Implement P1 local matcher/ledger and P2 strategy engine.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -0,0 +1,440 @@
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"""本地模拟撮合：永续市价 + 期权只买开/卖平。"""
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from __future__ import annotations
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import time
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from dataclasses import dataclass
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from typing import Any
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from ..config import get_settings
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from ..market import get_gateway
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from ..models.db import Database, get_db
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from .ledger import Ledger
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from .liquidity import bid_covers_eth, contracts_for_eth
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from .pricing import option_fill, perp_fill
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@dataclass(slots=True)
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class OpenResult:
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ok: bool
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group_id: str | None = None
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detail: str = ""
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data: dict[str, Any] | None = None
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@dataclass(slots=True)
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class CloseResult:
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ok: bool
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detail: str = ""
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liquidity_wait: bool = False
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data: dict[str, Any] | None = None
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class Matcher:
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def __init__(self, db: Database | None = None) -> None:
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self.db = db or get_db()
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self.ledger = Ledger(self.db)
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def _fee_rate(self) -> float:
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return self.ledger.get_setting_float("fee_rate", get_settings().fee_rate)
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def _ct_mult(self, option_inst_id: str) -> float:
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# 尝试 REST meta；失败用默认
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s = get_settings()
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try:
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gw = get_gateway()
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rows = gw.rest.fetch_instruments(inst_type="OPTION", inst_family=s.option_inst_family)
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for r in rows:
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if str(r.get("instId")) == option_inst_id:
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from ..market.instruments import safe_float
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m = safe_float(r.get("ctMult"))
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if m and m > 0:
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return float(m)
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except Exception:
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pass
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return float(s.option_ct_mult_default)
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def current_position(self) -> dict[str, Any]:
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row = self.db.fetchone("SELECT * FROM positions WHERE id=1")
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assert row is not None
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return dict(row)
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def open_group(
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self,
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*,
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group_id: str,
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bias: str,
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option_side: str, # call|put
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perp_side: str, # long|short
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option_inst_id: str,
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entry_index_px: float,
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strike: float | None = None,
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expiry_ymd: str | None = None,
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) -> OpenResult:
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s = get_settings()
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pos = self.current_position()
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if pos.get("status") == "open" and pos.get("group_id"):
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return OpenResult(ok=False, detail="已有持仓组，请先平仓")
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gw = get_gateway()
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snap = gw.snapshot()
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if not snap.perp or snap.perp.bid is None or snap.perp.ask is None:
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return OpenResult(ok=False, detail="永续盘口不可用")
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oq = snap.call if option_side == "call" else snap.put
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if not oq or oq.ask is None:
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return OpenResult(ok=False, detail="期权卖一不可用")
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fee_rate = self._fee_rate()
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perp_qty = float(s.perp_qty_eth)
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opt_qty = float(s.option_qty_eth)
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ct_mult = self._ct_mult(option_inst_id)
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opt_contracts = contracts_for_eth(opt_qty, ct_mult)
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pf = perp_fill(
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side=perp_side,
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action="open",
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bid=float(snap.perp.bid),
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ask=float(snap.perp.ask),
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qty_eth=perp_qty,
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fee_rate=fee_rate,
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)
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of = option_fill(
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action="open",
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bid=float(oq.bid or 0),
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ask=float(oq.ask),
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qty_eth=opt_qty,
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fee_rate=fee_rate,
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)
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initial_premium = of.fill_px * opt_qty # 锁定口径：成交价×名义，不含费
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premium_cost = of.notional + of.fee
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total_debit = premium_cost + pf.fee # 永续开仓只扣费；期权支付权利金+费
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try:
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self.ledger.apply_cash(
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-total_debit,
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kind="open_debit",
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group_id=group_id,
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note=f"open {group_id}",
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)
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except RuntimeError as e:
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return OpenResult(ok=False, detail=str(e))
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now = int(time.time() * 1000)
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
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strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"open",
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bias,
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option_side,
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perp_side,
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option_inst_id,
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s.perp_inst_id,
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strike,
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expiry_ymd,
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entry_index_px,
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initial_premium,
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now,
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pf.fee + of.fee,
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pf.slip + of.slip,
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"perp",
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"open",
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perp_side,
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s.perp_inst_id,
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perp_qty,
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None,
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pf.base_px,
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pf.fill_px,
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pf.fee,
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pf.slip,
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pf.notional,
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now,
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"open",
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"long",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of.base_px,
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of.fill_px,
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of.fee,
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of.slip,
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of.notional,
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now,
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),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
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option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
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option_entry_px=?, entry_index_px=?, initial_premium=?, status=?
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WHERE id=1""",
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(
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group_id,
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perp_side,
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perp_qty,
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pf.fill_px,
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option_inst_id,
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option_side,
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opt_qty,
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opt_contracts,
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of.fill_px,
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entry_index_px,
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initial_premium,
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"open",
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),
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)
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self.db._conn.commit()
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return OpenResult(
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ok=True,
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group_id=group_id,
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detail="opened",
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data={
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"group_id": group_id,
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"perp": pf.__dict__,
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"option": of.__dict__,
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"initial_premium": initial_premium,
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"fees": pf.fee + of.fee,
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},
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)
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def close_group(self, *, reason: str) -> CloseResult:
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s = get_settings()
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pos = self.current_position()
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if pos.get("status") != "open" or not pos.get("group_id"):
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return CloseResult(ok=False, detail="无持仓可平")
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group_id = str(pos["group_id"])
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gw = get_gateway()
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snap = gw.snapshot()
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if not snap.perp or snap.perp.bid is None or snap.perp.ask is None:
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return CloseResult(ok=False, detail="永续盘口不可用")
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option_inst_id = str(pos["option_inst_id"])
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option_side = str(pos["option_side"])
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oq = snap.call if option_side == "call" else snap.put
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if not oq or oq.bid is None:
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return CloseResult(ok=False, detail="期权买一不可用", liquidity_wait=True)
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ct_mult = self._ct_mult(option_inst_id)
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need_eth = float(pos["option_qty_eth"] or s.option_qty_eth)
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if not bid_covers_eth(
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bid_sz_contracts=oq.bid_sz,
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ct_mult=ct_mult,
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need_eth=need_eth,
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):
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# 记流动性不足到组 note，不改变仓位
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note = f"liquidity_wait:{int(time.time())}"
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self.db.execute(
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"UPDATE groups SET note=? WHERE group_id=? AND status='open'",
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(note, group_id),
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)
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return CloseResult(
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ok=False,
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detail="期权买一流动性不足",
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liquidity_wait=True,
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)
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fee_rate = self._fee_rate()
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perp_side = str(pos["perp_side"])
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perp_qty = float(pos["perp_qty_eth"])
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opt_qty = float(pos["option_qty_eth"])
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perp_entry = float(pos["perp_entry_px"])
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opt_entry = float(pos["option_entry_px"])
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pf = perp_fill(
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side=perp_side,
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action="close",
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bid=float(snap.perp.bid),
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ask=float(snap.perp.ask),
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qty_eth=perp_qty,
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fee_rate=fee_rate,
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)
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of = option_fill(
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action="close",
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bid=float(oq.bid),
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ask=float(oq.ask or oq.bid),
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qty_eth=opt_qty,
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fee_rate=fee_rate,
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)
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# 永续盈亏
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if perp_side == "long":
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perp_pnl = (pf.fill_px - perp_entry) * perp_qty
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else:
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perp_pnl = (perp_entry - pf.fill_px) * perp_qty
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# 期权多头盈亏
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opt_pnl = (of.fill_px - opt_entry) * opt_qty
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cash_in = of.notional - of.fee + pf.fee * 0 # 收回权利金（扣卖出费）；永续平仓费另扣
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# 永续平仓：实现盈亏入账并扣平仓手续费
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net = perp_pnl + opt_pnl - pf.fee - of.fee
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# 更清晰：现金变动 = 期权卖出净额 + 永续盈亏 - 永续平仓费
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# 开仓已付期权权利金+开仓费；平仓收回 of.notional 并付 of.fee；永续只记 pnl 与 fee
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cash_delta = (of.notional - of.fee) + perp_pnl - pf.fee
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self.ledger.apply_cash(
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cash_delta,
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kind="close_settle",
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group_id=group_id,
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note=f"close {reason}",
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)
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now = int(time.time() * 1000)
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"perp",
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"close",
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"flat",
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s.perp_inst_id,
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perp_qty,
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None,
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pf.base_px,
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pf.fill_px,
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pf.fee,
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pf.slip,
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pf.notional,
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now,
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"close",
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"flat",
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option_inst_id,
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opt_qty,
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float(pos["option_qty_contracts"] or 0),
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of.base_px,
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of.fill_px,
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of.fee,
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of.slip,
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of.notional,
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now,
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),
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)
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g = self.db._conn.execute(
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"SELECT fees, slip_cost FROM groups WHERE group_id=?", (group_id,)
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).fetchone()
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fees = float(g["fees"] or 0) + pf.fee + of.fee
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slip = float(g["slip_cost"] or 0) + pf.slip + of.slip
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self.db._conn.execute(
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"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
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fees=?, slip_cost=?, note=NULL WHERE group_id=?""",
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("closed", now, reason, net, fees, slip, group_id),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
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option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
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option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
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WHERE id=1"""
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)
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self.db._conn.commit()
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return CloseResult(
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ok=True,
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detail="closed",
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data={
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"group_id": group_id,
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"reason": reason,
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"perp_pnl": perp_pnl,
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"option_pnl": opt_pnl,
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"net": net,
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"cash_delta": cash_delta,
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},
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)
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def unrealized(self) -> dict[str, Any]:
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pos = self.current_position()
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if pos.get("status") != "open":
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return {
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"has_position": False,
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"perp_upl": 0.0,
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"option_upl": 0.0,
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"index_px": None,
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"move_points": 0.0,
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"premium_gap": None,
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}
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gw = get_gateway()
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snap = gw.snapshot()
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index_px = snap.index_px
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if index_px is None and snap.perp:
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index_px = snap.perp.mark_px
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perp_side = str(pos["perp_side"])
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perp_entry = float(pos["perp_entry_px"])
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perp_qty = float(pos["perp_qty_eth"])
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mark = None
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if snap.perp:
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# 浮盈用对手方可平价粗估
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if perp_side == "long":
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mark = snap.perp.bid
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else:
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mark = snap.perp.ask
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mark = mark or snap.perp.mark_px
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perp_upl = 0.0
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if mark is not None:
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if perp_side == "long":
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perp_upl = (float(mark) - perp_entry) * perp_qty
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else:
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perp_upl = (perp_entry - float(mark)) * perp_qty
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option_side = str(pos["option_side"])
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oq = snap.call if option_side == "call" else snap.put
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opt_mark = None
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if oq:
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opt_mark = oq.bid or oq.mark_px
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option_upl = 0.0
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if opt_mark is not None:
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option_upl = (float(opt_mark) - float(pos["option_entry_px"])) * float(
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pos["option_qty_eth"]
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)
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entry_idx = float(pos["entry_index_px"] or 0)
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move = abs(float(index_px) - entry_idx) if index_px is not None and entry_idx else 0.0
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initial_premium = float(pos["initial_premium"] or 0)
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premium_gap = initial_premium - perp_upl
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return {
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"has_position": True,
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"group_id": pos["group_id"],
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"perp_side": perp_side,
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"option_side": option_side,
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"perp_upl": perp_upl,
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"option_upl": option_upl,
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"index_px": index_px,
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"entry_index_px": entry_idx,
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"move_points": move,
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"initial_premium": initial_premium,
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"premium_gap": premium_gap,
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"status": pos.get("status"),
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}
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