Harden strategy SoT: fail-closed funds gate, shared open pipeline, LIVE switch guards.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-30 01:06:32 +08:00
parent 4c537e7520
commit 200702d066
14 changed files with 471 additions and 139 deletions
@@ -0,0 +1,102 @@
+"""开仓统一管道：定仓 → 兑 USDC → 资金门（fail-closed）。
+
+策略自动开仓与手动开一组共用，避免双路径打架。
+基线假设：运行中不在交易所人工开平仓、也不人工手动平仓。
+"""
+
+from __future__ import annotations
+
+import logging
+from dataclasses import dataclass
+from typing import Any
+
+from ..models.db import Database, get_db
+from .open_capacity import assess_open_capacity, funds_gate_blocks
+from .risk_sizing import apply_risk_sizing_to_ledger
+
+logger = logging.getLogger(__name__)
+
+
+@dataclass(slots=True)
+class OpenPrepResult:
+    ok: bool
+    detail: str = ""
+    capacity: dict[str, Any] | None = None
+    sizing_detail: str = ""
+    convert_detail: str = ""
+
+
+def prepare_usdc_while_waiting(db: Database | None = None) -> dict[str, Any]:
+    """空仓等待选约：预览名义检测 USDC 并兑换，不落库改写 qty/exit。"""
+    from .auto_usdc import prepare_okx_trading_usdc
+
+    return prepare_okx_trading_usdc(db)
+
+
+def size_and_gate(
+    *,
+    index_px: float,
+    option_ask: float,
+    db: Database | None = None,
+) -> OpenPrepResult:
+    """
+    选约成功后：写入以损定仓 → 交易账户兑 USDC → 资金门。
+    资金门 fail-closed：异常 / can_open 非 True 一律拦截。
+    """
+    database = db or get_db()
+    try:
+        rs = apply_risk_sizing_to_ledger(
+            index_px=float(index_px),
+            option_ask=float(option_ask),
+            db=database,
+        )
+        if not rs.ok:
+            return OpenPrepResult(ok=False, detail=rs.detail, sizing_detail=rs.detail)
+    except Exception as e:
+        logger.exception("risk sizing failed in open pipeline")
+        return OpenPrepResult(ok=False, detail=f"以损定仓计算异常：{e}")
+
+    convert_detail = ""
+    try:
+        from .auto_usdc import ensure_okx_trading_usdc
+
+        # 选约后名义已更新；仍受冷却约束，禁止 force 砸单
+        conv = ensure_okx_trading_usdc(
+            database,
+            cap=assess_open_capacity(
+                database,
+                option_ask=float(option_ask),
+            ),
+            force=False,
+        )
+        convert_detail = str(conv.get("detail") or "")
+        if conv.get("acted"):
+            logger.info("open_pipeline auto_usdc: %s", convert_detail)
+    except Exception:
+        logger.exception("auto USDC in open pipeline failed")
+        convert_detail = "自动兑 USDC 异常（已记日志）"
+
+    try:
+        cap = assess_open_capacity(database, option_ask=float(option_ask))
+    except Exception as e:
+        logger.exception("open capacity assess failed")
+        return OpenPrepResult(
+            ok=False,
+            detail=f"资金可开判定失败，拒绝开仓：{e}",
+            convert_detail=convert_detail,
+        )
+
+    blocked, why = funds_gate_blocks(cap)
+    if blocked:
+        return OpenPrepResult(
+            ok=False,
+            detail=why or "资金不足或状态未知，拒绝开仓",
+            capacity=cap,
+            convert_detail=convert_detail,
+        )
+    return OpenPrepResult(
+        ok=True,
+        detail="ready",
+        capacity=cap,
+        convert_detail=convert_detail,
+    )