dekun
148 lines
3.6 KiB
Python
148 lines
3.6 KiB
Python
"""成交价与手续费: 滑点 = 1×fee_rate."""
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from __future__ import annotations
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import os
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from dataclasses import asdict, dataclass
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@dataclass(slots=True)
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class PriceResult:
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base_px: float
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fill_px: float
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fee: float
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slip: float
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notional: float
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def to_dict(self) -> dict[str, float]:
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return asdict(self)
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def sim_fee_rate(override: float | None = None) -> float:
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if override is not None:
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return float(override)
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try:
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return float(os.getenv("SIM_FEE_RATE") or "0.0005")
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except (TypeError, ValueError):
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return 0.0005
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def perp_fill(
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*,
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side: str,
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action: str,
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bid: float,
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ask: float,
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qty: float,
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fee_rate: float,
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) -> PriceResult:
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"""
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side: long|short
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action: open|close
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开多/平空: 吃卖一 ×(1+f)
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开空/平多: 吃买一 ×(1-f)
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qty: 标的数量(合约张数 × 合约面值)
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"""
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f = float(fee_rate)
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buying = (action == "open" and side == "long") or (action == "close" and side == "short")
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if buying:
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base = float(ask)
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fill = base * (1.0 + f)
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else:
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base = float(bid)
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fill = base * (1.0 - f)
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notional = abs(fill * float(qty))
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fee = notional * f
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slip = abs(fill - base) * float(qty)
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return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
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def option_fill(
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*,
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action: str,
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bid: float,
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ask: float,
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qty: float,
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fee_rate: float,
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) -> PriceResult:
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"""开仓买入吃卖一; 平仓卖出吃买一. qty = sheets × ct_mult."""
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f = float(fee_rate)
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if action == "open":
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base = float(ask)
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fill = base * (1.0 + f)
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else:
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base = float(bid)
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fill = base * (1.0 - f)
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notional = abs(fill * float(qty))
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fee = notional * f
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slip = abs(fill - base) * float(qty)
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return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
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@dataclass(slots=True)
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class SpotConvertResult:
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"""USDC/USDT 现货兑换: price = USDT per USDC."""
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direction: str
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from_ccy: str
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to_ccy: str
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from_amount: float
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to_amount: float
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base_px: float
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fill_px: float
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fee: float
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def spot_usdc_usdt_fill(
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*,
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direction: str,
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amount: float,
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bid: float,
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ask: float,
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fee_rate: float,
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) -> SpotConvertResult:
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"""
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对齐实盘 USDC-USDT 现货市价:
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- usdt_to_usdc: 用 USDT 买 USDC, 吃卖一 ×(1+f)
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- usdc_to_usdt: 卖 USDC 换 USDT, 吃买一 ×(1-f)
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amount 为付出币种数量.
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"""
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f = float(fee_rate)
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amt = float(amount)
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d = (direction or "").strip().lower()
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if d == "usdt_to_usdc":
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base = float(ask)
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fill = base * (1.0 + f)
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if fill <= 0:
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raise ValueError("无效卖一价")
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to_amt = amt / fill
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fee = amt * f
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return SpotConvertResult(
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direction=d,
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from_ccy="USDT",
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to_ccy="USDC",
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from_amount=amt,
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to_amount=to_amt,
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base_px=base,
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fill_px=fill,
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fee=fee,
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)
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if d == "usdc_to_usdt":
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base = float(bid)
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fill = base * (1.0 - f)
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if fill <= 0:
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raise ValueError("无效买一价")
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to_amt = amt * fill
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fee = to_amt * f
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return SpotConvertResult(
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direction=d,
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from_ccy="USDC",
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to_ccy="USDT",
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from_amount=amt,
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to_amount=to_amt,
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base_px=base,
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fill_px=fill,
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fee=fee,
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)
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raise ValueError("direction 须为 usdt_to_usdc 或 usdc_to_usdt")
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