Add weekend open skip, expiry force-close, and Chinese trade labels.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -9,6 +9,7 @@
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- [开发方案](docs/开发方案.md)
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- [代码结构](docs/代码结构.md)
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- [商业化与授权方案](docs/商业化与授权方案.md)
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## 访问（测试机）
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@@ -19,6 +19,7 @@ KEYS = (
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"net_profit_target",
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"premium_exit_multiple",
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"rest_seconds",
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"skip_weekends",
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"initial_equity",
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"leverage",
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"min_option_hours",
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@@ -36,6 +37,7 @@ class StrategySettingsBody(BaseModel):
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net_profit_target: float | None = Field(default=None, ge=0.1, le=1_000_000)
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premium_exit_multiple: float | None = Field(default=None, ge=0.1, le=100)
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rest_seconds: int | None = Field(default=None, ge=0, le=3600)
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skip_weekends: bool | None = None
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initial_equity: float | None = Field(default=None, ge=1000)
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leverage: float | None = Field(default=None, ge=1, le=125)
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min_option_hours: float | None = Field(default=None, ge=1, le=720)
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@@ -45,6 +47,12 @@ class StrategySettingsBody(BaseModel):
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option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
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def _as_bool(raw: str | None, default: bool) -> bool:
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if raw is None or raw == "":
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return default
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return str(raw).strip().lower() in ("1", "true", "yes", "on")
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def _read_settings() -> dict:
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db = get_db()
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s = get_settings()
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@@ -68,6 +76,9 @@ def _read_settings() -> dict:
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"rest_seconds": int(
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float(db.get_setting("rest_seconds", str(s.rest_seconds)) or s.rest_seconds)
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),
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"skip_weekends": _as_bool(
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db.get_setting("skip_weekends", str(s.skip_weekends)), s.skip_weekends
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),
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"initial_equity": float(
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db.get_setting("initial_equity", str(s.initial_equity)) or s.initial_equity
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),
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+10
-5
@@ -5,11 +5,12 @@ from typing import Annotated
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from fastapi import APIRouter, Depends, HTTPException
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from pydantic import BaseModel, Field
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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 get_db
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from ..sim.ledger import Ledger
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from ..sim.matcher import Matcher
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from ..strategy.clock import window_key
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from ..strategy.clock import can_open_new, window_key
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from ..strategy.group import next_group_id
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from .auth import require_user
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@@ -39,6 +40,13 @@ async def sim_open_group(
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) -> dict:
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if Matcher().has_open_position():
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raise HTTPException(status_code=409, detail="有未平仓，禁止开下一组")
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s = get_settings()
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skip_weekends = Ledger().get_setting_bool("skip_weekends", s.skip_weekends)
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if not can_open_new(skip_weekends=skip_weekends):
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raise HTTPException(
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status_code=409,
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detail="周六/周日跳过开仓（上海时区）",
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)
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gw = get_gateway()
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pick = await gw.pick_for_open_async()
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if pick is None:
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@@ -53,12 +61,9 @@ async def sim_open_group(
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perp_side = "short" if force == "call" else "long"
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bias = "manual_" + force
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option_ask = pick.call_ask if force == "call" else pick.put_ask
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from ..config import get_settings
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from ..strategy.selection import option_leverage
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from ..sim.ledger import Ledger as Led
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s = get_settings()
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min_lev = Led().get_setting_float("min_option_leverage", s.min_option_leverage)
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min_lev = Ledger().get_setting_float("min_option_leverage", s.min_option_leverage)
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lev = option_leverage(pick.underlying_px, option_ask)
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if lev is None or lev < min_lev:
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raise HTTPException(
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@@ -48,6 +48,7 @@ class Settings(BaseSettings):
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net_profit_target: float = 15.0 # fixed_usdt：净盈利 ≥ 该值（USDT）
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premium_exit_multiple: float = 1.0 # premium_multiple：净盈利 ≥ 权利金×倍数
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rest_seconds: int = 300
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skip_weekends: bool = True # 上海时区周六日禁止新开仓（已有仓仍可平）
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leverage: float = 3.0 # 永续杠杆
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min_option_hours: float = 12.0 # 期权最小剩余小时
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min_option_leverage: float = 100.0 # 现价/卖一权利金 下限
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@@ -35,6 +35,7 @@ async def lifespan(app: FastAPI):
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set_db(db)
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engine = StrategyEngine()
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set_engine(engine)
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engine.ensure_loop()
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session = bootstrap_session(settings)
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try:
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@@ -65,3 +65,9 @@ class Ledger:
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if v is None or v == "":
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return default
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return str(v)
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def get_setting_bool(self, key: str, default: bool) -> bool:
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v = self.db.get_setting(key)
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if v is None or v == "":
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return default
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return str(v).strip().lower() in ("1", "true", "yes", "on")
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@@ -1,4 +1,4 @@
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from .clock import can_open_new, window_key
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from .clock import can_open_new, is_weekend, window_key
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from .exits import check_exits
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from .group import next_group_id
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from .signal import Signal, decide
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@@ -10,6 +10,7 @@ __all__ = [
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"check_exits",
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"decide",
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"get_engine",
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"is_weekend",
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"next_group_id",
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"set_engine",
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"window_key",
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@@ -1,4 +1,4 @@
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"""日历日分组键（开仓时间窗已取消，由期权剩余时长约束）。"""
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"""日历日分组键；可选周末跳过开仓（上海时区）。"""
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from __future__ import annotations
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@@ -17,13 +17,22 @@ def window_key(now: datetime | None = None) -> str:
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return now_sh(now).strftime("%Y%m%d")
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def is_weekend(now: datetime | None = None) -> bool:
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"""上海时区：周六=5、周日=6。"""
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return now_sh(now).weekday() >= 5
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def can_open_new(
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now: datetime | None = None,
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*,
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skip_weekends: bool = True,
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open_hhmm: str = "16:00",
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stop_hhmm: str = "08:00",
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) -> bool:
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"""开仓窗已取消，始终允许（仍受期权剩余时长/杠杆筛选）。"""
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"""是否允许新开仓。开仓窗已取消；可选跳过周六日。持仓平仓不受此限制。"""
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_ = open_hhmm, stop_hhmm
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if skip_weekends and is_weekend(now):
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return False
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return True
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@@ -12,8 +12,8 @@ from .session import get_session
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from ..models.db import get_db
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from ..sim.ledger import Ledger
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from ..sim.matcher import Matcher
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from .clock import window_key
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from .exits import check_exits, resolve_exit_target
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from .clock import can_open_new, window_key
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from .exits import check_expiry_close, check_exits, resolve_exit_target
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from .group import next_group_id
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logger = logging.getLogger(__name__)
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@@ -46,6 +46,7 @@ class StrategyEngine:
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initial_premium=float(upl.get("initial_premium") or 0),
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)
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rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
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skip_weekends = self.ledger.get_setting_bool("skip_weekends", s.skip_weekends)
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leverage = self.ledger.get_setting_float("leverage", s.leverage)
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min_hours = self.ledger.get_setting_float("min_option_hours", s.min_option_hours)
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min_opt_lev = self.ledger.get_setting_float(
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@@ -59,6 +60,7 @@ class StrategyEngine:
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if last_error and "PriceResult" in str(last_error) and "__dict__" in str(last_error):
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self._set_state(last_error=None)
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last_error = None
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allow_open = can_open_new(skip_weekends=skip_weekends)
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return {
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"running": bool(row["running"]),
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"phase": row["phase"],
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@@ -67,6 +69,7 @@ class StrategyEngine:
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"rest_until_ms": rest_until,
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"rest_left_sec": rest_left,
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"rest_seconds": rest_sec,
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"skip_weekends": skip_weekends,
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"exit_mode": exit_mode,
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"net_profit_target": net_target,
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"premium_exit_multiple": prem_mult,
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@@ -74,7 +77,7 @@ class StrategyEngine:
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"leverage": leverage,
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"min_option_hours": min_hours,
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"min_option_leverage": min_opt_lev,
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"can_open": True,
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"can_open": allow_open,
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"last_error": last_error,
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"position": upl,
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"ledger": self.ledger.snapshot(),
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@@ -97,9 +100,13 @@ class StrategyEngine:
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async def start(self) -> dict[str, Any]:
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self._set_state(running=1, last_error=None, phase="idle")
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self.ensure_loop()
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return self.state()
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def ensure_loop(self) -> None:
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"""保证后台循环在跑（即使策略暂停，也要盯到期全平）。"""
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if self._task is None or self._task.done():
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self._task = asyncio.create_task(self._loop(), name="strategy-engine")
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return self.state()
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async def emergency_close(self) -> dict[str, Any]:
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async with self._lock:
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@@ -137,12 +144,73 @@ class StrategyEngine:
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)
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return len(rows)
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def _position_expiry_ms(self, upl: dict[str, Any]) -> int | None:
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raw = upl.get("expiry_ms")
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if raw is not None:
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try:
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return int(raw)
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except (TypeError, ValueError):
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pass
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ymd = upl.get("expiry_ymd")
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if ymd:
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try:
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from ..exchange.okx.parse import expiry_ms_from_ymd
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return int(expiry_ms_from_ymd(str(ymd)))
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except Exception:
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return None
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return None
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async def _close_open_position(
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self,
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*,
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reason: str,
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bypass_liquidity: bool,
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pending_close: bool,
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) -> None:
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if not pending_close:
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self._set_state(phase="closing", last_error=None)
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r = await asyncio.to_thread(
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self.matcher.close_group,
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reason=reason,
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bypass_liquidity=bypass_liquidity,
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)
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if r.ok:
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self._after_close()
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elif r.liquidity_wait and not bypass_liquidity:
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self._set_state(phase="liquidity_wait", last_error=r.detail)
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else:
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self._set_state(phase="closing", last_error=r.detail)
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async def _maybe_expiry_close(self) -> bool:
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"""若持仓已到期则强制全平。返回是否触发到期平仓。"""
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pos = self.matcher.current_position()
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if pos.get("status") != "open":
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return False
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upl = self.matcher.unrealized()
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expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
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if not expired.should_close:
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return False
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st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
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assert st is not None
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pending = st["phase"] in ("liquidity_wait", "closing")
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await self._close_open_position(
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reason="expiry",
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bypass_liquidity=True,
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pending_close=pending,
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)
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return True
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async def _loop(self) -> None:
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logger.info("strategy engine loop started")
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while True:
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try:
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row = self.db.fetchone("SELECT running FROM strategy_state WHERE id=1")
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if not row or not int(row["running"]):
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running = bool(row and int(row["running"]))
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if not running:
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# 暂停时仍执行到期全平，避免拖过期
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async with self._lock:
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await self._maybe_expiry_close()
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await asyncio.sleep(1)
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continue
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async with self._lock:
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@@ -180,6 +248,7 @@ class StrategyEngine:
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# 有未平仓：只盯平仓，绝不开下一组
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if pos.get("status") == "open":
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upl = self.matcher.unrealized()
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expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
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decision = check_exits(
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net_pnl=float(upl.get("net_pnl") or 0),
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exit_mode=exit_mode,
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@@ -188,19 +257,18 @@ class StrategyEngine:
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initial_premium=float(upl.get("initial_premium") or 0),
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)
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pending_close = st["phase"] in ("liquidity_wait", "closing")
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if decision.should_close or pending_close:
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reason = decision.reason or "liquidity_retry"
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if not pending_close:
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self._set_state(phase="closing", last_error=None)
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r = await asyncio.to_thread(
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self.matcher.close_group, reason=reason, bypass_liquidity=False
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)
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if r.ok:
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self._after_close()
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elif r.liquidity_wait:
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self._set_state(phase="liquidity_wait", last_error=r.detail)
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if expired.should_close or decision.should_close or pending_close:
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if expired.should_close:
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reason = "expiry"
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bypass = True
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else:
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self._set_state(phase="closing", last_error=r.detail)
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reason = decision.reason or "liquidity_retry"
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bypass = False
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await self._close_open_position(
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reason=reason,
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bypass_liquidity=bypass,
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pending_close=pending_close,
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)
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else:
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self._set_state(phase="open", last_error=None)
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return
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@@ -214,10 +282,21 @@ class StrategyEngine:
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assert st is not None
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if st["phase"] in ("paused",):
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return
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# 旧「轮次停开」状态：自动恢复为空闲以便继续
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if st["phase"] in ("stopped", "outside_window"):
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self._set_state(phase="idle")
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skip_weekends = self.ledger.get_setting_bool("skip_weekends", s.skip_weekends)
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if not can_open_new(skip_weekends=skip_weekends):
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self._set_state(
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phase="weekend_skip",
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last_error="周六/周日跳过开仓（上海时区）；持仓仍可平仓",
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)
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return
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if st["phase"] == "weekend_skip":
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self._set_state(phase="idle", last_error=None)
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# 双保险：账本仍显示有仓则不开
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if self.matcher.has_open_position():
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self._set_state(phase="open", last_error="有未平仓，禁止开下一组")
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@@ -265,6 +344,6 @@ def get_engine() -> StrategyEngine:
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return _engine
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def set_engine(e: StrategyEngine | None) -> None:
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def set_engine(engine: StrategyEngine | None) -> None:
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global _engine
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_engine = e
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_engine = engine
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@@ -1,5 +1,6 @@
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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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EXIT_MODE_FIXED = "fixed_usdt"
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@@ -28,6 +29,20 @@ def resolve_exit_target(
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return float(net_profit_target), EXIT_MODE_FIXED
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def check_expiry_close(
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*,
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expiry_ms: int | None,
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now_ms: int | None = None,
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) -> ExitDecision:
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"""期权到期时刻（含）→ 强制全平。"""
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if expiry_ms is None:
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return ExitDecision(False, "", 0.0)
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now = int(time.time() * 1000) if now_ms is None else int(now_ms)
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if now >= int(expiry_ms):
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return ExitDecision(True, "expiry", 0.0)
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return ExitDecision(False, "", 0.0)
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def check_exits(
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*,
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net_pnl: float,
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@@ -4,7 +4,7 @@ from zoneinfo import ZoneInfo
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from app.sim.liquidity import bid_mark_ok
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from app.sim.pricing import option_fill, perp_fill
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from app.strategy.clock import can_open_new, window_key
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from app.strategy.exits import check_exits
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from app.strategy.exits import check_expiry_close, check_exits
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from app.strategy.signal import decide
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_SH = ZoneInfo("Asia/Shanghai")
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@@ -83,13 +83,18 @@ def test_option_open_close_pricing() -> None:
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assert c.fill_px < 10
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def test_window_always_open() -> None:
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n = datetime(2026, 7, 24, 17, 0, tzinfo=_SH)
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assert can_open_new(n) is True
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assert window_key(n) == "20260724"
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n2 = datetime(2026, 7, 24, 10, 0, tzinfo=_SH)
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assert can_open_new(n2) is True
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assert window_key(n2) == "20260724"
|
||||
def test_window_weekend_skip() -> None:
|
||||
# 2026-07-24 周五可开；25/26 周六日不可开
|
||||
fri = datetime(2026, 7, 24, 17, 0, tzinfo=_SH)
|
||||
sat = datetime(2026, 7, 25, 12, 0, tzinfo=_SH)
|
||||
sun = datetime(2026, 7, 26, 10, 0, tzinfo=_SH)
|
||||
mon = datetime(2026, 7, 27, 9, 0, tzinfo=_SH)
|
||||
assert can_open_new(fri, skip_weekends=True) is True
|
||||
assert can_open_new(sat, skip_weekends=True) is False
|
||||
assert can_open_new(sun, skip_weekends=True) is False
|
||||
assert can_open_new(mon, skip_weekends=True) is True
|
||||
assert can_open_new(sat, skip_weekends=False) is True
|
||||
assert window_key(fri) == "20260724"
|
||||
|
||||
|
||||
def test_bid_mark_deviation_30pct() -> None:
|
||||
@@ -101,3 +106,14 @@ def test_bid_mark_deviation_30pct() -> None:
|
||||
ok3, why = bid_mark_ok(bid=None, mark=10.0, max_dev_pct=30)
|
||||
assert ok3 is False
|
||||
assert "买一" in why
|
||||
|
||||
|
||||
def test_expiry_close() -> None:
|
||||
assert check_expiry_close(expiry_ms=None).should_close is False
|
||||
d = check_expiry_close(expiry_ms=1_000, now_ms=999)
|
||||
assert d.should_close is False
|
||||
d2 = check_expiry_close(expiry_ms=1_000, now_ms=1_000)
|
||||
assert d2.should_close is True
|
||||
assert d2.reason == "expiry"
|
||||
d3 = check_expiry_close(expiry_ms=1_000, now_ms=1_001)
|
||||
assert d3.should_close is True
|
||||
|
||||
@@ -0,0 +1,220 @@
|
||||
# eth_hedge_sim — 商业化与授权方案（初步）
|
||||
|
||||
> 状态：草案，指导后续开发，细节可迭代。
|
||||
> 商业模式结论：**客户侧部署 + 软件授权**（不做中心化多租户托管）。
|
||||
> 关联文档：[开发方案](./开发方案.md)、[代码结构](./代码结构.md)
|
||||
|
||||
---
|
||||
|
||||
## 1. 目标与边界
|
||||
|
||||
### 1.1 卖什么
|
||||
|
||||
| 项 | 约定 |
|
||||
|----|------|
|
||||
| 产品形态 | 可独立部署的对冲交易系统（SIM + 可选实盘） |
|
||||
| 交付方式 | 安装包 / 一键脚本 / Docker（后续择一为主） |
|
||||
| 收费方式 | **授权（License）**：按实例、按期限、按功能档 |
|
||||
| 不卖什么 | 不承诺收益；不做代客理财；不集中托管客户 API Key |
|
||||
|
||||
### 1.2 为什么不做 SaaS 托管
|
||||
|
||||
| 风险 | 说明 |
|
||||
|------|------|
|
||||
| 交易所限流 | REST/WS 按 IP、API Key 限流；多客户共机互相挤占 |
|
||||
| 同 IP 风控 | 一公网 IP 对多交易所、多 Key 高频请求，易触发异常标记 |
|
||||
| 密钥与责任 | 客户 Key 进你机房，合规与事故责任更重 |
|
||||
| 运维成本 | 你要为所有客户的行情稳定性买单 |
|
||||
|
||||
**原则：一客户一实例一出口 IP（或客户自有网络）。**
|
||||
|
||||
### 1.3 产品定位一句话
|
||||
|
||||
> 客户在自己的服务器上部署；API Key 不出客户环境；你提供软件、更新与授权。
|
||||
|
||||
---
|
||||
|
||||
## 2. 交付与部署
|
||||
|
||||
### 2.1 目标交付形态（分阶段）
|
||||
|
||||
| 阶段 | 形态 | 说明 |
|
||||
|------|------|------|
|
||||
| 现在（内部） | Git + `deploy/manage.sh` + PM2 | 已具备，继续打磨成「可复制安装」 |
|
||||
| 商用 v1 | **一键部署脚本** + 环境检查 + 健康检查 | 客户 Ubuntu 机器上跑通 |
|
||||
| 商用 v2 | **Docker Compose**（可选） | 降低环境差异；与脚本二选一或并存 |
|
||||
| 商用 v3 | 离线包 / 镜像导出 | 内网客户、无法拉 Git 的场景 |
|
||||
|
||||
### 2.2 客户侧必备条件
|
||||
|
||||
- 一台独立 Linux 主机（建议独立 IP）
|
||||
- 出网访问目标交易所 API（OKX 等）
|
||||
- 域名或 IP + HTTPS（可用反代）
|
||||
- 客户自备交易所 API Key（只读行情 / 实盘交易按档位要求）
|
||||
|
||||
### 2.3 部署流程（商用目标体验）
|
||||
|
||||
1. 客户拿到安装脚本或镜像 + **授权码**
|
||||
2. 填写 `.env`（账号、交易所 Key、授权码）
|
||||
3. 一键安装 → 健康检查通过
|
||||
4. 浏览器登录 → SIM 可演示；实盘需对应授权档位 + 二次确认
|
||||
|
||||
### 2.4 更新策略
|
||||
|
||||
- 默认：客户机 `git pull` / 镜像升级 + 构建 + 仅 reload 本项目进程
|
||||
- 破坏性升级：附带迁移说明（配置项、数据库/状态文件）
|
||||
- 授权未过期才允许拉取正式版更新（可选；初期可人工发版）
|
||||
|
||||
---
|
||||
|
||||
## 3. 授权（License）设计
|
||||
|
||||
### 3.1 设计原则
|
||||
|
||||
- **正规客户好用，随手拷贝有门槛**（不做无法破解的完美 DRM）
|
||||
- 校验失败时：允许登录看状态，但 **禁止启策略 / 禁止实盘下单**（策略可配置）
|
||||
- 校验逻辑本地为主；可选短时在线激活（降低盗版批量复制）
|
||||
|
||||
### 3.2 授权字段（建议）
|
||||
|
||||
| 字段 | 用途 |
|
||||
|------|------|
|
||||
| `license_id` | 授权编号 |
|
||||
| `customer_name` | 客户标识（展示/审计） |
|
||||
| `expires_at` | 到期日 |
|
||||
| `edition` | 档位：`sim` / `live` / `pro`（名称可调） |
|
||||
| `instance_id` 或 `machine_fingerprint` | 绑定部署实例（主机指纹或安装时生成的 UUID） |
|
||||
| `features` | 功能开关列表（可选） |
|
||||
| `signature` | 对上述字段的签名（私钥在你方，公钥打进程序） |
|
||||
|
||||
### 3.3 档位建议（初稿）
|
||||
|
||||
| 档位 | 能力 |
|
||||
|------|------|
|
||||
| `sim` | 仅 SIM 撮合；实盘下单关闭 |
|
||||
| `live` | SIM + 实盘下单（显式开关 + 二次确认） |
|
||||
| `pro` | live + 多策略/高级报表/优先支持（后续） |
|
||||
|
||||
### 3.4 绑定策略（由松到紧，可演进）
|
||||
|
||||
1. **v1**：授权码 + 到期日 + 档位（不绑机，靠合同与信任）
|
||||
2. **v2**：首次激活写入 `instance_id`，换机需重置授权
|
||||
3. **v3**（可选）：定期在线心跳续期；断网宽限期 N 天
|
||||
|
||||
### 3.5 运行时行为
|
||||
|
||||
```
|
||||
启动 → 读 license → 验签 / 查到期 / 查档位
|
||||
├─ 有效 → 按档位开放功能
|
||||
└─ 无效/过期 → UI 提示；策略不可启动；实盘接口 403
|
||||
```
|
||||
|
||||
本地文件建议：`data/license.json` 或环境变量 `LICENSE_KEY`（整段授权串）。
|
||||
|
||||
---
|
||||
|
||||
## 4. 技术架构约束（后续开发必须遵守）
|
||||
|
||||
### 4.1 多租户与网络
|
||||
|
||||
- **不做**「一个进程服务多个无关客户」
|
||||
- **不做**「你方中心机房代跑客户实盘」作为主路径
|
||||
- 每个商用部署 = 独立进程 + 独立配置 + 独立日志 + 独立出口网络
|
||||
|
||||
### 4.2 密钥与安全
|
||||
|
||||
- 交易所 API Key **仅存客户机**（加密或系统权限保护）
|
||||
- 禁止把客户 Key 回传到你方（授权校验除外的元数据也不含密钥）
|
||||
- HTTPS、登录鉴权、改密、审计日志（谁启停、谁改参数）逐步补齐
|
||||
|
||||
### 4.3 模式隔离
|
||||
|
||||
| 模式 | 要求 |
|
||||
|------|------|
|
||||
| SIM | 零交易类写接口；行情只读 |
|
||||
| LIVE | 显式开关 + 二次确认 + 授权档位 dual-check |
|
||||
| 数据 | SIM 与 LIVE 成交/绩效 **分库或分表/分前缀**，不可混报 |
|
||||
|
||||
### 4.4 可观测性（商用必需）
|
||||
|
||||
- `/health`：进程、行情连接、授权状态（不含密钥）
|
||||
- 结构化日志：开平仓原因、费用、流动性等待、紧急平仓
|
||||
- 绩效导出：按组 / 按日（收益、回撤、费用、胜率）— 客户自证与你售后都需要
|
||||
|
||||
---
|
||||
|
||||
## 5. 合规与产品话术（边界）
|
||||
|
||||
- 定位：**交易辅助工具 / 策略执行软件**，非保本理财
|
||||
- 界面与合同：风险提示、用户自负盈亏、交易所账户属用户
|
||||
- 对外演示默认走 **SIM**；实盘由客户自行承担 Key 与资金风险
|
||||
- 法务文本后续单独立项；工程侧先把「免责展示位 + 二次确认」留好
|
||||
|
||||
---
|
||||
|
||||
## 6. 开发路线图
|
||||
|
||||
### Phase 0 — 现在（产品可用、可演示）
|
||||
|
||||
- [x] SIM 对冲主流程、设置、Plan 桌面布局
|
||||
- [ ] 绩效与组维度报表可导出/可复盘
|
||||
- [ ] 部署脚本文档化到「陌生人能装上」的程度
|
||||
- [ ] SIM / 未来 LIVE 配置与文案边界清晰
|
||||
|
||||
### Phase 1 — 授权骨架（商用前提）
|
||||
|
||||
- [ ] License 数据结构 + 本地验签
|
||||
- [ ] 到期 / 档位拦截（启策略、实盘 API）
|
||||
- [ ] 设置页或启动页展示授权状态与到期日
|
||||
- [ ] 内部发码工具（私钥离线，不进客户仓库）
|
||||
|
||||
### Phase 2 — 实盘与交付打磨
|
||||
|
||||
- [ ] LIVE 下单通路（已有规划则按开发方案推进）
|
||||
- [ ] 安装向导：环境检查、端口、反向代理示例
|
||||
- [ ] 升级与回滚说明；配置迁移
|
||||
- [ ] 客户排障包：一键打包日志（脱敏）
|
||||
|
||||
### Phase 3 — 商业运营配套
|
||||
|
||||
- [ ] 授权台账（客户、到期、续费、换机）— 可先表格，后小后台
|
||||
- [ ] 版本通道：stable / beta
|
||||
- [ ] 支持档位与 SLA（人工即可）
|
||||
- [ ] （可选）在线激活与换机工单
|
||||
|
||||
### 明确延后
|
||||
|
||||
- 中心化多租户 SaaS
|
||||
- 复杂手机端优先设计
|
||||
- 支付系统内嵌（可先对公转账 + 人工发码）
|
||||
- 完美防破解
|
||||
|
||||
---
|
||||
|
||||
## 7. 与当前仓库的衔接
|
||||
|
||||
| 现有能力 | 商用含义 |
|
||||
|----------|----------|
|
||||
| `deploy/manage.sh`、远程 `deploy_remote.py` | 演进为客户侧一键安装/更新的基础 |
|
||||
| PM2 `eth-hedge-api`、端口 5155 | 单实例模型已符合「一客户一进程」 |
|
||||
| 登录 `AUTH_USERNAME` / `AUTH_PASSWORD` | 保留为实例管理员；与 License 分层 |
|
||||
| SIM 撮合 + 只读行情 | 作为 `sim` 档与售前演示默认路径 |
|
||||
| 与 `crypto_monitor` 隔离 | 商用交付物必须自包含，禁止捆绑现网 |
|
||||
|
||||
---
|
||||
|
||||
## 8. 待决事项（开发前拍板）
|
||||
|
||||
1. 主交付形态优先：**脚本 + PM2** 还是 **Docker Compose**？
|
||||
2. 授权 v1 是否绑机？还是先「码 + 到期日」？
|
||||
3. 过期策略：只禁实盘，还是 SIM 一并只读？
|
||||
4. 首发交易所是否仅 OKX，多所是否进 `pro`？
|
||||
5. 价格与续费周期（工程不阻塞，商务可并行）
|
||||
|
||||
---
|
||||
|
||||
## 9. 修订记录
|
||||
|
||||
| 日期 | 说明 |
|
||||
|------|------|
|
||||
| 2026-07-25 | 初稿：确定「部署 + 授权」、否决中心托管主路径、划定 Phase 0–3 |
|
||||
+9
-9
@@ -32,11 +32,11 @@
|
||||
|
||||
### 2.1 时间与次数
|
||||
|
||||
- 期权合约：选 **次日 16:00** 到期；行权价默认 **ATM**（同到期、最接近指数/标记的同一行权价 Call+Put）。
|
||||
- 可开仓窗：业务日 **D 日 16:00** 起 → **D+1 日 08:00** 前。
|
||||
- **D+1 08:00 起禁止新开仓**（已有持仓仍按平仓规则处理，不强制到点清仓）；下一窗等 **16:00**。
|
||||
- 每个业务窗最多 **3 轮**；同时最多 **1 组**仓。
|
||||
- 一轮全平结束后 **休息 5 分钟**（可配 `REST_SECONDS`），再自动开下一轮（未满 3 且仍在开仓窗）。
|
||||
- 期权合约：按 **剩余时长下限**（可配）筛选到期；行权价默认 **ATM**（同到期、最接近指数/标记的同一行权价 Call+Put）。
|
||||
- **开仓时间窗已取消**（全天可尝试开仓，仍受选约条件约束）。
|
||||
- **周六 / 周日跳过开仓**（上海时区，设置项 `skip_weekends`，默认开启）：禁止新开仓；**已有持仓仍盯盘平仓**。
|
||||
- **不做横盘识别**：波动过滤难以精准，避免假信号；用周末跳过等确定性规则代替。
|
||||
- 同时最多 **1 组**仓；一轮全平结束后 **休息**（可配 `rest_seconds`，默认 300 秒）再开下一组。
|
||||
|
||||
### 2.2 方向（Call 卖一 vs Put 卖一；期权只买入、永不为卖方）
|
||||
|
||||
@@ -48,14 +48,14 @@
|
||||
|
||||
### 2.3 平仓（任一触发 → 该组全平）
|
||||
|
||||
1. **权利金覆盖**：永续浮盈 ≥ 该组开仓锁定的 **期权初始权利金总额**（触发口径 **不含手续费**；费用单独记账）。
|
||||
2. **标的波动 N 点**（设置可配，默认 `EXIT_MOVE_POINTS=30`）：相对开仓锁定的标的价（指数优先）绝对值走动 ≥ N → 全平。
|
||||
主要用于永续方向错、期权方向对时的退出；永续方向对时同一 N 点也全平。
|
||||
1. **净盈利达标**（设置可选）：固定 USDT，或初始权利金 × 倍数。
|
||||
2. **到期强制全平**：到达期权到期时刻（OKX 惯例 UTC 08:00 = 上海 16:00）→ 整组卖出；绕过买一流动性闸门（与紧急平仓同类）。策略暂停时仍执行。
|
||||
波动小、拖到到期亏损权利金，按预算内成本接受。
|
||||
|
||||
平仓执行：
|
||||
|
||||
- 永续：本地市价平仓。
|
||||
- 期权：多头平仓吃买一；买一深度需覆盖 2 ETH 名义；不足则不成交并记「流动性不足」，默认继续等待。
|
||||
- 期权：多头平仓吃买一；买一深度需覆盖名义（到期/紧急可绕过偏差与深度校验）。
|
||||
|
||||
### 2.4 组（Group）标识
|
||||
|
||||
|
||||
@@ -120,6 +120,7 @@ export type PlanState = {
|
||||
window_key: string | null;
|
||||
rest_left_sec: number;
|
||||
rest_seconds: number;
|
||||
skip_weekends?: boolean;
|
||||
exit_move_pct?: number;
|
||||
exit_mode: "fixed_usdt" | "premium_multiple";
|
||||
net_profit_target: number;
|
||||
@@ -171,6 +172,7 @@ export type StrategySettings = {
|
||||
net_profit_target: number;
|
||||
premium_exit_multiple: number;
|
||||
rest_seconds: number;
|
||||
skip_weekends: boolean;
|
||||
initial_equity: number;
|
||||
leverage: number;
|
||||
min_option_hours: number;
|
||||
|
||||
@@ -0,0 +1,68 @@
|
||||
/** 交易相关英文码 → 中文展示（库内仍存英文）。 */
|
||||
|
||||
const STATUS_ZH: Record<string, string> = {
|
||||
open: "持仓中",
|
||||
closed: "已平仓",
|
||||
};
|
||||
|
||||
const SIDE_ZH: Record<string, string> = {
|
||||
long: "多",
|
||||
short: "空",
|
||||
call: "看涨",
|
||||
put: "看跌",
|
||||
};
|
||||
|
||||
const LEG_ZH: Record<string, string> = {
|
||||
perp: "永续",
|
||||
option: "期权",
|
||||
};
|
||||
|
||||
const ACTION_ZH: Record<string, string> = {
|
||||
open: "开仓",
|
||||
close: "平仓",
|
||||
};
|
||||
|
||||
const CLOSE_REASON_ZH: Record<string, string> = {
|
||||
fixed_usdt: "固定净盈利达标",
|
||||
premium_multiple: "权利金倍数达标",
|
||||
expiry: "到期自动全平",
|
||||
emergency: "紧急全平",
|
||||
manual: "手动平仓",
|
||||
liquidity_retry: "流动性等待后续平仓",
|
||||
unknown: "未知",
|
||||
};
|
||||
|
||||
export function statusZh(v: string | null | undefined): string {
|
||||
if (!v) return "—";
|
||||
return STATUS_ZH[v] || v;
|
||||
}
|
||||
|
||||
export function sideZh(v: string | null | undefined): string {
|
||||
if (!v) return "—";
|
||||
return SIDE_ZH[v] || v;
|
||||
}
|
||||
|
||||
/** 永续方向 / 期权方向，如「多/看跌」 */
|
||||
export function positionSidesZh(
|
||||
perp: string | null | undefined,
|
||||
option: string | null | undefined,
|
||||
): string {
|
||||
return `${sideZh(perp)}/${sideZh(option)}`;
|
||||
}
|
||||
|
||||
export function fillDescZh(leg: string, action: string, side: string): string {
|
||||
const l = LEG_ZH[leg] || leg;
|
||||
const a = ACTION_ZH[action] || action;
|
||||
const s = SIDE_ZH[side] || side;
|
||||
// 期权买入开仓：「期权开多」；永续：「永续开多/开空」
|
||||
if (leg === "option" && action === "open") return "期权开多";
|
||||
if (leg === "option" && action === "close") return "期权平多";
|
||||
if (leg === "perp" && action === "open") return s === "多" ? "永续开多" : "永续开空";
|
||||
if (leg === "perp" && action === "close") return s === "多" ? "永续平多" : "永续平空";
|
||||
return `${l}${a}${s}`;
|
||||
}
|
||||
|
||||
export function closeReasonZh(v: string | null | undefined): string {
|
||||
if (!v) return "—";
|
||||
return CLOSE_REASON_ZH[v] || v;
|
||||
}
|
||||
@@ -44,6 +44,7 @@ const PHASE_ZH: Record<string, string> = {
|
||||
stopped: "已停开",
|
||||
outside_window: "窗外",
|
||||
liquidity_wait: "流动性等待",
|
||||
weekend_skip: "周末跳过",
|
||||
};
|
||||
|
||||
export default function PlanPage() {
|
||||
@@ -123,7 +124,7 @@ export default function PlanPage() {
|
||||
<div>
|
||||
<h2 style={{ marginTop: 0 }}>自动对冲计划</h2>
|
||||
<p style={{ color: "var(--muted)", marginTop: -8 }}>
|
||||
SIM 本地撮合 · 期权只买 · 剩余时长选到期 · 净盈利达标全平
|
||||
SIM 本地撮合 · 期权只买 · 净盈利达标或到期全平
|
||||
</p>
|
||||
{err ? <div className="err">{err}</div> : null}
|
||||
|
||||
|
||||
@@ -27,6 +27,7 @@ export default function SettingsPage() {
|
||||
const [netTarget, setNetTarget] = useState(15);
|
||||
const [premMult, setPremMult] = useState(1);
|
||||
const [rest, setRest] = useState(300);
|
||||
const [skipWeekends, setSkipWeekends] = useState(true);
|
||||
const [leverage, setLeverage] = useState(3);
|
||||
const [minHours, setMinHours] = useState(12);
|
||||
const [minOptLev, setMinOptLev] = useState(100);
|
||||
@@ -43,6 +44,7 @@ export default function SettingsPage() {
|
||||
setNetTarget(s.net_profit_target ?? 15);
|
||||
setPremMult(s.premium_exit_multiple ?? 1);
|
||||
setRest(s.rest_seconds);
|
||||
setSkipWeekends(s.skip_weekends !== false);
|
||||
setLeverage(s.leverage ?? 3);
|
||||
setMinHours(s.min_option_hours ?? 12);
|
||||
setMinOptLev(s.min_option_leverage ?? 100);
|
||||
@@ -97,6 +99,7 @@ export default function SettingsPage() {
|
||||
net_profit_target: netTarget,
|
||||
premium_exit_multiple: premMult,
|
||||
rest_seconds: rest,
|
||||
skip_weekends: skipWeekends,
|
||||
leverage,
|
||||
min_option_hours: minHours,
|
||||
min_option_leverage: minOptLev,
|
||||
@@ -134,7 +137,7 @@ export default function SettingsPage() {
|
||||
{tab === "strategy" ? (
|
||||
<div className="card settings-card">
|
||||
<p className="settings-lead">
|
||||
无开仓时间窗；期权按剩余时长选到期 → 平值 → 校验杠杆；出场可选固定金额或权利金倍数。
|
||||
无开仓时间窗；可选周六日跳过开仓；期权按剩余时长选到期 → 平值 → 校验杠杆；出场可选固定金额或权利金倍数。
|
||||
</p>
|
||||
{stratOk ? <div className="settings-ok">{stratOk}</div> : null}
|
||||
{err && tab === "strategy" ? <div className="err">{err}</div> : null}
|
||||
@@ -282,6 +285,18 @@ export default function SettingsPage() {
|
||||
onChange={(e) => setRest(Number(e.target.value))}
|
||||
/>
|
||||
</div>
|
||||
<div className="field">
|
||||
<label htmlFor="skipWe">周六日跳过开仓（上海时区）</label>
|
||||
<select
|
||||
id="skipWe"
|
||||
className="mono"
|
||||
value={skipWeekends ? "1" : "0"}
|
||||
onChange={(e) => setSkipWeekends(e.target.value === "1")}
|
||||
>
|
||||
<option value="1">开启（推荐）</option>
|
||||
<option value="0">关闭</option>
|
||||
</select>
|
||||
</div>
|
||||
<div className="field">
|
||||
<label htmlFor="fee">手续费率</label>
|
||||
<input
|
||||
|
||||
@@ -1,5 +1,6 @@
|
||||
import { useEffect, useState } from "react";
|
||||
import { apiFetch } from "../api/client";
|
||||
import { closeReasonZh } from "../labels";
|
||||
|
||||
type Summary = {
|
||||
groups: number;
|
||||
@@ -22,6 +23,10 @@ export default function StatsPage() {
|
||||
.catch((e) => setErr(e instanceof Error ? e.message : String(e)));
|
||||
}, []);
|
||||
|
||||
const reasonEntries = s
|
||||
? Object.entries(s.close_reasons).sort((a, b) => b[1] - a[1])
|
||||
: [];
|
||||
|
||||
return (
|
||||
<div className="card">
|
||||
<h2 style={{ marginTop: 0 }}>统计</h2>
|
||||
@@ -46,9 +51,17 @@ export default function StatsPage() {
|
||||
{s.total_fees.toFixed(2)} / {s.total_slip.toFixed(2)}
|
||||
</span>
|
||||
</div>
|
||||
<div className="kv">
|
||||
<div className="kv" style={{ alignItems: "flex-start" }}>
|
||||
<span>平仓原因</span>
|
||||
<span className="mono">{JSON.stringify(s.close_reasons)}</span>
|
||||
<span className="mono" style={{ textAlign: "right" }}>
|
||||
{reasonEntries.length === 0
|
||||
? "—"
|
||||
: reasonEntries.map(([k, n]) => (
|
||||
<div key={k}>
|
||||
{closeReasonZh(k)} × {n}
|
||||
</div>
|
||||
))}
|
||||
</span>
|
||||
</div>
|
||||
<h3>按组盈亏</h3>
|
||||
{s.equity_curve.map((x) => (
|
||||
|
||||
@@ -1,5 +1,11 @@
|
||||
import { useEffect, useState } from "react";
|
||||
import { apiFetch } from "../api/client";
|
||||
import {
|
||||
closeReasonZh,
|
||||
fillDescZh,
|
||||
positionSidesZh,
|
||||
statusZh,
|
||||
} from "../labels";
|
||||
|
||||
type Group = {
|
||||
group_id: string;
|
||||
@@ -62,10 +68,12 @@ export default function TradesPage() {
|
||||
onClick={() => openGroup(g.group_id)}
|
||||
>
|
||||
<span className="mono">
|
||||
{g.group_id} · {g.status} · {g.perp_side}/{g.option_side}
|
||||
{g.group_id} · {statusZh(g.status)} ·{" "}
|
||||
{positionSidesZh(g.perp_side, g.option_side)}
|
||||
</span>
|
||||
<span className="mono">
|
||||
PnL {Number(g.realized_pnl || 0).toFixed(2)} · {g.close_reason || "—"}
|
||||
盈亏 {Number(g.realized_pnl || 0).toFixed(2)} ·{" "}
|
||||
{closeReasonZh(g.close_reason)}
|
||||
</span>
|
||||
</div>
|
||||
))
|
||||
@@ -77,10 +85,11 @@ export default function TradesPage() {
|
||||
{fills.map((f) => (
|
||||
<div key={f.id} className="kv">
|
||||
<span className="mono">
|
||||
{f.leg} {f.action} {f.side}
|
||||
{fillDescZh(f.leg, f.action, f.side)}
|
||||
</span>
|
||||
<span className="mono">
|
||||
px {f.fill_px.toFixed(4)} · qty {f.qty_eth} · fee {f.fee.toFixed(4)}
|
||||
价 {f.fill_px.toFixed(4)} · 数量 {f.qty_eth} · 手续费{" "}
|
||||
{f.fee.toFixed(4)}
|
||||
</span>
|
||||
</div>
|
||||
))}
|
||||
|
||||
Reference in New Issue
Block a user