_id") or ""))
index_px = body.get("index_px") or body.get("entry")
return validate_option_primary_moneyness(
opt_type=opt_type,
strike=strike,
index_px=index_px,
ask=body.get("ask"),
moneyness=moneyness,
strike_interval=body.get("strike_interval", DEFAULT_STRIKE_INTERVAL),
min_hours=body.get("min_option_hours", DEFAULT_MIN_HOURS),
hours_to_expiry=body.get("hours_to_expiry"),
min_opt_leverage=body.get("option_leverage") or body.get("min_opt_leverage"),
)
def pick_option_primary_candidate(
chain: dict[str, Any],
*,
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
want = opt_type_for_view(direction)
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,
}
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File diff suppressed because it is too large Load Diff
-217
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@@ -1,217 +0,0 @@
"""对冲计划结算辅助:到期内在价值与期权腿收口."""
from __future__ import annotations
import os
import time
from datetime import datetime
from typing import Any, Callable, Optional
from zoneinfo import ZoneInfo
from lib.exchange.okx_options_lib import normalize_option_exp_ms, resolve_option_close_from_history
from lib.hedge_plan.hedge_plan_calc_lib import option_expiry_pnl
_APP_TZ = ZoneInfo((os.getenv("APP_TIMEZONE") or os.getenv("TZ") or "Asia/Shanghai").strip() or "Asia/Shanghai")
def _sf(v: Any) -> Optional[float]:
try:
if v is None or v == "":
return None
return float(v)
except (TypeError, ValueError):
return None
def leg_exp_ms(leg: dict[str, Any]) -> Optional[int]:
return normalize_option_exp_ms(leg.get("exp_time"), str(leg.get("inst_id") or ""))
def leg_is_expired(leg: dict[str, Any], *, now_ms: Optional[int] = None) -> bool:
exp = leg_exp_ms(leg)
if exp is None:
return False
now = int(now_ms if now_ms is not None else time.time() * 1000)
return now >= int(exp)
def settle_option_leg_at_spot(leg: dict[str, Any], spot: float) -> float:
"""按到期结算口径估算腿盈亏(USDC)."""
premium = float(leg.get("premium") or 0)
strike = _sf(leg.get("strike"))
if strike is None:
return -premium
sheets = float(leg.get("size") or 1)
# ct_mult 未入库时默认 0.01
ct = float(leg.get("ct_mult") or 0.01)
return float(
option_expiry_pnl(
opt_type=str(leg.get("opt_type") or "P"),
strike=float(strike),
spot=float(spot),
sheets=sheets,
ct_mult=ct,
premium_paid=premium,
)
)
def all_option_legs_expired(legs: list[dict[str, Any]], *, now_ms: Optional[int] = None) -> bool:
opts = [
x
for x in legs
if str(x.get("leg_role") or "").startswith("option")
and str(x.get("status") or "") in ("open", "hold_to_expiry")
]
if not opts:
return False
return all(leg_is_expired(x, now_ms=now_ms) for x in opts)
def _parse_opened_ms(raw: Any) -> Optional[int]:
"""墙钟开仓时间 → UTC ms.库内时间为业务时区(默认 Asia/Shanghai),不可当 UTC."""
if raw is None or raw == "":
return None
s = str(raw).strip()
if not s:
return None
for fmt, ln in (("%Y-%m-%d %H:%M:%S", 19), ("%Y-%m-%d %H:%M:%f", 26), ("%Y-%m-%d %H:%M", 16)):
try:
dt = datetime.strptime(s[:ln], fmt).replace(tzinfo=_APP_TZ)
return int(dt.timestamp() * 1000)
except ValueError:
continue
return None
def resolve_option_leg_realized_pnl(
*,
ex: Any = None,
leg: dict[str, Any],
fallback: Optional[float] = None,
fetch_history_fn: Optional[Callable[[str], list[dict[str, Any]]]] = None,
hist_rows: Optional[list[dict[str, Any]]] = None,
) -> tuple[Optional[float], str]:
"""
期权腿已实现盈亏:优先 OKX positions-history realizedPnl.
返回 (pnl, source) source=exchange|fallback|none.
"""
inst_id = str(leg.get("inst_id") or "").strip()
open_ms = _parse_opened_ms(leg.get("opened_at"))
rows = hist_rows
if rows is None and inst_id:
try:
if callable(fetch_history_fn):
rows = fetch_history_fn(inst_id)
elif ex is not None:
from lib.exchange.okx_options_lib import fetch_option_position_history
rows = fetch_option_position_history(ex, inst_id)
except Exception:
rows = None
if rows:
close_ms = _parse_opened_ms(leg.get("closed_at"))
sheets = _sf(leg.get("size")) or _sf(leg.get("sheets"))
info = resolve_option_close_from_history(
rows, open_ms=open_ms, close_ms=close_ms, sheets=sheets
)
pnl = _sf((info or {}).get("realized_pnl")) if info else None
if pnl is not None:
return round(float(pnl), 4), "exchange"
if fallback is not None:
return round(float(fallback), 4), "fallback"
return None, "none"
def backfill_hedge_option_legs_realized_pnl(
conn: Any,
hist_rows: list[dict[str, Any]],
*,
update_plan_fn: Optional[Callable[..., Any]] = None,
) -> dict[str, int]:
"""用交易所历史覆盖已平期权腿盈亏,并重算已结束计划合计."""
from lib.hedge_plan.hedge_plan_db import get_plan, get_plan_legs, update_plan
by_inst: dict[str, list[dict[str, Any]]] = {}
for raw in hist_rows or []:
if not isinstance(raw, dict):
continue
inst = str(raw.get("instId") or "").strip()
if inst:
by_inst.setdefault(inst, []).append(raw)
legs = conn.execute(
"""
SELECT * FROM hedge_plan_legs
WHERE status = 'closed'
AND inst_id IS NOT NULL AND TRIM(inst_id) != ''
AND (leg_role LIKE 'option%' OR opt_type IS NOT NULL)
ORDER BY id DESC
LIMIT 400
"""
).fetchall()
updated_legs = 0
touched_plans: set[int] = set()
for row in legs:
leg = dict(row)
inst = str(leg.get("inst_id") or "").strip()
if not inst or inst not in by_inst:
continue
pnl, src = resolve_option_leg_realized_pnl(
leg=leg,
hist_rows=by_inst[inst],
fallback=None,
)
if src != "exchange" or pnl is None:
continue
local = _sf(leg.get("realized_pnl"))
if local is not None and abs(local - pnl) < 1e-6:
continue
conn.execute(
"UPDATE hedge_plan_legs SET realized_pnl=? WHERE id=?",
(pnl, int(leg["id"])),
)
updated_legs += 1
touched_plans.add(int(leg["plan_id"]))
updated_plans = 0
updater = update_plan_fn or update_plan
for pid in touched_plans:
plan = get_plan(conn, pid)
if not plan or str(plan.get("status") or "") != "closed":
continue
plan_legs = get_plan_legs(conn, pid)
opt_sum = 0.0
for lg in plan_legs:
role = str(lg.get("leg_role") or "")
if not (role.startswith("option") or lg.get("opt_type")):
continue
if str(lg.get("status") or "") != "closed":
continue
opt_sum += float(_sf(lg.get("realized_pnl")) or 0.0)
perp = float(_sf(plan.get("realized_pnl_perp")) or 0.0)
ptype = str(plan.get("plan_type") or "")
if ptype == "options_options":
total = opt_sum
kwargs: dict[str, Any] = {
"realized_pnl_options": round(opt_sum, 4),
"realized_pnl_total": round(total, 4),
}
else:
total = perp + opt_sum
kwargs = {
"realized_pnl_perp": round(perp, 4),
"realized_pnl_options": round(opt_sum, 4),
"realized_pnl_total": round(total, 4),
}
old_total = _sf(plan.get("realized_pnl_total"))
old_opts = _sf(plan.get("realized_pnl_options"))
if (
old_total is not None
and abs(old_total - total) < 1e-6
and old_opts is not None
and abs(old_opts - opt_sum) < 1e-6
):
continue
updater(conn, pid, **kwargs)
updated_plans += 1
return {"legs": updated_legs, "plans": updated_plans}
-96
View File
@@ -1,96 +0,0 @@
"""OKX 期权/对冲模式(env: OKX_TRADE_MODE).
options → 仅单独期权(隐藏对冲导航与对冲 env 配置)
options_options → 仅期期对冲(不可单独开期权)
perp_options → 永期对冲(含合约腿);产品 UI 已隐藏,仅兼容旧 .env / 历史计划
"""
from __future__ import annotations
import os
from typing import Optional
MODE_OPTIONS = "options"
MODE_PERP = "perp_options"
MODE_OO = "options_options"
VALID_MODES = frozenset({MODE_OPTIONS, MODE_PERP, MODE_OO})
# 配置页可选模式(不含永期)
UI_MODES = frozenset({MODE_OPTIONS, MODE_OO})
_ALIASES = {
"option": MODE_OPTIONS,
"standalone": MODE_OPTIONS,
"期权": MODE_OPTIONS,
"单独期权": MODE_OPTIONS,
"po": MODE_PERP,
"perp": MODE_PERP,
"永期": MODE_PERP,
"永期对冲": MODE_PERP,
"oo": MODE_OO,
"期期": MODE_OO,
"期期对冲": MODE_OO,
}
def _env_bool(name: str, default: bool = False) -> bool:
raw = os.getenv(name)
if raw is None or str(raw).strip() == "":
return default
return str(raw).strip().lower() in ("1", "true", "yes", "on")
def normalize_okx_trade_mode(raw: Optional[str]) -> str:
s = str(raw or "").strip().lower()
if s in VALID_MODES:
return s
if s in _ALIASES:
return _ALIASES[s]
return ""
def legacy_infer_okx_trade_mode() -> str:
"""未配置 OKX_TRADE_MODE 时默认单独期权(对冲关闭).
旧 HEDGE_PLAN_* 开关不再自动打开对冲,避免误开;需显式设 OKX_TRADE_MODE=options_options.
"""
return MODE_OPTIONS
def get_okx_trade_mode() -> str:
m = normalize_okx_trade_mode(os.getenv("OKX_TRADE_MODE"))
if m:
return m
return legacy_infer_okx_trade_mode()
def hedge_module_enabled() -> bool:
return get_okx_trade_mode() in (MODE_PERP, MODE_OO)
def show_perp_options() -> bool:
return get_okx_trade_mode() == MODE_PERP
def show_options_options() -> bool:
return get_okx_trade_mode() == MODE_OO
def standalone_options_open_allowed() -> bool:
return get_okx_trade_mode() == MODE_OPTIONS
def mode_label(mode: Optional[str] = None) -> str:
m = mode or get_okx_trade_mode()
return {
MODE_OPTIONS: "单独期权",
MODE_PERP: "永期对冲",
MODE_OO: "期期对冲",
}.get(m, m or "—")
def block_standalone_open_by_mode_msg() -> Optional[str]:
if standalone_options_open_allowed():
return None
return (
f"当前交易模式为「{mode_label()}」,不可单独开期权;"
"请在 env「交易模式」切换为「单独期权」"
)
@@ -1,408 +0,0 @@
<div class="hedge-plan-page-wrap" style="grid-column:1/-1" id="hedge-plan-root"
data-default-underly="{{ options_default_underly | default('ETH') }}"
data-hedge-enabled="{{ '1' if hedge_plan_enabled else '0' }}"
data-options-enabled="{{ '1' if options_enabled else '0' }}"
data-show-perp="{{ '1' if hedge_plan_show_perp_options else '0' }}"
data-show-oo="{{ '1' if hedge_plan_show_options_options else '0' }}"
data-oo-close-mode-enabled="{{ '1' if hedge_plan_oo_close_mode_enabled else '0' }}"
data-option-primary="{{ '1' if hedge_plan_option_primary|default(true) else '0' }}"
data-budget-buffer="{{ hedge_plan_budget_buffer | default(0.95) }}"
data-sizing-mode="{{ position_sizing_mode | default('risk') }}"
data-is-full-margin="{{ '1' if position_sizing_mode == 'full_margin' else '0' }}">
{% if not hedge_plan_enabled %}
<div class="flash" style="margin-bottom:12px">对冲计划未启用:请在 <code>env配置 → 对冲计划</code> 打开 <code>HEDGE_PLAN_ENABLED</code>(可热更).</div>
{% endif %}
{% if not options_enabled %}
<div class="flash" style="margin-bottom:12px">期权模块未启用,无法拉期权链.请先配置期权账户.</div>
{% endif %}
{% if hedge_plan_enabled and not hedge_plan_show_perp_options and not hedge_plan_show_options_options %}
<div class="flash" style="margin-bottom:12px">永期与期期 Tab 均已隐藏:请在 env「期权/对冲模式」切换交易模式;进行中/历史仍可查看.</div>
{% endif %}
<div class="card hp-head-card">
<div class="hp-head-row">
<h2 class="hp-title">对冲计划 <span class="muted hp-title-sub">测算 · 下单</span>
<a class="muted" href="/options/guide" target="_blank" rel="noopener" style="font-size:13px;font-weight:500;margin-left:8px">期权开平仓与监控说明</a>
</h2>
<button type="button" class="btn-secondary" id="hp-refresh" title="刷新永续行情与期权链">刷新行情</button>
</div>
<div class="hp-tabs" role="tablist" aria-label="对冲计划分类">
{% if hedge_plan_show_perp_options %}
<button type="button" class="hp-tab" role="tab" aria-selected="false" data-tab="perp_options">永期对冲</button>
{% endif %}
{% if hedge_plan_show_options_options %}
<button type="button" class="hp-tab" role="tab" aria-selected="false" data-tab="options_options">期期对冲</button>
{% endif %}
<button type="button" class="hp-tab" role="tab" aria-selected="false" data-tab="active">进行中的计划</button>
<button type="button" class="hp-tab" role="tab" aria-selected="false" data-tab="history">历史记录</button>
<button type="button" class="hp-tab" role="tab" aria-selected="false" data-tab="stats">统计分析</button>
</div>
<p class="muted" id="hp-gate-line"></p>
<p class="muted hp-acct-hint" id="hp-acct-hint">永续腿→合约账户 · 期权腿→期权账户</p>
</div>
<div id="hp-tab-perp_options" class="hp-tab-panel" role="tabpanel">
<div class="options-dual-grid" id="hp-po-layout">
<div class="card hp-po-perp-card">
<h2>
<span id="hp-po-mode-badge" class="hp-po-mode-badge">以期权为主</span>
<span id="hp-po-card-title">执行参数</span>
· <span id="hp-perp-uly-label">ETH</span>
<span class="muted hp-acct-tag" id="hp-perp-acct-tag">合约账户</span>
</h2>
<details class="tip-collapse hp-rule-collapse">
<summary class="tip-collapse-summary">规则说明</summary>
<div class="tip-collapse-body rule-tip">
<p><strong>账户</strong>:永续腿走<strong>合约账户</strong>(USDT);期权腿走<strong>期权账户</strong>(USDC)。两账户分开下单、资金不互通。</p>
<p><strong>模式</strong>:在 env <code>HEDGE_PLAN_OPTION_PRIMARY</code> 切换(true=以期权为主 / false=保险模式);标题前标识当前模式。</p>
<p><strong>保险模式</strong>:做多配 Put、做空配 Call;左填开仓/止盈止损;仅实值/平值;交易所 TP/SL 出场。</p>
<p><strong>以期权为主</strong>:填参后点「策略启动」进入<strong>盯盘</strong>(非现场开仓);杠杆/间隔达标后自动先开期权再市价永续。右侧列表仅展示达标候选。</p>
</div>
</details>
<div class="form-row hp-uly-row">
<button type="button" class="btn-secondary hp-uly-btn active" data-uly="ETH">ETH</button>
<button type="button" class="btn-secondary hp-uly-btn" data-uly="BTC">BTC</button>
</div>
<div class="hp-po-top">
<div class="hp-oo-seg hp-po-dir-seg" role="group" aria-label="方向">
<button type="button" class="btn-secondary hp-po-dir is-selected" data-dir="long" title="做多=买Call+永续空"><span class="hp-oo-check" aria-hidden="true">✓</span>做多</button>
<button type="button" class="btn-secondary hp-po-dir" data-dir="short" title="做空=买Put+永续多"><span class="hp-oo-check" aria-hidden="true">✓</span>做空</button>
</div>
</div>
<div class="hp-po-fields hidden" id="hp-po-fields-insurance" hidden>
<label class="hp-po-field">
<span class="hp-po-field-lab">开仓价 <em>USDT</em></span>
<input type="number" step="any" id="hp-entry" placeholder="入场价" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
<label class="hp-po-field">
<span class="hp-po-field-lab">张数 <em>合约张</em></span>
<input type="number" step="any" id="hp-contracts" placeholder="数量" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
<label class="hp-po-field hp-po-field--tp">
<span class="hp-po-field-lab">止盈 <em>USDT</em></span>
<input type="number" step="any" id="hp-tp" placeholder="目标价" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
<label class="hp-po-field hp-po-field--sl">
<span class="hp-po-field-lab">止损 <em>USDT</em></span>
<input type="number" step="any" id="hp-sl" placeholder="保护价" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
</div>
<div id="hp-po-fields-option-primary">
<section class="hp-po-section" aria-labelledby="hp-po-sec-capital">
<h3 id="hp-po-sec-capital" class="hp-po-section-title">资金与杠杆配置</h3>
<div class="hp-po-fields hp-po-fields--section hp-po-fields--capital">
<label class="hp-po-field">
<span class="hp-po-field-lab">权利金 <em>USDC</em></span>
<input type="number" step="any" id="hp-premium-budget" placeholder="预算(执行×0.95)" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
<label class="hp-po-field">
<span class="hp-po-field-lab">永续杠杆</span>
<input type="number" step="1" id="hp-perp-leverage" value="100" autocomplete="off" inputmode="numeric" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
<label class="hp-po-field">
<span class="hp-po-field-lab">期权杠杆 <em>启动校验</em></span>
<input type="number" step="1" id="hp-opt-leverage" value="100" autocomplete="off" inputmode="numeric" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
</div>
</section>
<section class="hp-po-section" aria-labelledby="hp-po-sec-select">
<h3 id="hp-po-sec-select" class="hp-po-section-title">选约条件</h3>
<div class="hp-po-fields hp-po-fields--section hp-po-fields--select">
<label class="hp-po-field">
<span class="hp-po-field-lab">到期时间 <em>最短h</em></span>
<input type="number" step="1" id="hp-min-hours" value="36" autocomplete="off" inputmode="numeric" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
<label class="hp-po-field">
<span class="hp-po-field-lab">期权间隔 <em>点</em></span>
<input type="number" step="any" id="hp-strike-interval" value="15" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
<label class="hp-po-field hp-po-field--type">
<span class="hp-po-field-lab">类型</span>
<select id="hp-money-select" aria-label="虚实值类型">
<option value="otm" selected>虚值</option>
<option value="itm">实值/平值</option>
<option value="atm">仅平值</option>
</select>
</label>
<label class="hp-po-field">
<span class="hp-po-field-lab">比例 <em>期权:永续</em></span>
<input type="number" step="any" id="hp-opt-perp-ratio" value="2" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
</div>
</section>
<section class="hp-po-section" aria-labelledby="hp-po-sec-exit">
<h3 id="hp-po-sec-exit" class="hp-po-section-title">出场条件</h3>
<div class="hp-po-fields hp-po-fields--section">
<label class="hp-po-field">
<span class="hp-po-field-lab">期权目标位 <em>相对K</em></span>
<input type="number" step="any" id="hp-opt-target-pts" placeholder="点数" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
<label class="hp-po-field">
<span class="hp-po-field-lab">永续目标位 <em>相对K</em></span>
<input type="number" step="any" id="hp-perp-target-pts" placeholder="点数" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
</div>
</section>
</div>
<div class="hp-po-summary">
<div id="hp-perp-pnl-line" class="hp-po-pnl"></div>
<div id="hp-sizing-line" class="muted hp-po-sizing"></div>
</div>
</div>
<div class="card hp-po-right-card">
<div class="hp-po-right-stack">
<div class="hp-po-inner-card hp-po-perp-quote-card">
<h2>永续行情 <span class="muted hp-acct-tag">合约账户</span></h2>
<div class="hp-po-quote-head">
<span id="hp-po-mark" class="hp-po-mark" aria-live="polite">标记 —</span>
</div>
<p id="hp-perp-quote" class="muted hp-po-meta">加载中…</p>
<p id="hp-po-perp-quote-right" class="muted hp-po-meta" hidden></p>
</div>
<div class="hp-po-inner-card hp-opt-card">
<h2>期权 · <span id="hp-opt-type-label">Call</span> <span class="muted hp-acct-tag" id="hp-opt-acct-tag">期权账户</span></h2>
<div class="form-row hp-opt-toolbar hp-po-opt-toolbar">
<select id="hp-exp-select"><option value="">选择到期日</option></select>
<span class="hp-po-ins-money" id="hp-po-ins-money" hidden>
<button type="button" class="btn-secondary hp-money-btn active" data-money="itm" title="实值+平值">实值/平值</button>
<button type="button" class="btn-secondary hp-money-btn" data-money="atm" title="仅平值">仅平值</button>
</span>
<button type="button" class="btn-secondary" id="hp-recommend-opt" title="按当前类型自动匹配最近合约">自动匹配</button>
<button type="button" class="btn-secondary" id="hp-load-chain">刷新链</button>
<span id="hp-index-line" class="hp-po-index" aria-live="polite">指数 —</span>
</div>
<div class="options-strike-table-wrap hp-strike-table-wrap--6">
<table class="options-strike-table" id="hp-strike-table">
<thead>
<tr>
<th>行权价</th>
<th>实虚值</th>
<th title="指数÷卖一">杠杆</th>
<th>卖一/张</th>
<th>买一/张</th>
<th>操作</th>
</tr>
</thead>
<tbody id="hp-strike-tbody">
<tr><td colspan="6" class="muted">请刷新期权链</td></tr>
</tbody>
</table>
</div>
<div class="form-row hp-pick-row">
<label>已选 <code id="hp-sel-inst">—</code></label>
<label>张数 <span class="hp-unit">期权张</span> <input type="number" step="1" min="1" id="hp-sheets" value="1" autocomplete="off" inputmode="numeric" data-lpignore="true" data-1p-ignore="true" data-form-type="other" /></label>
<span class="muted" id="hp-premium-line"></span>
</div>
<div id="hp-opt-bal-line" class="muted hp-po-meta hp-opt-bal-line"></div>
</div>
</div>
<div class="form-row hp-action-row hp-po-action-row">
<span id="hp-po-strategy-status" class="hp-po-strategy-status" aria-live="polite"></span>
<button type="button" class="primary" id="hp-preview-btn" title="以期权为主=盯盘启动">策略启动</button>
</div>
</div>
</div>
</div>
<div id="hp-tab-options_options" class="hp-tab-panel hidden" role="tabpanel" hidden>
<div class="options-dual-grid" id="hp-oo-layout">
<div class="card">
<h2>期期参数 · <span id="hp-oo-uly-label">ETH</span> <span class="muted hp-acct-tag">期权账户</span></h2>
<details class="tip-collapse hp-rule-collapse">
<summary class="tip-collapse-summary">规则说明</summary>
<div class="tip-collapse-body rule-tip">
<p><strong>账户</strong>:两腿都在<strong>期权账户</strong>。可用预算 = min(交易 USDC × 对冲缓冲 <strong id="hp-oo-buf-ratio">{{ '%.2f'|format(hedge_plan_budget_buffer|default(0.95)|float) }}</strong>, 单笔预算);可在 env「对冲预算缓冲比例」改。</p>
<p><strong>下单</strong>:选 Call + Put 后「计算」再「启动」。启动会再拉卖一并按最新价重算张数,IOC 完全成交才算成功;资金不足可在右侧划转。</p>
<p><strong>板块</strong>:左填<strong>盈亏比</strong>(盈利金额÷总权利金,默认2)与张数模式(同张数/做多/做空);右 T 型选腿。<strong>两腿仅允许平值或虚值</strong>(禁实值)。出场:盈利腿达盈亏比即平;亏损腿「残值平」=本合约权利金跌至20%且有买一时平,「到期平」=持有至到期。</p>
</div>
</details>
<div class="form-row hp-uly-row">
<button type="button" class="btn-secondary hp-uly-btn-oo active" data-uly="ETH">ETH</button>
<button type="button" class="btn-secondary hp-uly-btn-oo" data-uly="BTC">BTC</button>
</div>
<div class="form-row hp-target-row hp-oo-target-row">
<label title="盈利金额 / 总权利金">盈亏比 <input type="number" step="0.1" min="0.1" id="hp-profit-rr" value="2" placeholder="默认2" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" /></label>
<span id="hp-oo-index" class="hp-oo-index" aria-live="polite">指数 —</span>
</div>
<div class="hp-oo-controls">
<div class="hp-oo-ctrl">
<span class="hp-oo-ctrl-lab">张数</span>
<div class="hp-oo-seg" role="group" aria-label="自动张数">
<button type="button" class="btn-secondary hp-oo-size-mode is-selected" data-oo-size="same_sheets" title="两腿同张数,总权利金≤预算"><span class="hp-oo-check" aria-hidden="true">✓</span>同张数</button>
<button type="button" class="btn-secondary hp-oo-size-mode" data-oo-size="long_bias" title="偏多:Call 占比更高(比例见 env)"><span class="hp-oo-check" aria-hidden="true">✓</span>做多</button>
<button type="button" class="btn-secondary hp-oo-size-mode" data-oo-size="short_bias" title="偏空:Put 占比更高(比例见 env)"><span class="hp-oo-check" aria-hidden="true">✓</span>做空</button>
</div>
</div>
<div class="hp-oo-ctrl" id="hp-oo-close-mode-row">
<span class="hp-oo-ctrl-lab" title="仅控制盈利腿平掉后的另一腿">平仓</span>
<div class="hp-oo-seg" role="group" aria-label="平仓模式">
<button type="button" class="btn-secondary hp-oo-close-mode is-selected" data-oo-close="close_all" title="盈利腿平后:亏损腿本合约权利金跌至20%且有买一时平掉(失败重试)"><span class="hp-oo-check" aria-hidden="true">✓</span>残值平</button>
<button type="button" class="btn-secondary hp-oo-close-mode" data-oo-close="hold_expiry" title="盈利腿平后另一腿持有至到期"><span class="hp-oo-check" aria-hidden="true">✓</span>到期平</button>
</div>
</div>
</div>
<p class="muted hp-oo-meta" id="hp-oo-budget-line"></p>
<div id="hp-oo-legs" class="hp-oo-legs">
<div class="hp-oo-leg-row" data-leg="a">
<div class="muted" id="hp-oo-leg-a-info">腿A: 尚未选用</div>
<label>张数 <span class="hp-unit">期权张</span>
<input type="number" step="1" min="0" id="hp-oo-sheets-a" value="1" disabled autocomplete="off" inputmode="numeric" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
</div>
<div class="hp-oo-leg-row" data-leg="b">
<div class="muted" id="hp-oo-leg-b-info">腿B: 尚未选用</div>
<label>张数 <span class="hp-unit">期权张</span>
<input type="number" step="1" min="0" id="hp-oo-sheets-b" value="1" disabled autocomplete="off" inputmode="numeric" data-lpignore="true" data-1p-ignore="true" data-form-type="other" />
</label>
</div>
<p class="muted" id="hp-oo-prem-line"></p>
</div>
</div>
<div class="card hp-opt-card">
<h2>期权 T 型报价</h2>
<div class="form-row">
<select id="hp-oo-exp-select"><option value="">选择到期日</option></select>
<button type="button" class="btn-secondary hp-oo-money-btn is-selected active" data-oo-money="atm_otm" title="平值+虚值" aria-pressed="true"><span class="hp-oo-check" aria-hidden="true">✓</span>平/虚</button>
<button type="button" class="btn-secondary hp-oo-money-btn" data-oo-money="atm" title="仅平值" aria-pressed="false"><span class="hp-oo-check" aria-hidden="true">✓</span>仅平值</button>
<button type="button" class="btn-secondary hp-oo-money-btn" data-oo-money="otm" title="仅虚值" aria-pressed="false"><span class="hp-oo-check" aria-hidden="true">✓</span>仅虚值</button>
<button type="button" class="btn-secondary hp-oo-recommend-btn" id="hp-oo-recommend-atm" data-oo-rec="atm_straddle" title="最近平值 Call+Put" aria-pressed="false"><span class="hp-oo-check" aria-hidden="true">✓</span>推荐跨式</button>
<button type="button" class="btn-secondary hp-oo-recommend-btn" id="hp-oo-recommend-otm" data-oo-rec="double_otm" title="最近虚值 Call+Put" aria-pressed="false"><span class="hp-oo-check" aria-hidden="true">✓</span>推荐双虚</button>
<button type="button" class="btn-secondary" id="hp-oo-load-chain">刷新链</button>
<button type="button" class="btn-secondary hp-oo-expand-btn" id="hp-oo-expand-all" title="展开该到期全部平值/虚值行权价;若当前为「仅平值」会自动切到「平/虚」" aria-pressed="false"><span class="hp-oo-check" aria-hidden="true">✓</span>显示全部</button>
</div>
<div class="options-strike-table-wrap hp-oo-table-wrap" id="hp-oo-table-wrap">
<table class="options-strike-table options-strike-table--t" id="hp-oo-table">
<thead>
<tr>
<th colspan="4" class="opt-t-head-call">Call</th>
<th class="opt-t-head-mid">行权</th>
<th colspan="4" class="opt-t-head-put">Put</th>
</tr>
<tr>
<th>卖一/张</th><th title="行权价÷卖一">杠杆</th><th>实虚值</th><th>选用</th>
<th>K</th>
<th>实虚值</th><th>卖一/张</th><th title="行权价÷卖一">杠杆</th><th>选用</th>
</tr>
</thead>
<tbody id="hp-oo-tbody">
<tr><td colspan="9" class="muted">请刷新期权链</td></tr>
</tbody>
</table>
</div>
<div class="hp-oo-transfer hp-oo-transfer--compact" id="hp-oo-transfer">
<div class="hp-oo-transfer-bals muted">
<span>资金 <strong id="hp-oo-funding-usdc">—</strong></span>
<span class="hp-oo-transfer-sep">·</span>
<span>交易 <strong id="hp-oo-trading-usdc">—</strong></span>
<span class="hp-oo-transfer-unit">USDC</span>
<span class="muted" id="hp-oo-xfer-msg"></span>
</div>
<div class="form-row hp-oo-transfer-form" autocomplete="off">
{# 诱饵账号框:避免浏览器把划转数量当成登录用户名填 dekun #}
<input type="text" name="username" autocomplete="username" tabindex="-1" aria-hidden="true"
style="position:absolute;left:-9999px;width:1px;height:1px;opacity:0" value="">
<select id="hp-oo-xfer-dir" aria-label="划转方向" autocomplete="off">
<option value="funding_to_trading" selected>资金 → 交易</option>
<option value="trading_to_funding">交易 → 资金</option>
</select>
<input type="number" id="hp-oo-xfer-amount" name="cm_hp_xfer_amt" min="0.01" step="0.01" placeholder="数量"
autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-bwignore="true" data-form-type="other" readonly />
<button type="button" class="btn-secondary btn-sm" id="hp-oo-xfer-all">全部</button>
<button type="button" class="btn-primary btn-sm" id="hp-oo-xfer-btn">划转</button>
</div>
</div>
<div class="form-row hp-action-row">
<button type="button" class="primary" id="hp-preview-btn-oo">计算</button>
</div>
</div>
</div>
</div>
<div id="hp-tab-active" class="hp-tab-panel hidden" role="tabpanel" hidden>
<div class="card">
<h2>进行中的计划</h2>
<p class="muted">仅显示已启动但尚未结束的计划;可查看每条腿的当前记录状态。</p>
<div class="options-strike-table-wrap">
<table class="options-strike-table hp-history-table">
<thead>
<tr>
<th>ID</th><th>类型</th><th>标的</th><th>合约</th><th>状态</th><th>目标/止盈止损</th><th>开仓</th><th>操作</th>
</tr>
</thead>
<tbody id="hp-active-tbody">
<tr><td colspan="8" class="muted">加载中…</td></tr>
</tbody>
</table>
</div>
</div>
</div>
<div id="hp-tab-history" class="hp-tab-panel hidden" role="tabpanel" hidden>
<div class="card">
<h2>历史记录</h2>
<p class="muted">独立对冲计划历史(与普通交易记录分离)。点「成交细节」查看合约名与成交字段。</p>
<div class="options-strike-table-wrap">
<table class="options-strike-table hp-history-table">
<thead>
<tr>
<th>ID</th><th>类型</th><th>标的</th><th>合约</th><th>状态</th><th>合计≈U</th><th>原因</th><th>开仓</th><th>结束</th><th>操作</th>
</tr>
</thead>
<tbody id="hp-history-tbody">
<tr><td colspan="10" class="muted">加载中…</td></tr>
</tbody>
</table>
</div>
</div>
</div>
<div id="hp-tab-stats" class="hp-tab-panel hidden" role="tabpanel" hidden>
<div class="card">
<h2>统计分析</h2>
<p class="muted">按永期 / 期期分别统计:胜率、盈亏比、最大盈利、最大亏损、最大回撤(按结束时间累积)</p>
<div id="hp-stats-box" class="muted">加载中…</div>
</div>
</div>
<div id="hp-detail-modal" class="hp-modal-backdrop" hidden>
<div class="hp-modal" role="dialog" aria-modal="true" aria-labelledby="hp-detail-title">
<div class="hp-modal-head">
<h3 id="hp-detail-title">成交细节</h3>
<button type="button" class="btn-secondary" id="hp-detail-close">关闭</button>
</div>
<div id="hp-detail-body" class="hp-modal-body muted">加载中…</div>
</div>
</div>
<div id="hp-preview-modal" class="hp-modal-backdrop" hidden>
<div class="hp-modal hp-preview-modal" role="dialog" aria-modal="true" aria-labelledby="hp-preview-title">
<div class="hp-modal-head">
<h3 id="hp-preview-title">情景测算</h3>
<button type="button" class="btn-secondary" id="hp-preview-cancel-x" aria-label="关闭">关闭</button>
</div>
<div id="hp-preview-summary" class="muted hp-preview-summary"></div>
<div class="options-strike-table-wrap">
<table class="options-strike-table" id="hp-result-table">
<thead>
<tr>
<th>情景</th>
<th>现货价</th>
<th id="hp-preview-mid-th">永续/腿盈亏</th>
<th>期权盈亏</th>
<th>合计≈U</th>
<th>说明</th>
</tr>
</thead>
<tbody id="hp-result-tbody">
<tr><td colspan="6" class="muted">计算中…</td></tr>
</tbody>
</table>
</div>
<div class="form-row hp-preview-actions">
<button type="button" class="btn-secondary" id="hp-preview-cancel">取消</button>
<button type="button" class="primary" id="hp-preview-start" disabled title="需开启 HEDGE_PLAN_LIVE_ORDER 等门禁">启动计划</button>
</div>
</div>
</div>
</div>
<script src="/static/hedge_plan.js?v=46"></script>
File diff suppressed because it is too large Load Diff
+144 -144
View File
@@ -1,144 +1,144 @@
"""实例顶栏 / 系统设置区块显示开关(存 SQLite,即时生效)."""
from __future__ import annotations
from typing import Any, Callable, Optional
from lib.instance.runtime_settings_lib import runtime_get_prefix, runtime_set_many, with_db
DISPLAY_RUNTIME_PREFIX = "display."
DEFAULT_INSTANCE_DISPLAY: dict[str, bool] = {
"show_nav_dashboard": False,
"show_nav_account_ledger": False,
"show_nav_key_monitor": True,
"show_nav_trade": False, # 实盘下单界面已移除
"show_nav_strategy": False,
"show_nav_strategy_records": False,
"show_nav_records": False, # 永续交易记录与复盘已移除
"show_nav_stats": False,
"show_nav_risk_policy": True,
"show_nav_system_guide": False,
"show_nav_env_config": True,
"show_nav_options": True,
"show_nav_options_review": True,
"show_nav_hedge_plan": True,
"show_settings_transfer": False, # 永续资金划转默认隐藏
"show_settings_export": True,
"show_settings_password": True,
"show_settings_options_swap": True,
"show_settings_options_transfer": True,
}
DISPLAY_LABELS: dict[str, str] = {
"show_nav_dashboard": "数据看板",
"show_nav_account_ledger": "账户流水",
"show_nav_key_monitor": "关键位监控",
"show_nav_trade": "实盘下单",
"show_nav_strategy": "策略交易",
"show_nav_strategy_records": "策略交易记录",
"show_nav_records": "交易记录与复盘",
"show_nav_stats": "统计分析",
"show_nav_risk_policy": "风控说明",
"show_nav_system_guide": "系统说明",
"show_nav_env_config": "env配置",
"show_nav_options": "期权",
"show_nav_options_review": "期权复盘",
"show_nav_hedge_plan": "对冲计划",
"show_settings_transfer": "永续资金划转",
"show_settings_export": "数据导出",
"show_settings_password": "账户密码修改",
"show_settings_options_swap": "期权币种兑换",
"show_settings_options_transfer": "期权资金划转",
}
NAV_TAB_ALLOWED: dict[str, str] = {
"dashboard": "show_nav_dashboard",
"account_ledger": "show_nav_account_ledger",
"key_monitor": "show_nav_key_monitor",
"trade": "show_nav_trade",
"strategy": "show_nav_strategy",
"strategy_records": "show_nav_strategy_records",
"records": "show_nav_records",
"stats": "show_nav_stats",
"risk_policy": "show_nav_risk_policy",
"system_guide": "show_nav_system_guide",
"env_config": "show_nav_env_config",
"options": "show_nav_options",
"options_review": "show_nav_options_review",
"hedge_plan": "show_nav_hedge_plan",
}
def normalize_display_prefs(raw: dict | None) -> dict[str, bool]:
out = dict(DEFAULT_INSTANCE_DISPLAY)
if isinstance(raw, dict):
for key in DEFAULT_INSTANCE_DISPLAY:
if key in raw:
out[key] = bool(raw[key])
return out
def _load_from_conn(conn) -> dict[str, bool]:
stored = runtime_get_prefix(conn, DISPLAY_RUNTIME_PREFIX)
merged: dict[str, Any] = {}
for key in DEFAULT_INSTANCE_DISPLAY:
sk = key
if sk in stored:
merged[key] = stored[sk].strip().lower() in ("1", "true", "yes", "on")
return normalize_display_prefs(merged)
def get_display_prefs(get_db: Callable) -> dict[str, bool]:
return with_db(get_db, _load_from_conn)
def save_display_prefs(get_db: Callable, prefs: dict) -> dict[str, bool]:
normalized = normalize_display_prefs(prefs)
def _save(conn):
mapping = {DISPLAY_RUNTIME_PREFIX + k: ("1" if v else "0") for k, v in normalized.items()}
runtime_set_many(conn, mapping)
return normalized
return with_db(get_db, _save)
def display_prefs_template_context(get_db: Callable) -> dict[str, Any]:
prefs = get_display_prefs(get_db)
return {"display": prefs, "display_meta": display_meta_for_ui()}
def tab_allowed(tab: str, display: Optional[dict[str, bool]] = None) -> bool:
prefs = normalize_display_prefs(display or {})
t = (tab or "").strip()
if t in ("trade", "records", "stats"):
return False # 实盘下单 / 交易记录复盘 / 统计分析 已移除
key = NAV_TAB_ALLOWED.get(t)
if not key:
return True
return bool(prefs.get(key, True))
def display_meta_for_ui() -> list[dict[str, Any]]:
nav_keys = [
"show_nav_dashboard",
"show_nav_account_ledger",
"show_nav_key_monitor",
"show_nav_risk_policy",
"show_nav_system_guide",
"show_nav_env_config",
"show_nav_options",
"show_nav_options_review",
"show_nav_hedge_plan",
]
settings_keys = [
"show_settings_transfer",
"show_settings_export",
"show_settings_password",
"show_settings_options_swap",
"show_settings_options_transfer",
]
return [
{"group": "顶栏导航", "entries": [{"key": k, "label": DISPLAY_LABELS[k]} for k in nav_keys]},
{"group": "系统设置区块", "entries": [{"key": k, "label": DISPLAY_LABELS[k]} for k in settings_keys]},
]
"""实例顶栏 / 系统设置区块显示开关(存 SQLite,即时生效)."""
from __future__ import annotations
from typing import Any, Callable, Optional
from lib.instance.runtime_settings_lib import runtime_get_prefix, runtime_set_many, with_db
DISPLAY_RUNTIME_PREFIX = "display."
DEFAULT_INSTANCE_DISPLAY: dict[str, bool] = {
"show_nav_dashboard": False,
"show_nav_account_ledger": False,
"show_nav_key_monitor": True,
"show_nav_trade": False, # 实盘下单界面已移除
"show_nav_strategy": False,
"show_nav_strategy_records": False,
"show_nav_records": False, # 永续交易记录与复盘已移除
"show_nav_stats": False,
"show_nav_risk_policy": True,
"show_nav_system_guide": False,
"show_nav_env_config": True,
"show_nav_options": True,
"show_nav_options_review": True,
"show_nav_hedge_plan": False,
"show_settings_transfer": False, # 永续资金划转默认隐藏
"show_settings_export": True,
"show_settings_password": True,
"show_settings_options_swap": True,
"show_settings_options_transfer": True,
}
DISPLAY_LABELS: dict[str, str] = {
"show_nav_dashboard": "数据看板",
"show_nav_account_ledger": "账户流水",
"show_nav_key_monitor": "关键位监控",
"show_nav_trade": "实盘下单",
"show_nav_strategy": "策略交易",
"show_nav_strategy_records": "策略交易记录",
"show_nav_records": "交易记录与复盘",
"show_nav_stats": "统计分析",
"show_nav_risk_policy": "风控说明",
"show_nav_system_guide": "系统说明",
"show_nav_env_config": "env配置",
"show_nav_options": "期权",
"show_nav_options_review": "期权复盘",
"show_nav_hedge_plan": "对冲计划",
"show_settings_transfer": "永续资金划转",
"show_settings_export": "数据导出",
"show_settings_password": "账户密码修改",
"show_settings_options_swap": "期权币种兑换",
"show_settings_options_transfer": "期权资金划转",
}
NAV_TAB_ALLOWED: dict[str, str] = {
"dashboard": "show_nav_dashboard",
"account_ledger": "show_nav_account_ledger",
"key_monitor": "show_nav_key_monitor",
"trade": "show_nav_trade",
"strategy": "show_nav_strategy",
"strategy_records": "show_nav_strategy_records",
"records": "show_nav_records",
"stats": "show_nav_stats",
"risk_policy": "show_nav_risk_policy",
"system_guide": "show_nav_system_guide",
"env_config": "show_nav_env_config",
"options": "show_nav_options",
"options_review": "show_nav_options_review",
"hedge_plan": "show_nav_hedge_plan",
}
def normalize_display_prefs(raw: dict | None) -> dict[str, bool]:
out = dict(DEFAULT_INSTANCE_DISPLAY)
if isinstance(raw, dict):
for key in DEFAULT_INSTANCE_DISPLAY:
if key in raw:
out[key] = bool(raw[key])
return out
def _load_from_conn(conn) -> dict[str, bool]:
stored = runtime_get_prefix(conn, DISPLAY_RUNTIME_PREFIX)
merged: dict[str, Any] = {}
for key in DEFAULT_INSTANCE_DISPLAY:
sk = key
if sk in stored:
merged[key] = stored[sk].strip().lower() in ("1", "true", "yes", "on")
return normalize_display_prefs(merged)
def get_display_prefs(get_db: Callable) -> dict[str, bool]:
return with_db(get_db, _load_from_conn)
def save_display_prefs(get_db: Callable, prefs: dict) -> dict[str, bool]:
normalized = normalize_display_prefs(prefs)
def _save(conn):
mapping = {DISPLAY_RUNTIME_PREFIX + k: ("1" if v else "0") for k, v in normalized.items()}
runtime_set_many(conn, mapping)
return normalized
return with_db(get_db, _save)
def display_prefs_template_context(get_db: Callable) -> dict[str, Any]:
prefs = get_display_prefs(get_db)
return {"display": prefs, "display_meta": display_meta_for_ui()}
def tab_allowed(tab: str, display: Optional[dict[str, bool]] = None) -> bool:
prefs = normalize_display_prefs(display or {})
t = (tab or "").strip()
if t in ("trade", "records", "stats"):
return False # 实盘下单 / 交易记录复盘 / 统计分析 已移除
key = NAV_TAB_ALLOWED.get(t)
if not key:
return True
return bool(prefs.get(key, True))
def display_meta_for_ui() -> list[dict[str, Any]]:
nav_keys = [
"show_nav_dashboard",
"show_nav_account_ledger",
"show_nav_key_monitor",
"show_nav_risk_policy",
"show_nav_system_guide",
"show_nav_env_config",
"show_nav_options",
"show_nav_options_review",
"show_nav_hedge_plan",
]
settings_keys = [
"show_settings_transfer",
"show_settings_export",
"show_settings_password",
"show_settings_options_swap",
"show_settings_options_transfer",
]
return [
{"group": "顶栏导航", "entries": [{"key": k, "label": DISPLAY_LABELS[k]} for k in nav_keys]},
{"group": "系统设置区块", "entries": [{"key": k, "label": DISPLAY_LABELS[k]} for k in settings_keys]},
]
-1
View File
@@ -40,7 +40,6 @@ _COMMON_STATIC_ASSETS: dict[str, str] = {
"options_settings.js": "application/javascript; charset=utf-8",
"options_position_cards.js": "application/javascript; charset=utf-8",
"options_review.js": "application/javascript; charset=utf-8",
"hedge_plan.js": "application/javascript; charset=utf-8",
"order_entry_model.js": "application/javascript; charset=utf-8",
"focus_chart_page.js": "application/javascript; charset=utf-8",
"focus_chart_page.css": "text/css; charset=utf-8",
+74
View File
@@ -0,0 +1,74 @@
"""OKX 交易模式(币本位期权专用机:仅单独期权).
历史 .env 若仍为 perp_options / options_options,读取时归一为 options,
对冲模块已移除,不可再启用.
"""
from __future__ import annotations
import os
from typing import Optional
MODE_OPTIONS = "options"
# 兼容旧配置名,不再作为可选模式
MODE_PERP = "perp_options"
MODE_OO = "options_options"
VALID_MODES = frozenset({MODE_OPTIONS})
UI_MODES = frozenset({MODE_OPTIONS})
_ALIASES = {
"option": MODE_OPTIONS,
"standalone": MODE_OPTIONS,
"期权": MODE_OPTIONS,
"单独期权": MODE_OPTIONS,
"po": MODE_OPTIONS,
"perp": MODE_OPTIONS,
"perp_options": MODE_OPTIONS,
"永期": MODE_OPTIONS,
"永期对冲": MODE_OPTIONS,
"oo": MODE_OPTIONS,
"options_options": MODE_OPTIONS,
"期期": MODE_OPTIONS,
"期期对冲": MODE_OPTIONS,
}
def normalize_okx_trade_mode(raw: Optional[str] = None) -> str:
s = str(raw or "").strip().lower()
if s in VALID_MODES:
return s
if s in _ALIASES:
return _ALIASES[s]
# 未知或空 → 单独期权
return MODE_OPTIONS
def legacy_infer_okx_trade_mode() -> str:
return MODE_OPTIONS
def get_okx_trade_mode() -> str:
return normalize_okx_trade_mode(os.getenv("OKX_TRADE_MODE"))
def hedge_module_enabled() -> bool:
return False
def show_perp_options() -> bool:
return False
def show_options_options() -> bool:
return False
def standalone_options_open_allowed() -> bool:
return True
def mode_label(mode: Optional[str] = None) -> str:
return "单独期权"
def block_standalone_open_by_mode_msg() -> Optional[str]:
return None
+77 -10
View File
@@ -306,7 +306,8 @@ def close_option_by_bid1(
px = float(order.get("px", locked_bid_px))
oid = str((order.get("data") or {}).get("ordId") or "")
prem_recv = round(total_premium(px, level_sheets * ct_mult), 4)
# 本批预估收回(按挂单张数);成交后按实际减仓张数重算并入累计
prem_recv_submit = round(total_premium(px, level_sheets * ct_mult), 4)
time.sleep(0.6)
invalidate_option_positions_cache()
raw2 = cfg["fetch_option_positions"](ex)
@@ -325,14 +326,47 @@ def close_option_by_bid1(
reduced = max(0, before_avail - after_avail)
remaining_pos = after_avail
fully_closed = remaining_pos < 1
filled_sheets = min(reduced, level_sheets) if reduced > 0 else 0
# 全平但减仓读数异常时回退挂单张数,避免漏记本批
if fully_closed and filled_sheets < 1:
filled_sheets = level_sheets
batch_recv = (
round(total_premium(px, filled_sheets * ct_mult), 4) if filled_sheets > 0 else 0.0
)
total_recv = batch_recv
close_px = px
merged_ord = oid or None
if fully_closed:
clear_close_gate(inst_id)
conn = cfg["get_db"]()
try:
from lib.options.options_db import init_options_tables
from lib.options.options_db import (
add_open_close_accum,
get_open_close_accum,
init_options_tables,
)
init_options_tables(conn)
# 先并入本批,再读累计(含此前分批)
if filled_sheets > 0:
add_open_close_accum(
conn,
inst_id,
recv=batch_recv,
sheets=filled_sheets,
px=px,
ord_id=oid or None,
)
accum = get_open_close_accum(conn, inst_id)
total_recv = round(float(accum.get("recv") or 0), 4)
accum_sheets = int(accum.get("sheets") or 0)
accum_notional = float(accum.get("notional") or 0)
if accum_sheets > 0 and accum_notional > 0:
close_px = round(accum_notional / accum_sheets, 8)
merged_ord = str(accum.get("close_ord_id") or "").strip() or (oid or None)
open_rows = conn.execute(
"""
SELECT id, premium_paid FROM options_trades
@@ -346,16 +380,25 @@ def close_option_by_bid1(
for i, row in enumerate(open_rows):
paid = float(row["premium_paid"] or 0)
if i == len(open_rows) - 1:
recv = round(prem_recv - allocated, 4)
recv = round(total_recv - allocated, 4)
elif total_paid > 0:
recv = round(prem_recv * (paid / total_paid), 4)
recv = round(total_recv * (paid / total_paid), 4)
allocated += recv
else:
recv = round(prem_recv / len(open_rows), 4)
recv = round(total_recv / len(open_rows), 4)
allocated += recv
pnl = round(recv - paid, 4)
note_sql = ""
params: list[Any] = [px, recv, pnl, oid or None]
from lib.options.options_time_lib import options_app_now_str
# 占位顺序必须与 SQL 一致: close_quote/recv/pnl/ord/closed_at/[signal_note]/id
params: list[Any] = [
close_px,
recv,
pnl,
merged_ord,
options_app_now_str(),
]
if signal_note and i == len(open_rows) - 1:
note_sql = """,
signal_note = CASE
@@ -368,7 +411,9 @@ def close_option_by_bid1(
f"""
UPDATE options_trades
SET status = 'closed', close_quote = ?, premium_received = ?,
realized_pnl = ?, close_ord_id = ?, closed_at = CURRENT_TIMESTAMP
realized_pnl = ?, close_ord_id = ?, closed_at = ?,
close_recv_accum = 0, close_sheets_accum = 0,
close_notional_accum = 0
{note_sql}
WHERE id = ?
""",
@@ -377,6 +422,27 @@ def close_option_by_bid1(
conn.commit()
finally:
conn.close()
elif filled_sheets > 0:
# 部分成交:持久化本批收回,下次全平合计
conn = cfg["get_db"]()
try:
from lib.options.options_db import add_open_close_accum, init_options_tables
init_options_tables(conn)
add_open_close_accum(
conn,
inst_id,
recv=batch_recv,
sheets=filled_sheets,
px=px,
ord_id=oid or None,
)
conn.commit()
finally:
conn.close()
if require_recycle_gate:
# 自动平已挂过单:同仓续批只验流动性
mark_close_gate_passed(inst_id)
elif require_recycle_gate:
# 自动平已挂过单:同仓续批只验流动性
mark_close_gate_passed(inst_id)
@@ -388,11 +454,12 @@ def close_option_by_bid1(
"bid": px,
"locked_bid_px": locked_bid_px,
"submitted_sheets": level_sheets,
"filled_or_reduced_sheets": min(reduced, level_sheets) if reduced else 0,
"filled_or_reduced_sheets": filled_sheets,
"remaining_sheets": remaining_pos,
"premium_received": prem_recv,
"premium_received": total_recv if fully_closed else (batch_recv or prem_recv_submit),
"batch_premium_received": batch_recv,
"stopped_reason": None if fully_closed else ("partial_bid1" if reduced > 0 else "order_not_filled"),
"close_ord_id": oid or None,
"close_ord_id": merged_ord if fully_closed else (oid or None),
"fully_closed": fully_closed,
"msg": (
f"已按买一 {locked_bid_px:g} 提交 {level_sheets} 张"
+5 -2
View File
@@ -400,6 +400,8 @@ def open_coin_option_buy_full(
def _insert_coin_trade(conn: Any, **kwargs: Any) -> int:
from lib.options.options_time_lib import options_app_now_str
pe = 1 if kwargs.get("profit_exit_enabled") else 0
pe_mult = float(kwargs.get("profit_exit_mult") or 1.0)
pe_state = "active" if pe else "idle"
@@ -409,8 +411,8 @@ def _insert_coin_trade(conn: Any, **kwargs: Any) -> int:
inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
open_quote, premium_paid, status, signal_note, exchange_ord_id,
margin_mode, premium_ccy, bridge_id, budget_usdt,
profit_exit_enabled, profit_exit_mult, profit_exit_state
) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, 'open', ?, ?, 'coin', ?, ?, ?, ?, ?, ?)
profit_exit_enabled, profit_exit_mult, profit_exit_state, created_at
) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, 'open', ?, ?, 'coin', ?, ?, ?, ?, ?, ?, ?)
""",
(
kwargs["inst_id"],
@@ -430,6 +432,7 @@ def _insert_coin_trade(conn: Any, **kwargs: Any) -> int:
pe,
pe_mult,
pe_state,
options_app_now_str(),
),
)
conn.commit()
+77 -85
View File
@@ -1,85 +1,77 @@
"""实例数据看板用的轻量期权持仓(无余额/历史;含 close_preview 供净盈亏)."""
from __future__ import annotations
from typing import Any
def fetch_light_option_positions_for_dashboard(cfg: dict[str, Any]) -> list[dict[str, Any]]:
"""
拉期权持仓 + 本地目标/对冲标注 + 买一净盈亏预览,供看板后台聚合.
不走 options dashboard snapshot(避免余额/历史).
"""
if not cfg.get("enabled"):
return []
ex = cfg.get("exchange_options")
ready_fn = cfg.get("options_api_ready")
if not callable(ready_fn):
return []
ok, _reason = ready_fn(ex)
if not ok:
return []
fetch_fn = cfg.get("fetch_option_positions")
if not callable(fetch_fn):
return []
raw = fetch_fn(ex)
if raw is None:
return []
if not raw:
return []
from lib.options.options_db import init_options_tables, sum_open_premium_paid
from lib.options.options_history_lib import enrich_position_row_display
from lib.options.options_positions_lib import attach_close_preview
meta_cache: dict[str, dict[str, Any] | None] = {}
rows: list[dict[str, Any]] = []
get_db = cfg.get("get_db")
if not callable(get_db):
for p in raw:
if not isinstance(p, dict):
continue
row = enrich_position_row_display(cfg, ex, p, meta_cache=meta_cache)
attach_close_preview(cfg, ex, row)
rows.append(row)
return rows
conn = get_db()
try:
init_options_tables(conn)
try:
from lib.hedge_plan.hedge_plan_db import active_options_targets_by_inst
from lib.options.options_target_lib import targets_by_inst
tgt_map = targets_by_inst(conn)
hedge_target_map = active_options_targets_by_inst(conn)
except Exception:
tgt_map = {}
hedge_target_map = {}
for p in raw:
if not isinstance(p, dict):
continue
inst = str(p.get("instId") or "").strip()
premium_override = sum_open_premium_paid(conn, inst) if inst else None
row = enrich_position_row_display(
cfg,
ex,
p,
meta_cache=meta_cache,
premium_override=premium_override,
)
attach_close_preview(cfg, ex, row, premium_paid=premium_override)
mon = tgt_map.get(str(row.get("inst_id") or ""))
if mon:
row["target_index"] = mon.get("target_index")
row["target_monitor_id"] = mon.get("id")
row["target_monitor"] = mon
hedge_target = hedge_target_map.get(str(row.get("inst_id") or ""))
if hedge_target:
row["hedge_plan_target"] = hedge_target
if not mon:
row["target_index"] = hedge_target.get("target_index")
rows.append(row)
finally:
conn.close()
return rows
"""实例数据看板用的轻量期权持仓(无余额/历史;含 close_preview 供净盈亏)."""
from __future__ import annotations
from typing import Any
def fetch_light_option_positions_for_dashboard(cfg: dict[str, Any]) -> list[dict[str, Any]]:
"""
拉期权持仓 + 本地目标/对冲标注 + 买一净盈亏预览,供看板后台聚合.
不走 options dashboard snapshot(避免余额/历史).
"""
if not cfg.get("enabled"):
return []
ex = cfg.get("exchange_options")
ready_fn = cfg.get("options_api_ready")
if not callable(ready_fn):
return []
ok, _reason = ready_fn(ex)
if not ok:
return []
fetch_fn = cfg.get("fetch_option_positions")
if not callable(fetch_fn):
return []
raw = fetch_fn(ex)
if raw is None:
return []
if not raw:
return []
from lib.options.options_db import init_options_tables, sum_open_premium_paid
from lib.options.options_history_lib import enrich_position_row_display
from lib.options.options_positions_lib import attach_close_preview
meta_cache: dict[str, dict[str, Any] | None] = {}
rows: list[dict[str, Any]] = []
get_db = cfg.get("get_db")
if not callable(get_db):
for p in raw:
if not isinstance(p, dict):
continue
row = enrich_position_row_display(cfg, ex, p, meta_cache=meta_cache)
attach_close_preview(cfg, ex, row)
rows.append(row)
return rows
conn = get_db()
try:
init_options_tables(conn)
try:
from lib.options.options_target_lib import targets_by_inst
tgt_map = targets_by_inst(conn)
except Exception:
tgt_map = {}
for p in raw:
if not isinstance(p, dict):
continue
inst = str(p.get("instId") or "").strip()
premium_override = sum_open_premium_paid(conn, inst) if inst else None
row = enrich_position_row_display(
cfg,
ex,
p,
meta_cache=meta_cache,
premium_override=premium_override,
)
attach_close_preview(cfg, ex, row, premium_paid=premium_override)
mon = tgt_map.get(str(row.get("inst_id") or ""))
if mon:
row["target_index"] = mon.get("target_index")
row["target_monitor_id"] = mon.get("id")
row["target_monitor"] = mon
rows.append(row)
finally:
conn.close()
return rows
+87
View File
@@ -105,6 +105,10 @@ def init_options_tables(conn: sqlite3.Connection) -> None:
"ALTER TABLE options_trades ADD COLUMN premium_ccy TEXT DEFAULT 'USDC'",
"ALTER TABLE options_trades ADD COLUMN bridge_id INTEGER",
"ALTER TABLE options_trades ADD COLUMN budget_usdt REAL",
# 分批平仓累计:全平前写在最早一笔 open 上,全平后并入 premium_received
"ALTER TABLE options_trades ADD COLUMN close_recv_accum REAL DEFAULT 0",
"ALTER TABLE options_trades ADD COLUMN close_sheets_accum INTEGER DEFAULT 0",
"ALTER TABLE options_trades ADD COLUMN close_notional_accum REAL DEFAULT 0",
):
try:
conn.execute(ddl)
@@ -154,3 +158,86 @@ def sum_open_sheets(conn: sqlite3.Connection, inst_id: str) -> int | None:
if not row or int(row["n"] or 0) < 1:
return None
return int(row["total"] or 0)
def _earliest_open_trade_id(conn: sqlite3.Connection, inst_id: str) -> int | None:
inst = (inst_id or "").strip()
if not inst:
return None
row = conn.execute(
"""
SELECT id FROM options_trades
WHERE inst_id = ? AND status = 'open'
ORDER BY id ASC
LIMIT 1
""",
(inst,),
).fetchone()
return int(row["id"]) if row else None
def get_open_close_accum(conn: sqlite3.Connection, inst_id: str) -> dict[str, float | int | str | None]:
"""读取分批平仓累计(挂在最早一笔 open 上)."""
tid = _earliest_open_trade_id(conn, inst_id)
if tid is None:
return {"recv": 0.0, "sheets": 0, "notional": 0.0, "close_ord_id": None}
row = conn.execute(
"""
SELECT close_recv_accum, close_sheets_accum, close_notional_accum, close_ord_id
FROM options_trades WHERE id = ?
""",
(tid,),
).fetchone()
if not row:
return {"recv": 0.0, "sheets": 0, "notional": 0.0, "close_ord_id": None}
return {
"recv": float(row["close_recv_accum"] or 0),
"sheets": int(row["close_sheets_accum"] or 0),
"notional": float(row["close_notional_accum"] or 0),
"close_ord_id": str(row["close_ord_id"] or "").strip() or None,
}
def add_open_close_accum(
conn: sqlite3.Connection,
inst_id: str,
*,
recv: float,
sheets: int,
px: float,
ord_id: str | None = None,
) -> bool:
"""分批平仓成交后累加收回权利金/张数/名义(供全平 VWAP 与总盈亏)."""
tid = _earliest_open_trade_id(conn, inst_id)
if tid is None:
return False
sheets_i = max(0, int(sheets or 0))
recv_f = float(recv or 0)
px_f = float(px or 0)
if sheets_i < 1 and abs(recv_f) < 1e-15:
return False
notional_add = px_f * sheets_i if sheets_i > 0 and px_f > 0 else 0.0
oid = str(ord_id or "").strip()
prev = conn.execute(
"SELECT close_ord_id FROM options_trades WHERE id = ?", (tid,)
).fetchone()
prev_oids = str((prev["close_ord_id"] if prev else None) or "").strip()
if oid:
parts = [p for p in prev_oids.split(",") if p] if prev_oids else []
if oid not in parts:
parts.append(oid)
merged_oid = ",".join(parts)
else:
merged_oid = prev_oids or None
conn.execute(
"""
UPDATE options_trades
SET close_recv_accum = COALESCE(close_recv_accum, 0) + ?,
close_sheets_accum = COALESCE(close_sheets_accum, 0) + ?,
close_notional_accum = COALESCE(close_notional_accum, 0) + ?,
close_ord_id = ?
WHERE id = ?
""",
(recv_f, sheets_i, notional_add, merged_oid, tid),
)
return True
+3 -12
View File
@@ -28,15 +28,12 @@ def build_options_hub_snapshot(cfg: dict[str, Any]) -> dict[str, Any]:
try:
conn = cfg["get_db"]()
try:
from lib.hedge_plan.hedge_plan_db import active_options_targets_by_inst
from lib.options.options_profit_exit_lib import profit_exit_by_inst
from lib.options.options_target_lib import list_active_targets, list_closing_targets, targets_by_inst
target_monitors = list_active_targets(conn) + list_closing_targets(conn)
tgt_map = targets_by_inst(conn)
hedge_target_map = active_options_targets_by_inst(conn)
profit_exit_map = profit_exit_by_inst(conn)
target_monitors.extend(hedge_target_map.values())
for pe in profit_exit_map.values():
if pe.get("profit_exit_enabled"):
target_monitors.append(
@@ -59,12 +56,6 @@ def build_options_hub_snapshot(cfg: dict[str, Any]) -> dict[str, Any]:
p["profit_exit_mult"] = pe.get("profit_exit_mult")
p["profit_exit_state"] = pe.get("profit_exit_state")
p["profit_exit_required_recycle"] = pe.get("required_recycle")
hedge_target = hedge_target_map.get(str(p.get("inst_id") or ""))
if hedge_target:
p["hedge_plan_target"] = hedge_target
if not mon:
# 中控卡片共用 target_index 只读展示;实际平仓仍由对冲计划监控处理。
p["target_index"] = hedge_target.get("target_index")
try:
from lib.instance.instance_dashboard_lib import (
_format_options_target,
@@ -85,13 +76,13 @@ def build_options_hub_snapshot(cfg: dict[str, Any]) -> dict[str, Any]:
conn.close()
except Exception:
target_monitors = []
from lib.options.options_positions_lib import display_pnl_from_option_row
from lib.options.options_positions_lib import display_pnl_usdt_from_option_row
upl_total = 0.0
has_upl = False
for p in positions:
# 与持仓卡展示一致:优先买一净盈亏,残档回退交易所 upl
pnl = display_pnl_from_option_row(p)
# 合计一律折 U:币本位 × 指数,避免 BTC/ETH 币数量与 USDC 混加
pnl = display_pnl_usdt_from_option_row(p)
if pnl is None:
continue
has_upl = True
+8 -24
View File
@@ -1,16 +1,12 @@
"""期权持仓监控:浮盈翻倍微信提醒 + 平仓/到期状态同步."""
from __future__ import annotations
import os
import sqlite3
import time
from datetime import datetime, timezone
from typing import Any, Callable
from zoneinfo import ZoneInfo
from lib.exchange.okx_options_lib import normalize_option_exp_ms, resolve_option_close_from_history
_APP_TZ = ZoneInfo((os.getenv("APP_TIMEZONE") or os.getenv("TZ") or "Asia/Shanghai").strip() or "Asia/Shanghai")
from lib.options.options_time_lib import ms_to_options_app_str, options_app_now_str, options_wall_clock_to_ms
def _safe_float(v: Any) -> float | None:
@@ -151,18 +147,7 @@ def run_options_profit_alerts(
def _created_at_ms(created_at: Any) -> int | None:
"""墙钟 created_at → UTC ms.库内时间为业务时区(默认 Asia/Shanghai),不可当 UTC."""
if not created_at:
return None
raw = str(created_at).strip()
if not raw:
return None
for fmt, ln in (("%Y-%m-%d %H:%M:%S", 19), ("%Y-%m-%d %H:%M:%f", 26), ("%Y-%m-%d %H:%M", 16)):
try:
dt = datetime.strptime(raw[:ln], fmt).replace(tzinfo=_APP_TZ)
return int(dt.timestamp() * 1000)
except ValueError:
continue
return None
return options_wall_clock_to_ms(created_at)
def _group_key_for_closed_trade(row: Any) -> str:
@@ -327,21 +312,20 @@ def sync_open_options_trades(
prem_recv = round(paid + float(realized_pnl), 4)
close_ms = close_info.get("close_ms")
if close_ms:
closed_at = datetime.fromtimestamp(int(close_ms) / 1000, tz=timezone.utc).strftime(
"%Y-%m-%d %H:%M:%S"
)
closed_at = ms_to_options_app_str(close_ms)
elif exp_ms is not None and now_ms >= int(exp_ms):
close_reason = "expired"
close_quote = 0.0
prem_recv = 0.0
realized_pnl = round(-paid, 4)
if exp_ms:
closed_at = datetime.fromtimestamp(int(exp_ms) / 1000, tz=timezone.utc).strftime(
"%Y-%m-%d %H:%M:%S"
)
closed_at = ms_to_options_app_str(exp_ms)
else:
continue
if not closed_at:
closed_at = options_app_now_str()
conn.execute(
"""
UPDATE options_trades
@@ -350,7 +334,7 @@ def sync_open_options_trades(
premium_received = ?,
realized_pnl = ?,
close_ord_id = COALESCE(?, close_ord_id),
closed_at = COALESCE(?, closed_at, CURRENT_TIMESTAMP),
closed_at = COALESCE(?, closed_at),
signal_note = CASE
WHEN ? = 'expired' AND (signal_note IS NULL OR TRIM(signal_note) = '')
THEN '到期结算'
+1 -1
View File
@@ -74,7 +74,7 @@ def option_position_limit_block_msg(
- 拉持仓失败:拒绝开仓(避免绕过上限)
"""
try:
from lib.hedge_plan.okx_trade_mode_lib import standalone_options_open_allowed
from lib.options.okx_trade_mode_lib import standalone_options_open_allowed
# 对冲模式用 MAX_ACTIVE_HEDGE_PLANS 管「组数」,不占用期权笔数上限
if max_active is None and not standalone_options_open_allowed():
+14 -1
View File
@@ -125,11 +125,24 @@ def display_pnl_from_option_row(row: dict[str, Any]) -> float | None:
def display_pnl_usdt_from_option_row(row: dict[str, Any]) -> float | None:
"""顶栏「实时盈亏」用:币本位净盈亏按指数折 USDT;USDC 仓原样."""
"""顶栏/看板「实时盈亏」用:币本位净盈亏按指数折 USDT;USDC 仓原样.
BTC/ETH 币本位若不折算,会被界面标成 U 而数值仍是币数量(BTC 尤为离谱).
"""
pnl = display_pnl_from_option_row(row)
if pnl is None:
return None
ccy = str(row.get("premium_ccy") or "USDC").strip().upper() or "USDC"
if not ccy or ccy == "USDC":
# 兜底:按合约推断币本位,避免 premium_ccy 缺失时把 BTC 盈亏当 U
inst = str(row.get("inst_id") or row.get("instId") or "")
mode = str(row.get("margin_mode") or "").strip().lower()
if mode == "coin" or (
"-USD-" in inst.upper() and "_UM" not in inst.upper()
):
underly = str(row.get("underlying") or (inst.split("-")[0] if inst else "") or "").upper()
if underly in ("ETH", "BTC"):
ccy = underly
if ccy in ("ETH", "BTC"):
idx = _safe_float(row.get("idx_px") or row.get("idxPx") or row.get("index_px"))
if idx is None or idx <= 0:
+22
View File
@@ -28,6 +28,28 @@ def premium_per_sheet(quote_per_unit: float, ct_mult: float = 0.01) -> float:
return float(quote_per_unit) * float(ct_mult)
def option_expiry_pnl(
*,
opt_type: str,
strike: float,
spot: float,
sheets: float,
ct_mult: float,
premium_paid: float,
) -> float:
"""到期按实值估算盈亏(权利金币种口径);模拟盘到期结算等复用."""
o = (opt_type or "").strip().upper()
intrinsic_per_coin = 0.0
if o in ("C", "CALL"):
intrinsic_per_coin = max(0.0, float(spot) - float(strike))
elif o in ("P", "PUT"):
intrinsic_per_coin = max(0.0, float(strike) - float(spot))
else:
return -float(premium_paid)
value = intrinsic_per_coin * float(sheets) * float(ct_mult or 0.01)
return value - float(premium_paid)
def format_quote_liquidity(px: float | None, sz: float | None, *, px_decimals: int = 4) -> str | None:
"""盘口展示:价格/张数,如 17.2/150."""
if px is None:
+21 -21
View File
@@ -211,13 +211,34 @@ def _estimate_recycle(
pos: dict[str, Any],
premium_paid: float | None,
) -> float | None:
"""翻倍出场用可回收估算.
用买一价 × 全部持仓张数(不吃深度上限):深度不够时仍应触发分批平仓;
残档/无效买一则返回 None(禁止按假买盘自动平).
"""
from lib.options.options_positions_lib import attach_close_preview
from lib.options.options_pricing_lib import total_premium
row = dict(pos)
attach_close_preview(cfg, ex, row, premium_paid=premium_paid)
preview = row.get("close_preview") if isinstance(row.get("close_preview"), dict) else {}
if preview.get("bid_invalid"):
return None
levels = preview.get("levels") or []
ct_mult = float(row.get("ct_mult") or 0.01)
sheets = int(
abs(
_safe_float(row.get("avail_pos") if row.get("avail_pos") is not None else row.get("pos"))
or 0
)
)
if levels and sheets > 0 and ct_mult > 0:
try:
px = float(levels[0].get("px") or 0)
except (TypeError, ValueError, AttributeError):
px = 0.0
if px > 0:
return round(total_premium(px, sheets * ct_mult), 8)
return _safe_float(preview.get("total_received"))
@@ -289,33 +310,12 @@ def run_options_profit_exits(
"""扫描开启翻倍出场的 open 仓;买一可回收达标后限价平仓.返回本次新触发条数."""
ensure_profit_exit_columns(conn)
pos_by_inst = {str(p.get("inst_id") or p.get("instId") or ""): p for p in positions}
hedge_managed: set[str] = set()
try:
from lib.hedge_plan.hedge_plan_db import active_hedge_option_inst_ids, init_hedge_plan_tables
init_hedge_plan_tables(conn)
hedge_managed = active_hedge_option_inst_ids(conn)
except Exception:
return 0
rules = profit_exit_by_inst(conn)
triggered = 0
for inst_id, info in list(rules.items()):
if not inst_id:
continue
if inst_id in hedge_managed:
_mark_state(conn, inst_id, "idle")
conn.execute(
"""
UPDATE options_trades
SET profit_exit_enabled = 0, profit_exit_state = 'idle'
WHERE inst_id = ? AND status = 'open'
""",
(inst_id,),
)
_commit(conn)
continue
pos = pos_by_inst.get(inst_id)
if not pos:
# 本轮暂无持仓:不改状态(避免接口抖动误标 done);真正平完由 sync 收尾
File diff suppressed because it is too large Load Diff
@@ -0,0 +1,137 @@
"""期权复盘自动 K 线:后台线程生成标的永续双周期拼图,写回 images_json."""
from __future__ import annotations
import logging
import threading
from typing import Any, Callable, Optional
from lib.options.options_review_images_lib import (
images_json_dumps,
parse_options_review_images_json,
)
logger = logging.getLogger(__name__)
OPTIONS_REVIEW_AUTO_CHART_TF = "auto"
def underlying_to_okx_perp_symbol(
underlying: str,
*,
normalize_symbol_input_fn: Callable[[str], str],
normalize_okx_symbol_fn: Callable[[str], str],
) -> str:
"""ETH / ETH-USD / ETH-USDT-SWAP → ETH/USDT:USDT."""
raw = str(underlying or "").strip().upper()
if not raw:
return ""
base = raw.split("-", 1)[0].split("/", 1)[0].strip()
if not base:
return ""
guess = normalize_symbol_input_fn(base) or f"{base}/USDT"
return str(normalize_okx_symbol_fn(guess) or "").strip()
def merge_auto_chart_into_images(
existing: Optional[list],
filename: str,
) -> list[dict[str, str]]:
"""保留手动槽位,用 tf=auto 放置拼图(方案甲一张总图)."""
fname = str(filename or "").strip()
out: list[dict[str, str]] = []
for item in existing or []:
if not isinstance(item, dict):
continue
tf = str(item.get("tf") or "").strip()
file = str(item.get("file") or "").strip()
if not file or tf == OPTIONS_REVIEW_AUTO_CHART_TF:
continue
out.append({"tf": tf, "file": file})
if fname:
out.insert(0, {"tf": OPTIONS_REVIEW_AUTO_CHART_TF, "file": fname})
return out
def build_options_review_chart_filename(trade_id: int) -> str:
return f"options_journal_chart_{int(trade_id)}.png"
def schedule_options_review_exchange_chart(
*,
trade_id: int,
exchange_symbol: str,
title_prefix: str,
journal_tfs: list[str],
journal_limit: int,
marker_payload: dict[str, Any],
upload_folder: str,
generate_chart_fn: Callable[..., str | None],
get_db_fn: Callable[[], Any],
now_str_fn: Callable[[], str],
) -> None:
"""保存后立即返回;线程内画图并合并进 options_review_entries.images_json."""
tid = int(trade_id or 0)
if tid <= 0 or not callable(generate_chart_fn) or not callable(get_db_fn):
return
symbol = str(exchange_symbol or "").strip()
if not symbol:
return
tfs = [str(x).strip() for x in (journal_tfs or []) if str(x).strip()]
if not tfs:
return
def _run() -> None:
try:
chart_fname = build_options_review_chart_filename(tid)
saved = generate_chart_fn(
symbol,
title_prefix,
timeframes=tfs,
limit=journal_limit,
out_dir=upload_folder,
filename=chart_fname,
filename_prefix="options_journal_chart",
marker_payload=marker_payload,
marker_timeframes={x.lower() for x in tfs},
layout="vertical",
)
if not saved:
logger.warning("options review chart async empty trade_id=%s", tid)
return
conn = get_db_fn()
try:
row = conn.execute(
"SELECT images_json FROM options_review_entries WHERE trade_id=?",
(tid,),
).fetchone()
if not row:
logger.warning(
"options review chart async missing entry trade_id=%s", tid
)
return
images = parse_options_review_images_json(row["images_json"])
merged = merge_auto_chart_into_images(images, saved)
primary = merged[0]["file"] if merged else saved
conn.execute(
"""UPDATE options_review_entries
SET images_json=?, image=?, updated_at=?
WHERE trade_id=?""",
(
images_json_dumps(merged),
primary,
now_str_fn(),
tid,
),
)
conn.commit()
finally:
conn.close()
except Exception:
logger.exception("options review chart async failed trade_id=%s", tid)
threading.Thread(
target=_run,
name=f"options-review-chart-{tid}",
daemon=True,
).start()
+15 -29
View File
@@ -586,32 +586,11 @@ def _mark_option_legs_excluded(
def sync_hedge_plans_closed(conn: sqlite3.Connection) -> dict[str, Any]:
"""从本地 hedge_plans 导入已结束计划(计划级)."""
"""对冲模块已移除:不再导入对冲计划到复盘."""
init_options_review_tables(conn)
from lib.hedge_plan.hedge_plan_db import get_plan_legs, init_hedge_plan_tables, list_plans
return {"ok": True, "fetched": 0, "inserted": 0, "updated": 0, "skipped": 0, "removed": True}
init_hedge_plan_tables(conn)
plans = list_plans(conn, status="closed", limit=500)
inserted = updated = skipped = 0
for plan in plans:
legs = get_plan_legs(conn, int(plan["id"]))
action = upsert_hedge_plan_row(conn, plan, legs)
if action == "inserted":
inserted += 1
elif action == "updated":
updated += 1
else:
skipped += 1
last_id = max((int(p["id"]) for p in plans), default=0)
set_sync_state(conn, "hedge_last_sync_at", _now_str())
set_sync_state(conn, "hedge_last_plan_id", str(last_id))
return {
"ok": True,
"fetched": len(plans),
"inserted": inserted,
"updated": updated,
"skipped": skipped,
}
def sync_all_review_sources(
@@ -643,22 +622,29 @@ def ensure_local_review_synced(
backfill_exchange_pnl: bool = True,
) -> dict[str, Any]:
"""列表/统计前轻量刷新本地源;有交易所时先用历史仓位盈亏覆盖本地再导入复盘."""
from lib.options.options_time_lib import (
migrate_options_utc_wall_clock_to_app,
repair_swapped_closed_at_signal_note,
)
ts_migrate = migrate_options_utc_wall_clock_to_app(conn)
note_swap = repair_swapped_closed_at_signal_note(conn)
if backfill_exchange_pnl and ex is not None:
try:
from lib.exchange.okx_options_lib import fetch_all_option_positions_history
from lib.hedge_plan.hedge_plan_settle_lib import (
backfill_hedge_option_legs_realized_pnl,
)
from lib.options.options_monitor_lib import (
backfill_closed_options_realized_pnl_from_history,
)
hist = fetch_all_option_positions_history(ex, limit=200)
backfill_closed_options_realized_pnl_from_history(conn, hist)
backfill_hedge_option_legs_realized_pnl(conn, hist)
except Exception:
pass
return sync_all_review_sources(conn, ex=ex, from_exchange=False)
out = sync_all_review_sources(conn, ex=ex, from_exchange=False)
if isinstance(out, dict):
out["ts_migrate"] = ts_migrate
out["note_swap"] = note_swap
return out
def _row_to_dict(row: Any) -> dict[str, Any]:
+143 -1
View File
@@ -32,7 +32,7 @@ from lib.options.options_review_lib import (
def _review_source_for_mode(requested: str | None) -> str | None:
"""按当前交易模式钳制复盘 source_type;不允许跨模式窥探."""
try:
from lib.hedge_plan.okx_trade_mode_lib import get_okx_trade_mode
from lib.options.okx_trade_mode_lib import get_okx_trade_mode
mode = get_okx_trade_mode()
except Exception:
@@ -93,6 +93,141 @@ def _require_ex(cfg: dict[str, Any]):
return ex, ""
def _truthy(raw: Any) -> bool:
return str(raw or "").strip().lower() in ("1", "true", "on", "yes")
def _prepare_review_entry_images(
conn: Any,
trade_id: int,
data: dict[str, Any],
) -> dict[str, Any]:
"""客户端只提交手动槽位;未重新勾选自动K线时保留已有 auto 附图."""
from lib.options.options_review_chart_async_lib import OPTIONS_REVIEW_AUTO_CHART_TF
from lib.options.options_review_images_lib import parse_options_review_images_json
images = data.get("images") if isinstance(data.get("images"), list) else []
cleaned: list[dict[str, str]] = []
for item in images:
if not isinstance(item, dict):
continue
tf = str(item.get("tf") or "").strip()
file = str(item.get("file") or "").strip()
if not file or tf == OPTIONS_REVIEW_AUTO_CHART_TF:
continue
cleaned.append({"tf": tf, "file": file})
want_chart = _truthy(data.get("journal_exchange_chart")) and not cleaned
if not want_chart:
row = conn.execute(
"SELECT images_json FROM options_review_entries WHERE trade_id=?",
(int(trade_id),),
).fetchone()
if row:
for item in parse_options_review_images_json(row["images_json"]):
if str(item.get("tf") or "").strip() == OPTIONS_REVIEW_AUTO_CHART_TF:
cleaned.insert(0, dict(item))
break
out = dict(data)
out["images"] = cleaned
return out
def _maybe_schedule_options_review_chart(
cfg: dict[str, Any],
trade: dict[str, Any],
data: dict[str, Any],
) -> bool:
"""纯期权 + 无手动截图 + 勾选自动K线 → 后台生成标的永续双周期拼图(只钉进/出场)."""
if str(trade.get("source_type") or "").strip() != "option_spot":
return False
images = data.get("images") if isinstance(data.get("images"), list) else []
has_manual = any(str((x or {}).get("file") or "").strip() for x in images)
if has_manual or not _truthy(data.get("journal_exchange_chart")):
return False
app_module = cfg.get("app_module")
if app_module is None:
return False
if not bool(getattr(app_module, "ORDER_CHART_ENABLED", True)):
return False
generate_fn = getattr(app_module, "generate_multi_timeframe_chart_png", None)
if not callable(generate_fn):
return False
from lib.instance.journal_chart_lib import (
parse_journal_chart_anchor,
parse_journal_chart_limit,
parse_journal_chart_timeframes,
)
from lib.options.options_review_chart_async_lib import (
schedule_options_review_exchange_chart,
underlying_to_okx_perp_symbol,
)
from lib.options.options_review_images_lib import options_review_upload_dir
from lib.options.options_review_lib import _now_str
fallback_tfs = list(getattr(app_module, "ORDER_CHART_TFS", None) or [])[:2]
journal_tfs = parse_journal_chart_timeframes(
data.get("journal_chart_tf1"),
data.get("journal_chart_tf2"),
fallback_tfs or None,
)
journal_limit = parse_journal_chart_limit(
data.get("journal_chart_limit"),
int(getattr(app_module, "ORDER_CHART_LIMIT", 100) or 100),
)
chart_anchor = parse_journal_chart_anchor(data.get("journal_chart_anchor"))
underlying = str(trade.get("underlying") or data.get("underlying") or "").strip()
exchange_symbol = underlying_to_okx_perp_symbol(
underlying,
normalize_symbol_input_fn=app_module.normalize_symbol_input,
normalize_okx_symbol_fn=app_module.normalize_okx_symbol,
)
if not exchange_symbol:
return False
to_ms = getattr(app_module, "_local_input_datetime_to_ms", None)
if not callable(to_ms):
return False
entry_ts = to_ms(trade.get("opened_at"))
exit_ts = to_ms(trade.get("closed_at"))
if entry_ts is None and exit_ts is None:
return False
now_ms = None
app_now = getattr(app_module, "app_now", None)
if callable(app_now):
try:
now_ms = int(app_now().timestamp() * 1000)
except Exception:
now_ms = None
inst = str(trade.get("inst_id") or underlying or f"#{trade.get('id') or ''}").strip()
upload_folder = options_review_upload_dir(cfg["upload_folder"])
schedule_options_review_exchange_chart(
trade_id=int(trade["id"]),
exchange_symbol=exchange_symbol,
title_prefix=f"{underlying or 'OPT'} {inst} review",
journal_tfs=journal_tfs,
journal_limit=journal_limit,
marker_payload={
"entry_ts_ms": entry_ts,
"exit_ts_ms": exit_ts,
# 只按时间钉进/出场,不传价格与止损
"chart_anchor": chart_anchor,
"now_ts_ms": now_ms,
},
upload_folder=upload_folder,
generate_chart_fn=generate_fn,
get_db_fn=cfg["get_db"],
now_str_fn=_now_str,
)
return True
def register_options_review_routes(app: Flask, cfg: dict[str, Any], repo_root: str) -> None:
lr = cfg["login_required"]
@@ -216,9 +351,16 @@ def register_options_review_routes(app: Flask, cfg: dict[str, Any], repo_root: s
return jsonify({"ok": False, "msg": "trade_id 无效"}), 400
conn = cfg["get_db"]()
try:
data = _prepare_review_entry_images(conn, trade_id, data)
out = save_review_entry(conn, trade_id, data)
if out.get("ok"):
conn.commit()
chart_queued = _maybe_schedule_options_review_chart(
cfg, out.get("trade") or {}, data
)
if chart_queued:
out = dict(out)
out["chart_queued"] = True
return jsonify(out), (200 if out.get("ok") else 400)
finally:
conn.close()
+474 -501
View File
@@ -1,501 +1,474 @@
"""期权目标位委托:指数目标价仅用于监控触发;触发后按买一限价平仓(无止损,到期结算)."""
from __future__ import annotations
import sqlite3
import time
from typing import Any, Callable
from lib.options.options_db import init_options_tables
from lib.options.options_pricing_lib import close_ref_prices, fetch_option_mark_px
def _safe_float(v: Any) -> float | None:
if v is None or v == "":
return None
try:
return float(v)
except (TypeError, ValueError):
return None
def _pos_close_refs(ex: Any, pos: dict[str, Any], quote: dict[str, Any] | None = None) -> tuple[float | None, float | None]:
from lib.exchange.okx_options_lib import option_fields_from_inst_id
inst_id = str(pos.get("instId") or pos.get("inst_id") or "")
mark = _safe_float(pos.get("markPx")) or _safe_float((quote or {}).get("mark_px") or (quote or {}).get("mark"))
if mark is None:
mark = fetch_option_mark_px(ex, inst_id)
opt_type = pos.get("optType") or (quote or {}).get("opt_type")
strike = _safe_float(pos.get("stk")) or _safe_float((quote or {}).get("strike"))
if not opt_type or strike is None:
pt, ps = option_fields_from_inst_id(inst_id)
opt_type = opt_type or pt
if strike is None:
strike = ps
idx = _safe_float(pos.get("idxPx")) or _safe_float((quote or {}).get("index_px"))
return close_ref_prices(mark_px=mark, opt_type=str(opt_type or ""), strike=strike, index_px=idx)
def ensure_target_tables(conn: sqlite3.Connection) -> None:
init_options_tables(conn)
conn.execute(
"""
CREATE TABLE IF NOT EXISTS options_target_monitors (
id INTEGER PRIMARY KEY AUTOINCREMENT,
inst_id TEXT NOT NULL,
underlying TEXT,
opt_type TEXT,
target_index REAL NOT NULL,
trade_id INTEGER,
sheets INTEGER,
status TEXT DEFAULT 'active',
trigger_idx REAL,
close_ord_id TEXT,
message TEXT,
created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
triggered_at TIMESTAMP
)
"""
)
conn.execute(
"""
CREATE INDEX IF NOT EXISTS idx_options_target_monitors_status
ON options_target_monitors(status)
"""
)
def target_hit(*, opt_type: str | None, index_px: float, target_index: float) -> bool:
"""Call:指数涨到/超过目标平仓;Put:指数跌到/低于目标平仓."""
ot = (opt_type or "").strip().upper()
if ot == "P":
return index_px <= target_index
return index_px >= target_index
def upsert_target_monitor(
conn: sqlite3.Connection,
*,
inst_id: str,
target_index: float,
underlying: str | None = None,
opt_type: str | None = None,
trade_id: int | None = None,
sheets: int | None = None,
) -> dict[str, Any]:
ensure_target_tables(conn)
inst_id = (inst_id or "").strip()
if not inst_id:
return {"ok": False, "msg": "缺少 inst_id"}
if target_index is None or float(target_index) <= 0:
return {"ok": False, "msg": "目标位无效"}
target_index = float(target_index)
row = conn.execute(
"""
SELECT id FROM options_target_monitors
WHERE inst_id = ? AND status IN ('active', 'closing')
ORDER BY CASE status WHEN 'active' THEN 0 WHEN 'closing' THEN 1 ELSE 2 END, id DESC
LIMIT 1
""",
(inst_id,),
).fetchone()
if row:
conn.execute(
"""
UPDATE options_target_monitors
SET target_index = ?,
underlying = COALESCE(?, underlying),
opt_type = COALESCE(?, opt_type),
trade_id = COALESCE(?, trade_id),
sheets = COALESCE(?, sheets),
status = 'active',
trigger_idx = NULL,
close_ord_id = NULL,
message = NULL,
triggered_at = NULL
WHERE id = ?
""",
(target_index, underlying, opt_type, trade_id, sheets, int(row["id"])),
)
mon_id = int(row["id"])
# 同一合约其他进行中的委托取消,避免双轨触发重复推送
conn.execute(
"""
UPDATE options_target_monitors
SET status = 'cancelled', message = '被新目标位覆盖'
WHERE inst_id = ? AND id != ? AND status IN ('active', 'closing')
""",
(inst_id, mon_id),
)
else:
cur = conn.execute(
"""
INSERT INTO options_target_monitors
(inst_id, underlying, opt_type, target_index, trade_id, sheets, status)
VALUES (?, ?, ?, ?, ?, ?, 'active')
""",
(inst_id, underlying, opt_type, target_index, trade_id, sheets),
)
mon_id = int(cur.lastrowid)
return {"ok": True, "id": mon_id, "inst_id": inst_id, "target_index": target_index}
def cancel_target_monitor(conn: sqlite3.Connection, *, inst_id: str | None = None, monitor_id: int | None = None) -> int:
ensure_target_tables(conn)
if monitor_id is not None:
cur = conn.execute(
"""
UPDATE options_target_monitors
SET status = 'cancelled', message = '手动取消'
WHERE id = ? AND status IN ('active', 'closing')
""",
(int(monitor_id),),
)
return int(cur.rowcount or 0)
if inst_id:
cur = conn.execute(
"""
UPDATE options_target_monitors
SET status = 'cancelled', message = '手动取消'
WHERE inst_id = ? AND status IN ('active', 'closing')
""",
(inst_id.strip(),),
)
return int(cur.rowcount or 0)
return 0
def _row_to_target(r: sqlite3.Row) -> dict[str, Any]:
return {
"id": int(r["id"]),
"inst_id": r["inst_id"],
"underlying": r["underlying"],
"opt_type": r["opt_type"],
"target_index": _safe_float(r["target_index"]),
"trade_id": r["trade_id"],
"sheets": r["sheets"],
"status": r["status"],
"message": r["message"],
"created_at": r["created_at"],
}
def list_active_targets(conn: sqlite3.Connection) -> list[dict[str, Any]]:
ensure_target_tables(conn)
rows = conn.execute(
"""
SELECT id, inst_id, underlying, opt_type, target_index, trade_id, sheets,
status, message, created_at
FROM options_target_monitors
WHERE status = 'active'
ORDER BY id DESC
"""
).fetchall()
return [_row_to_target(r) for r in rows]
def list_closing_targets(conn: sqlite3.Connection) -> list[dict[str, Any]]:
"""已挂出平仓单、等待成交的目标(不再重复推送微信)."""
ensure_target_tables(conn)
rows = conn.execute(
"""
SELECT id, inst_id, underlying, opt_type, target_index, trade_id, sheets,
status, message, created_at
FROM options_target_monitors
WHERE status = 'closing'
ORDER BY id DESC
"""
).fetchall()
return [_row_to_target(r) for r in rows]
def targets_by_inst(conn: sqlite3.Connection) -> dict[str, dict[str, Any]]:
"""UI/持仓挂载:active 与 closing 都算进行中."""
out: dict[str, dict[str, Any]] = {}
for t in list_closing_targets(conn) + list_active_targets(conn):
inst = str(t.get("inst_id") or "")
if inst and inst not in out:
out[inst] = t
return out
def mark_monitor(
conn: sqlite3.Connection,
monitor_id: int,
*,
status: str,
trigger_idx: float | None = None,
close_ord_id: str | None = None,
message: str | None = None,
) -> None:
conn.execute(
"""
UPDATE options_target_monitors
SET status = ?,
trigger_idx = COALESCE(?, trigger_idx),
close_ord_id = COALESCE(?, close_ord_id),
message = COALESCE(?, message),
triggered_at = CASE
WHEN ? IN ('triggered', 'expired', 'closing') THEN COALESCE(triggered_at, CURRENT_TIMESTAMP)
ELSE triggered_at
END
WHERE id = ?
""",
(status, trigger_idx, close_ord_id, message, status, int(monitor_id)),
)
def cancel_orphans_without_position(
conn: sqlite3.Connection,
*,
live_inst_ids: set[str],
) -> int:
"""持仓已消失的目标委托标记为 expired(到期/已平),不挂止损."""
ensure_target_tables(conn)
rows = list_active_targets(conn) + list_closing_targets(conn)
n = 0
for t in rows:
inst = str(t.get("inst_id") or "")
if inst and inst not in live_inst_ids:
mark_monitor(conn, int(t["id"]), status="expired", message="持仓已平/到期,委托结束")
n += 1
return n
def _commit_monitor(conn: sqlite3.Connection) -> None:
"""状态变更立刻落库,避免后续 sync 异常回滚后重复触发/推送."""
try:
conn.commit()
except Exception:
pass
def close_option_by_bid_depth(
cfg: dict[str, Any],
ex: Any,
inst_id: str,
*,
sheets: int | None = None,
) -> dict[str, Any]:
"""目标触发后只锁买一限价卖出;需过 2×门控(通过后同仓续批只验流动性)."""
from lib.options.options_close_exec_lib import close_option_by_bid1
return close_option_by_bid1(
cfg,
ex,
inst_id,
sheets=sheets,
require_recycle_gate=True,
signal_note="目标位平仓",
)
def _notify_target_close(
cfg: dict[str, Any] | None,
send_wechat: Callable[[str], None] | None,
*,
account_label: str,
inst_id: str,
target: float,
idx: float,
result: dict[str, Any],
conn: Any = None,
) -> None:
"""目标位平仓推送:优先走统一平仓必发(幂等);无 cfg 时回退旧文案."""
from lib.options.options_notify_lib import resolve_premium_ccy
ccy = resolve_premium_ccy(inst_id=inst_id)
if result.get("fully_closed") or result.get("already_flat"):
if cfg is not None:
try:
from lib.options.options_notify_lib import notify_options_close
notify_options_close(
cfg,
conn,
inst_id=inst_id,
reason="目标位平仓",
sheets=result.get("submitted_sheets"),
premium_received=result.get("premium_received"),
close_quote=result.get("locked_bid_px") or result.get("bid"),
target_index=target,
trigger_idx=idx,
premium_ccy=ccy,
)
return
except Exception:
pass
if not send_wechat:
return
try:
recv = result.get("premium_received")
send_wechat(
"\n".join(
[
"【OKX期权·目标位平仓】",
f"账户:{account_label}",
f"合约:{inst_id}",
f"目标指数:{target:g}",
f"触发指数:{idx:g}",
f"提交张数:{result.get('submitted_sheets') or '—'}",
f"预估收回:{recv if recv is not None else '—'} {ccy}",
f"状态:{'已全平' if (result.get('fully_closed') or result.get('already_flat')) else '挂单中/部分'}",
]
)
)
except Exception:
pass
def _result_fully_done(result: dict[str, Any]) -> bool:
if result.get("already_flat"):
return True
if result.get("fully_closed"):
return True
remaining = result.get("remaining_sheets")
if remaining is not None and int(remaining) <= 0 and result.get("ok"):
return True
return False
def run_options_target_closes(
conn: sqlite3.Connection,
positions: list[dict[str, Any]],
*,
close_fn: Callable[[str], dict[str, Any]],
index_fn: Callable[[dict[str, Any]], float | None] | None = None,
send_wechat: Callable[[str], None] | None = None,
account_label: str = "OKX期权",
cfg: dict[str, Any] | None = None,
) -> int:
"""
扫描 active 目标委托;指数到位后限价平仓.
状态先 commit 再推微信,避免 sync 失败回滚导致同一笔反复推送.
未完全成交进入 closing,仅重试平仓不再推送.
返回本次新触发(并推送)的条数.
"""
ensure_target_tables(conn)
pos_by_inst = {str(p.get("inst_id") or p.get("instId") or ""): p for p in positions}
live_ids = {k for k in pos_by_inst if k}
hedge_managed: set[str] = set()
try:
from lib.hedge_plan.hedge_plan_db import active_hedge_option_inst_ids, init_hedge_plan_tables
init_hedge_plan_tables(conn)
hedge_managed = active_hedge_option_inst_ids(conn)
except Exception:
# fail-closed:本轮不执行任何单独目标平仓,避免误平对冲腿
return 0
cancel_orphans_without_position(conn, live_inst_ids=live_ids)
_commit_monitor(conn)
# 先处理已挂单等待成交的,绝不再发微信
for mon in list_closing_targets(conn):
inst_id = str(mon.get("inst_id") or "")
if not inst_id:
continue
if inst_id in hedge_managed:
mark_monitor(
conn,
int(mon["id"]),
status="expired",
message="已移交对冲计划托管,跳过单独目标平仓",
)
_commit_monitor(conn)
continue
if inst_id not in pos_by_inst:
mark_monitor(conn, int(mon["id"]), status="expired", message="持仓已平")
_commit_monitor(conn)
continue
result = close_fn(inst_id)
idx = _safe_float(pos_by_inst[inst_id].get("idx_px") or pos_by_inst[inst_id].get("idxPx"))
if result.get("already_flat") or _result_fully_done(result):
mark_monitor(
conn,
int(mon["id"]),
status="triggered",
trigger_idx=idx,
close_ord_id=result.get("close_ord_id"),
message="目标位限价平仓完成",
)
_commit_monitor(conn)
continue
mark_monitor(
conn,
int(mon["id"]),
status="closing",
trigger_idx=idx,
close_ord_id=result.get("close_ord_id"),
message=str(result.get("msg") or result.get("stopped_reason") or "等待买一成交"),
)
_commit_monitor(conn)
triggered = 0
for mon in list_active_targets(conn):
inst_id = str(mon.get("inst_id") or "")
target = _safe_float(mon.get("target_index"))
if not inst_id or target is None:
continue
if inst_id in hedge_managed:
mark_monitor(
conn,
int(mon["id"]),
status="expired",
message="已移交对冲计划托管,跳过单独目标平仓",
)
_commit_monitor(conn)
continue
pos = pos_by_inst.get(inst_id)
if not pos:
continue
if index_fn is not None:
idx = index_fn(pos)
else:
idx = _safe_float(pos.get("idx_px") or pos.get("idxPx"))
if idx is None:
continue
opt_type = mon.get("opt_type") or pos.get("opt_type") or pos.get("optType")
if not target_hit(opt_type=str(opt_type) if opt_type else None, index_px=idx, target_index=target):
continue
result = close_fn(inst_id)
if result.get("already_flat"):
mark_monitor(conn, int(mon["id"]), status="expired", trigger_idx=idx, message="持仓已平")
_commit_monitor(conn)
continue
if not result.get("ok"):
mark_monitor(
conn,
int(mon["id"]),
status="active",
trigger_idx=idx,
message=str(result.get("msg") or result.get("stopped_reason") or "平仓未完成,将重试"),
)
_commit_monitor(conn)
continue
done = _result_fully_done(result)
status = "triggered" if done else "closing"
mark_monitor(
conn,
int(mon["id"]),
status=status,
trigger_idx=idx,
close_ord_id=result.get("close_ord_id"),
message="目标位触发限价平仓" if done else "目标位已挂买一限价,等待成交",
)
# 关键:先落库,再推送——否则后续 sync 异常回滚会让同一笔反复推微信
_commit_monitor(conn)
triggered += 1
_notify_target_close(
cfg,
send_wechat,
account_label=account_label,
inst_id=inst_id,
target=target,
idx=idx,
result=result,
conn=conn,
)
return triggered
"""期权目标位委托:指数目标价仅用于监控触发;触发后按买一限价平仓(无止损,到期结算)."""
from __future__ import annotations
import sqlite3
import time
from typing import Any, Callable
from lib.options.options_db import init_options_tables
from lib.options.options_pricing_lib import close_ref_prices, fetch_option_mark_px
def _safe_float(v: Any) -> float | None:
if v is None or v == "":
return None
try:
return float(v)
except (TypeError, ValueError):
return None
def _pos_close_refs(ex: Any, pos: dict[str, Any], quote: dict[str, Any] | None = None) -> tuple[float | None, float | None]:
from lib.exchange.okx_options_lib import option_fields_from_inst_id
inst_id = str(pos.get("instId") or pos.get("inst_id") or "")
mark = _safe_float(pos.get("markPx")) or _safe_float((quote or {}).get("mark_px") or (quote or {}).get("mark"))
if mark is None:
mark = fetch_option_mark_px(ex, inst_id)
opt_type = pos.get("optType") or (quote or {}).get("opt_type")
strike = _safe_float(pos.get("stk")) or _safe_float((quote or {}).get("strike"))
if not opt_type or strike is None:
pt, ps = option_fields_from_inst_id(inst_id)
opt_type = opt_type or pt
if strike is None:
strike = ps
idx = _safe_float(pos.get("idxPx")) or _safe_float((quote or {}).get("index_px"))
return close_ref_prices(mark_px=mark, opt_type=str(opt_type or ""), strike=strike, index_px=idx)
def ensure_target_tables(conn: sqlite3.Connection) -> None:
init_options_tables(conn)
conn.execute(
"""
CREATE TABLE IF NOT EXISTS options_target_monitors (
id INTEGER PRIMARY KEY AUTOINCREMENT,
inst_id TEXT NOT NULL,
underlying TEXT,
opt_type TEXT,
target_index REAL NOT NULL,
trade_id INTEGER,
sheets INTEGER,
status TEXT DEFAULT 'active',
trigger_idx REAL,
close_ord_id TEXT,
message TEXT,
created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
triggered_at TIMESTAMP
)
"""
)
conn.execute(
"""
CREATE INDEX IF NOT EXISTS idx_options_target_monitors_status
ON options_target_monitors(status)
"""
)
def target_hit(*, opt_type: str | None, index_px: float, target_index: float) -> bool:
"""Call:指数涨到/超过目标平仓;Put:指数跌到/低于目标平仓."""
ot = (opt_type or "").strip().upper()
if ot == "P":
return index_px <= target_index
return index_px >= target_index
def upsert_target_monitor(
conn: sqlite3.Connection,
*,
inst_id: str,
target_index: float,
underlying: str | None = None,
opt_type: str | None = None,
trade_id: int | None = None,
sheets: int | None = None,
) -> dict[str, Any]:
ensure_target_tables(conn)
inst_id = (inst_id or "").strip()
if not inst_id:
return {"ok": False, "msg": "缺少 inst_id"}
if target_index is None or float(target_index) <= 0:
return {"ok": False, "msg": "目标位无效"}
target_index = float(target_index)
row = conn.execute(
"""
SELECT id FROM options_target_monitors
WHERE inst_id = ? AND status IN ('active', 'closing')
ORDER BY CASE status WHEN 'active' THEN 0 WHEN 'closing' THEN 1 ELSE 2 END, id DESC
LIMIT 1
""",
(inst_id,),
).fetchone()
if row:
conn.execute(
"""
UPDATE options_target_monitors
SET target_index = ?,
underlying = COALESCE(?, underlying),
opt_type = COALESCE(?, opt_type),
trade_id = COALESCE(?, trade_id),
sheets = COALESCE(?, sheets),
status = 'active',
trigger_idx = NULL,
close_ord_id = NULL,
message = NULL,
triggered_at = NULL
WHERE id = ?
""",
(target_index, underlying, opt_type, trade_id, sheets, int(row["id"])),
)
mon_id = int(row["id"])
# 同一合约其他进行中的委托取消,避免双轨触发重复推送
conn.execute(
"""
UPDATE options_target_monitors
SET status = 'cancelled', message = '被新目标位覆盖'
WHERE inst_id = ? AND id != ? AND status IN ('active', 'closing')
""",
(inst_id, mon_id),
)
else:
cur = conn.execute(
"""
INSERT INTO options_target_monitors
(inst_id, underlying, opt_type, target_index, trade_id, sheets, status)
VALUES (?, ?, ?, ?, ?, ?, 'active')
""",
(inst_id, underlying, opt_type, target_index, trade_id, sheets),
)
mon_id = int(cur.lastrowid)
return {"ok": True, "id": mon_id, "inst_id": inst_id, "target_index": target_index}
def cancel_target_monitor(conn: sqlite3.Connection, *, inst_id: str | None = None, monitor_id: int | None = None) -> int:
ensure_target_tables(conn)
if monitor_id is not None:
cur = conn.execute(
"""
UPDATE options_target_monitors
SET status = 'cancelled', message = '手动取消'
WHERE id = ? AND status IN ('active', 'closing')
""",
(int(monitor_id),),
)
return int(cur.rowcount or 0)
if inst_id:
cur = conn.execute(
"""
UPDATE options_target_monitors
SET status = 'cancelled', message = '手动取消'
WHERE inst_id = ? AND status IN ('active', 'closing')
""",
(inst_id.strip(),),
)
return int(cur.rowcount or 0)
return 0
def _row_to_target(r: sqlite3.Row) -> dict[str, Any]:
return {
"id": int(r["id"]),
"inst_id": r["inst_id"],
"underlying": r["underlying"],
"opt_type": r["opt_type"],
"target_index": _safe_float(r["target_index"]),
"trade_id": r["trade_id"],
"sheets": r["sheets"],
"status": r["status"],
"message": r["message"],
"created_at": r["created_at"],
}
def list_active_targets(conn: sqlite3.Connection) -> list[dict[str, Any]]:
ensure_target_tables(conn)
rows = conn.execute(
"""
SELECT id, inst_id, underlying, opt_type, target_index, trade_id, sheets,
status, message, created_at
FROM options_target_monitors
WHERE status = 'active'
ORDER BY id DESC
"""
).fetchall()
return [_row_to_target(r) for r in rows]
def list_closing_targets(conn: sqlite3.Connection) -> list[dict[str, Any]]:
"""已挂出平仓单、等待成交的目标(不再重复推送微信)."""
ensure_target_tables(conn)
rows = conn.execute(
"""
SELECT id, inst_id, underlying, opt_type, target_index, trade_id, sheets,
status, message, created_at
FROM options_target_monitors
WHERE status = 'closing'
ORDER BY id DESC
"""
).fetchall()
return [_row_to_target(r) for r in rows]
def targets_by_inst(conn: sqlite3.Connection) -> dict[str, dict[str, Any]]:
"""UI/持仓挂载:active 与 closing 都算进行中."""
out: dict[str, dict[str, Any]] = {}
for t in list_closing_targets(conn) + list_active_targets(conn):
inst = str(t.get("inst_id") or "")
if inst and inst not in out:
out[inst] = t
return out
def mark_monitor(
conn: sqlite3.Connection,
monitor_id: int,
*,
status: str,
trigger_idx: float | None = None,
close_ord_id: str | None = None,
message: str | None = None,
) -> None:
conn.execute(
"""
UPDATE options_target_monitors
SET status = ?,
trigger_idx = COALESCE(?, trigger_idx),
close_ord_id = COALESCE(?, close_ord_id),
message = COALESCE(?, message),
triggered_at = CASE
WHEN ? IN ('triggered', 'expired', 'closing') THEN COALESCE(triggered_at, CURRENT_TIMESTAMP)
ELSE triggered_at
END
WHERE id = ?
""",
(status, trigger_idx, close_ord_id, message, status, int(monitor_id)),
)
def cancel_orphans_without_position(
conn: sqlite3.Connection,
*,
live_inst_ids: set[str],
) -> int:
"""持仓已消失的目标委托标记为 expired(到期/已平),不挂止损."""
ensure_target_tables(conn)
rows = list_active_targets(conn) + list_closing_targets(conn)
n = 0
for t in rows:
inst = str(t.get("inst_id") or "")
if inst and inst not in live_inst_ids:
mark_monitor(conn, int(t["id"]), status="expired", message="持仓已平/到期,委托结束")
n += 1
return n
def _commit_monitor(conn: sqlite3.Connection) -> None:
"""状态变更立刻落库,避免后续 sync 异常回滚后重复触发/推送."""
try:
conn.commit()
except Exception:
pass
def close_option_by_bid_depth(
cfg: dict[str, Any],
ex: Any,
inst_id: str,
*,
sheets: int | None = None,
) -> dict[str, Any]:
"""目标触发后只锁买一限价卖出;需过 2×门控(通过后同仓续批只验流动性)."""
from lib.options.options_close_exec_lib import close_option_by_bid1
return close_option_by_bid1(
cfg,
ex,
inst_id,
sheets=sheets,
require_recycle_gate=True,
signal_note="目标位平仓",
)
def _notify_target_close(
cfg: dict[str, Any] | None,
send_wechat: Callable[[str], None] | None,
*,
account_label: str,
inst_id: str,
target: float,
idx: float,
result: dict[str, Any],
conn: Any = None,
) -> None:
"""目标位平仓推送:优先走统一平仓必发(幂等);无 cfg 时回退旧文案."""
from lib.options.options_notify_lib import resolve_premium_ccy
ccy = resolve_premium_ccy(inst_id=inst_id)
if result.get("fully_closed") or result.get("already_flat"):
if cfg is not None:
try:
from lib.options.options_notify_lib import notify_options_close
notify_options_close(
cfg,
conn,
inst_id=inst_id,
reason="目标位平仓",
sheets=result.get("submitted_sheets"),
premium_received=result.get("premium_received"),
close_quote=result.get("locked_bid_px") or result.get("bid"),
target_index=target,
trigger_idx=idx,
premium_ccy=ccy,
)
return
except Exception:
pass
if not send_wechat:
return
try:
recv = result.get("premium_received")
send_wechat(
"\n".join(
[
"【OKX期权·目标位平仓】",
f"账户:{account_label}",
f"合约:{inst_id}",
f"目标指数:{target:g}",
f"触发指数:{idx:g}",
f"提交张数:{result.get('submitted_sheets') or '—'}",
f"预估收回:{recv if recv is not None else '—'} {ccy}",
f"状态:{'已全平' if (result.get('fully_closed') or result.get('already_flat')) else '挂单中/部分'}",
]
)
)
except Exception:
pass
def _result_fully_done(result: dict[str, Any]) -> bool:
if result.get("already_flat"):
return True
if result.get("fully_closed"):
return True
remaining = result.get("remaining_sheets")
if remaining is not None and int(remaining) <= 0 and result.get("ok"):
return True
return False
def run_options_target_closes(
conn: sqlite3.Connection,
positions: list[dict[str, Any]],
*,
close_fn: Callable[[str], dict[str, Any]],
index_fn: Callable[[dict[str, Any]], float | None] | None = None,
send_wechat: Callable[[str], None] | None = None,
account_label: str = "OKX期权",
cfg: dict[str, Any] | None = None,
) -> int:
"""
扫描 active 目标委托;指数到位后限价平仓.
状态先 commit 再推微信,避免 sync 失败回滚导致同一笔反复推送.
未完全成交进入 closing,仅重试平仓不再推送.
返回本次新触发(并推送)的条数.
"""
ensure_target_tables(conn)
pos_by_inst = {str(p.get("inst_id") or p.get("instId") or ""): p for p in positions}
live_ids = {k for k in pos_by_inst if k}
cancel_orphans_without_position(conn, live_inst_ids=live_ids)
_commit_monitor(conn)
# 先处理已挂单等待成交的,绝不再发微信
for mon in list_closing_targets(conn):
inst_id = str(mon.get("inst_id") or "")
if not inst_id:
continue
if inst_id not in pos_by_inst:
mark_monitor(conn, int(mon["id"]), status="expired", message="持仓已平")
_commit_monitor(conn)
continue
result = close_fn(inst_id)
idx = _safe_float(pos_by_inst[inst_id].get("idx_px") or pos_by_inst[inst_id].get("idxPx"))
if result.get("already_flat") or _result_fully_done(result):
mark_monitor(
conn,
int(mon["id"]),
status="triggered",
trigger_idx=idx,
close_ord_id=result.get("close_ord_id"),
message="目标位限价平仓完成",
)
_commit_monitor(conn)
continue
mark_monitor(
conn,
int(mon["id"]),
status="closing",
trigger_idx=idx,
close_ord_id=result.get("close_ord_id"),
message=str(result.get("msg") or result.get("stopped_reason") or "等待买一成交"),
)
_commit_monitor(conn)
triggered = 0
for mon in list_active_targets(conn):
inst_id = str(mon.get("inst_id") or "")
target = _safe_float(mon.get("target_index"))
if not inst_id or target is None:
continue
pos = pos_by_inst.get(inst_id)
if not pos:
continue
if index_fn is not None:
idx = index_fn(pos)
else:
idx = _safe_float(pos.get("idx_px") or pos.get("idxPx"))
if idx is None:
continue
opt_type = mon.get("opt_type") or pos.get("opt_type") or pos.get("optType")
if not target_hit(opt_type=str(opt_type) if opt_type else None, index_px=idx, target_index=target):
continue
result = close_fn(inst_id)
if result.get("already_flat"):
mark_monitor(conn, int(mon["id"]), status="expired", trigger_idx=idx, message="持仓已平")
_commit_monitor(conn)
continue
if not result.get("ok"):
mark_monitor(
conn,
int(mon["id"]),
status="active",
trigger_idx=idx,
message=str(result.get("msg") or result.get("stopped_reason") or "平仓未完成,将重试"),
)
_commit_monitor(conn)
continue
done = _result_fully_done(result)
status = "triggered" if done else "closing"
mark_monitor(
conn,
int(mon["id"]),
status=status,
trigger_idx=idx,
close_ord_id=result.get("close_ord_id"),
message="目标位触发限价平仓" if done else "目标位已挂买一限价,等待成交",
)
# 关键:先落库,再推送——否则后续 sync 异常回滚会让同一笔反复推微信
_commit_monitor(conn)
triggered += 1
_notify_target_close(
cfg,
send_wechat,
account_label=account_label,
inst_id=inst_id,
target=target,
idx=idx,
result=result,
conn=conn,
)
return triggered
+182
View File
@@ -0,0 +1,182 @@
"""期权业务时区墙钟:库内统一按 APP_TIMEZONE(默认 Asia/Shanghai)存储,不可当 UTC."""
from __future__ import annotations
import os
import sqlite3
from datetime import datetime, timezone
from typing import Any, Optional
from zoneinfo import ZoneInfo
_APP_TZ = ZoneInfo(
(os.getenv("APP_TIMEZONE") or os.getenv("TZ") or "Asia/Shanghai").strip()
or "Asia/Shanghai"
)
_MIGRATE_FLAG = "options_ts_utc_wall_to_app_done"
_SWAP_REPAIR_FLAG = "options_closed_at_note_swap_done"
def options_app_tz() -> ZoneInfo:
return _APP_TZ
def options_app_now_str() -> str:
return datetime.now(_APP_TZ).strftime("%Y-%m-%d %H:%M:%S")
def ms_to_options_app_str(ms: Any) -> Optional[str]:
"""交易所 ms(UTC 绝对时间) → 业务时区墙钟字符串."""
try:
val = float(ms)
except (TypeError, ValueError):
return None
if val <= 0:
return None
try:
dt = datetime.fromtimestamp(int(val) / 1000.0, tz=timezone.utc).astimezone(_APP_TZ)
return dt.strftime("%Y-%m-%d %H:%M:%S")
except (TypeError, ValueError, OSError, OverflowError):
return None
def options_wall_clock_to_ms(raw: Any) -> Optional[int]:
"""业务时区墙钟 → UTC ms(与合约复盘 _local_input_datetime_to_ms 同口径)."""
if raw is None or raw == "":
return None
s = str(raw).strip().replace("T", " ")
for fmt, ln in (("%Y-%m-%d %H:%M:%S", 19), ("%Y-%m-%d %H:%M", 16)):
try:
dt = datetime.strptime(s[:ln], fmt).replace(tzinfo=_APP_TZ)
return int(dt.timestamp() * 1000)
except ValueError:
continue
return None
def utc_wall_clock_to_app_str(raw: Any) -> Optional[str]:
"""把误存成 UTC 墙钟的字符串改写为业务时区墙钟(+8 等)."""
if raw is None or raw == "":
return None
s = str(raw).strip().replace("T", " ")
for fmt, ln in (("%Y-%m-%d %H:%M:%S", 19), ("%Y-%m-%d %H:%M", 16)):
try:
dt = datetime.strptime(s[:ln], fmt).replace(tzinfo=timezone.utc)
return dt.astimezone(_APP_TZ).strftime("%Y-%m-%d %H:%M:%S")
except ValueError:
continue
return None
def migrate_options_utc_wall_clock_to_app(conn: sqlite3.Connection) -> dict[str, int]:
"""一次性:历史 UTC 墙钟(SQLite CURRENT_TIMESTAMP / 旧 monitor)改为业务时区.
幂等:同步状态 options_ts_utc_wall_to_app_done=1 后跳过.
"""
from lib.options.options_review_db import init_options_review_tables
from lib.options.options_review_lib import get_sync_state, set_sync_state
init_options_review_tables(conn)
if get_sync_state(conn, _MIGRATE_FLAG) == "1":
return {"skipped": 1, "trades": 0, "review": 0, "hidden": 0}
def _shift_table(table: str, cols: tuple[str, ...]) -> int:
try:
rows = conn.execute(
f"SELECT rowid AS _rid, {', '.join(cols)} FROM {table}"
).fetchall()
except sqlite3.Error:
return 0
n = 0
for row in rows:
sets: list[str] = []
vals: list[Any] = []
for col in cols:
old = row[col]
new = utc_wall_clock_to_app_str(old)
if new and str(old or "").strip() != new:
sets.append(f"{col}=?")
vals.append(new)
if not sets:
continue
vals.append(int(row["_rid"]))
conn.execute(
f"UPDATE {table} SET {', '.join(sets)} WHERE rowid=?",
vals,
)
n += 1
return n
trades = 0
try:
from lib.options.options_db import init_options_tables
init_options_tables(conn)
trades = _shift_table("options_trades", ("created_at", "closed_at"))
except Exception:
trades = 0
review = _shift_table("options_review_trades", ("opened_at", "closed_at"))
hidden = _shift_table("options_review_hidden", ("closed_at",))
set_sync_state(conn, _MIGRATE_FLAG, "1")
return {"skipped": 0, "trades": trades, "review": review, "hidden": hidden}
def repair_swapped_closed_at_signal_note(conn: sqlite3.Connection) -> dict[str, int]:
"""修复 close_option_by_bid1 曾把 signal_note 写入 closed_at 的坏行.
典型表现: closed_at='翻倍出场'/'目标位平仓', signal_note 反而是时间戳.
幂等:同步状态 options_closed_at_note_swap_done=1 后仍扫描可修行(新坏行可再修).
"""
from lib.options.options_review_db import init_options_review_tables
from lib.options.options_review_lib import set_sync_state
init_options_review_tables(conn)
trades_fixed = 0
review_fixed = 0
try:
from lib.options.options_db import init_options_tables
init_options_tables(conn)
rows = conn.execute(
"""
SELECT id, closed_at, signal_note
FROM options_trades
WHERE status = 'closed'
AND closed_at IS NOT NULL
AND TRIM(closed_at) != ''
"""
).fetchall()
for row in rows:
closed = str(row["closed_at"] or "").strip()
note = str(row["signal_note"] or "").strip()
if options_wall_clock_to_ms(closed) is not None:
continue
if options_wall_clock_to_ms(note) is None:
continue
conn.execute(
"""
UPDATE options_trades
SET closed_at = ?, signal_note = ?
WHERE id = ?
""",
(note, closed, int(row["id"])),
)
trades_fixed += 1
hk = f"local_opt:{int(row['id'])}"
cur = conn.execute(
"""
UPDATE options_review_trades
SET closed_at = ?
WHERE history_key = ?
AND (closed_at IS NULL OR TRIM(closed_at) = '' OR closed_at = ?)
""",
(note, hk, closed),
)
review_fixed += int(cur.rowcount or 0)
except Exception:
pass
# 复盘表里仍残留非时间戳 closed_at 的,若能从 local_opt 源修好则已处理;否则仅标记完成
set_sync_state(conn, _SWAP_REPAIR_FLAG, "1")
return {"trades": trades_fixed, "review": review_fixed}
@@ -327,6 +327,37 @@
</div>
<p class="sub journal-upload-hint">可只传部分周期;选文件后即时上传</p>
<div class="form-row or-chart-options journal-chart-options hidden" id="or-chart-options" style="flex-wrap:wrap;align-items:center">
<label style="display:flex;align-items:center;gap:6px;font-size:.82rem">
<input type="checkbox" id="or-exchange-chart" value="true">
保存后后台生成 K 线图并作为截图(不阻塞保存)
</label>
<label style="font-size:.82rem;color:#9aa">周期1</label>
<select id="or-chart-tf1" style="min-width:72px">
{% for tf in journal_chart_tf_choices %}
<option value="{{ tf }}" {% if tf == journal_chart_default_tf1 %}selected{% endif %}>{{ tf }}</option>
{% endfor %}
</select>
<label style="font-size:.82rem;color:#9aa">周期2</label>
<select id="or-chart-tf2" style="min-width:72px">
{% for tf in journal_chart_tf_choices %}
<option value="{{ tf }}" {% if tf == journal_chart_default_tf2 %}selected{% endif %}>{{ tf }}</option>
{% endfor %}
</select>
<label style="font-size:.82rem;color:#9aa">K线数</label>
<select id="or-chart-limit" style="min-width:72px">
{% for n in [100, 150, 200, 250, 300, 400, 500] %}
<option value="{{ n }}" {% if n == journal_chart_default_limit %}selected{% endif %}>{{ n }}</option>
{% endfor %}
</select>
<label style="font-size:.82rem;color:#9aa">K线截止</label>
<select id="or-chart-anchor" style="min-width:96px" title="K线窗口右端对齐的时间">
<option value="close" {% if journal_chart_default_anchor == 'close' %}selected{% endif %}>平仓时间</option>
<option value="now" {% if journal_chart_default_anchor == 'now' %}selected{% endif %}>当前时间</option>
</select>
</div>
<div class="sub or-chart-hint hidden" id="or-chart-hint" style="font-size:.72rem;margin-top:2px;margin-bottom:0">纯期权:按标的永续画双周期上下图;只按时间标记进场/出场,不标止损;有手动截图时不自动生成</div>
<div class="or-mood-grid mood-grid">
<label><input type="checkbox" class="or-mood" value="怕踏空">怕踏空</label>
<label><input type="checkbox" class="or-mood" value="报复开仓">报复开仓</label>
+214 -2
View File
@@ -12,7 +12,19 @@ from lib.sim.wallets_lib import InsufficientFunds, SimWallets
def _now() -> str:
return datetime.utcnow().strftime("%Y-%m-%d %H:%M:%S")
"""业务时区墙钟(默认 Asia/Shanghai);勿用 utcnow,否则复盘K线标记会偏 8 小时."""
try:
from lib.options.options_time_lib import options_app_now_str
return options_app_now_str()
except Exception:
from zoneinfo import ZoneInfo
tz = ZoneInfo(
(os.getenv("APP_TIMEZONE") or os.getenv("TZ") or "Asia/Shanghai").strip()
or "Asia/Shanghai"
)
return datetime.now(tz).strftime("%Y-%m-%d %H:%M:%S")
def _ticker_bid_ask(exchange: Any, symbol: str) -> tuple[float, float]:
@@ -692,7 +704,7 @@ class SimBroker:
expiry_ms_from_inst_id,
option_fields_from_inst_id,
)
from lib.hedge_plan.hedge_plan_calc_lib import option_expiry_pnl
from lib.options.options_pricing_lib import option_expiry_pnl
now = int(now_ms if now_ms is not None else time.time() * 1000)
settled: list[dict[str, Any]] = []
@@ -890,6 +902,200 @@ class SimBroker:
rows.append(row)
return rows
@staticmethod
def _sells_from_ledger(
conn: Any,
*,
inst: str,
opened: str,
closed: str,
) -> list[Any]:
"""从 sim_ledger_entries 的 option_close 备注解析卖平成交."""
import re
try:
params: list[Any] = [f"%sell {inst} %"]
sql = """
SELECT note, ts AS created_at
FROM sim_ledger_entries
WHERE kind = 'option_close' AND note LIKE ?
"""
if opened:
sql += " AND ts >= ?"
params.append(opened[:19])
if closed:
sql += " AND ts <= ?"
params.append((closed[:16] + ":59") if len(closed) >= 16 else closed)
sql += " ORDER BY ts ASC, id ASC"
rows = conn.execute(sql, params).fetchall()
except Exception:
return []
out: list[dict[str, Any]] = []
pat = re.compile(
rf"sell\s+{re.escape(inst)}\s+x(?P<sheets>[0-9.]+)@(?P<px>[0-9.]+)",
re.I,
)
for i, r in enumerate(rows):
note = str(r["note"] or "")
m = pat.search(note)
if not m:
continue
try:
sh = float(m.group("sheets"))
px = float(m.group("px"))
except (TypeError, ValueError):
continue
if sh <= 0 or px <= 0:
continue
out.append(
{
"ord_id": f"ledger-{i}",
"sheets": sh,
"avg_px": px,
"created_at": r["created_at"],
}
)
return out
def repair_closed_options_pnl_from_sim_orders(self, *, limit: int = 300) -> int:
"""用 sim_option_orders 卖平成交重算已平仓收回(修复分批平仓只记最后一笔).
返回更新条数.历史页/复盘合成前调用,使旧数据也能自愈.
"""
from lib.options.options_db import init_options_tables
from lib.options.options_pricing_lib import total_premium
from lib.sim.db_lib import init_sim_tables
conn = self.get_db()
updated = 0
try:
init_options_tables(conn)
init_sim_tables(conn)
# 表不存在时跳过(极旧库)
try:
conn.execute("SELECT 1 FROM sim_option_orders LIMIT 1").fetchone()
except Exception:
return 0
trades = conn.execute(
"""
SELECT id, inst_id, sheets, eth_amount, premium_paid, premium_received,
realized_pnl, close_quote, created_at, closed_at, close_ord_id
FROM options_trades
WHERE status = 'closed'
ORDER BY id DESC
LIMIT ?
""",
(int(max(1, min(int(limit), 500))),),
).fetchall()
for tr in trades:
inst = str(tr["inst_id"] or "").strip()
if not inst:
continue
want_sheets = float(tr["sheets"] or 0)
if want_sheets <= 0:
continue
eth_amt = float(tr["eth_amount"] or 0)
ct_mult = (eth_amt / want_sheets) if eth_amt > 0 else 0.01
if ct_mult <= 0:
ct_mult = 0.01
opened = str(tr["created_at"] or "").strip()
closed = str(tr["closed_at"] or "").strip()
# 时间窗:开仓后、平仓后 2 分钟内(含下单延迟)
params: list[Any] = [inst]
sql = """
SELECT ord_id, sheets, avg_px, created_at
FROM sim_option_orders
WHERE inst_id = ? AND lower(side) = 'sell'
"""
if opened:
sql += " AND created_at >= ?"
params.append(opened[:19])
if closed:
# 字符串时间比较;闭区间放宽到同分钟及之后的短尾
sql += " AND created_at <= ?"
params.append((closed[:16] + ":59") if len(closed) >= 16 else closed)
sql += " ORDER BY created_at ASC, ord_id ASC"
sells = conn.execute(sql, params).fetchall()
if not sells:
# 回退:从钱包流水 note 解析 sell INST x张数@价
sells = self._sells_from_ledger(
conn, inst=inst, opened=opened, closed=closed
)
if not sells:
continue
selected: list[Any] = []
sheets_sum = 0.0
for o in sells:
selected.append(o)
sheets_sum += float(o["sheets"] or 0)
if sheets_sum + 1e-9 >= want_sheets:
break
if sheets_sum + 1e-6 < want_sheets * 0.5:
# 成交张数明显不足,不瞎改
continue
recv = 0.0
notional = 0.0
oids: list[str] = []
for o in selected:
sh = float(o["sheets"] or 0)
px = float(o["avg_px"] or 0)
if sh <= 0 or px <= 0:
continue
recv += total_premium(px, sh * ct_mult)
notional += px * sh
oid = str(o["ord_id"] or "").strip()
if oid and oid not in oids:
oids.append(oid)
if not oids:
continue
total_recv = round(recv, 8)
paid = float(tr["premium_paid"] or 0) if tr["premium_paid"] is not None else None
if paid is None:
continue
new_pnl = round(total_recv - paid, 8)
close_px = round(notional / sheets_sum, 8) if sheets_sum > 0 else None
old_recv = (
float(tr["premium_received"])
if tr["premium_received"] is not None
else None
)
old_pnl = float(tr["realized_pnl"]) if tr["realized_pnl"] is not None else None
# 已与合计一致则跳过
if (
old_recv is not None
and old_pnl is not None
and abs(old_recv - total_recv) < 1e-8
and abs(old_pnl - new_pnl) < 1e-8
):
continue
# 仅当卖笔数≥2 或合计收回明显高于本地(漏记)时覆盖
if len(selected) < 2 and old_recv is not None and total_recv <= old_recv + 1e-10:
continue
conn.execute(
"""
UPDATE options_trades
SET premium_received = ?,
realized_pnl = ?,
close_quote = COALESCE(?, close_quote),
close_ord_id = ?
WHERE id = ?
""",
(
total_recv,
new_pnl,
close_px,
",".join(oids) if oids else tr["close_ord_id"],
int(tr["id"]),
),
)
updated += 1
if updated:
conn.commit()
finally:
conn.close()
return updated
def option_positions_history_okx_rows(
self,
exchange: Any = None,
@@ -901,6 +1107,12 @@ class SimBroker:
实盘 positions-history 在模拟模式不可用,期权历史/复盘依赖此合成数据.
"""
# 先按卖平成交修复分批漏计,再合成展示
try:
self.repair_closed_options_pnl_from_sim_orders(limit=max(int(limit), 200))
except Exception:
pass
from datetime import datetime
from zoneinfo import ZoneInfo
+1 -1
View File
@@ -51,7 +51,7 @@ def install_sim_trading(app: Flask, repo_root: str, app_module: Any = None) -> N
apply_sim_hooks(app_module)
# 若 options / hedge 已安装, 补丁其 cfg, 并刷新永续下单引用
for key in ("options_cfg", "hedge_plan_cfg"):
for key in ("options_cfg",):
cfg = app.extensions.get(key)
if isinstance(cfg, dict):
patch_options_cfg(cfg)
+40
View File
@@ -0,0 +1,40 @@
"""OKX 公开 K 线小测(无网络):instId / bar 映射."""
from __future__ import annotations
import unittest
class OkxPublicOhlcvMappingTests(unittest.TestCase):
def test_swap_inst_and_bar(self):
# 避免 import 整站 app:直接复刻映射逻辑做契约校验
def swap_inst(exchange_symbol: str) -> str:
sym = str(exchange_symbol or "").strip().upper()
if not sym:
return ""
if "/" in sym:
base, rest = sym.split("/", 1)
quote = rest.split(":", 1)[0].strip() or "USDT"
return f"{base.strip()}-{quote}-SWAP"
if sym.endswith("-SWAP"):
return sym
return sym
def public_bar(timeframe: str) -> str:
low = str(timeframe or "").strip().lower()
if low.endswith("m") and low[:-1].isdigit():
return low
if low.endswith("h") and low[:-1].isdigit():
return f"{low[:-1]}H"
if low.endswith("d") and low[:-1].isdigit():
return f"{low[:-1]}D"
return low or "15m"
self.assertEqual(swap_inst("ETH/USDT:USDT"), "ETH-USDT-SWAP")
self.assertEqual(swap_inst("BTC/USDT:USDT"), "BTC-USDT-SWAP")
self.assertEqual(public_bar("15m"), "15m")
self.assertEqual(public_bar("1h"), "1H")
self.assertEqual(public_bar("4h"), "4H")
if __name__ == "__main__":
unittest.main()
+45
View File
@@ -0,0 +1,45 @@
"""币本位期权浮盈折 U(BTC/ETH 不得把币数量直接当 U)."""
from __future__ import annotations
import unittest
from lib.options.options_positions_lib import display_pnl_usdt_from_option_row
class DisplayPnlUsdtTests(unittest.TestCase):
def test_btc_coin_pnl_times_index(self):
row = {
"inst_id": "BTC-USD-260327-100000-P",
"premium_ccy": "BTC",
"margin_mode": "coin",
"idx_px": 100000.0,
"upl": -0.001,
"close_preview": {"bid_invalid": True},
}
# 残档回退 upl: -0.001 BTC × 100000 = -100 U
self.assertAlmostEqual(display_pnl_usdt_from_option_row(row), -100.0, places=4)
def test_btc_infers_ccy_when_premium_ccy_missing(self):
row = {
"inst_id": "BTC-USD-260327-100000-C",
"margin_mode": "coin",
"underlying": "BTC",
"idx_px": 95000.0,
"upl": 0.002,
"close_preview": {"bid_invalid": True},
}
self.assertAlmostEqual(display_pnl_usdt_from_option_row(row), 190.0, places=4)
def test_usdc_unchanged(self):
row = {
"inst_id": "BTC-USD_UM-260327-100000-C",
"premium_ccy": "USDC",
"margin_mode": "usdc",
"upl": -12.5,
"close_preview": {"bid_invalid": True},
}
self.assertAlmostEqual(display_pnl_usdt_from_option_row(row), -12.5, places=4)
if __name__ == "__main__":
unittest.main()
+160
View File
@@ -0,0 +1,160 @@
"""分批平仓:累计各批收回权利金后再算盈亏."""
from __future__ import annotations
import sqlite3
import unittest
from unittest.mock import patch
from lib.options.options_close_exec_lib import close_option_by_bid1
from lib.options.options_db import (
add_open_close_accum,
get_open_close_accum,
init_options_tables,
)
def _mem_db() -> sqlite3.Connection:
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
return conn
class CloseAccumDbTests(unittest.TestCase):
def test_accum_on_earliest_open(self):
conn = _mem_db()
conn.execute(
"""
INSERT INTO options_trades
(inst_id, underlying, opt_type, sheets, eth_amount, premium_paid, status)
VALUES ('ETH-USD-260927-2700-P', 'ETH', 'P', 10, 0.1, 0.02, 'open')
"""
)
conn.commit()
self.assertTrue(
add_open_close_accum(
conn, "ETH-USD-260927-2700-P", recv=0.005, sheets=5, px=0.05, ord_id="a1"
)
)
self.assertTrue(
add_open_close_accum(
conn, "ETH-USD-260927-2700-P", recv=0.004, sheets=5, px=0.04, ord_id="a2"
)
)
acc = get_open_close_accum(conn, "ETH-USD-260927-2700-P")
self.assertAlmostEqual(float(acc["recv"]), 0.009, places=6)
self.assertEqual(int(acc["sheets"]), 10)
self.assertAlmostEqual(float(acc["notional"]), 0.05 * 5 + 0.04 * 5, places=6)
self.assertEqual(acc["close_ord_id"], "a1,a2")
class TwoStepCloseExecTests(unittest.TestCase):
def test_two_partial_closes_sum_premium_received(self):
conn = _mem_db()
inst = "ETH-USD-260927-2700-P"
conn.execute(
"""
INSERT INTO options_trades
(inst_id, underlying, opt_type, strike, sheets, eth_amount,
open_quote, premium_paid, status, premium_ccy, margin_mode)
VALUES (?, 'ETH', 'P', 2700, 10, 0.1, 0.2, 0.02, 'open', 'ETH', 'coin')
""",
(inst,),
)
conn.commit()
# 持仓:第一次 10→5,第二次 5→0
pos_seq = [
[{"instId": inst, "availPos": "10", "pos": "10", "mgnMode": "isolated", "idxPx": "2500"}],
[{"instId": inst, "availPos": "5", "pos": "5", "mgnMode": "isolated", "idxPx": "2500"}],
[{"instId": inst, "availPos": "5", "pos": "5", "mgnMode": "isolated", "idxPx": "2500"}],
[], # 第二次下单后已平
]
pos_i = {"n": 0}
def fetch_positions(_ex):
i = pos_i["n"]
pos_i["n"] = min(i + 1, len(pos_seq) - 1)
return pos_seq[i]
order_px = {"n": 0}
def place_limit(_ex, **kwargs):
order_px["n"] += 1
px = 0.05 if order_px["n"] == 1 else 0.04
return {"ok": True, "px": px, "data": {"ordId": f"ord{order_px['n']}"}}
def quote(_ex, _inst):
return {"ok": True, "tick_sz": "0.0001", "ct_mult": 0.01, "bid": 0.05, "index_px": 2500}
def book(_ex, _inst, _n):
# 每次只够吃一半深度,强制分两批
return {"bids": [{"px": 0.05, "sz": 5}]} if order_px["n"] < 1 else {"bids": [{"px": 0.04, "sz": 5}]}
cfg = {
"get_db": lambda: _reuse_conn(conn),
"quote_option_contract": quote,
"fetch_option_positions": fetch_positions,
"fetch_option_book_depth": book,
"place_option_limit_order": place_limit,
"td_mode": "isolated",
}
with patch("lib.options.options_close_exec_lib.time.sleep", return_value=None), patch(
"lib.exchange.okx_options_lib.invalidate_option_positions_cache"
), patch(
"lib.options.options_pricing_lib.fetch_option_mark_px", return_value=0.05
), patch(
"lib.options.options_close_exec_lib._pos_close_refs", return_value=(0.05, 0.0)
):
r1 = close_option_by_bid1(cfg, ex=object(), inst_id=inst, sheets=10)
self.assertTrue(r1.get("ok"), r1)
self.assertFalse(r1.get("fully_closed"), r1)
open_row = conn.execute(
"SELECT close_recv_accum, status, realized_pnl FROM options_trades WHERE inst_id=?",
(inst,),
).fetchone()
self.assertEqual(open_row["status"], "open")
self.assertGreater(float(open_row["close_recv_accum"] or 0), 0)
self.assertIsNone(open_row["realized_pnl"])
# 第二次买一深度
def book2(_ex, _inst, _n):
return {"bids": [{"px": 0.04, "sz": 5}]}
cfg["fetch_option_book_depth"] = book2
r2 = close_option_by_bid1(cfg, ex=object(), inst_id=inst, sheets=5)
self.assertTrue(r2.get("ok"), r2)
self.assertTrue(r2.get("fully_closed"), r2)
closed = conn.execute(
"""
SELECT premium_paid, premium_received, realized_pnl, status, close_recv_accum
FROM options_trades WHERE inst_id=?
""",
(inst,),
).fetchone()
self.assertEqual(closed["status"], "closed")
# ct_mult=0.01: 5张×0.05 + 5张×0.04 = 0.0025 + 0.002 = 0.0045
self.assertAlmostEqual(float(closed["premium_received"]), 0.0045, places=6)
self.assertAlmostEqual(float(closed["realized_pnl"]), 0.0045 - 0.02, places=6)
self.assertEqual(float(closed["close_recv_accum"] or 0), 0.0)
# 若只记第二批,recv 会是 0.002,pnl=-0.018;合计应为 -0.0155
self.assertNotAlmostEqual(float(closed["premium_received"]), 0.002, places=6)
def _reuse_conn(conn: sqlite3.Connection) -> sqlite3.Connection:
"""get_db 每次返回同一连接;close 时 no-op,避免 :memory: 被关掉."""
class _Proxy:
def __getattr__(self, name):
return getattr(conn, name)
def close(self):
return None
return _Proxy() # type: ignore[return-value]
if __name__ == "__main__":
unittest.main()
+41
View File
@@ -0,0 +1,41 @@
"""翻倍出场:买一价×全仓张数判定达标(不受买一深度截断)."""
from __future__ import annotations
import unittest
from unittest.mock import patch
from lib.options.options_profit_exit_lib import _estimate_recycle, profit_exit_hit
class ProfitExitHitTests(unittest.TestCase):
def test_hit_at_0_3_mult(self):
# 0.3倍: recycle >= paid * 1.3
self.assertTrue(profit_exit_hit(premium_paid=1.0, recycle_usdc=1.3, mult=0.3))
self.assertFalse(profit_exit_hit(premium_paid=1.0, recycle_usdc=1.29, mult=0.3))
def test_estimate_uses_full_sheets_not_depth(self):
pos = {"inst_id": "ETH-USD-260927-2700-P", "pos": 100, "ct_mult": 0.01}
preview = {
"bid_invalid": False,
"levels": [{"px": 0.2, "sheets": 10}], # 深度只够 10 张
"total_received": 0.02, # 仅深度内
}
def fake_attach(cfg, ex, row, premium_paid=None):
row["close_preview"] = preview
row["ct_mult"] = 0.01
row["pos"] = 100
return row
with patch(
"lib.options.options_positions_lib.attach_close_preview",
side_effect=fake_attach,
):
recv = _estimate_recycle({}, object(), pos, 1.0)
# 应按 100 张 × 0.01 × 0.2 = 0.2,而非深度截断的 0.02
self.assertAlmostEqual(float(recv), 0.2, places=6)
self.assertTrue(profit_exit_hit(premium_paid=0.15, recycle_usdc=float(recv), mult=0.3))
if __name__ == "__main__":
unittest.main()
@@ -0,0 +1,157 @@
"""期权复盘自动 K 线:单元测试."""
from __future__ import annotations
import sqlite3
import unittest
from unittest.mock import MagicMock, patch
from lib.options.options_review_chart_async_lib import (
OPTIONS_REVIEW_AUTO_CHART_TF,
build_options_review_chart_filename,
merge_auto_chart_into_images,
schedule_options_review_exchange_chart,
underlying_to_okx_perp_symbol,
)
from lib.options.options_review_db import init_options_review_tables
from lib.options.options_review_lib import save_review_entry, upsert_option_history_row
def _conn() -> sqlite3.Connection:
c = sqlite3.connect(":memory:")
c.row_factory = sqlite3.Row
init_options_review_tables(c)
return c
class OptionsReviewChartAsyncTests(unittest.TestCase):
def test_underlying_to_okx_perp_symbol(self):
self.assertEqual(
underlying_to_okx_perp_symbol(
"ETH-USD",
normalize_symbol_input_fn=lambda s: f"{s}/USDT",
normalize_okx_symbol_fn=lambda s: f"{s.split('/')[0]}/USDT:USDT"
if "/" in s
else s,
),
"ETH/USDT:USDT",
)
def test_merge_auto_chart_keeps_manual_slots(self):
merged = merge_auto_chart_into_images(
[
{"tf": "auto", "file": "old.png"},
{"tf": "15m", "file": "m15.png"},
],
"new_auto.png",
)
self.assertEqual(merged[0]["tf"], OPTIONS_REVIEW_AUTO_CHART_TF)
self.assertEqual(merged[0]["file"], "new_auto.png")
self.assertEqual(merged[1], {"tf": "15m", "file": "m15.png"})
def test_chart_filename(self):
self.assertEqual(
build_options_review_chart_filename(12), "options_journal_chart_12.png"
)
@patch("lib.options.options_review_chart_async_lib.threading.Thread")
def test_schedule_starts_daemon_thread(self, mock_thread_cls):
thread = MagicMock()
mock_thread_cls.return_value = thread
schedule_options_review_exchange_chart(
trade_id=7,
exchange_symbol="ETH/USDT:USDT",
title_prefix="t",
journal_tfs=["15m", "1h"],
journal_limit=100,
marker_payload={},
upload_folder="/tmp",
generate_chart_fn=MagicMock(),
get_db_fn=MagicMock(),
now_str_fn=lambda: "2026-09-15 12:00:00",
)
mock_thread_cls.assert_called_once()
self.assertTrue(mock_thread_cls.call_args.kwargs.get("daemon"))
thread.start.assert_called_once()
def test_writeback_merges_auto_image(self):
import tempfile
from pathlib import Path
from lib.options.options_review_images_lib import parse_options_review_images_json
with tempfile.TemporaryDirectory() as td:
db_path = Path(td) / "t.db"
def get_db():
c = sqlite3.connect(str(db_path))
c.row_factory = sqlite3.Row
return c
conn = get_db()
init_options_review_tables(conn)
upsert_option_history_row(
conn,
{
"history_key": "ex:chart1",
"inst_id": "ETH-USD-260328-2000-C",
"underlying": "ETH",
"opt_type": "C",
"realized_pnl": 1.0,
"created_at": "2026-09-01 10:00:00",
"closed_at": "2026-09-01 12:00:00",
},
)
trade_id = conn.execute(
"SELECT id FROM options_review_trades WHERE history_key='ex:chart1'"
).fetchone()["id"]
save_review_entry(
conn,
trade_id,
{
"strategy_tag": "测试",
"images": [{"tf": "15m", "file": "options_journal_x_15m.png"}],
},
)
conn.commit()
conn.close()
chart_name = build_options_review_chart_filename(trade_id)
generate = MagicMock(return_value=chart_name)
with patch(
"lib.options.options_review_chart_async_lib.threading.Thread"
) as mock_thread_cls:
thread = MagicMock()
mock_thread_cls.return_value = thread
schedule_options_review_exchange_chart(
trade_id=trade_id,
exchange_symbol="ETH/USDT:USDT",
title_prefix="ETH review",
journal_tfs=["15m", "1h"],
journal_limit=200,
marker_payload={"entry_ts_ms": 1, "exit_ts_ms": 2},
upload_folder=td,
generate_chart_fn=generate,
get_db_fn=get_db,
now_str_fn=lambda: "2026-09-15 12:00:00",
)
target = mock_thread_cls.call_args.kwargs["target"]
target()
conn = get_db()
try:
row = conn.execute(
"SELECT images_json, image FROM options_review_entries WHERE trade_id=?",
(trade_id,),
).fetchone()
self.assertEqual(row["image"], chart_name)
images = parse_options_review_images_json(row["images_json"])
self.assertEqual(images[0]["tf"], "auto")
self.assertEqual(images[0]["file"], chart_name)
self.assertTrue(any(x.get("tf") == "15m" for x in images))
finally:
conn.close()
if __name__ == "__main__":
unittest.main()
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@@ -0,0 +1,92 @@
"""期权业务时区与 UTC 墙钟迁移单测."""
from __future__ import annotations
import sqlite3
import unittest
from datetime import datetime, timezone
from zoneinfo import ZoneInfo
from lib.options.options_db import init_options_tables
from lib.options.options_review_db import init_options_review_tables
from lib.options.options_review_lib import get_sync_state, upsert_option_history_row
from lib.options.options_time_lib import (
migrate_options_utc_wall_clock_to_app,
ms_to_options_app_str,
options_wall_clock_to_ms,
utc_wall_clock_to_app_str,
)
class OptionsTimeLibTests(unittest.TestCase):
def test_ms_to_shanghai_wall_clock(self):
# 2026-09-13 21:41:57 UTC → 2026-09-14 05:41:57 Asia/Shanghai
ms = int(
datetime(2026, 9, 13, 21, 41, 57, tzinfo=timezone.utc).timestamp() * 1000
)
self.assertEqual(ms_to_options_app_str(ms), "2026-09-14 05:41:57")
def test_utc_wall_to_app(self):
self.assertEqual(
utc_wall_clock_to_app_str("2026-09-13 21:41:57"),
"2026-09-14 05:41:57",
)
def test_wall_clock_to_ms_roundtrip(self):
raw = "2026-09-14 05:41:57"
ms = options_wall_clock_to_ms(raw)
self.assertIsNotNone(ms)
dt = datetime.fromtimestamp(ms / 1000.0, tz=ZoneInfo("Asia/Shanghai"))
self.assertEqual(dt.strftime("%Y-%m-%d %H:%M:%S"), raw)
def test_migrate_once(self):
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
init_options_review_tables(conn)
conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, sheets, eth_amount, premium_paid, status,
created_at, closed_at
) VALUES ('ETH-USD-260917-2525-P', 'ETH', 'P', 1, 0.01, 1, 'closed',
'2026-09-13 21:41:57', '2026-09-14 02:31:00')
"""
)
upsert_option_history_row(
conn,
{
"history_key": "local_opt:1",
"inst_id": "ETH-USD-260917-2525-P",
"underlying": "ETH",
"opt_type": "P",
"realized_pnl": 0.5,
"created_at": "2026-09-13 21:41:57",
"closed_at": "2026-09-14 02:31:00",
},
)
conn.commit()
first = migrate_options_utc_wall_clock_to_app(conn)
self.assertEqual(first["skipped"], 0)
self.assertGreaterEqual(first["trades"], 1)
self.assertGreaterEqual(first["review"], 1)
row = conn.execute(
"SELECT created_at, closed_at FROM options_trades WHERE id=1"
).fetchone()
self.assertEqual(row["created_at"], "2026-09-14 05:41:57")
self.assertEqual(row["closed_at"], "2026-09-14 10:31:00")
rev = conn.execute(
"SELECT opened_at, closed_at FROM options_review_trades WHERE history_key='local_opt:1'"
).fetchone()
self.assertEqual(rev["opened_at"], "2026-09-14 05:41:57")
self.assertEqual(rev["closed_at"], "2026-09-14 10:31:00")
self.assertEqual(get_sync_state(conn, "options_ts_utc_wall_to_app_done"), "1")
second = migrate_options_utc_wall_clock_to_app(conn)
self.assertEqual(second["skipped"], 1)
if __name__ == "__main__":
unittest.main()
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"""对冲拆除后的冒烟:交易模式锁定单独期权;hedge_plan 包已移除."""
from __future__ import annotations
import importlib
import unittest
class RemoveHedgeSmokeTests(unittest.TestCase):
def test_trade_mode_always_options(self):
from lib.options.okx_trade_mode_lib import (
get_okx_trade_mode,
hedge_module_enabled,
standalone_options_open_allowed,
block_standalone_open_by_mode_msg,
normalize_okx_trade_mode,
)
self.assertEqual(normalize_okx_trade_mode("options_options"), "options")
self.assertEqual(normalize_okx_trade_mode("perp_options"), "options")
self.assertEqual(get_okx_trade_mode(), "options")
self.assertFalse(hedge_module_enabled())
self.assertTrue(standalone_options_open_allowed())
self.assertIsNone(block_standalone_open_by_mode_msg())
def test_hedge_plan_package_gone(self):
with self.assertRaises(ModuleNotFoundError):
importlib.import_module("lib.hedge_plan")
def test_option_expiry_pnl_available(self):
from lib.options.options_pricing_lib import option_expiry_pnl
pnl = option_expiry_pnl(
opt_type="P",
strike=2700,
spot=2600,
sheets=10,
ct_mult=0.01,
premium_paid=1.0,
)
# intrinsic = 100 * 10 * 0.01 = 10; pnl = 10 - 1 = 9
self.assertAlmostEqual(pnl, 9.0, places=6)
def test_profit_exit_no_hedge_import(self):
import inspect
from lib.options import options_profit_exit_lib as m
src = inspect.getsource(m)
self.assertNotIn("hedge_plan", src)
if __name__ == "__main__":
unittest.main()
@@ -0,0 +1,95 @@
"""模拟盘:用分批卖平成交修复已平仓漏计盈亏."""
from __future__ import annotations
import sqlite3
import unittest
from lib.options.options_db import init_options_tables
from lib.sim.broker_lib import SimBroker
from lib.sim.db_lib import init_sim_tables
class RepairSimPartialClosePnlTests(unittest.TestCase):
def test_repair_sums_two_sell_orders(self):
conn = sqlite3.connect(":memory:")
conn.row_factory = sqlite3.Row
init_options_tables(conn)
init_sim_tables(conn)
inst = "ETH-USD-260927-2700-P"
# 开仓 228 张,权利金 0.399;旧逻辑只记了第二笔收回 0.2449 → pnl=-0.1541
conn.execute(
"""
INSERT INTO options_trades(
inst_id, underlying, opt_type, strike, sheets, eth_amount,
open_quote, premium_paid, premium_received, realized_pnl,
status, premium_ccy, created_at, closed_at
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)
""",
(
inst,
"ETH",
"P",
2700,
228,
2.28,
0.175,
0.399,
0.2449,
-0.1541,
"closed",
"ETH",
"2026-09-24 07:09:19",
"2026-09-24 20:59:20",
),
)
# 两笔卖平各 114 张
conn.execute(
"""
INSERT INTO sim_option_orders(
ord_id, inst_id, side, sheets, avg_px, state, acc_fill_sz, created_at
) VALUES (?,?,?,?,?,'filled',?,?)
""",
("sim-a", inst, "sell", 114, 0.12, 114, "2026-09-24 15:00:00"),
)
conn.execute(
"""
INSERT INTO sim_option_orders(
ord_id, inst_id, side, sheets, avg_px, state, acc_fill_sz, created_at
) VALUES (?,?,?,?,?,'filled',?,?)
""",
("sim-b", inst, "sell", 114, 0.1074, 114, "2026-09-24 20:59:10"),
)
conn.commit()
def get_db():
return conn
# SimBroker 每次 close 自己的连接;测试里复用同一 :memory: 需禁止 close
class _Proxy:
def __getattr__(self, name):
return getattr(conn, name)
def close(self):
return None
broker = SimBroker(lambda: _Proxy()) # type: ignore[arg-type]
n = broker.repair_closed_options_pnl_from_sim_orders()
self.assertEqual(n, 1)
row = conn.execute(
"SELECT premium_received, realized_pnl, close_ord_id FROM options_trades WHERE inst_id=?",
(inst,),
).fetchone()
# ct_mult=2.28/228=0.01; recv=114*0.12*0.01 + 114*0.1074*0.01 = 0.1368+0.122436=0.259236
self.assertAlmostEqual(float(row["premium_received"]), 0.259236, places=6)
self.assertAlmostEqual(float(row["realized_pnl"]), 0.259236 - 0.399, places=6)
self.assertIn("sim-a", str(row["close_ord_id"]))
self.assertIn("sim-b", str(row["close_ord_id"]))
# 历史合成应读到修复后的盈亏
hist = broker.option_positions_history_okx_rows(limit=10)
self.assertEqual(len(hist), 1)
self.assertAlmostEqual(float(hist[0]["realizedPnl"]), 0.259236 - 0.399, places=6)
if __name__ == "__main__":
unittest.main()
+1 -1
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@@ -4,7 +4,7 @@
基于 Flask 的 **OKX 期权 / 对冲** Web 控制台.与中控、其它交易所实例无关.
**部署 / PM2 / SOCKS** 见 **[部署文档.md](./部署文档.md)**:
**部署 / PM2 / SOCKS** 见 **[部署文档.md](./部署文档.md)**;**新机纯实盘**见 **[新机纯实盘部署.md](./新机纯实盘部署.md)**:
```bash
curl -fsSL https://git.bz121.com/dekun/crypto_okx/raw/branch/main/deploy/manage.sh | bash
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@@ -0,0 +1,215 @@
# 新机纯实盘部署指南(crypto_okx)
适用场景:**新开一台服务器,直接接 OKX 实盘 API,不做同机模拟→实盘切换**。
当前推荐用法:
| 机器 | 用途 |
|------|------|
| 现有模拟机 | 不接 API Key,本地模拟撮合 + 公开行情 |
| **本机(新机)** | 只跑实盘,从部署起就是 `live` |
与主仓 `crypto_monitor` **隔离**:请用独立子账户 / 独立 API Key,避免双实例同 Key 抢仓。
通用安装步骤见 [部署文档.md](./部署文档.md);页面操作见 [使用说明.md](./使用说明.md)。
---
## 1. 上线前准备
1. OKX **实盘**账户(非演示盘),建议专用子账户、小资金。
2. API Key 权限:交易(期权 + 如需币本位则含现货);按需开提现(一般不必)。
3. IP 白名单绑定到新机公网 IP。
4. 确认持仓模式 / 保证金模式与下文 `.env` 一致(如双向 + 全仓)。
5. 确认本机或经 SOCKS 能访问 `https://www.okx.com`。
---
## 2. 一键部署
新机 root:
```bash
curl -fsSL https://git.bz121.com/dekun/crypto_okx/raw/branch/main/deploy/manage.sh | bash
```
菜单选 **1. 一键部署**。默认路径 `/opt/crypto_okx`,端口 `5004`。
或手动:
```bash
cd /opt
git clone https://git.bz121.com/dekun/crypto_okx.git crypto_okx
cd /opt/crypto_okx
cp -n .env.example .env
bash deploy/setup_env.sh --install-system-deps
```
---
## 3. 纯实盘 `.env` 必改项
编辑:
```bash
nano /opt/crypto_okx/.env
```
### 3.1 模式:直接 live(不要 sim)
```env
# 启动即实盘(不要写成 sim)
SIM_DEFAULT_MODE=live
# 允许真实下单
LIVE_TRADING_ENABLED=true
```
说明:
- 新机不要依赖页面「切换到实盘」;部署时就把 `SIM_DEFAULT_MODE=live` 写好。
- 期权路径主要认 API Key;`LIVE_TRADING_ENABLED` 仍建议保持 `true`,与文档口径一致。
### 3.2 实盘 API(必填)
```env
OKX_API_KEY=你的实盘Key
OKX_API_SECRET=你的实盘Secret
OKX_API_PASSPHRASE=你的Passphrase
OKX_OPTIONS_ENABLED=true
EXCHANGE_DISPLAY_NAME=OKX·实盘
```
不要用演示盘 Key;本仓库未接 `x-simulated-trading`。
### 3.3 交易模式与预算(按策略改)
单独期权(常见起步):
```env
OKX_TRADE_MODE=options
OKX_OPTIONS_MARGIN_MODE=coin
OKX_OPTIONS_COIN_BUDGET_USDT=10
OKX_OPTIONS_TRADE_BUDGET_USDC=10
```
若做对冲,再改为 `perp_options` / `options_options`,并打开:
```env
HEDGE_PLAN_LIVE_ORDER=true
```
起步建议先 `HEDGE_PLAN_LIVE_ORDER=false` 或页面 dry_run,跑通单独期权后再开对冲真下单。
### 3.4 代理(按网络需要)
若服务器直连 OKX 不稳定:
```env
OKX_SOCKS_PROXY=socks5h://127.0.0.1:1080
```
并先在本机建好 SSH SOCKS(见部署文档)。
---
## 4. 启动与确认
```bash
cd /opt/crypto_okx
pm2 restart crypto_okx --update-env
# 若尚未创建进程,用一键脚本或:
# pm2 start ecosystem.config.cjs
pm2 status
pm2 logs crypto_okx --lines 50
```
打开:`http://<新机IP>:5004`
核对:
1. 能登录。
2. 顶栏为 **实盘**(`okx_live`),**没有**「模拟」徽章。
3. 资金条能读到交易所余额(不是本地模拟钱包初始值)。
4. 系统设置 → 模拟资金:当前模式应为 **live**(勿再切回 sim)。
可用接口自检:
```bash
curl -s -u '用户名:密码' http://127.0.0.1:5004/api/sim/status
# 期望含 "mode":"live"
```
---
## 5. 小额冒烟(必做)
在真钱前用 **最小张数 / 最小预算**:
1. `/options` 开 1 张(或最小允许张数)→ 看交易所成交与本地记录。
2. 持仓出现在页面监控。
3. 平仓 → 余额变化符合预期。
4. 若币本位:确认买币桥 → 开期权 → 平 → 卖回(或按你策略保留币)。
5. `/options/review`:复盘列表有记录;可选勾选自动 K 线(公开行情,有 Key 也可画)。
任一步异常:**先停手**,查 `pm2 logs crypto_okx`,不要加大仓位。
---
## 6. 与模拟机、主仓的隔离
| 不要做 | 原因 |
|--------|------|
| 模拟机与实盘机共用同一 API Key | 双实例监控/下单互相干扰 |
| 与正在跑的 `crypto_monitor` 共用同一 Key | 同上 |
| 在实盘机再切回 sim「玩玩」 | 易混仓、混认知;模拟请继续用旧模拟机 |
| 把 `.env` 提交进 Git | 泄密 |
---
## 7. 日常更新(实盘机)
```bash
cd /opt/crypto_okx
git pull
pm2 restart crypto_okx --update-env
git log -1 --oneline
```
或:
```bash
bash /opt/crypto_okx/deploy/pull_and_restart.sh
```
`git pull` **不会**覆盖 `.env`。大版本更新前可:`cp .env .env.backup.$(date +%Y%m%d)`。
---
## 8. 故障快速对照
| 现象 | 排查 |
|------|------|
| 顶栏仍显示模拟 | `.env` 是否 `SIM_DEFAULT_MODE=live`;是否重启 `--update-env`;设置页是否被改回 sim |
| 读不到余额 / 下单失败 | Key、权限、IP 白名单、SOCKS、OKX 账户是否实盘 |
| 能开单但监控不对 | 是否与其它实例同 Key;持仓模式是否与 `OKX_POS_MODE` 一致 |
| 复盘无自动 K 线 | 服务器能否访问 OKX 公开行情;看日志是否画图失败 |
---
## 9. 推荐启动清单(可打印)
- [ ] 新机已部署 `/opt/crypto_okx`
- [ ] `SIM_DEFAULT_MODE=live`
- [ ] `LIVE_TRADING_ENABLED=true`
- [ ] 实盘 `OKX_API_*` 已填,且非演示盘
- [ ] Key 与主仓 / 模拟机隔离
- [ ] 顶栏确认 live,资金为交易所余额
- [ ] 小额开平冒烟通过
- [ ] 企业微信 / 监控按需开启
---
## 免责声明
实盘有亏损风险。请遵守当地法规与交易所条款;操作与资金安全自负。
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@@ -4,6 +4,8 @@
**功能与页面操作**见同目录 **[使用说明.md](./使用说明.md)**.脚本细节见 **[deploy/README.md](./deploy/README.md)**.
**新开服务器、直接接 API 跑实盘(不与模拟同机切换)**见 **[新机纯实盘部署.md](./新机纯实盘部署.md)**.
---
## 一键部署(推荐)