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Add weekend open skip, expiry force-close, and Chinese trade labels.

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-25 10:28:33 +08:00
parent 826362b556
commit b50c134f5b
19 changed files with 525 additions and 52 deletions
Download Patch File Download Diff File Expand all files Collapse all files
backend/app/api/settings.py
+11
View File
@@ -19,6 +19,7 @@ KEYS = (
"net_profit_target",
"premium_exit_multiple",
"rest_seconds",
"skip_weekends",
"initial_equity",
"leverage",
"min_option_hours",
@@ -36,6 +37,7 @@ class StrategySettingsBody(BaseModel):
net_profit_target: float | None = Field(default=None, ge=0.1, le=1_000_000)
premium_exit_multiple: float | None = Field(default=None, ge=0.1, le=100)
rest_seconds: int | None = Field(default=None, ge=0, le=3600)
skip_weekends: bool | None = None
initial_equity: float | None = Field(default=None, ge=1000)
leverage: float | None = Field(default=None, ge=1, le=125)
min_option_hours: float | None = Field(default=None, ge=1, le=720)
@@ -45,6 +47,12 @@ class StrategySettingsBody(BaseModel):
option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
def _as_bool(raw: str | None, default: bool) -> bool:
if raw is None or raw == "":
return default
return str(raw).strip().lower() in ("1", "true", "yes", "on")
def _read_settings() -> dict:
db = get_db()
s = get_settings()
@@ -68,6 +76,9 @@ def _read_settings() -> dict:
"rest_seconds": int(
float(db.get_setting("rest_seconds", str(s.rest_seconds)) or s.rest_seconds)
),
"skip_weekends": _as_bool(
db.get_setting("skip_weekends", str(s.skip_weekends)), s.skip_weekends
),
"initial_equity": float(
db.get_setting("initial_equity", str(s.initial_equity)) or s.initial_equity
),
backend/app/api/sim.py
+10 -5
View File
@@ -5,11 +5,12 @@ from typing import Annotated
from fastapi import APIRouter, Depends, HTTPException
from pydantic import BaseModel, Field
from ..config import get_settings
from ..market import get_gateway
from ..models.db import get_db
from ..sim.ledger import Ledger
from ..sim.matcher import Matcher
from ..strategy.clock import window_key
from ..strategy.clock import can_open_new, window_key
from ..strategy.group import next_group_id
from .auth import require_user
@@ -39,6 +40,13 @@ async def sim_open_group(
) -> dict:
if Matcher().has_open_position():
raise HTTPException(status_code=409, detail="有未平仓，禁止开下一组")
s = get_settings()
skip_weekends = Ledger().get_setting_bool("skip_weekends", s.skip_weekends)
if not can_open_new(skip_weekends=skip_weekends):
raise HTTPException(
status_code=409,
detail="周六/周日跳过开仓（上海时区）",
)
gw = get_gateway()
pick = await gw.pick_for_open_async()
if pick is None:
@@ -53,12 +61,9 @@ async def sim_open_group(
perp_side = "short" if force == "call" else "long"
bias = "manual_" + force
option_ask = pick.call_ask if force == "call" else pick.put_ask
from ..config import get_settings
from ..strategy.selection import option_leverage
from ..sim.ledger import Ledger as Led
s = get_settings()
min_lev = Led().get_setting_float("min_option_leverage", s.min_option_leverage)
min_lev = Ledger().get_setting_float("min_option_leverage", s.min_option_leverage)
lev = option_leverage(pick.underlying_px, option_ask)
if lev is None or lev < min_lev:
raise HTTPException(
backend/app/config.py
+1
View File
@@ -48,6 +48,7 @@ class Settings(BaseSettings):
net_profit_target: float = 15.0 # fixed_usdt：净盈利 ≥ 该值（USDT）
premium_exit_multiple: float = 1.0 # premium_multiple：净盈利 ≥ 权利金×倍数
rest_seconds: int = 300
skip_weekends: bool = True # 上海时区周六日禁止新开仓（已有仓仍可平）
leverage: float = 3.0 # 永续杠杆
min_option_hours: float = 12.0 # 期权最小剩余小时
min_option_leverage: float = 100.0 # 现价/卖一权利金 下限
backend/app/main.py
+1
View File
@@ -35,6 +35,7 @@ async def lifespan(app: FastAPI):
set_db(db)
engine = StrategyEngine()
set_engine(engine)
engine.ensure_loop()
session = bootstrap_session(settings)
try:
backend/app/sim/ledger.py
+6
View File
@@ -65,3 +65,9 @@ class Ledger:
if v is None or v == "":
return default
return str(v)
def get_setting_bool(self, key: str, default: bool) -> bool:
v = self.db.get_setting(key)
if v is None or v == "":
return default
return str(v).strip().lower() in ("1", "true", "yes", "on")
backend/app/strategy/__init__.py
+2 -1
View File
@@ -1,4 +1,4 @@
from .clock import can_open_new, window_key
from .clock import can_open_new, is_weekend, window_key
from .exits import check_exits
from .group import next_group_id
from .signal import Signal, decide
@@ -10,6 +10,7 @@ __all__ = [
"check_exits",
"decide",
"get_engine",
"is_weekend",
"next_group_id",
"set_engine",
"window_key",
backend/app/strategy/clock.py
+11 -2
View File
@@ -1,4 +1,4 @@
"""日历日分组键（开仓时间窗已取消，由期权剩余时长约束）。"""
"""日历日分组键；可选周末跳过开仓（上海时区）。"""
from __future__ import annotations
@@ -17,13 +17,22 @@ def window_key(now: datetime | None = None) -> str:
return now_sh(now).strftime("%Y%m%d")
def is_weekend(now: datetime | None = None) -> bool:
"""上海时区：周六=5、周日=6。"""
return now_sh(now).weekday() >= 5
def can_open_new(
now: datetime | None = None,
*,
skip_weekends: bool = True,
open_hhmm: str = "16:00",
stop_hhmm: str = "08:00",
) -> bool:
"""开仓窗已取消，始终允许（仍受期权剩余时长/杠杆筛选）。"""
"""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。"""
_ = open_hhmm, stop_hhmm
if skip_weekends and is_weekend(now):
return False
return True
backend/app/strategy/engine.py
+98 -19
View File
@@ -12,8 +12,8 @@ from .session import get_session
from ..models.db import get_db
from ..sim.ledger import Ledger
from ..sim.matcher import Matcher
from .clock import window_key
from .exits import check_exits, resolve_exit_target
from .clock import can_open_new, window_key
from .exits import check_expiry_close, check_exits, resolve_exit_target
from .group import next_group_id
logger = logging.getLogger(__name__)
@@ -46,6 +46,7 @@ class StrategyEngine:
initial_premium=float(upl.get("initial_premium") or 0),
)
rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
skip_weekends = self.ledger.get_setting_bool("skip_weekends", s.skip_weekends)
leverage = self.ledger.get_setting_float("leverage", s.leverage)
min_hours = self.ledger.get_setting_float("min_option_hours", s.min_option_hours)
min_opt_lev = self.ledger.get_setting_float(
@@ -59,6 +60,7 @@ class StrategyEngine:
if last_error and "PriceResult" in str(last_error) and "__dict__" in str(last_error):
self._set_state(last_error=None)
last_error = None
allow_open = can_open_new(skip_weekends=skip_weekends)
return {
"running": bool(row["running"]),
"phase": row["phase"],
@@ -67,6 +69,7 @@ class StrategyEngine:
"rest_until_ms": rest_until,
"rest_left_sec": rest_left,
"rest_seconds": rest_sec,
"skip_weekends": skip_weekends,
"exit_mode": exit_mode,
"net_profit_target": net_target,
"premium_exit_multiple": prem_mult,
@@ -74,7 +77,7 @@ class StrategyEngine:
"leverage": leverage,
"min_option_hours": min_hours,
"min_option_leverage": min_opt_lev,
"can_open": True,
"can_open": allow_open,
"last_error": last_error,
"position": upl,
"ledger": self.ledger.snapshot(),
@@ -97,9 +100,13 @@ class StrategyEngine:
async def start(self) -> dict[str, Any]:
self._set_state(running=1, last_error=None, phase="idle")
self.ensure_loop()
return self.state()
def ensure_loop(self) -> None:
"""保证后台循环在跑（即使策略暂停，也要盯到期全平）。"""
if self._task is None or self._task.done():
self._task = asyncio.create_task(self._loop(), name="strategy-engine")
return self.state()
async def emergency_close(self) -> dict[str, Any]:
async with self._lock:
@@ -137,12 +144,73 @@ class StrategyEngine:
)
return len(rows)
def _position_expiry_ms(self, upl: dict[str, Any]) -> int | None:
raw = upl.get("expiry_ms")
if raw is not None:
try:
return int(raw)
except (TypeError, ValueError):
pass
ymd = upl.get("expiry_ymd")
if ymd:
try:
from ..exchange.okx.parse import expiry_ms_from_ymd
return int(expiry_ms_from_ymd(str(ymd)))
except Exception:
return None
return None
async def _close_open_position(
self,
*,
reason: str,
bypass_liquidity: bool,
pending_close: bool,
) -> None:
if not pending_close:
self._set_state(phase="closing", last_error=None)
r = await asyncio.to_thread(
self.matcher.close_group,
reason=reason,
bypass_liquidity=bypass_liquidity,
)
if r.ok:
self._after_close()
elif r.liquidity_wait and not bypass_liquidity:
self._set_state(phase="liquidity_wait", last_error=r.detail)
else:
self._set_state(phase="closing", last_error=r.detail)
async def _maybe_expiry_close(self) -> bool:
"""若持仓已到期则强制全平。返回是否触发到期平仓。"""
pos = self.matcher.current_position()
if pos.get("status") != "open":
return False
upl = self.matcher.unrealized()
expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
if not expired.should_close:
return False
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
assert st is not None
pending = st["phase"] in ("liquidity_wait", "closing")
await self._close_open_position(
reason="expiry",
bypass_liquidity=True,
pending_close=pending,
)
return True
async def _loop(self) -> None:
logger.info("strategy engine loop started")
while True:
try:
row = self.db.fetchone("SELECT running FROM strategy_state WHERE id=1")
if not row or not int(row["running"]):
running = bool(row and int(row["running"]))
if not running:
# 暂停时仍执行到期全平，避免拖过期
async with self._lock:
await self._maybe_expiry_close()
await asyncio.sleep(1)
continue
async with self._lock:
@@ -180,6 +248,7 @@ class StrategyEngine:
# 有未平仓：只盯平仓，绝不开下一组
if pos.get("status") == "open":
upl = self.matcher.unrealized()
expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
decision = check_exits(
net_pnl=float(upl.get("net_pnl") or 0),
exit_mode=exit_mode,
@@ -188,19 +257,18 @@ class StrategyEngine:
initial_premium=float(upl.get("initial_premium") or 0),
)
pending_close = st["phase"] in ("liquidity_wait", "closing")
if decision.should_close or pending_close:
reason = decision.reason or "liquidity_retry"
if not pending_close:
self._set_state(phase="closing", last_error=None)
r = await asyncio.to_thread(
self.matcher.close_group, reason=reason, bypass_liquidity=False
)
if r.ok:
self._after_close()
elif r.liquidity_wait:
self._set_state(phase="liquidity_wait", last_error=r.detail)
if expired.should_close or decision.should_close or pending_close:
if expired.should_close:
reason = "expiry"
bypass = True
else:
self._set_state(phase="closing", last_error=r.detail)
reason = decision.reason or "liquidity_retry"
bypass = False
await self._close_open_position(
reason=reason,
bypass_liquidity=bypass,
pending_close=pending_close,
)
else:
self._set_state(phase="open", last_error=None)
return
@@ -214,10 +282,21 @@ class StrategyEngine:
assert st is not None
if st["phase"] in ("paused",):
return
# 旧「轮次停开」状态：自动恢复为空闲以便继续
if st["phase"] in ("stopped", "outside_window"):
self._set_state(phase="idle")
skip_weekends = self.ledger.get_setting_bool("skip_weekends", s.skip_weekends)
if not can_open_new(skip_weekends=skip_weekends):
self._set_state(
phase="weekend_skip",
last_error="周六/周日跳过开仓（上海时区）；持仓仍可平仓",
)
return
if st["phase"] == "weekend_skip":
self._set_state(phase="idle", last_error=None)
# 双保险：账本仍显示有仓则不开
if self.matcher.has_open_position():
self._set_state(phase="open", last_error="有未平仓，禁止开下一组")
@@ -265,6 +344,6 @@ def get_engine() -> StrategyEngine:
return _engine
def set_engine(e: StrategyEngine | None) -> None:
def set_engine(engine: StrategyEngine | None) -> None:
global _engine
_engine = e
_engine = engine
backend/app/strategy/exits.py
+15
View File
@@ -1,5 +1,6 @@
from __future__ import annotations
import time
from dataclasses import dataclass
EXIT_MODE_FIXED = "fixed_usdt"
@@ -28,6 +29,20 @@ def resolve_exit_target(
return float(net_profit_target), EXIT_MODE_FIXED
def check_expiry_close(
*,
expiry_ms: int | None,
now_ms: int | None = None,
) -> ExitDecision:
"""期权到期时刻（含）→ 强制全平。"""
if expiry_ms is None:
return ExitDecision(False, "", 0.0)
now = int(time.time() * 1000) if now_ms is None else int(now_ms)
if now >= int(expiry_ms):
return ExitDecision(True, "expiry", 0.0)
return ExitDecision(False, "", 0.0)
def check_exits(
*,
net_pnl: float,