dekun
278 lines
9.2 KiB
Python
278 lines
9.2 KiB
Python
"""期权模块 SQLite 表."""
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from __future__ import annotations
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import sqlite3
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def init_options_tables(conn: sqlite3.Connection) -> None:
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from lib.options.options_review_db import init_options_review_tables
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conn.execute(
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"""
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CREATE TABLE IF NOT EXISTS options_trades (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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inst_id TEXT NOT NULL,
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underlying TEXT NOT NULL,
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opt_type TEXT NOT NULL,
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strike REAL,
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exp_time TEXT,
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sheets INTEGER NOT NULL,
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eth_amount REAL NOT NULL,
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open_quote REAL,
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premium_paid REAL,
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status TEXT DEFAULT 'open',
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close_quote REAL,
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premium_received REAL,
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realized_pnl REAL,
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profit_alert_sent INTEGER DEFAULT 0,
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signal_note TEXT,
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exchange_ord_id TEXT,
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close_ord_id TEXT,
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created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
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closed_at TIMESTAMP
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)
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"""
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)
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conn.execute(
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"""
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CREATE TABLE IF NOT EXISTS options_convert_log (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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from_ccy TEXT,
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to_ccy TEXT,
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rfq_sz REAL,
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received_sz REAL,
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quote_id TEXT,
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status TEXT,
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message TEXT,
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created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP
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)
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"""
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)
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conn.execute(
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"""
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CREATE TABLE IF NOT EXISTS options_history_hidden (
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history_key TEXT PRIMARY KEY,
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created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP
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)
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"""
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)
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conn.execute(
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"""
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CREATE TABLE IF NOT EXISTS options_transfer_log (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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ccy TEXT,
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amount REAL,
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from_account TEXT,
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to_account TEXT,
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status TEXT,
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message TEXT,
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created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP
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)
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"""
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)
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conn.execute(
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"""
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CREATE TABLE IF NOT EXISTS options_target_monitors (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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inst_id TEXT NOT NULL,
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underlying TEXT,
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opt_type TEXT,
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target_index REAL NOT NULL,
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trade_id INTEGER,
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sheets INTEGER,
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status TEXT DEFAULT 'active',
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trigger_idx REAL,
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close_ord_id TEXT,
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message TEXT,
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created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
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triggered_at TIMESTAMP
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)
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"""
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)
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conn.execute(
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"""
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CREATE INDEX IF NOT EXISTS idx_options_target_monitors_status
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ON options_target_monitors(status)
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"""
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)
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for ddl in (
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"ALTER TABLE options_trades ADD COLUMN wechat_open_sent INTEGER DEFAULT 0",
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"ALTER TABLE options_trades ADD COLUMN wechat_close_sent INTEGER DEFAULT 0",
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"ALTER TABLE options_trades ADD COLUMN profit_exit_enabled INTEGER DEFAULT 0",
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"ALTER TABLE options_trades ADD COLUMN profit_exit_mult REAL DEFAULT 1.0",
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"ALTER TABLE options_trades ADD COLUMN profit_exit_state TEXT DEFAULT 'idle'",
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"ALTER TABLE options_trades ADD COLUMN margin_mode TEXT DEFAULT 'usdc'",
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"ALTER TABLE options_trades ADD COLUMN premium_ccy TEXT DEFAULT 'USDC'",
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"ALTER TABLE options_trades ADD COLUMN bridge_id INTEGER",
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"ALTER TABLE options_trades ADD COLUMN budget_usdt REAL",
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# 分批平仓累计:全平前写在最早一笔 open 上,全平后并入 premium_received
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"ALTER TABLE options_trades ADD COLUMN close_recv_accum REAL DEFAULT 0",
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"ALTER TABLE options_trades ADD COLUMN close_sheets_accum INTEGER DEFAULT 0",
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"ALTER TABLE options_trades ADD COLUMN close_notional_accum REAL DEFAULT 0",
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# 手续费(权利金单位)与平仓冻结 U 口径
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"ALTER TABLE options_trades ADD COLUMN open_fee REAL DEFAULT 0",
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"ALTER TABLE options_trades ADD COLUMN close_fee REAL DEFAULT 0",
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"ALTER TABLE options_trades ADD COLUMN fee_ccy TEXT",
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"ALTER TABLE options_trades ADD COLUMN close_index_px REAL",
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"ALTER TABLE options_trades ADD COLUMN open_index_px REAL",
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"ALTER TABLE options_trades ADD COLUMN realized_pnl_usdt REAL",
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):
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try:
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conn.execute(ddl)
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except Exception:
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pass
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try:
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from lib.options.options_spot_bridge_lib import ensure_bridge_table
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ensure_bridge_table(conn)
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except Exception:
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pass
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try:
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from lib.options.options_cond_order_lib import ensure_cond_order_table
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ensure_cond_order_table(conn)
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except Exception:
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pass
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init_options_review_tables(conn)
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def sum_open_premium_paid(conn: sqlite3.Connection, inst_id: str) -> float | None:
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"""同合约所有 open 腿权利金合计(加仓后显示/门控用)."""
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inst = (inst_id or "").strip()
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if not inst:
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return None
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row = conn.execute(
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"""
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SELECT SUM(premium_paid) AS total, COUNT(*) AS n
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FROM options_trades
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WHERE inst_id = ? AND status = 'open' AND premium_paid IS NOT NULL
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""",
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(inst,),
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).fetchone()
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if not row or int(row["n"] or 0) < 1:
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return None
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# 币本位权利金常 <1e-4,保留 8 位避免被裁成 0
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return round(float(row["total"] or 0), 8)
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def sum_open_budget_usdt(conn: sqlite3.Connection, inst_id: str) -> float | None:
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"""同合约 open 腿开仓预算/兑换占用 USDT 合计(权利金折 U 展示用,不随币价变)."""
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inst = (inst_id or "").strip()
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if not inst:
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return None
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row = conn.execute(
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"""
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SELECT SUM(budget_usdt) AS total, COUNT(*) AS n
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FROM options_trades
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WHERE inst_id = ? AND status = 'open' AND budget_usdt IS NOT NULL
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""",
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(inst,),
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).fetchone()
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if not row or int(row["n"] or 0) < 1:
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return None
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try:
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return round(float(row["total"] or 0), 4)
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except (TypeError, ValueError):
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return None
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def sum_open_sheets(conn: sqlite3.Connection, inst_id: str) -> int | None:
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"""同合约所有 open 腿张数合计."""
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inst = (inst_id or "").strip()
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if not inst:
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return None
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row = conn.execute(
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"""
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SELECT SUM(sheets) AS total, COUNT(*) AS n
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FROM options_trades
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WHERE inst_id = ? AND status = 'open'
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""",
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(inst,),
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).fetchone()
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if not row or int(row["n"] or 0) < 1:
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return None
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return int(row["total"] or 0)
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def _earliest_open_trade_id(conn: sqlite3.Connection, inst_id: str) -> int | None:
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inst = (inst_id or "").strip()
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if not inst:
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return None
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row = conn.execute(
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"""
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SELECT id FROM options_trades
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WHERE inst_id = ? AND status = 'open'
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ORDER BY id ASC
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LIMIT 1
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""",
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(inst,),
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).fetchone()
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return int(row["id"]) if row else None
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def get_open_close_accum(conn: sqlite3.Connection, inst_id: str) -> dict[str, float | int | str | None]:
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"""读取分批平仓累计(挂在最早一笔 open 上)."""
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tid = _earliest_open_trade_id(conn, inst_id)
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if tid is None:
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return {"recv": 0.0, "sheets": 0, "notional": 0.0, "close_ord_id": None}
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row = conn.execute(
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"""
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SELECT close_recv_accum, close_sheets_accum, close_notional_accum, close_ord_id
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FROM options_trades WHERE id = ?
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""",
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(tid,),
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).fetchone()
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if not row:
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return {"recv": 0.0, "sheets": 0, "notional": 0.0, "close_ord_id": None}
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return {
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"recv": float(row["close_recv_accum"] or 0),
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"sheets": int(row["close_sheets_accum"] or 0),
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"notional": float(row["close_notional_accum"] or 0),
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"close_ord_id": str(row["close_ord_id"] or "").strip() or None,
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}
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def add_open_close_accum(
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conn: sqlite3.Connection,
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inst_id: str,
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*,
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recv: float,
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sheets: int,
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px: float,
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ord_id: str | None = None,
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) -> bool:
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"""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)."""
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tid = _earliest_open_trade_id(conn, inst_id)
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if tid is None:
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return False
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sheets_i = max(0, int(sheets or 0))
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recv_f = float(recv or 0)
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px_f = float(px or 0)
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if sheets_i < 1 and abs(recv_f) < 1e-15:
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return False
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notional_add = px_f * sheets_i if sheets_i > 0 and px_f > 0 else 0.0
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oid = str(ord_id or "").strip()
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prev = conn.execute(
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"SELECT close_ord_id FROM options_trades WHERE id = ?", (tid,)
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).fetchone()
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prev_oids = str((prev["close_ord_id"] if prev else None) or "").strip()
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if oid:
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parts = [p for p in prev_oids.split(",") if p] if prev_oids else []
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if oid not in parts:
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parts.append(oid)
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merged_oid = ",".join(parts)
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else:
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merged_oid = prev_oids or None
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conn.execute(
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"""
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UPDATE options_trades
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SET close_recv_accum = COALESCE(close_recv_accum, 0) + ?,
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close_sheets_accum = COALESCE(close_sheets_accum, 0) + ?,
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close_notional_accum = COALESCE(close_notional_accum, 0) + ?,
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close_ord_id = ?
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WHERE id = ?
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""",
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(recv_f, sheets_i, notional_add, merged_oid, tid),
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)
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return True
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