Add Binance live trading, anti-stuck open/close recovery, and configurable rate limits.
OKX/Binance LIVE share half_open and option_closed_perp_pending repair paths; private REST throttles default to 1s and are tunable in settings. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -33,6 +33,7 @@ KEYS = (
|
||||
"net_profit_target",
|
||||
"premium_exit_multiple",
|
||||
"rest_seconds",
|
||||
"live_order_interval_sec",
|
||||
"skip_weekends",
|
||||
"initial_equity",
|
||||
"leverage",
|
||||
@@ -53,6 +54,7 @@ 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)
|
||||
live_order_interval_sec: float | None = Field(default=None, ge=0.2, le=30)
|
||||
skip_weekends: bool | None = None
|
||||
initial_equity: float | None = Field(default=None, ge=1000, le=10_000_000)
|
||||
leverage: float | None = Field(default=None, ge=1, le=125)
|
||||
@@ -96,6 +98,12 @@ def _read_settings() -> dict:
|
||||
"rest_seconds": int(
|
||||
float(db.get_setting("rest_seconds", str(s.rest_seconds)) or s.rest_seconds)
|
||||
),
|
||||
"live_order_interval_sec": float(
|
||||
db.get_setting(
|
||||
"live_order_interval_sec", str(s.live_order_interval_sec)
|
||||
)
|
||||
or s.live_order_interval_sec
|
||||
),
|
||||
"skip_weekends": _as_bool(
|
||||
db.get_setting("skip_weekends", str(s.skip_weekends)), s.skip_weekends
|
||||
),
|
||||
|
||||
@@ -33,7 +33,7 @@ class Settings(BaseSettings):
|
||||
okx_ws_public: str = "wss://ws.okx.com:8443/ws/v5/public"
|
||||
okx_http_proxy: str = ""
|
||||
|
||||
# 币安私有交易密钥（本期仅落盘；实盘下单后续）
|
||||
# 币安私有交易密钥（LIVE 真下单：fapi 永续 + eapi 期权）
|
||||
binance_api_key: str = ""
|
||||
binance_api_secret: str = ""
|
||||
|
||||
@@ -61,6 +61,7 @@ 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
|
||||
live_order_interval_sec: float = 1.0 # LIVE 私有下单/查单最小间隔（秒）
|
||||
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
|
||||
|
||||
@@ -59,7 +59,7 @@ def live_ready(*, exchange: str | None = None) -> tuple[bool, str]:
|
||||
if ex == "binance":
|
||||
if not binance_keys_configured(st):
|
||||
return False, "币安 API Key/Secret 未配置"
|
||||
return False, "币安实盘下单尚未接入，请切回 OKX 或使用 SIM"
|
||||
return True, "ok"
|
||||
if ex == "okx":
|
||||
if not okx_keys_configured(st):
|
||||
return False, "OKX API Key/Secret/Passphrase 未配置"
|
||||
|
||||
@@ -1,5 +1,6 @@
|
||||
"""实盘执行适配层。"""
|
||||
|
||||
from .executor import BinanceLiveStub, OkxLiveExecutor, get_executor
|
||||
from .binance_executor import BinanceLiveExecutor
|
||||
from .executor import OkxLiveExecutor, get_executor
|
||||
|
||||
__all__ = ["get_executor", "OkxLiveExecutor", "BinanceLiveStub"]
|
||||
__all__ = ["get_executor", "OkxLiveExecutor", "BinanceLiveExecutor"]
|
||||
|
||||
@@ -0,0 +1,901 @@
|
||||
"""币安实盘执行：eapi 期权 + fapi 永续；先期权后永续（含 anti-stuck 状态机）。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import time
|
||||
|
||||
from ..config import get_settings
|
||||
from ..env_store import live_ready
|
||||
from ..sim.liquidity import contracts_for_eth
|
||||
from ..sim.matcher import CloseResult, Matcher, OpenResult
|
||||
from ..sim.pricing import option_expiry_settle, option_intrinsic
|
||||
from ..strategy.session import get_session
|
||||
from .binance_trade import BinanceTradeClient
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class BinanceLiveExecutor(Matcher):
|
||||
def __init__(self, db=None) -> None:
|
||||
super().__init__(db)
|
||||
self._trade: BinanceTradeClient | None = None
|
||||
|
||||
def _client(self) -> BinanceTradeClient:
|
||||
if self._trade is None:
|
||||
self._trade = BinanceTradeClient()
|
||||
return self._trade
|
||||
|
||||
def _guard_live(self) -> str | None:
|
||||
ok, reason = live_ready()
|
||||
if not ok:
|
||||
return reason
|
||||
return None
|
||||
|
||||
def open_group(
|
||||
self,
|
||||
*,
|
||||
group_id: str,
|
||||
bias: str,
|
||||
option_side: str,
|
||||
perp_side: str,
|
||||
option_inst_id: str,
|
||||
entry_index_px: float,
|
||||
strike: float | None = None,
|
||||
expiry_ymd: str | None = None,
|
||||
) -> OpenResult:
|
||||
err = self._guard_live()
|
||||
if err:
|
||||
return OpenResult(ok=False, detail=err)
|
||||
|
||||
s = get_settings()
|
||||
if self.has_open_position():
|
||||
st = self.position_status()
|
||||
return OpenResult(
|
||||
ok=False,
|
||||
detail=f"已有持仓/半仓状态({st})，请先修复或平仓",
|
||||
)
|
||||
|
||||
client = self._client()
|
||||
perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
|
||||
opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
|
||||
ct_mult = self._ct_mult(option_inst_id)
|
||||
opt_contracts = contracts_for_eth(opt_qty, ct_mult)
|
||||
|
||||
try:
|
||||
opt_fill = client.place_option_market(
|
||||
symbol=option_inst_id,
|
||||
side="BUY",
|
||||
quantity=opt_contracts,
|
||||
)
|
||||
except Exception as e:
|
||||
logger.exception("binance live open option failed")
|
||||
return OpenResult(ok=False, detail=f"币安开期权失败: {e}")
|
||||
|
||||
# 永续市价失败（多为保证金不足）→ 必须回滚期权
|
||||
try:
|
||||
if perp_side == "long":
|
||||
side, pos_side = "BUY", "LONG"
|
||||
else:
|
||||
side, pos_side = "SELL", "SHORT"
|
||||
perp_fill_live = client.place_perp_market(
|
||||
symbol=s.perp_inst_id,
|
||||
side=side,
|
||||
qty_eth=perp_qty,
|
||||
position_side=pos_side,
|
||||
)
|
||||
except Exception as e:
|
||||
logger.exception("binance live open perp failed (likely margin); rollback option")
|
||||
try:
|
||||
client.place_option_market(
|
||||
symbol=option_inst_id,
|
||||
side="SELL",
|
||||
quantity=opt_contracts,
|
||||
reduce_only=True,
|
||||
)
|
||||
except Exception as e2:
|
||||
logger.exception("binance option rollback failed: %s", e2)
|
||||
self._persist_half_open(
|
||||
group_id=group_id,
|
||||
bias=bias,
|
||||
option_side=option_side,
|
||||
perp_side=perp_side,
|
||||
option_inst_id=option_inst_id,
|
||||
entry_index_px=entry_index_px,
|
||||
strike=strike,
|
||||
expiry_ymd=expiry_ymd,
|
||||
opt_qty=opt_qty,
|
||||
opt_contracts=opt_contracts,
|
||||
of_px=float(opt_fill.avg_px),
|
||||
of_fee=float(opt_fill.fee),
|
||||
detail=f"保证金开永续失败且期权回滚失败: {e} / {e2}",
|
||||
)
|
||||
return OpenResult(
|
||||
ok=False,
|
||||
group_id=group_id,
|
||||
detail=f"永续开仓失败(保证金)且期权回滚失败，已标记 half_open: {e} / {e2}",
|
||||
)
|
||||
return OpenResult(
|
||||
ok=False,
|
||||
detail=f"永续开仓失败(多为保证金不足)，已回滚期权: {e}",
|
||||
)
|
||||
|
||||
of_px = float(opt_fill.avg_px)
|
||||
pf_px = float(perp_fill_live.avg_px)
|
||||
of_fee = float(opt_fill.fee)
|
||||
pf_fee = float(perp_fill_live.fee)
|
||||
initial_premium = of_px * opt_qty
|
||||
of_notional = of_px * opt_qty
|
||||
pf_notional = pf_px * perp_qty
|
||||
|
||||
# LIVE：交易所已成交，本地账本允许透支镜像，禁止因账本拒记导致「交易所有仓、DB 空」
|
||||
self.ledger.apply_cash(
|
||||
-(of_notional + of_fee),
|
||||
kind="open_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE-BN open option {group_id}",
|
||||
allow_negative=True,
|
||||
)
|
||||
self.ledger.apply_cash(
|
||||
-pf_fee,
|
||||
kind="open_perp_fee",
|
||||
group_id=group_id,
|
||||
note=f"LIVE-BN open perp {group_id}",
|
||||
allow_negative=True,
|
||||
)
|
||||
|
||||
now = int(time.time() * 1000)
|
||||
with self.db._lock:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO groups(
|
||||
group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
|
||||
strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
|
||||
exec_mode
|
||||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"open",
|
||||
bias,
|
||||
option_side,
|
||||
perp_side,
|
||||
option_inst_id,
|
||||
s.perp_inst_id,
|
||||
strike,
|
||||
expiry_ymd,
|
||||
entry_index_px,
|
||||
initial_premium,
|
||||
now,
|
||||
of_fee + pf_fee,
|
||||
0.0,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"open",
|
||||
"long",
|
||||
option_inst_id,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
of_px,
|
||||
of_fee,
|
||||
0.0,
|
||||
of_notional,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"perp",
|
||||
"open",
|
||||
perp_side,
|
||||
s.perp_inst_id,
|
||||
perp_qty,
|
||||
None,
|
||||
pf_px,
|
||||
pf_px,
|
||||
pf_fee,
|
||||
0.0,
|
||||
pf_notional,
|
||||
now + 1,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
|
||||
option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
|
||||
option_entry_px=?, entry_index_px=?, initial_premium=?, status=?
|
||||
WHERE id=1""",
|
||||
(
|
||||
group_id,
|
||||
perp_side,
|
||||
perp_qty,
|
||||
pf_px,
|
||||
option_inst_id,
|
||||
option_side,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
entry_index_px,
|
||||
initial_premium,
|
||||
"open",
|
||||
),
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
return OpenResult(
|
||||
ok=True,
|
||||
group_id=group_id,
|
||||
detail="opened_live_binance",
|
||||
data={
|
||||
"group_id": group_id,
|
||||
"exec_mode": "LIVE",
|
||||
"exchange": "binance",
|
||||
"option_ord": opt_fill.ord_id,
|
||||
"perp_ord": perp_fill_live.ord_id,
|
||||
"initial_premium": initial_premium,
|
||||
"fees": of_fee + pf_fee,
|
||||
},
|
||||
)
|
||||
|
||||
def _persist_half_open(
|
||||
self,
|
||||
*,
|
||||
group_id: str,
|
||||
bias: str,
|
||||
option_side: str,
|
||||
perp_side: str,
|
||||
option_inst_id: str,
|
||||
entry_index_px: float,
|
||||
strike: float | None,
|
||||
expiry_ymd: str | None,
|
||||
opt_qty: float,
|
||||
opt_contracts: float,
|
||||
of_px: float,
|
||||
of_fee: float,
|
||||
detail: str,
|
||||
) -> None:
|
||||
"""期权已成交、永续未开且回滚失败 → 落 half_open，禁止新开，待 repair。"""
|
||||
s = get_settings()
|
||||
initial_premium = of_px * opt_qty
|
||||
self.ledger.apply_cash(
|
||||
-(of_px * opt_qty + of_fee),
|
||||
kind="open_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE-BN half_open option {group_id}",
|
||||
allow_negative=True,
|
||||
)
|
||||
now = int(time.time() * 1000)
|
||||
with self.db._lock:
|
||||
existing = self.db._conn.execute(
|
||||
"SELECT group_id FROM groups WHERE group_id=?", (group_id,)
|
||||
).fetchone()
|
||||
if existing is None:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO groups(
|
||||
group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
|
||||
strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
|
||||
exec_mode, note
|
||||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"half_open",
|
||||
bias,
|
||||
option_side,
|
||||
perp_side,
|
||||
option_inst_id,
|
||||
s.perp_inst_id,
|
||||
strike,
|
||||
expiry_ymd,
|
||||
entry_index_px,
|
||||
initial_premium,
|
||||
now,
|
||||
of_fee,
|
||||
0.0,
|
||||
"LIVE",
|
||||
detail[:200],
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"open",
|
||||
"long",
|
||||
option_inst_id,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
of_px,
|
||||
of_fee,
|
||||
0.0,
|
||||
of_px * opt_qty,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=?, perp_side=?, perp_qty_eth=0, perp_entry_px=NULL,
|
||||
option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
|
||||
option_entry_px=?, entry_index_px=?, initial_premium=?, status='half_open'
|
||||
WHERE id=1""",
|
||||
(
|
||||
group_id,
|
||||
perp_side,
|
||||
option_inst_id,
|
||||
option_side,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
entry_index_px,
|
||||
initial_premium,
|
||||
),
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
def repair_half_open(self) -> CloseResult:
|
||||
"""卖出 half_open 残留期权，清本地状态。"""
|
||||
err = self._guard_live()
|
||||
if err:
|
||||
return CloseResult(ok=False, detail=err)
|
||||
pos = self.current_position()
|
||||
if pos.get("status") != "half_open":
|
||||
return CloseResult(ok=False, detail="非 half_open 状态")
|
||||
group_id = str(pos.get("group_id") or "")
|
||||
option_inst_id = str(pos.get("option_inst_id") or "")
|
||||
opt_contracts = float(pos.get("option_qty_contracts") or 0)
|
||||
opt_qty = float(pos.get("option_qty_eth") or 0)
|
||||
if not option_inst_id or opt_contracts <= 0:
|
||||
return CloseResult(ok=False, detail="half_open 缺期权合约信息")
|
||||
client = self._client()
|
||||
try:
|
||||
opt_live = client.place_option_market(
|
||||
symbol=option_inst_id,
|
||||
side="SELL",
|
||||
quantity=opt_contracts,
|
||||
reduce_only=True,
|
||||
)
|
||||
except Exception as e:
|
||||
return CloseResult(ok=False, detail=f"half_open 平期权失败: {e}")
|
||||
of_px = float(opt_live.avg_px)
|
||||
of_fee = float(opt_live.fee)
|
||||
of_notional = of_px * opt_qty
|
||||
opt_entry = float(pos.get("option_entry_px") or of_px)
|
||||
self.ledger.apply_cash(
|
||||
of_notional - of_fee,
|
||||
kind="close_option",
|
||||
group_id=group_id or None,
|
||||
note="LIVE-BN repair half_open",
|
||||
allow_negative=True,
|
||||
)
|
||||
now = int(time.time() * 1000)
|
||||
with self.db._lock:
|
||||
if group_id:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"close",
|
||||
"flat",
|
||||
option_inst_id,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
of_px,
|
||||
of_fee,
|
||||
0.0,
|
||||
of_notional,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
opt_pnl = (of_px - opt_entry) * opt_qty - of_fee
|
||||
self.db._conn.execute(
|
||||
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?, note=?
|
||||
WHERE group_id=?""",
|
||||
(
|
||||
"closed",
|
||||
now,
|
||||
"half_open_repair",
|
||||
float(opt_pnl),
|
||||
"repaired half_open",
|
||||
group_id,
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
|
||||
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
|
||||
option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
|
||||
WHERE id=1"""
|
||||
)
|
||||
self.db._conn.commit()
|
||||
return CloseResult(
|
||||
ok=True,
|
||||
detail="half_open_repaired",
|
||||
data={"group_id": group_id, "exec_mode": "LIVE", "exchange": "binance"},
|
||||
)
|
||||
|
||||
def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
|
||||
err = self._guard_live()
|
||||
if err:
|
||||
return CloseResult(ok=False, detail=err)
|
||||
|
||||
s = get_settings()
|
||||
pos = self.current_position()
|
||||
st = str(pos.get("status") or "")
|
||||
if st == "half_open":
|
||||
return self.repair_half_open()
|
||||
if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
|
||||
return CloseResult(ok=False, detail="无持仓可平")
|
||||
|
||||
group_id = str(pos["group_id"])
|
||||
option_inst_id = str(pos["option_inst_id"])
|
||||
option_side = str(pos["option_side"])
|
||||
perp_side = str(pos["perp_side"])
|
||||
opt_qty = float(pos["option_qty_eth"])
|
||||
perp_qty = float(pos["perp_qty_eth"])
|
||||
opt_contracts = float(pos["option_qty_contracts"] or 0)
|
||||
client = self._client()
|
||||
is_expiry = reason == "expiry"
|
||||
fee_rate = self._fee_rate()
|
||||
pending_perp_only = st == "option_closed_perp_pending"
|
||||
|
||||
sess = get_session()
|
||||
snap = sess.snapshot()
|
||||
strike = self._group_strike(group_id, option_inst_id)
|
||||
spot = self._close_spot_px(snap)
|
||||
intrinsic = None
|
||||
if strike is not None and spot is not None:
|
||||
intrinsic = option_intrinsic(
|
||||
option_side=option_side, strike=float(strike), spot=float(spot)
|
||||
)
|
||||
|
||||
of_px = 0.0
|
||||
of_fee = 0.0
|
||||
of_slip = 0.0
|
||||
of_notional = 0.0
|
||||
|
||||
if pending_perp_only:
|
||||
# 期权已在上次成交并入账；只读上次平期权 fill
|
||||
prev = self.db.fetchone(
|
||||
"""SELECT fill_px, fee, notional, slip FROM fills
|
||||
WHERE group_id=? AND leg='option' AND action='close'
|
||||
ORDER BY id DESC LIMIT 1""",
|
||||
(group_id,),
|
||||
)
|
||||
if prev is None:
|
||||
return CloseResult(
|
||||
ok=False,
|
||||
detail="option_closed_perp_pending 缺期权平仓记录，请人工核对",
|
||||
)
|
||||
of_px = float(prev["fill_px"])
|
||||
of_fee = float(prev["fee"] or 0)
|
||||
of_notional = float(prev["notional"] or (of_px * opt_qty))
|
||||
of_slip = float(prev["slip"] or 0)
|
||||
elif is_expiry:
|
||||
if intrinsic is None:
|
||||
return CloseResult(ok=False, detail="到期结算失败：缺行权价或标的价")
|
||||
of = option_expiry_settle(
|
||||
intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate
|
||||
)
|
||||
of_px, of_fee, of_slip, of_notional = of.fill_px, of.fee, of.slip, of.notional
|
||||
else:
|
||||
try:
|
||||
opt_live = client.place_option_market(
|
||||
symbol=option_inst_id,
|
||||
side="SELL",
|
||||
quantity=opt_contracts,
|
||||
reduce_only=True,
|
||||
)
|
||||
of_px = float(opt_live.avg_px)
|
||||
of_fee = float(opt_live.fee)
|
||||
of_notional = of_px * opt_qty
|
||||
except Exception as e:
|
||||
if not bypass_liquidity:
|
||||
return CloseResult(
|
||||
ok=False,
|
||||
detail=f"币安平期权失败: {e}",
|
||||
liquidity_wait=True,
|
||||
)
|
||||
return CloseResult(ok=False, detail=f"币安平期权失败: {e}")
|
||||
|
||||
# 期权已平：立刻落 pending，避免永续失败后重试再卖期权
|
||||
self._mark_option_closed_perp_pending(
|
||||
group_id=group_id,
|
||||
option_inst_id=option_inst_id,
|
||||
opt_qty=opt_qty,
|
||||
opt_contracts=opt_contracts,
|
||||
of_px=of_px,
|
||||
of_fee=of_fee,
|
||||
of_notional=of_notional,
|
||||
of_slip=of_slip,
|
||||
reason=reason,
|
||||
)
|
||||
pending_perp_only = True
|
||||
|
||||
try:
|
||||
if perp_side == "long":
|
||||
side, pos_side = "SELL", "LONG"
|
||||
else:
|
||||
side, pos_side = "BUY", "SHORT"
|
||||
perp_live = client.place_perp_market(
|
||||
symbol=s.perp_inst_id,
|
||||
side=side,
|
||||
qty_eth=perp_qty,
|
||||
position_side=pos_side,
|
||||
reduce_only=True,
|
||||
)
|
||||
pf_px = float(perp_live.avg_px)
|
||||
pf_fee = float(perp_live.fee)
|
||||
except Exception as e:
|
||||
return CloseResult(
|
||||
ok=False,
|
||||
detail=f"期权已平，永续待平(option_closed_perp_pending): {e}",
|
||||
)
|
||||
|
||||
return self._finalize_dual_close(
|
||||
pos=pos,
|
||||
group_id=group_id,
|
||||
option_inst_id=option_inst_id,
|
||||
opt_qty=opt_qty,
|
||||
opt_contracts=opt_contracts,
|
||||
of_px=of_px,
|
||||
of_fee=of_fee,
|
||||
of_slip=of_slip,
|
||||
of_notional=of_notional,
|
||||
pf_px=pf_px,
|
||||
pf_fee=pf_fee,
|
||||
reason=reason,
|
||||
option_fill_already_written=(
|
||||
st == "option_closed_perp_pending"
|
||||
or (pending_perp_only and not is_expiry)
|
||||
),
|
||||
skip_option_cash=(
|
||||
st == "option_closed_perp_pending"
|
||||
or (pending_perp_only and not is_expiry)
|
||||
),
|
||||
)
|
||||
|
||||
def _mark_option_closed_perp_pending(
|
||||
self,
|
||||
*,
|
||||
group_id: str,
|
||||
option_inst_id: str,
|
||||
opt_qty: float,
|
||||
opt_contracts: float,
|
||||
of_px: float,
|
||||
of_fee: float,
|
||||
of_notional: float,
|
||||
of_slip: float,
|
||||
reason: str,
|
||||
) -> None:
|
||||
self.ledger.apply_cash(
|
||||
of_notional - of_fee,
|
||||
kind="close_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE-BN close option pending perp {reason}",
|
||||
allow_negative=True,
|
||||
)
|
||||
now = int(time.time() * 1000)
|
||||
with self.db._lock:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"close",
|
||||
"flat",
|
||||
option_inst_id,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
of_px,
|
||||
of_fee,
|
||||
of_slip,
|
||||
of_notional,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"UPDATE positions SET status='option_closed_perp_pending' WHERE id=1"
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"UPDATE groups SET fees=COALESCE(fees,0)+?, note=? WHERE group_id=?",
|
||||
(of_fee, f"option_closed_perp_pending:{reason}", group_id),
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
def _finalize_dual_close(
|
||||
self,
|
||||
*,
|
||||
pos: dict,
|
||||
group_id: str,
|
||||
option_inst_id: str,
|
||||
opt_qty: float,
|
||||
opt_contracts: float,
|
||||
of_px: float,
|
||||
of_fee: float,
|
||||
of_slip: float,
|
||||
of_notional: float,
|
||||
pf_px: float,
|
||||
pf_fee: float,
|
||||
reason: str,
|
||||
option_fill_already_written: bool,
|
||||
skip_option_cash: bool,
|
||||
) -> CloseResult:
|
||||
s = get_settings()
|
||||
perp_side = str(pos["perp_side"])
|
||||
perp_qty = float(pos["perp_qty_eth"])
|
||||
opt_entry = float(pos["option_entry_px"])
|
||||
perp_entry = float(pos["perp_entry_px"] or pf_px)
|
||||
opt_pnl = (of_px - opt_entry) * opt_qty
|
||||
if perp_side == "long":
|
||||
perp_pnl = (pf_px - perp_entry) * perp_qty
|
||||
else:
|
||||
perp_pnl = (perp_entry - pf_px) * perp_qty
|
||||
|
||||
if not skip_option_cash:
|
||||
self.ledger.apply_cash(
|
||||
of_notional - of_fee,
|
||||
kind="close_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE-BN close option {reason}",
|
||||
allow_negative=True,
|
||||
)
|
||||
self.ledger.apply_cash(
|
||||
perp_pnl - pf_fee,
|
||||
kind="close_perp",
|
||||
group_id=group_id,
|
||||
note=f"LIVE-BN close perp {reason}",
|
||||
allow_negative=True,
|
||||
)
|
||||
|
||||
now = int(time.time() * 1000)
|
||||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||||
base_fees = float((g["fees"] if g else 0) or 0)
|
||||
fees = base_fees + (0.0 if skip_option_cash else of_fee) + pf_fee
|
||||
slip = float((g["slip_cost"] if g else 0) or 0) + (
|
||||
0.0 if option_fill_already_written else of_slip
|
||||
)
|
||||
from ..sim.pnl import summarize_fills_pnl
|
||||
|
||||
with self.db._lock:
|
||||
if not option_fill_already_written:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"close",
|
||||
"flat",
|
||||
option_inst_id,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
of_px,
|
||||
of_fee,
|
||||
of_slip,
|
||||
of_notional,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"perp",
|
||||
"close",
|
||||
"flat",
|
||||
s.perp_inst_id,
|
||||
perp_qty,
|
||||
None,
|
||||
pf_px,
|
||||
pf_px,
|
||||
pf_fee,
|
||||
0.0,
|
||||
pf_px * perp_qty,
|
||||
now + 1,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
fills = self.db._conn.execute(
|
||||
"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
|
||||
).fetchall()
|
||||
summary = summarize_fills_pnl(list(fills))
|
||||
net = summary.get("net_pnl")
|
||||
if net is None:
|
||||
net = opt_pnl + perp_pnl - of_fee - pf_fee
|
||||
self.db._conn.execute(
|
||||
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
||||
fees=?, slip_cost=? WHERE group_id=?""",
|
||||
("closed", now, reason, float(net), fees, slip, group_id),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
|
||||
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
|
||||
option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
|
||||
WHERE id=1"""
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
return CloseResult(
|
||||
ok=True,
|
||||
detail="closed_live_binance",
|
||||
data={"group_id": group_id, "reason": reason, "net_pnl": net, "exec_mode": "LIVE"},
|
||||
)
|
||||
|
||||
def close_perp_abandon_option(
|
||||
self, *, reason: str = "target_perp_only", require_deep_otm: bool = True
|
||||
) -> CloseResult:
|
||||
err = self._guard_live()
|
||||
if err:
|
||||
return CloseResult(ok=False, detail=err)
|
||||
if require_deep_otm and not self.option_is_deep_otm():
|
||||
return CloseResult(ok=False, detail="期权非远虚，应走双腿全平")
|
||||
|
||||
s = get_settings()
|
||||
pos = self.current_position()
|
||||
st = str(pos.get("status") or "")
|
||||
if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
|
||||
return CloseResult(ok=False, detail="无持仓可平")
|
||||
# 若期权已平只剩永续，走 close_group 续平即可
|
||||
if st == "option_closed_perp_pending":
|
||||
return self.close_group(reason=reason, bypass_liquidity=True)
|
||||
|
||||
group_id = str(pos["group_id"])
|
||||
perp_side = str(pos["perp_side"])
|
||||
perp_qty = float(pos["perp_qty_eth"])
|
||||
perp_entry = float(pos["perp_entry_px"])
|
||||
client = self._client()
|
||||
try:
|
||||
if perp_side == "long":
|
||||
side, pos_side = "SELL", "LONG"
|
||||
else:
|
||||
side, pos_side = "BUY", "SHORT"
|
||||
perp_live = client.place_perp_market(
|
||||
symbol=s.perp_inst_id,
|
||||
side=side,
|
||||
qty_eth=perp_qty,
|
||||
position_side=pos_side,
|
||||
reduce_only=True,
|
||||
)
|
||||
except Exception as e:
|
||||
return CloseResult(ok=False, detail=f"币安平永续失败: {e}")
|
||||
|
||||
pf_px = float(perp_live.avg_px)
|
||||
pf_fee = float(perp_live.fee)
|
||||
if perp_side == "long":
|
||||
perp_pnl = (pf_px - perp_entry) * perp_qty
|
||||
else:
|
||||
perp_pnl = (perp_entry - pf_px) * perp_qty
|
||||
|
||||
self.ledger.apply_cash(
|
||||
perp_pnl - pf_fee,
|
||||
kind="close_perp",
|
||||
group_id=group_id,
|
||||
note=f"LIVE-BN close perp abandon option {reason}",
|
||||
)
|
||||
|
||||
option_inst_id = str(pos["option_inst_id"])
|
||||
option_side = str(pos["option_side"])
|
||||
strike = self._group_strike(group_id, option_inst_id)
|
||||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||||
expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None
|
||||
expiry_ms = None
|
||||
if expiry_ymd:
|
||||
try:
|
||||
from ..exchange.expiry import expiry_ms_from_ymd
|
||||
|
||||
expiry_ms = int(expiry_ms_from_ymd(expiry_ymd))
|
||||
except Exception:
|
||||
expiry_ms = None
|
||||
|
||||
now = int(time.time() * 1000)
|
||||
open_fees = float((g["fees"] if g else 0) or 0)
|
||||
fees = open_fees + pf_fee
|
||||
slip = float((g["slip_cost"] if g else 0) or 0)
|
||||
interim_net = perp_pnl - open_fees - pf_fee
|
||||
spot = self._close_spot_px(get_session().snapshot())
|
||||
|
||||
with self.db._lock:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"perp",
|
||||
"close",
|
||||
"flat",
|
||||
s.perp_inst_id,
|
||||
perp_qty,
|
||||
None,
|
||||
pf_px,
|
||||
pf_px,
|
||||
pf_fee,
|
||||
0.0,
|
||||
pf_px * perp_qty,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO residual_options(
|
||||
group_id, option_inst_id, option_side, option_qty_eth, option_qty_contracts,
|
||||
option_entry_px, strike, expiry_ymd, expiry_ms, entry_index_px,
|
||||
initial_premium, status, created_at_ms, note
|
||||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
option_inst_id,
|
||||
option_side,
|
||||
float(pos["option_qty_eth"]),
|
||||
float(pos["option_qty_contracts"] or 0),
|
||||
float(pos["option_entry_px"]),
|
||||
float(strike) if strike is not None else None,
|
||||
expiry_ymd,
|
||||
expiry_ms,
|
||||
float(pos["entry_index_px"] or 0),
|
||||
float(pos["initial_premium"] or 0),
|
||||
"pending",
|
||||
now,
|
||||
f"LIVE-BN abandoned after {reason}; spot={spot}",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE groups SET status=?, close_reason=?, realized_pnl=?,
|
||||
fees=?, slip_cost=?, note=?, exec_mode=? WHERE group_id=?""",
|
||||
(
|
||||
"option_residual",
|
||||
reason,
|
||||
interim_net,
|
||||
fees,
|
||||
slip,
|
||||
"LIVE-BN perp_closed; option residual until expiry",
|
||||
"LIVE",
|
||||
group_id,
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
|
||||
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
|
||||
option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
|
||||
WHERE id=1"""
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
return CloseResult(
|
||||
ok=True,
|
||||
detail="perp_closed_option_residual_live_binance",
|
||||
data={"group_id": group_id, "reason": reason, "mode": "target_perp_only", "exec_mode": "LIVE"},
|
||||
)
|
||||
@@ -0,0 +1,237 @@
|
||||
"""币安私有交易：USDT-M 永续 (fapi) + 欧洲期权 (eapi)。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import hashlib
|
||||
import hmac
|
||||
import logging
|
||||
import time
|
||||
from typing import Any
|
||||
from urllib.parse import urlencode
|
||||
|
||||
import httpx
|
||||
|
||||
from ..config import Settings, get_settings
|
||||
from ..exchange.okx.parse import safe_float
|
||||
from .okx_trade import LiveFill
|
||||
from .rate_limit import RateLimitError, get_throttle, parse_retry_after_header
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class BinanceTradeClient:
|
||||
def __init__(self, settings: Settings | None = None) -> None:
|
||||
self.settings = settings or get_settings()
|
||||
proxy = (self.settings.binance_http_proxy or "").strip() or None
|
||||
headers = {
|
||||
"Accept": "application/json",
|
||||
"User-Agent": "eth-hedge-live/0.1",
|
||||
"X-MBX-APIKEY": self.settings.binance_api_key or "",
|
||||
}
|
||||
self._fapi = httpx.Client(
|
||||
base_url=self.settings.binance_fapi_base.rstrip("/"),
|
||||
timeout=20.0,
|
||||
proxy=proxy,
|
||||
headers=headers,
|
||||
trust_env=False,
|
||||
)
|
||||
self._eapi = httpx.Client(
|
||||
base_url=self.settings.binance_eapi_base.rstrip("/"),
|
||||
timeout=20.0,
|
||||
proxy=proxy,
|
||||
headers=headers,
|
||||
trust_env=False,
|
||||
)
|
||||
self._hedge: bool | None = None
|
||||
self._fapi_throttle = get_throttle("binance_fapi_trade", min_interval_sec=1.0)
|
||||
self._eapi_throttle = get_throttle(
|
||||
"binance_eapi_trade",
|
||||
min_interval_sec=1.0,
|
||||
cooldown_429_sec=20.0,
|
||||
cooldown_418_sec=120.0,
|
||||
)
|
||||
|
||||
def close(self) -> None:
|
||||
self._fapi.close()
|
||||
self._eapi.close()
|
||||
|
||||
def _sign(self, params: dict[str, Any]) -> str:
|
||||
qs = urlencode(params, doseq=True)
|
||||
secret = (self.settings.binance_api_secret or "").encode("utf-8")
|
||||
return hmac.new(secret, qs.encode("utf-8"), hashlib.sha256).hexdigest()
|
||||
|
||||
def _throttle_for(self, client: httpx.Client):
|
||||
if client is self._eapi:
|
||||
return self._eapi_throttle
|
||||
return self._fapi_throttle
|
||||
|
||||
def _signed(
|
||||
self,
|
||||
client: httpx.Client,
|
||||
method: str,
|
||||
path: str,
|
||||
params: dict[str, Any] | None = None,
|
||||
) -> Any:
|
||||
throttle = self._throttle_for(client)
|
||||
throttle.before_request()
|
||||
p = dict(params or {})
|
||||
p["timestamp"] = int(time.time() * 1000)
|
||||
p["signature"] = self._sign(p)
|
||||
r = client.request(method.upper(), path, params=p)
|
||||
if r.status_code in (418, 429):
|
||||
ra = parse_retry_after_header(r.headers)
|
||||
throttle.mark_http(r.status_code, ra)
|
||||
raise RateLimitError(
|
||||
f"Binance {path} HTTP {r.status_code}: {r.text[:200]}",
|
||||
retry_after=throttle.remaining_cooldown(),
|
||||
)
|
||||
if r.status_code >= 400:
|
||||
raise RuntimeError(f"Binance {path} HTTP {r.status_code}: {r.text[:400]}")
|
||||
data = r.json()
|
||||
if isinstance(data, dict) and "code" in data and "orderId" not in data:
|
||||
code = data.get("code")
|
||||
try:
|
||||
code_i = int(code)
|
||||
except (TypeError, ValueError):
|
||||
code_i = None
|
||||
msg = str(data.get("msg") or "")
|
||||
# -1003 too many requests; -1015 too many orders
|
||||
if code_i in (-1003, -1015) or "too many" in msg.lower():
|
||||
throttle.mark_seconds(20.0)
|
||||
raise RateLimitError(
|
||||
f"Binance rate-limited code={code} msg={msg}",
|
||||
retry_after=throttle.remaining_cooldown(),
|
||||
)
|
||||
if code_i is not None and code_i != 0:
|
||||
raise RuntimeError(f"Binance error code={code} msg={msg}")
|
||||
if code_i is None:
|
||||
raise RuntimeError(f"Binance error code={code} msg={msg}")
|
||||
return data
|
||||
|
||||
def is_hedge_mode(self) -> bool:
|
||||
if self._hedge is not None:
|
||||
return self._hedge
|
||||
try:
|
||||
data = self._signed(self._fapi, "GET", "/fapi/v1/positionSide/dual")
|
||||
self._hedge = bool(data.get("dualSidePosition") in (True, "true", "True"))
|
||||
except Exception as e:
|
||||
logger.warning("binance hedge mode probe failed: %s; assume one-way", e)
|
||||
self._hedge = False
|
||||
return self._hedge
|
||||
|
||||
def place_perp_market(
|
||||
self,
|
||||
*,
|
||||
symbol: str,
|
||||
side: str, # BUY|SELL
|
||||
qty_eth: float,
|
||||
position_side: str | None = None, # LONG|SHORT|None
|
||||
reduce_only: bool = False,
|
||||
) -> LiveFill:
|
||||
# ETHUSDT 数量单位为 ETH
|
||||
qty = f"{float(qty_eth):.3f}".rstrip("0").rstrip(".")
|
||||
if not qty or qty == "0":
|
||||
qty = "0.001"
|
||||
params: dict[str, Any] = {
|
||||
"symbol": symbol,
|
||||
"side": side.upper(),
|
||||
"type": "MARKET",
|
||||
"quantity": qty,
|
||||
}
|
||||
hedge = self.is_hedge_mode()
|
||||
if hedge:
|
||||
ps = (position_side or ("LONG" if side.upper() == "BUY" else "SHORT")).upper()
|
||||
params["positionSide"] = ps
|
||||
elif reduce_only:
|
||||
params["reduceOnly"] = "true"
|
||||
data = self._signed(self._fapi, "POST", "/fapi/v1/order", params)
|
||||
return self._fill_from_fapi(symbol, data)
|
||||
|
||||
def _fill_from_fapi(self, symbol: str, data: dict[str, Any]) -> LiveFill:
|
||||
ord_id = str(data.get("orderId") or "")
|
||||
avg = safe_float(data.get("avgPrice"))
|
||||
sz = safe_float(data.get("executedQty"))
|
||||
if (not avg or avg <= 0) and ord_id:
|
||||
q = self._signed(
|
||||
self._fapi,
|
||||
"GET",
|
||||
"/fapi/v1/order",
|
||||
{"symbol": symbol, "orderId": ord_id},
|
||||
)
|
||||
avg = safe_float(q.get("avgPrice")) or avg
|
||||
sz = safe_float(q.get("executedQty")) or sz
|
||||
data = q
|
||||
if not avg or avg <= 0:
|
||||
raise RuntimeError(f"币安永续无成交均价: {data}")
|
||||
# 手续费：优先 cumCommission；否则用名义×费率估
|
||||
fee = abs(safe_float(data.get("cumCommission")) or 0.0)
|
||||
if fee <= 0:
|
||||
fee = float(avg) * float(sz or 0) * float(self.settings.fee_rate)
|
||||
return LiveFill(
|
||||
inst_id=symbol,
|
||||
side=str(data.get("side") or "").lower(),
|
||||
avg_px=float(avg),
|
||||
sz=float(sz or 0),
|
||||
fee=float(fee),
|
||||
ord_id=ord_id,
|
||||
raw=data if isinstance(data, dict) else {},
|
||||
)
|
||||
|
||||
def place_option_market(
|
||||
self,
|
||||
*,
|
||||
symbol: str,
|
||||
side: str, # BUY|SELL
|
||||
quantity: float,
|
||||
reduce_only: bool = False,
|
||||
) -> LiveFill:
|
||||
qty = str(int(round(quantity)))
|
||||
if qty == "0":
|
||||
qty = "1"
|
||||
params: dict[str, Any] = {
|
||||
"symbol": symbol,
|
||||
"side": side.upper(),
|
||||
"type": "MARKET",
|
||||
"quantity": qty,
|
||||
}
|
||||
if reduce_only:
|
||||
params["reduceOnly"] = "true"
|
||||
data = self._signed(self._eapi, "POST", "/eapi/v1/order", params)
|
||||
return self._fill_from_eapi(symbol, data)
|
||||
|
||||
def _fill_from_eapi(self, symbol: str, data: dict[str, Any]) -> LiveFill:
|
||||
ord_id = str(data.get("orderId") or data.get("id") or "")
|
||||
avg = safe_float(data.get("avgPrice")) or safe_float(data.get("price"))
|
||||
sz = safe_float(data.get("executedQty")) or safe_float(data.get("quantity"))
|
||||
if (not avg or avg <= 0) and ord_id:
|
||||
# 轮询几轮
|
||||
for _ in range(8):
|
||||
time.sleep(0.2)
|
||||
q = self._signed(
|
||||
self._eapi,
|
||||
"GET",
|
||||
"/eapi/v1/order",
|
||||
{"symbol": symbol, "orderId": ord_id},
|
||||
)
|
||||
avg = safe_float(q.get("avgPrice")) or safe_float(q.get("price"))
|
||||
sz = safe_float(q.get("executedQty")) or safe_float(q.get("quantity"))
|
||||
st = str(q.get("status") or "").upper()
|
||||
data = q
|
||||
if avg and avg > 0 and st in ("FILLED", "PARTIALLY_FILLED"):
|
||||
break
|
||||
if st in ("CANCELED", "REJECTED", "EXPIRED"):
|
||||
raise RuntimeError(f"币安期权订单失败 status={st} {q}")
|
||||
if not avg or avg <= 0:
|
||||
raise RuntimeError(f"币安期权无成交均价: {data}")
|
||||
fee = abs(safe_float(data.get("fee")) or 0.0)
|
||||
if fee <= 0:
|
||||
fee = float(avg) * float(sz or 0) * float(self.settings.fee_rate)
|
||||
return LiveFill(
|
||||
inst_id=symbol,
|
||||
side=str(data.get("side") or "").lower(),
|
||||
avg_px=float(avg),
|
||||
sz=float(sz or 0),
|
||||
fee=float(fee),
|
||||
ord_id=ord_id,
|
||||
raw=data if isinstance(data, dict) else {},
|
||||
)
|
||||
+406
-62
@@ -4,7 +4,6 @@ from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import time
|
||||
from typing import Any
|
||||
|
||||
from ..config import get_settings
|
||||
from ..env_store import live_ready
|
||||
@@ -54,9 +53,12 @@ class OkxLiveExecutor(Matcher):
|
||||
return OpenResult(ok=False, detail=err)
|
||||
|
||||
s = get_settings()
|
||||
pos = self.current_position()
|
||||
if pos.get("status") == "open" and pos.get("group_id"):
|
||||
return OpenResult(ok=False, detail="已有持仓组，请先平仓")
|
||||
if self.has_open_position():
|
||||
st = self.position_status()
|
||||
return OpenResult(
|
||||
ok=False,
|
||||
detail=f"已有持仓/半仓状态({st})，请先修复或平仓",
|
||||
)
|
||||
|
||||
client = self._client()
|
||||
perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
|
||||
@@ -76,7 +78,7 @@ class OkxLiveExecutor(Matcher):
|
||||
logger.exception("live open option failed")
|
||||
return OpenResult(ok=False, detail=f"实盘开期权失败: {e}")
|
||||
|
||||
# 永续：按仓位方向
|
||||
# 永续市价：按产品假设，失败原因实质为保证金不足 → 必须回滚期权
|
||||
try:
|
||||
ct_val = client.get_ct_val(s.perp_inst_id, inst_type="SWAP")
|
||||
perp_sz = max(1, int(round(perp_qty / ct_val)))
|
||||
@@ -92,7 +94,7 @@ class OkxLiveExecutor(Matcher):
|
||||
pos_side=pos_side,
|
||||
)
|
||||
except Exception as e:
|
||||
logger.exception("live open perp failed; attempting option close")
|
||||
logger.exception("live open perp failed (likely margin); rollback option")
|
||||
try:
|
||||
client.place_market(
|
||||
inst_id=option_inst_id,
|
||||
@@ -103,11 +105,30 @@ class OkxLiveExecutor(Matcher):
|
||||
)
|
||||
except Exception as e2:
|
||||
logger.exception("live option rollback failed: %s", e2)
|
||||
self._persist_half_open(
|
||||
group_id=group_id,
|
||||
bias=bias,
|
||||
option_side=option_side,
|
||||
perp_side=perp_side,
|
||||
option_inst_id=option_inst_id,
|
||||
entry_index_px=entry_index_px,
|
||||
strike=strike,
|
||||
expiry_ymd=expiry_ymd,
|
||||
opt_qty=opt_qty,
|
||||
opt_contracts=opt_contracts,
|
||||
of_px=float(opt_fill.avg_px),
|
||||
of_fee=float(opt_fill.fee),
|
||||
detail=f"保证金开永续失败且期权回滚失败: {e} / {e2}",
|
||||
)
|
||||
return OpenResult(
|
||||
ok=False,
|
||||
detail=f"永续开仓失败且期权回滚失败: {e} / {e2}",
|
||||
group_id=group_id,
|
||||
detail=f"永续开仓失败(保证金)且期权回滚失败，已标记 half_open: {e} / {e2}",
|
||||
)
|
||||
return OpenResult(ok=False, detail=f"永续开仓失败，已尝试平期权: {e}")
|
||||
return OpenResult(
|
||||
ok=False,
|
||||
detail=f"永续开仓失败(多为保证金不足)，已回滚期权: {e}",
|
||||
)
|
||||
|
||||
of_px = float(opt_fill.avg_px)
|
||||
pf_px = float(perp_fill_live.avg_px)
|
||||
@@ -117,21 +138,21 @@ class OkxLiveExecutor(Matcher):
|
||||
of_notional = of_px * opt_qty
|
||||
pf_notional = pf_px * perp_qty
|
||||
|
||||
try:
|
||||
self.ledger.apply_cash(
|
||||
-(of_notional + of_fee),
|
||||
kind="open_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE open option {group_id}",
|
||||
)
|
||||
self.ledger.apply_cash(
|
||||
-pf_fee,
|
||||
kind="open_perp_fee",
|
||||
group_id=group_id,
|
||||
note=f"LIVE open perp {group_id}",
|
||||
)
|
||||
except RuntimeError as e:
|
||||
return OpenResult(ok=False, detail=str(e))
|
||||
# LIVE：交易所已成交，本地账本允许透支镜像，禁止因账本拒记导致「交易所有仓、DB 空」
|
||||
self.ledger.apply_cash(
|
||||
-(of_notional + of_fee),
|
||||
kind="open_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE open option {group_id}",
|
||||
allow_negative=True,
|
||||
)
|
||||
self.ledger.apply_cash(
|
||||
-pf_fee,
|
||||
kind="open_perp_fee",
|
||||
group_id=group_id,
|
||||
note=f"LIVE open perp {group_id}",
|
||||
allow_negative=True,
|
||||
)
|
||||
|
||||
now = int(time.time() * 1000)
|
||||
with self.db._lock:
|
||||
@@ -238,6 +259,192 @@ class OkxLiveExecutor(Matcher):
|
||||
},
|
||||
)
|
||||
|
||||
def _persist_half_open(
|
||||
self,
|
||||
*,
|
||||
group_id: str,
|
||||
bias: str,
|
||||
option_side: str,
|
||||
perp_side: str,
|
||||
option_inst_id: str,
|
||||
entry_index_px: float,
|
||||
strike: float | None,
|
||||
expiry_ymd: str | None,
|
||||
opt_qty: float,
|
||||
opt_contracts: float,
|
||||
of_px: float,
|
||||
of_fee: float,
|
||||
detail: str,
|
||||
) -> None:
|
||||
"""期权已成交、永续未开且回滚失败 → 落 half_open，禁止新开，待 repair。"""
|
||||
s = get_settings()
|
||||
initial_premium = of_px * opt_qty
|
||||
self.ledger.apply_cash(
|
||||
-(of_px * opt_qty + of_fee),
|
||||
kind="open_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE half_open option {group_id}",
|
||||
allow_negative=True,
|
||||
)
|
||||
now = int(time.time() * 1000)
|
||||
with self.db._lock:
|
||||
existing = self.db._conn.execute(
|
||||
"SELECT group_id FROM groups WHERE group_id=?", (group_id,)
|
||||
).fetchone()
|
||||
if existing is None:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO groups(
|
||||
group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
|
||||
strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
|
||||
exec_mode, note
|
||||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"half_open",
|
||||
bias,
|
||||
option_side,
|
||||
perp_side,
|
||||
option_inst_id,
|
||||
s.perp_inst_id,
|
||||
strike,
|
||||
expiry_ymd,
|
||||
entry_index_px,
|
||||
initial_premium,
|
||||
now,
|
||||
of_fee,
|
||||
0.0,
|
||||
"LIVE",
|
||||
detail[:200],
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"open",
|
||||
"long",
|
||||
option_inst_id,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
of_px,
|
||||
of_fee,
|
||||
0.0,
|
||||
of_px * opt_qty,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=?, perp_side=?, perp_qty_eth=0, perp_entry_px=NULL,
|
||||
option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
|
||||
option_entry_px=?, entry_index_px=?, initial_premium=?, status='half_open'
|
||||
WHERE id=1""",
|
||||
(
|
||||
group_id,
|
||||
perp_side,
|
||||
option_inst_id,
|
||||
option_side,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
entry_index_px,
|
||||
initial_premium,
|
||||
),
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
def repair_half_open(self) -> CloseResult:
|
||||
"""卖出 half_open 残留期权，清本地状态。"""
|
||||
err = self._guard_live()
|
||||
if err:
|
||||
return CloseResult(ok=False, detail=err)
|
||||
pos = self.current_position()
|
||||
if pos.get("status") != "half_open":
|
||||
return CloseResult(ok=False, detail="非 half_open 状态")
|
||||
group_id = str(pos.get("group_id") or "")
|
||||
option_inst_id = str(pos.get("option_inst_id") or "")
|
||||
opt_contracts = float(pos.get("option_qty_contracts") or 0)
|
||||
opt_qty = float(pos.get("option_qty_eth") or 0)
|
||||
if not option_inst_id or opt_contracts <= 0:
|
||||
return CloseResult(ok=False, detail="half_open 缺期权合约信息")
|
||||
client = self._client()
|
||||
try:
|
||||
opt_live = client.place_market(
|
||||
inst_id=option_inst_id,
|
||||
side="sell",
|
||||
sz=str(int(round(opt_contracts))),
|
||||
td_mode="cash",
|
||||
reduce_only=True,
|
||||
)
|
||||
except Exception as e:
|
||||
return CloseResult(ok=False, detail=f"half_open 平期权失败: {e}")
|
||||
of_px = float(opt_live.avg_px)
|
||||
of_fee = float(opt_live.fee)
|
||||
of_notional = of_px * opt_qty
|
||||
opt_entry = float(pos.get("option_entry_px") or of_px)
|
||||
self.ledger.apply_cash(
|
||||
of_notional - of_fee,
|
||||
kind="close_option",
|
||||
group_id=group_id or None,
|
||||
note="LIVE repair half_open",
|
||||
allow_negative=True,
|
||||
)
|
||||
now = int(time.time() * 1000)
|
||||
with self.db._lock:
|
||||
if group_id:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"close",
|
||||
"flat",
|
||||
option_inst_id,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
of_px,
|
||||
of_fee,
|
||||
0.0,
|
||||
of_notional,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
opt_pnl = (of_px - opt_entry) * opt_qty - of_fee
|
||||
self.db._conn.execute(
|
||||
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?, note=?
|
||||
WHERE group_id=?""",
|
||||
(
|
||||
"closed",
|
||||
now,
|
||||
"half_open_repair",
|
||||
float(opt_pnl),
|
||||
"repaired half_open",
|
||||
group_id,
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
|
||||
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
|
||||
option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
|
||||
WHERE id=1"""
|
||||
)
|
||||
self.db._conn.commit()
|
||||
return CloseResult(
|
||||
ok=True,
|
||||
detail="half_open_repaired",
|
||||
data={"group_id": group_id, "exec_mode": "LIVE"},
|
||||
)
|
||||
|
||||
def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
|
||||
err = self._guard_live()
|
||||
if err:
|
||||
@@ -245,7 +452,10 @@ class OkxLiveExecutor(Matcher):
|
||||
|
||||
s = get_settings()
|
||||
pos = self.current_position()
|
||||
if pos.get("status") != "open" or not pos.get("group_id"):
|
||||
st = str(pos.get("status") or "")
|
||||
if st == "half_open":
|
||||
return self.repair_half_open()
|
||||
if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
|
||||
return CloseResult(ok=False, detail="无持仓可平")
|
||||
|
||||
group_id = str(pos["group_id"])
|
||||
@@ -258,6 +468,7 @@ class OkxLiveExecutor(Matcher):
|
||||
client = self._client()
|
||||
is_expiry = reason == "expiry"
|
||||
fee_rate = self._fee_rate()
|
||||
pending_perp_only = st == "option_closed_perp_pending"
|
||||
|
||||
sess = get_session()
|
||||
snap = sess.snapshot()
|
||||
@@ -274,7 +485,24 @@ class OkxLiveExecutor(Matcher):
|
||||
of_slip = 0.0
|
||||
of_notional = 0.0
|
||||
|
||||
if is_expiry:
|
||||
if pending_perp_only:
|
||||
# 期权已在上次成交并入账；只读上次平期权 fill
|
||||
prev = self.db.fetchone(
|
||||
"""SELECT fill_px, fee, notional, slip FROM fills
|
||||
WHERE group_id=? AND leg='option' AND action='close'
|
||||
ORDER BY id DESC LIMIT 1""",
|
||||
(group_id,),
|
||||
)
|
||||
if prev is None:
|
||||
return CloseResult(
|
||||
ok=False,
|
||||
detail="option_closed_perp_pending 缺期权平仓记录，请人工核对",
|
||||
)
|
||||
of_px = float(prev["fill_px"])
|
||||
of_fee = float(prev["fee"] or 0)
|
||||
of_notional = float(prev["notional"] or (of_px * opt_qty))
|
||||
of_slip = float(prev["slip"] or 0)
|
||||
elif is_expiry:
|
||||
if intrinsic is None:
|
||||
return CloseResult(ok=False, detail="到期结算失败：缺行权价或标的价")
|
||||
of = option_expiry_settle(
|
||||
@@ -302,6 +530,20 @@ class OkxLiveExecutor(Matcher):
|
||||
)
|
||||
return CloseResult(ok=False, detail=f"实盘平期权失败: {e}")
|
||||
|
||||
# 期权已平：立刻落 pending，避免永续失败后重试再卖期权
|
||||
self._mark_option_closed_perp_pending(
|
||||
group_id=group_id,
|
||||
option_inst_id=option_inst_id,
|
||||
opt_qty=opt_qty,
|
||||
opt_contracts=opt_contracts,
|
||||
of_px=of_px,
|
||||
of_fee=of_fee,
|
||||
of_notional=of_notional,
|
||||
of_slip=of_slip,
|
||||
reason=reason,
|
||||
)
|
||||
pending_perp_only = True
|
||||
|
||||
try:
|
||||
ct_val = client.get_ct_val(s.perp_inst_id, inst_type="SWAP")
|
||||
perp_sz = max(1, int(round(perp_qty / ct_val)))
|
||||
@@ -320,35 +562,55 @@ class OkxLiveExecutor(Matcher):
|
||||
pf_px = float(perp_live.avg_px)
|
||||
pf_fee = float(perp_live.fee)
|
||||
except Exception as e:
|
||||
return CloseResult(ok=False, detail=f"期权已平但永续平仓失败: {e}")
|
||||
return CloseResult(
|
||||
ok=False,
|
||||
detail=f"期权已平，永续待平(option_closed_perp_pending): {e}",
|
||||
)
|
||||
|
||||
opt_entry = float(pos["option_entry_px"])
|
||||
perp_entry = float(pos["perp_entry_px"])
|
||||
opt_pnl = (of_px - opt_entry) * opt_qty
|
||||
if perp_side == "long":
|
||||
perp_pnl = (pf_px - perp_entry) * perp_qty
|
||||
else:
|
||||
perp_pnl = (perp_entry - pf_px) * perp_qty
|
||||
return self._finalize_dual_close(
|
||||
pos=pos,
|
||||
group_id=group_id,
|
||||
option_inst_id=option_inst_id,
|
||||
opt_qty=opt_qty,
|
||||
opt_contracts=opt_contracts,
|
||||
of_px=of_px,
|
||||
of_fee=of_fee,
|
||||
of_slip=of_slip,
|
||||
of_notional=of_notional,
|
||||
pf_px=pf_px,
|
||||
pf_fee=pf_fee,
|
||||
reason=reason,
|
||||
option_fill_already_written=(
|
||||
st == "option_closed_perp_pending"
|
||||
or (pending_perp_only and not is_expiry)
|
||||
),
|
||||
skip_option_cash=(
|
||||
st == "option_closed_perp_pending"
|
||||
or (pending_perp_only and not is_expiry)
|
||||
),
|
||||
)
|
||||
|
||||
def _mark_option_closed_perp_pending(
|
||||
self,
|
||||
*,
|
||||
group_id: str,
|
||||
option_inst_id: str,
|
||||
opt_qty: float,
|
||||
opt_contracts: float,
|
||||
of_px: float,
|
||||
of_fee: float,
|
||||
of_notional: float,
|
||||
of_slip: float,
|
||||
reason: str,
|
||||
) -> None:
|
||||
self.ledger.apply_cash(
|
||||
of_notional - of_fee,
|
||||
kind="close_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE close option {reason}",
|
||||
note=f"LIVE close option pending perp {reason}",
|
||||
allow_negative=True,
|
||||
)
|
||||
self.ledger.apply_cash(
|
||||
perp_pnl - pf_fee,
|
||||
kind="close_perp",
|
||||
group_id=group_id,
|
||||
note=f"LIVE close perp {reason}",
|
||||
)
|
||||
|
||||
now = int(time.time() * 1000)
|
||||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||||
fees = float((g["fees"] if g else 0) or 0) + of_fee + pf_fee
|
||||
slip = float((g["slip_cost"] if g else 0) or 0) + of_slip
|
||||
from ..sim.pnl import summarize_fills_pnl
|
||||
|
||||
with self.db._lock:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
@@ -371,6 +633,92 @@ class OkxLiveExecutor(Matcher):
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"UPDATE positions SET status='option_closed_perp_pending' WHERE id=1"
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"UPDATE groups SET fees=COALESCE(fees,0)+?, note=? WHERE group_id=?",
|
||||
(of_fee, f"option_closed_perp_pending:{reason}", group_id),
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
def _finalize_dual_close(
|
||||
self,
|
||||
*,
|
||||
pos: dict,
|
||||
group_id: str,
|
||||
option_inst_id: str,
|
||||
opt_qty: float,
|
||||
opt_contracts: float,
|
||||
of_px: float,
|
||||
of_fee: float,
|
||||
of_slip: float,
|
||||
of_notional: float,
|
||||
pf_px: float,
|
||||
pf_fee: float,
|
||||
reason: str,
|
||||
option_fill_already_written: bool,
|
||||
skip_option_cash: bool,
|
||||
) -> CloseResult:
|
||||
s = get_settings()
|
||||
perp_side = str(pos["perp_side"])
|
||||
perp_qty = float(pos["perp_qty_eth"])
|
||||
opt_entry = float(pos["option_entry_px"])
|
||||
perp_entry = float(pos["perp_entry_px"] or pf_px)
|
||||
opt_pnl = (of_px - opt_entry) * opt_qty
|
||||
if perp_side == "long":
|
||||
perp_pnl = (pf_px - perp_entry) * perp_qty
|
||||
else:
|
||||
perp_pnl = (perp_entry - pf_px) * perp_qty
|
||||
|
||||
if not skip_option_cash:
|
||||
self.ledger.apply_cash(
|
||||
of_notional - of_fee,
|
||||
kind="close_option",
|
||||
group_id=group_id,
|
||||
note=f"LIVE close option {reason}",
|
||||
allow_negative=True,
|
||||
)
|
||||
self.ledger.apply_cash(
|
||||
perp_pnl - pf_fee,
|
||||
kind="close_perp",
|
||||
group_id=group_id,
|
||||
note=f"LIVE close perp {reason}",
|
||||
allow_negative=True,
|
||||
)
|
||||
|
||||
now = int(time.time() * 1000)
|
||||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||||
base_fees = float((g["fees"] if g else 0) or 0)
|
||||
fees = base_fees + (0.0 if skip_option_cash else of_fee) + pf_fee
|
||||
slip = float((g["slip_cost"] if g else 0) or 0) + (
|
||||
0.0 if option_fill_already_written else of_slip
|
||||
)
|
||||
from ..sim.pnl import summarize_fills_pnl
|
||||
|
||||
with self.db._lock:
|
||||
if not option_fill_already_written:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"close",
|
||||
"flat",
|
||||
option_inst_id,
|
||||
opt_qty,
|
||||
opt_contracts,
|
||||
of_px,
|
||||
of_px,
|
||||
of_fee,
|
||||
of_slip,
|
||||
of_notional,
|
||||
now,
|
||||
"LIVE",
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||||
@@ -419,18 +767,23 @@ class OkxLiveExecutor(Matcher):
|
||||
data={"group_id": group_id, "reason": reason, "net_pnl": net, "exec_mode": "LIVE"},
|
||||
)
|
||||
|
||||
def close_perp_abandon_option(self, *, reason: str = "target_perp_only") -> CloseResult:
|
||||
def close_perp_abandon_option(
|
||||
self, *, reason: str = "target_perp_only", require_deep_otm: bool = True
|
||||
) -> CloseResult:
|
||||
err = self._guard_live()
|
||||
if err:
|
||||
return CloseResult(ok=False, detail=err)
|
||||
# 先校验远虚，再实盘只平永续，其余写入复用父类逻辑的简化版：
|
||||
if not self.option_is_deep_otm():
|
||||
if require_deep_otm and not self.option_is_deep_otm():
|
||||
return CloseResult(ok=False, detail="期权非远虚，应走双腿全平")
|
||||
|
||||
s = get_settings()
|
||||
pos = self.current_position()
|
||||
if pos.get("status") != "open" or not pos.get("group_id"):
|
||||
st = str(pos.get("status") or "")
|
||||
if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
|
||||
return CloseResult(ok=False, detail="无持仓可平")
|
||||
# 若期权已平只剩永续，走 close_group 续平即可
|
||||
if st == "option_closed_perp_pending":
|
||||
return self.close_group(reason=reason, bypass_liquidity=True)
|
||||
|
||||
group_id = str(pos["group_id"])
|
||||
perp_side = str(pos["perp_side"])
|
||||
@@ -567,17 +920,6 @@ class OkxLiveExecutor(Matcher):
|
||||
)
|
||||
|
||||
|
||||
class BinanceLiveStub(Matcher):
|
||||
def open_group(self, **kwargs: Any) -> OpenResult: # type: ignore[override]
|
||||
return OpenResult(ok=False, detail="币安实盘下单尚未接入，请使用 OKX 或切回 SIM")
|
||||
|
||||
def close_group(self, **kwargs: Any) -> CloseResult: # type: ignore[override]
|
||||
return CloseResult(ok=False, detail="币安实盘下单尚未接入，请使用 OKX 或切回 SIM")
|
||||
|
||||
def close_perp_abandon_option(self, **kwargs: Any) -> CloseResult: # type: ignore[override]
|
||||
return CloseResult(ok=False, detail="币安实盘下单尚未接入，请使用 OKX 或切回 SIM")
|
||||
|
||||
|
||||
def get_executor(db=None) -> Matcher:
|
||||
"""按 MODE + 交易所返回执行器。"""
|
||||
from ..models.db import get_db
|
||||
@@ -588,5 +930,7 @@ def get_executor(db=None) -> Matcher:
|
||||
return Matcher(database)
|
||||
ex = load_runtime_settings().exchange
|
||||
if ex == "binance":
|
||||
return BinanceLiveStub(database)
|
||||
from .binance_executor import BinanceLiveExecutor
|
||||
|
||||
return BinanceLiveExecutor(database)
|
||||
return OkxLiveExecutor(database)
|
||||
|
||||
@@ -15,6 +15,7 @@ import httpx
|
||||
|
||||
from ..config import Settings, get_settings
|
||||
from ..exchange.okx.parse import safe_float
|
||||
from .rate_limit import RateLimitError, get_throttle, parse_retry_after_header
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
@@ -41,6 +42,7 @@ class OkxTradeClient:
|
||||
headers={"Accept": "application/json", "User-Agent": "eth-hedge-live/0.1"},
|
||||
)
|
||||
self._ct_val_cache: dict[str, float] = {}
|
||||
self._throttle = get_throttle("okx_trade", min_interval_sec=1.0)
|
||||
|
||||
def close(self) -> None:
|
||||
self._client.close()
|
||||
@@ -70,6 +72,7 @@ class OkxTradeClient:
|
||||
def _request(
|
||||
self, method: str, path: str, body: dict[str, Any] | None = None
|
||||
) -> list[dict[str, Any]]:
|
||||
self._throttle.before_request()
|
||||
payload = "" if body is None else json.dumps(body, separators=(",", ":"))
|
||||
ts = self._ts()
|
||||
sign = self._sign(ts, method, path, payload)
|
||||
@@ -78,11 +81,31 @@ class OkxTradeClient:
|
||||
r = self._client.get(path, headers=headers)
|
||||
else:
|
||||
r = self._client.request(method.upper(), path, content=payload, headers=headers)
|
||||
r.raise_for_status()
|
||||
if r.status_code in (418, 429):
|
||||
ra = parse_retry_after_header(r.headers)
|
||||
self._throttle.mark_http(r.status_code, ra)
|
||||
raise RateLimitError(
|
||||
f"OKX HTTP {r.status_code}: {r.text[:200]}",
|
||||
retry_after=self._throttle.remaining_cooldown(),
|
||||
)
|
||||
try:
|
||||
r.raise_for_status()
|
||||
except httpx.HTTPStatusError as e:
|
||||
raise RuntimeError(f"OKX HTTP {r.status_code}: {r.text[:300]}") from e
|
||||
data = r.json()
|
||||
if str(data.get("code")) != "0":
|
||||
code = str(data.get("code") or "")
|
||||
msg = str(data.get("msg") or "")
|
||||
# OKX 业务层频率类错误
|
||||
if code != "0":
|
||||
low = f"{code} {msg}".lower()
|
||||
if code in ("50011", "50061") or "too many" in low or "频率" in msg:
|
||||
self._throttle.mark_seconds(20.0)
|
||||
raise RateLimitError(
|
||||
f"OKX trade rate-limited code={code} msg={msg}",
|
||||
retry_after=self._throttle.remaining_cooldown(),
|
||||
)
|
||||
raise RuntimeError(
|
||||
f"OKX trade error code={data.get('code')} msg={data.get('msg')} data={data.get('data')}"
|
||||
f"OKX trade error code={code} msg={msg} data={data.get('data')}"
|
||||
)
|
||||
rows = data.get("data") or []
|
||||
return [x for x in rows if isinstance(x, dict)]
|
||||
|
||||
@@ -0,0 +1,196 @@
|
||||
"""实盘交易限流：私有 REST 冷却 + 失败退避。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import threading
|
||||
import time
|
||||
from typing import Any
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
_DEFAULT_429_SEC = 20.0
|
||||
_DEFAULT_418_SEC = 120.0
|
||||
_INTERVAL_MIN = 0.2
|
||||
_INTERVAL_MAX = 30.0
|
||||
|
||||
|
||||
def resolve_live_order_interval_sec() -> float:
|
||||
"""读取前端可配的 LIVE 下单最小间隔（秒），默认 1。"""
|
||||
try:
|
||||
from ..config import get_settings
|
||||
from ..models.db import get_db
|
||||
|
||||
s = get_settings()
|
||||
default = float(s.live_order_interval_sec)
|
||||
raw = get_db().get_setting("live_order_interval_sec", str(default))
|
||||
v = float(raw if raw not in (None, "") else default)
|
||||
if v != v: # NaN
|
||||
return 1.0
|
||||
return max(_INTERVAL_MIN, min(_INTERVAL_MAX, v))
|
||||
except Exception:
|
||||
return 1.0
|
||||
|
||||
|
||||
class RateLimitError(RuntimeError):
|
||||
"""处于限流/冷却中，调用方应退避，勿立即重试下单。"""
|
||||
|
||||
def __init__(self, message: str, *, retry_after: float = 0.0) -> None:
|
||||
super().__init__(message)
|
||||
self.retry_after = float(retry_after)
|
||||
|
||||
|
||||
class TradeThrottle:
|
||||
"""按通道节流：最小间隔 + 418/429 冷却。"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
name: str,
|
||||
*,
|
||||
min_interval_sec: float = 1.0,
|
||||
cooldown_429_sec: float = _DEFAULT_429_SEC,
|
||||
cooldown_418_sec: float = _DEFAULT_418_SEC,
|
||||
) -> None:
|
||||
self.name = name
|
||||
self.min_interval_sec = float(min_interval_sec)
|
||||
self.cooldown_429_sec = float(cooldown_429_sec)
|
||||
self.cooldown_418_sec = float(cooldown_418_sec)
|
||||
self._lock = threading.Lock()
|
||||
self._last_at = 0.0
|
||||
self._cool_until = 0.0
|
||||
|
||||
def remaining_cooldown(self) -> float:
|
||||
with self._lock:
|
||||
return max(0.0, self._cool_until - time.monotonic())
|
||||
|
||||
def before_request(self) -> None:
|
||||
"""请求前调用：冷却中抛 RateLimitError；否则等待最小间隔（可读设置）。"""
|
||||
interval = resolve_live_order_interval_sec()
|
||||
with self._lock:
|
||||
self.min_interval_sec = interval
|
||||
now = time.monotonic()
|
||||
if now < self._cool_until:
|
||||
left = self._cool_until - now
|
||||
raise RateLimitError(
|
||||
f"{self.name} rate-limit cooldown {left:.1f}s",
|
||||
retry_after=left,
|
||||
)
|
||||
gap = now - self._last_at
|
||||
wait = interval - gap
|
||||
if wait > 0:
|
||||
time.sleep(wait)
|
||||
with self._lock:
|
||||
self._last_at = time.monotonic()
|
||||
|
||||
def mark_http(self, status_code: int, retry_after: float | None = None) -> None:
|
||||
if status_code not in (418, 429):
|
||||
return
|
||||
if status_code == 418:
|
||||
wait = self.cooldown_418_sec
|
||||
else:
|
||||
wait = float(retry_after) if retry_after and retry_after > 0 else self.cooldown_429_sec
|
||||
wait = max(wait, self.cooldown_429_sec)
|
||||
with self._lock:
|
||||
self._cool_until = time.monotonic() + wait
|
||||
logger.warning("%s HTTP %s → cooldown %.0fs", self.name, status_code, wait)
|
||||
|
||||
def mark_seconds(self, seconds: float) -> None:
|
||||
wait = max(1.0, float(seconds))
|
||||
with self._lock:
|
||||
self._cool_until = max(self._cool_until, time.monotonic() + wait)
|
||||
logger.warning("%s cooldown %.0fs (manual)", self.name, wait)
|
||||
|
||||
|
||||
_THROTTLES: dict[str, TradeThrottle] = {}
|
||||
_THROTTLES_LOCK = threading.Lock()
|
||||
|
||||
|
||||
def get_throttle(name: str, **kwargs: Any) -> TradeThrottle:
|
||||
with _THROTTLES_LOCK:
|
||||
t = _THROTTLES.get(name)
|
||||
if t is None:
|
||||
t = TradeThrottle(name, **kwargs)
|
||||
_THROTTLES[name] = t
|
||||
return t
|
||||
|
||||
|
||||
def is_rate_limit_error(exc: BaseException | str) -> bool:
|
||||
if isinstance(exc, RateLimitError):
|
||||
return True
|
||||
text = str(exc).lower()
|
||||
needles = (
|
||||
"429",
|
||||
"418",
|
||||
"rate limit",
|
||||
"rate-limit",
|
||||
"ratelimit",
|
||||
"too many request",
|
||||
"cooldown",
|
||||
"banned",
|
||||
"frequency",
|
||||
"请求过于频繁",
|
||||
"超出频率",
|
||||
)
|
||||
return any(n in text for n in needles)
|
||||
|
||||
|
||||
def parse_retry_after_header(headers: Any) -> float | None:
|
||||
try:
|
||||
raw = headers.get("Retry-After") if headers is not None else None
|
||||
if raw is None:
|
||||
return None
|
||||
return float(raw)
|
||||
except (TypeError, ValueError):
|
||||
return None
|
||||
|
||||
|
||||
class LiveRetryGate:
|
||||
"""引擎侧失败退避：避免 half_open / pending / liquidity 每秒砸单。"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
*,
|
||||
base_sec: float = 2.0,
|
||||
max_sec: float = 60.0,
|
||||
rate_limit_min_sec: float = 20.0,
|
||||
trip_after: int = 12,
|
||||
trip_cooldown_sec: float = 180.0,
|
||||
) -> None:
|
||||
self.base_sec = float(base_sec)
|
||||
self.max_sec = float(max_sec)
|
||||
self.rate_limit_min_sec = float(rate_limit_min_sec)
|
||||
self.trip_after = int(trip_after)
|
||||
self.trip_cooldown_sec = float(trip_cooldown_sec)
|
||||
self._fails: dict[str, int] = {}
|
||||
self._next_at: dict[str, float] = {}
|
||||
|
||||
def allow(self, key: str) -> tuple[bool, float]:
|
||||
"""返回 (可否执行, 剩余等待秒)。"""
|
||||
left = max(0.0, self._next_at.get(key, 0.0) - time.monotonic())
|
||||
return left <= 0.0, left
|
||||
|
||||
def success(self, key: str) -> None:
|
||||
self._fails.pop(key, None)
|
||||
self._next_at.pop(key, None)
|
||||
|
||||
def fail(self, key: str, *, rate_limited: bool = False) -> float:
|
||||
n = int(self._fails.get(key, 0)) + 1
|
||||
self._fails[key] = n
|
||||
if rate_limited:
|
||||
delay = max(self.rate_limit_min_sec, self.rate_limit_min_sec * (1.5 ** min(n - 1, 4)))
|
||||
delay = min(delay, 120.0)
|
||||
elif n >= self.trip_after:
|
||||
delay = self.trip_cooldown_sec
|
||||
logger.error(
|
||||
"live retry gate tripped key=%s fails=%s cooldown=%.0fs",
|
||||
key,
|
||||
n,
|
||||
delay,
|
||||
)
|
||||
else:
|
||||
delay = min(self.max_sec, self.base_sec * (2 ** min(n - 1, 5)))
|
||||
self._next_at[key] = time.monotonic() + delay
|
||||
return delay
|
||||
|
||||
def fails(self, key: str) -> int:
|
||||
return int(self._fails.get(key, 0))
|
||||
@@ -196,6 +196,7 @@ class Database:
|
||||
"net_profit_target": str(s.net_profit_target),
|
||||
"premium_exit_multiple": str(s.premium_exit_multiple),
|
||||
"rest_seconds": str(s.rest_seconds),
|
||||
"live_order_interval_sec": str(s.live_order_interval_sec),
|
||||
"skip_weekends": str(s.skip_weekends),
|
||||
"max_rounds": str(s.max_rounds),
|
||||
"leverage": str(s.leverage),
|
||||
|
||||
@@ -27,15 +27,19 @@ class Ledger:
|
||||
kind: str,
|
||||
group_id: str | None = None,
|
||||
note: str = "",
|
||||
allow_negative: bool = False,
|
||||
) -> float:
|
||||
"""amount>0 入账；amount<0 出账。返回余额。"""
|
||||
"""amount>0 入账；amount<0 出账。返回余额。
|
||||
|
||||
LIVE 实盘成交后本地账本仅作镜像，须 allow_negative=True，避免「交易所已成交、本地拒记」导致卡仓。
|
||||
"""
|
||||
now = int(time.time() * 1000)
|
||||
with self.db._lock:
|
||||
row = self.db._conn.execute("SELECT * FROM ledger_meta WHERE id=1").fetchone()
|
||||
assert row is not None
|
||||
equity = float(row["equity"]) + float(amount)
|
||||
available = float(row["available"]) + float(amount)
|
||||
if available < -1e-9:
|
||||
if not allow_negative and available < -1e-9:
|
||||
raise RuntimeError("可用资金不足")
|
||||
self.db._conn.execute(
|
||||
"UPDATE ledger_meta SET equity=?, available=?, updated_at_ms=? WHERE id=1",
|
||||
|
||||
@@ -21,6 +21,11 @@ from .pricing import (
|
||||
resolve_option_close_bid,
|
||||
)
|
||||
|
||||
# 禁止新开仓的本地仓位状态（实盘防卡）
|
||||
BLOCKING_STATUSES = frozenset(
|
||||
{"open", "half_open", "option_closed_perp_pending"}
|
||||
)
|
||||
|
||||
|
||||
@dataclass(slots=True)
|
||||
class OpenResult:
|
||||
@@ -67,8 +72,15 @@ class Matcher:
|
||||
return dict(row)
|
||||
|
||||
def has_open_position(self) -> bool:
|
||||
"""是否禁止新开：含 open / half_open / option_closed_perp_pending。"""
|
||||
pos = self.current_position()
|
||||
return pos.get("status") == "open" and bool(pos.get("group_id"))
|
||||
st = str(pos.get("status") or "")
|
||||
if st not in BLOCKING_STATUSES:
|
||||
return False
|
||||
return bool(pos.get("group_id") or pos.get("option_inst_id"))
|
||||
|
||||
def position_status(self) -> str:
|
||||
return str(self.current_position().get("status") or "flat")
|
||||
|
||||
def _liquidity_wait(self, group_id: str, detail: str) -> CloseResult:
|
||||
note = f"liquidity_wait:{int(time.time())}:{detail[:80]}"
|
||||
@@ -601,7 +613,9 @@ class Matcher:
|
||||
option_side=option_side, strike=float(strike), spot=float(spot)
|
||||
)
|
||||
|
||||
def close_perp_abandon_option(self, *, reason: str = "target_perp_only") -> CloseResult:
|
||||
def close_perp_abandon_option(
|
||||
self, *, reason: str = "target_perp_only", require_deep_otm: bool = True
|
||||
) -> CloseResult:
|
||||
"""
|
||||
目标平仓 B：只平永续，期权归档为到期残留（不再盯盘、不挡新开）。
|
||||
"""
|
||||
@@ -622,7 +636,7 @@ class Matcher:
|
||||
spot = self._close_spot_px(snap)
|
||||
if strike is None or spot is None:
|
||||
return CloseResult(ok=False, detail="无法判断远虚：缺行权价或标的价")
|
||||
if not is_deep_otm(
|
||||
if require_deep_otm and not is_deep_otm(
|
||||
option_side=option_side, strike=float(strike), spot=float(spot)
|
||||
):
|
||||
return CloseResult(ok=False, detail="期权非远虚，应走双腿全平")
|
||||
|
||||
+130
-13
@@ -12,6 +12,7 @@ from .session import get_session
|
||||
from ..models.db import get_db
|
||||
from ..sim.ledger import Ledger
|
||||
from ..live import get_executor
|
||||
from ..live.rate_limit import LiveRetryGate, is_rate_limit_error
|
||||
from ..env_store import live_ready
|
||||
from .clock import can_open_new, window_key
|
||||
from .exits import check_expiry_close, check_exits, resolve_exit_target
|
||||
@@ -27,11 +28,39 @@ class StrategyEngine:
|
||||
self.matcher = get_executor(self.db)
|
||||
self._task: asyncio.Task[None] | None = None
|
||||
self._lock = asyncio.Lock()
|
||||
self._retry_gate = LiveRetryGate()
|
||||
self._extra_sleep_sec = 0.0
|
||||
|
||||
def refresh_executor(self) -> None:
|
||||
"""MODE 变更后刷新执行器。"""
|
||||
self.matcher = get_executor(self.db)
|
||||
|
||||
def _gate_key(self, kind: str) -> str:
|
||||
pos = self.matcher.current_position()
|
||||
gid = str(pos.get("group_id") or "none")
|
||||
return f"{kind}:{gid}"
|
||||
|
||||
def _note_retry_result(self, kind: str, *, ok: bool, detail: str = "") -> None:
|
||||
key = self._gate_key(kind)
|
||||
if ok:
|
||||
self._retry_gate.success(key)
|
||||
return
|
||||
rl = is_rate_limit_error(detail)
|
||||
delay = self._retry_gate.fail(key, rate_limited=rl)
|
||||
if rl:
|
||||
self._extra_sleep_sec = max(self._extra_sleep_sec, min(delay, 60.0))
|
||||
logger.warning(
|
||||
"live retry backoff kind=%s fails=%s delay=%.1fs rate_limited=%s detail=%s",
|
||||
kind,
|
||||
self._retry_gate.fails(key),
|
||||
delay,
|
||||
rl,
|
||||
(detail or "")[:160],
|
||||
)
|
||||
|
||||
def _retry_allowed(self, kind: str) -> tuple[bool, float]:
|
||||
return self._retry_gate.allow(self._gate_key(kind))
|
||||
|
||||
def state(self) -> dict[str, Any]:
|
||||
row = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
|
||||
assert row is not None
|
||||
@@ -139,13 +168,38 @@ class StrategyEngine:
|
||||
detail = "flat"
|
||||
ok = True
|
||||
pos = self.matcher.current_position()
|
||||
if pos.get("status") == "open":
|
||||
r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
|
||||
st = str(pos.get("status") or "flat")
|
||||
|
||||
if st == "half_open":
|
||||
repair = getattr(self.matcher, "repair_half_open", None)
|
||||
if callable(repair):
|
||||
r = repair()
|
||||
else:
|
||||
r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
|
||||
ok = r.ok
|
||||
detail = r.detail
|
||||
close_data = r.data
|
||||
if r.ok:
|
||||
self._after_close()
|
||||
elif st in ("open", "option_closed_perp_pending"):
|
||||
# A：双腿（或续平永续）
|
||||
r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
|
||||
if not r.ok and st == "open":
|
||||
# B：砸不出期权时强制只平永续（不要求远虚）
|
||||
abandon = getattr(self.matcher, "close_perp_abandon_option", None)
|
||||
if callable(abandon):
|
||||
try:
|
||||
r2 = abandon(reason="emergency_perp", require_deep_otm=False)
|
||||
except TypeError:
|
||||
r2 = abandon(reason="emergency_perp")
|
||||
if r2.ok:
|
||||
r = r2
|
||||
ok = r.ok
|
||||
detail = r.detail
|
||||
close_data = r.data
|
||||
if r.ok:
|
||||
self._after_close()
|
||||
|
||||
residuals = self.matcher.settle_all_residuals_now()
|
||||
return {
|
||||
"close": {
|
||||
@@ -201,23 +255,44 @@ class StrategyEngine:
|
||||
bypass_liquidity: bool,
|
||||
pending_close: bool,
|
||||
abandon_if_deep_otm: bool = False,
|
||||
retry_kind: str | None = None,
|
||||
) -> None:
|
||||
kind = retry_kind or (
|
||||
"perp_pending"
|
||||
if reason == "perp_pending_retry"
|
||||
else ("liquidity" if pending_close or not bypass_liquidity else "close")
|
||||
)
|
||||
allowed, left = self._retry_allowed(kind)
|
||||
if not allowed:
|
||||
self._set_state(
|
||||
phase="liquidity_wait" if kind == "liquidity" else "closing",
|
||||
last_error=f"限流/失败退避中，{left:.0f}s 后再试 ({kind})",
|
||||
)
|
||||
return
|
||||
|
||||
if not pending_close:
|
||||
self._set_state(phase="closing", last_error=None)
|
||||
|
||||
# 目标平仓 B：远虚 → 只平永续，期权归档
|
||||
if abandon_if_deep_otm and reason != "expiry" and self.matcher.option_is_deep_otm():
|
||||
r = await asyncio.to_thread(
|
||||
self.matcher.close_perp_abandon_option,
|
||||
reason="target_perp_only",
|
||||
)
|
||||
abandon = self.matcher.close_perp_abandon_option
|
||||
try:
|
||||
r = await asyncio.to_thread(
|
||||
abandon,
|
||||
reason="target_perp_only",
|
||||
require_deep_otm=True,
|
||||
)
|
||||
except TypeError:
|
||||
r = await asyncio.to_thread(abandon, reason="target_perp_only")
|
||||
if r.ok:
|
||||
self._note_retry_result(kind, ok=True)
|
||||
self._after_close()
|
||||
self._set_state(
|
||||
last_error=None,
|
||||
phase="resting",
|
||||
)
|
||||
else:
|
||||
self._note_retry_result(kind, ok=False, detail=r.detail)
|
||||
self._set_state(phase="closing", last_error=r.detail)
|
||||
return
|
||||
|
||||
@@ -227,6 +302,7 @@ class StrategyEngine:
|
||||
bypass_liquidity=bypass_liquidity,
|
||||
)
|
||||
if r.ok:
|
||||
self._note_retry_result(kind, ok=True)
|
||||
self._after_close()
|
||||
elif r.liquidity_wait and not bypass_liquidity:
|
||||
# 等待期间若已变成远虚，下一 tick 走归档
|
||||
@@ -236,10 +312,13 @@ class StrategyEngine:
|
||||
reason="target_perp_only",
|
||||
)
|
||||
if r2.ok:
|
||||
self._note_retry_result(kind, ok=True)
|
||||
self._after_close()
|
||||
return
|
||||
self._note_retry_result("liquidity", ok=False, detail=r.detail)
|
||||
self._set_state(phase="liquidity_wait", last_error=r.detail)
|
||||
else:
|
||||
self._note_retry_result(kind, ok=False, detail=r.detail)
|
||||
self._set_state(phase="closing", last_error=r.detail)
|
||||
|
||||
async def _settle_residuals(self) -> None:
|
||||
@@ -249,7 +328,7 @@ class StrategyEngine:
|
||||
"""若持仓已到期则强制全平。返回是否触发到期平仓。"""
|
||||
await self._settle_residuals()
|
||||
pos = self.matcher.current_position()
|
||||
if pos.get("status") != "open":
|
||||
if pos.get("status") not in ("open", "option_closed_perp_pending"):
|
||||
return False
|
||||
upl = self.matcher.unrealized()
|
||||
expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
|
||||
@@ -263,6 +342,7 @@ class StrategyEngine:
|
||||
bypass_liquidity=True,
|
||||
pending_close=pending,
|
||||
abandon_if_deep_otm=False,
|
||||
retry_kind="expiry",
|
||||
)
|
||||
return True
|
||||
|
||||
@@ -288,15 +368,16 @@ class StrategyEngine:
|
||||
raise
|
||||
except Exception as e:
|
||||
err = str(e)
|
||||
# 限流时勿刷屏；拉长休眠给 eapi 冷却
|
||||
if "418" in err or "429" in err or "cooldown" in err.lower():
|
||||
if is_rate_limit_error(err):
|
||||
logger.warning("strategy tick rate-limited: %s", err[:200])
|
||||
self._set_state(last_error="币安期权接口限流，稍后自动重试")
|
||||
await asyncio.sleep(15)
|
||||
self._set_state(last_error="交易/行情接口限流，稍后自动重试")
|
||||
await asyncio.sleep(20)
|
||||
continue
|
||||
logger.exception("strategy tick failed")
|
||||
self._set_state(last_error=err)
|
||||
await asyncio.sleep(1)
|
||||
sleep_for = 1.0 + max(0.0, self._extra_sleep_sec)
|
||||
self._extra_sleep_sec = 0.0
|
||||
await asyncio.sleep(min(sleep_for, 60.0))
|
||||
|
||||
async def _tick_async(self) -> None:
|
||||
# 残留期权到期结算（与活跃组隔离，不挡开仓）
|
||||
@@ -319,9 +400,42 @@ class StrategyEngine:
|
||||
"premium_exit_multiple", s.premium_exit_multiple
|
||||
)
|
||||
pos = self.matcher.current_position()
|
||||
st_pos = str(pos.get("status") or "flat")
|
||||
|
||||
# 实盘半仓修复：禁止新开；失败指数退避，避免每秒砸期权
|
||||
if st_pos == "half_open":
|
||||
allowed, left = self._retry_allowed("half_open")
|
||||
if not allowed:
|
||||
self._set_state(
|
||||
phase="closing",
|
||||
last_error=f"half_open 修复退避中，{left:.0f}s 后再试",
|
||||
)
|
||||
return
|
||||
repair = getattr(self.matcher, "repair_half_open", None)
|
||||
if callable(repair):
|
||||
r = await asyncio.to_thread(repair)
|
||||
if r.ok:
|
||||
self._note_retry_result("half_open", ok=True)
|
||||
self._after_close()
|
||||
self._set_state(phase="resting", last_error=None)
|
||||
else:
|
||||
self._note_retry_result("half_open", ok=False, detail=r.detail)
|
||||
self._set_state(phase="closing", last_error=r.detail)
|
||||
return
|
||||
|
||||
# 期权已平、永续待平：只续平永续（带退避）
|
||||
if st_pos == "option_closed_perp_pending":
|
||||
await self._close_open_position(
|
||||
reason="perp_pending_retry",
|
||||
bypass_liquidity=True,
|
||||
pending_close=True,
|
||||
abandon_if_deep_otm=False,
|
||||
retry_kind="perp_pending",
|
||||
)
|
||||
return
|
||||
|
||||
# 有活跃持仓：只盯当前组平仓；残留期权不在此扫描
|
||||
if pos.get("status") == "open":
|
||||
if st_pos == "open":
|
||||
upl = self.matcher.unrealized()
|
||||
expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
|
||||
decision = check_exits(
|
||||
@@ -337,16 +451,19 @@ class StrategyEngine:
|
||||
reason = "expiry"
|
||||
bypass = True
|
||||
abandon = False
|
||||
rkind = "expiry"
|
||||
else:
|
||||
reason = decision.reason or "liquidity_retry"
|
||||
bypass = False
|
||||
# 目标达标（或流动性等待重试）时：远虚走只平永续
|
||||
abandon = bool(decision.should_close or pending_close)
|
||||
rkind = "liquidity" if pending_close else "close"
|
||||
await self._close_open_position(
|
||||
reason=reason,
|
||||
bypass_liquidity=bypass,
|
||||
pending_close=pending_close,
|
||||
abandon_if_deep_otm=abandon,
|
||||
retry_kind=rkind,
|
||||
)
|
||||
else:
|
||||
self._set_state(phase="open", last_error=None)
|
||||
|
||||
@@ -30,9 +30,15 @@ _session: StrategySession | None = None
|
||||
def _has_open_position() -> bool:
|
||||
try:
|
||||
from ..models.db import get_db
|
||||
from ..sim.matcher import BLOCKING_STATUSES
|
||||
|
||||
row = get_db().fetchone("SELECT status FROM positions WHERE id=1")
|
||||
return bool(row and row["status"] == "open")
|
||||
row = get_db().fetchone("SELECT status, group_id, option_inst_id FROM positions WHERE id=1")
|
||||
if not row:
|
||||
return False
|
||||
st = str(row["status"] or "")
|
||||
if st not in BLOCKING_STATUSES:
|
||||
return False
|
||||
return bool(row["group_id"] or row["option_inst_id"])
|
||||
except Exception:
|
||||
return False
|
||||
|
||||
@@ -45,7 +51,10 @@ def _held_option_inst_id() -> str | None:
|
||||
row = get_db().fetchone(
|
||||
"SELECT status, option_inst_id FROM positions WHERE id=1"
|
||||
)
|
||||
if not row or row["status"] != "open":
|
||||
if not row or row["status"] not in ("open", "half_open", "option_closed_perp_pending"):
|
||||
return None
|
||||
# 期权已平待平永续：不再钉期权盘口
|
||||
if row["status"] == "option_closed_perp_pending":
|
||||
return None
|
||||
inst = str(row["option_inst_id"] or "").strip()
|
||||
return inst or None
|
||||
|
||||
@@ -0,0 +1,59 @@
|
||||
"""实盘限流 / 退避单测。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import time
|
||||
|
||||
from app.live.rate_limit import (
|
||||
LiveRetryGate,
|
||||
RateLimitError,
|
||||
TradeThrottle,
|
||||
get_throttle,
|
||||
is_rate_limit_error,
|
||||
)
|
||||
|
||||
|
||||
def test_is_rate_limit_error() -> None:
|
||||
assert is_rate_limit_error("HTTP 429 too many")
|
||||
assert is_rate_limit_error("binance eapi cooldown 12s")
|
||||
assert is_rate_limit_error(RateLimitError("x", retry_after=5))
|
||||
assert not is_rate_limit_error("保证金不足")
|
||||
|
||||
|
||||
def test_trade_throttle_cooldown() -> None:
|
||||
t = TradeThrottle("ut_throttle", min_interval_sec=0.01, cooldown_429_sec=0.3)
|
||||
t.before_request()
|
||||
t.mark_http(429)
|
||||
try:
|
||||
t.before_request()
|
||||
assert False, "expected RateLimitError"
|
||||
except RateLimitError as e:
|
||||
assert e.retry_after > 0
|
||||
time.sleep(0.35)
|
||||
t.before_request() # 冷却结束后可继续
|
||||
|
||||
|
||||
def test_get_throttle_singleton() -> None:
|
||||
a = get_throttle("ut_shared_x", min_interval_sec=0.01)
|
||||
b = get_throttle("ut_shared_x")
|
||||
assert a is b
|
||||
|
||||
|
||||
def test_live_retry_gate_backoff() -> None:
|
||||
g = LiveRetryGate(base_sec=0.05, max_sec=0.2, rate_limit_min_sec=0.1, trip_after=100)
|
||||
assert g.allow("k")[0] is True
|
||||
d1 = g.fail("k")
|
||||
assert d1 >= 0.05
|
||||
ok, left = g.allow("k")
|
||||
assert ok is False
|
||||
assert left > 0
|
||||
time.sleep(d1 + 0.02)
|
||||
assert g.allow("k")[0] is True
|
||||
g.success("k")
|
||||
assert g.fails("k") == 0
|
||||
|
||||
|
||||
def test_live_retry_gate_rate_limited_longer() -> None:
|
||||
g = LiveRetryGate(base_sec=0.01, rate_limit_min_sec=0.2)
|
||||
d = g.fail("rl", rate_limited=True)
|
||||
assert d >= 0.2
|
||||
@@ -0,0 +1,69 @@
|
||||
"""实盘防卡状态：half_open / option_closed_perp_pending。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from app.sim.ledger import Ledger
|
||||
from app.sim.matcher import BLOCKING_STATUSES, Matcher
|
||||
|
||||
|
||||
def test_blocking_statuses_include_repair_states() -> None:
|
||||
assert "half_open" in BLOCKING_STATUSES
|
||||
assert "option_closed_perp_pending" in BLOCKING_STATUSES
|
||||
assert "open" in BLOCKING_STATUSES
|
||||
|
||||
|
||||
def test_has_open_position_blocks_half_open(tmp_path, monkeypatch) -> None:
|
||||
monkeypatch.setenv("MODE", "SIM")
|
||||
from app.models.db import Database
|
||||
|
||||
db = Database(tmp_path / "t.db")
|
||||
m = Matcher(db)
|
||||
assert m.has_open_position() is False
|
||||
|
||||
with db._lock:
|
||||
db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=?, option_inst_id=?, option_side=?, option_qty_eth=?,
|
||||
option_qty_contracts=?, option_entry_px=?, status=?
|
||||
WHERE id=1""",
|
||||
("G-test", "ETH-OPT", "call", 2.0, 200.0, 10.0, "half_open"),
|
||||
)
|
||||
db._conn.commit()
|
||||
|
||||
assert m.has_open_position() is True
|
||||
assert m.position_status() == "half_open"
|
||||
|
||||
with db._lock:
|
||||
db._conn.execute(
|
||||
"UPDATE positions SET status='option_closed_perp_pending' WHERE id=1"
|
||||
)
|
||||
db._conn.commit()
|
||||
assert m.has_open_position() is True
|
||||
|
||||
with db._lock:
|
||||
db._conn.execute(
|
||||
"""UPDATE positions SET
|
||||
group_id=NULL, option_inst_id=NULL, status='flat' WHERE id=1"""
|
||||
)
|
||||
db._conn.commit()
|
||||
assert m.has_open_position() is False
|
||||
db.close()
|
||||
|
||||
|
||||
def test_ledger_allow_negative(tmp_path) -> None:
|
||||
from app.models.db import Database
|
||||
|
||||
db = Database(tmp_path / "l.db")
|
||||
ledger = Ledger(db)
|
||||
# 掏空
|
||||
snap = ledger.snapshot()
|
||||
ledger.apply_cash(-snap["available"], kind="drain", note="drain")
|
||||
try:
|
||||
ledger.apply_cash(-1.0, kind="fail", note="should fail")
|
||||
assert False, "expected RuntimeError"
|
||||
except RuntimeError:
|
||||
pass
|
||||
# LIVE 镜像允许透支
|
||||
bal = ledger.apply_cash(-1.0, kind="live", note="ok", allow_negative=True)
|
||||
assert bal < 0
|
||||
db.close()
|
||||
@@ -49,22 +49,22 @@ def test_live_ready_okx_missing_keys(monkeypatch) -> None:
|
||||
assert "OKX" in reason
|
||||
|
||||
|
||||
def test_live_ready_binance_stub(monkeypatch) -> None:
|
||||
def test_live_ready_binance_ok(monkeypatch) -> None:
|
||||
import app.env_store as es
|
||||
|
||||
class S:
|
||||
mode = "LIVE"
|
||||
is_sim = False
|
||||
okx_api_key = "k"
|
||||
okx_api_secret = "s"
|
||||
okx_api_passphrase = "p"
|
||||
okx_api_key = ""
|
||||
okx_api_secret = ""
|
||||
okx_api_passphrase = ""
|
||||
binance_api_key = "bk"
|
||||
binance_api_secret = "bs"
|
||||
|
||||
monkeypatch.setattr(es, "get_settings", lambda: S())
|
||||
ok, reason = live_ready(exchange="binance")
|
||||
assert ok is False
|
||||
assert "尚未接入" in reason
|
||||
assert ok is True
|
||||
assert reason == "ok"
|
||||
|
||||
|
||||
def test_okx_keys_configured(monkeypatch) -> None:
|
||||
|
||||
@@ -0,0 +1,121 @@
|
||||
# OKX 实盘策略说明
|
||||
|
||||
> 专用于 **OKX** LIVE。通用对冲逻辑见 [策略说明](./策略说明.md)；币安见 [币安实盘策略说明](./币安实盘策略说明.md)。
|
||||
> **标准仓**：永续 **1 ETH** + 期权 **2 ETH** 名义（倍数 `k` 可缩放）。
|
||||
> 更新：2026-07-26
|
||||
|
||||
---
|
||||
|
||||
## 1. 一句话
|
||||
|
||||
ATM **期权买方** + **反向永续**；净利达标兑现，未达标拖到期。OKX 上期权多走 **USDC 保证金族**（`ETH-USD_UM`），账户侧常需 **USDT ↔ USDC** 换汇，与币安「统一 USDT」体验不同。
|
||||
|
||||
---
|
||||
|
||||
## 2. 合约与资金
|
||||
|
||||
| 腿 | 合约（默认） | 计价 / 保证金 | 说明 |
|
||||
|----|--------------|---------------|------|
|
||||
| 永续 | `ETH-USDT-SWAP` | **USDT** | 张数：名义 ETH ÷ `ctVal`（常见 0.01 ETH/张） |
|
||||
| 期权 | `ETH-USD_UM-YYMMDD-K-C/P` | **USDC**（偏 USDC 保证金） | 张数：名义 ETH ÷ `ctMult`（默认 0.01） |
|
||||
|
||||
### 2.1 USDT ↔ USDC（必做准备）
|
||||
|
||||
- 权利金、期权保证金以 **USDC** 为主；永续盈亏与保证金以 **USDT** 为主。
|
||||
- 开仓前请保证：
|
||||
- **USDT**：够永续保证金 + 缓冲；
|
||||
- **USDC**：够期权权利金（约 15–60U 量级 ×k，视行情）+ 缓冲。
|
||||
- 可用 OKX 闪兑 / 兑换把 USDT 换成 USDC（或反向）。**SIM 不模拟换汇**；实盘缺 USDC 会直接下单失败。
|
||||
- 建议日常维持两侧都有余量，避免「有 USDT 却开不了期权」。
|
||||
|
||||
### 2.2 账户模式建议
|
||||
|
||||
| 项 | 建议 |
|
||||
|----|------|
|
||||
| 永续 | 全仓 `cross`；双向持仓（hedge）与软件 `posSide` 对齐 |
|
||||
| 期权 | **买卖模式 / cash**（买方付权利金）；尽量 **逐仓/独立**，便于远虚残留不挡下一组 |
|
||||
| API | Key + Secret + **Passphrase**；IP 白名单；交易权限最小化 |
|
||||
|
||||
---
|
||||
|
||||
## 3. 标准仓与缩放
|
||||
|
||||
与通用说明相同：`永续 = 1×k ETH`，`期权 = 2×k ETH`，净利目标 ≈ `15×k` USDT。
|
||||
试跑建议 **k=0.1**（0.1 + 0.2）。
|
||||
|
||||
---
|
||||
|
||||
## 4. 开仓机制（OKX）
|
||||
|
||||
```
|
||||
选 ATM → 先市价买期权（tdMode=cash）→ 再市价开永续（tdMode=cross + posSide）
|
||||
永续失败 → 立刻市价卖掉期权回滚
|
||||
```
|
||||
|
||||
| 步骤 | OKX 行为 |
|
||||
|------|----------|
|
||||
| 1 期权 | `POST /api/v5/trade/order`，`ordType=market`，`side=buy`，`sz`=张 |
|
||||
| 2 永续 | 同上；多=`buy`+`posSide=long`，空=`sell`+`posSide=short` |
|
||||
| 失败回滚 | 期权 `side=sell` + `reduceOnly` |
|
||||
|
||||
**与币安差异**：
|
||||
|
||||
- 需 **Passphrase**；期权与永续 **币种可能不同**（USDC vs USDT）。
|
||||
- 永续按 **张** 下单（÷ ctVal），不是直接填 ETH 数量字符串（软件内部换算）。
|
||||
- 期权 `tdMode=cash`；若账户改成其他模式，需改配置或改代码适配。
|
||||
|
||||
选向规则（ATM 相对现价）与通用策略说明一致。
|
||||
|
||||
---
|
||||
|
||||
## 5. 平仓机制（OKX）
|
||||
|
||||
两大类与 SIM 相同：**目标平仓（A 双腿 / B 只平永续）**、**到期平仓**。
|
||||
|
||||
| 路径 | OKX 动作 |
|
||||
|------|----------|
|
||||
| **A 双腿全平** | 先市价卖期权（cash）→ 再市价平永续（reduceOnly + 反向 posSide） |
|
||||
| **B 远虚** | 只平永续；期权留账户到期，按 **内在价值** 结算；残留不挡新开 |
|
||||
| **到期** | 期权一般由交易所结算内在价值，软件记账；若永续仍在则市价平掉 |
|
||||
| **紧急** | 尽量双腿市价；可放宽流动性等待 |
|
||||
|
||||
流动性闸门（仅 A）：买一深度、买一/标记偏差 ≤30%——实盘以能否成交为准，闸门主要用于避免垃圾价硬扫。
|
||||
|
||||
---
|
||||
|
||||
## 6. 监控与模式
|
||||
|
||||
| 状态 | 下方盘口 |
|
||||
|------|----------|
|
||||
| 有活跃仓 | 钉持仓行权价 |
|
||||
| 空仓 / 仅残留 | 跟新 ATM（≥5 点切换） |
|
||||
|
||||
设置页：交易所选 **OKX**，运行模式 **LIVE**，填 Key/Secret/Passphrase → 写入 `.env`。切 LIVE 须输入 `LIVE` 确认。
|
||||
|
||||
---
|
||||
|
||||
## 7. 风险（OKX 特有加重）
|
||||
|
||||
| 风险 | 说明 |
|
||||
|------|------|
|
||||
| **换汇遗漏** | USDT 充足但 USDC 不足 → 期权拒单 |
|
||||
| **模式不匹配** | 账户非 cash / 非双向持仓 → 下单参数报错 |
|
||||
| **期权深度** | USDC 期权盘口偶发更薄，远虚更易走 B |
|
||||
| **限流** | 独立 IP；退避重试 |
|
||||
|
||||
---
|
||||
|
||||
## 8. 上线检查（OKX）
|
||||
|
||||
1. SIM 在 OKX 行情下跑通开平。
|
||||
2. 账户 USDT + USDC 均到位；完成一次小额兑换演练。
|
||||
3. API 三件套 + LIVE 确认。
|
||||
4. k=0.1 试：开仓、目标平或到期、残留各至少一次。
|
||||
|
||||
---
|
||||
|
||||
## 9. 修订记录
|
||||
|
||||
| 日期 | 说明 |
|
||||
|------|------|
|
||||
| 2026-07-26 | 初稿：从通用实盘说明拆出 OKX；强调 USDT/USDC 与 cash/cross 开平仓 |
|
||||
+22
-282
@@ -1,299 +1,39 @@
|
||||
# ETH 永续 + 期权对冲 · 实盘策略说明
|
||||
# ETH 永续 + 期权对冲 · 实盘说明索引
|
||||
|
||||
> 逻辑对齐 [策略说明](./策略说明.md)（SIM 已验证路径），本文改写为 **实盘操盘口径**。
|
||||
> **标准仓位**：永续 **1 ETH** + 期权 **2 ETH** 名义；可按倍数放大 / 缩小。
|
||||
> 关联：[商业化与授权方案](./商业化与授权方案.md)、[开发方案](./开发方案.md)
|
||||
> 通用规则见 [策略说明](./策略说明.md)。**开平仓、资金币种、API 按交易所分开写**，请直接打开对应文档。
|
||||
> 更新：2026-07-26
|
||||
|
||||
---
|
||||
|
||||
## 1. 策略一句话
|
||||
## 按交易所
|
||||
|
||||
用 **ATM 期权买方** 吃波动弹性，用 **反向永续** 做对冲腿；净利达标就兑现，未达标则拖到期权到期结算。
|
||||
本质是 **概率样本**：波动日多轮，磨盘日认权利金磨损，**不做卖方、不叠活跃组、不赌每天固定次数**。
|
||||
|
||||
**实盘与 SIM 的边界**：规则相同；成交、深度、手续费、强平、拒单、限流以交易所为准。SIM 赚到的轮次 **不能** 直接外推为实盘收益。
|
||||
|
||||
---
|
||||
|
||||
## 2. 标准仓位与缩放
|
||||
|
||||
### 2.1 标准仓（1×）
|
||||
|
||||
| 腿 | 标准数量 | 方向 | 成交 |
|
||||
|----|----------|------|------|
|
||||
| 永续 | **1 ETH** | 与期权反向（见 §3） | 市价 / IOC（吃对手价） |
|
||||
| 期权 | **2 ETH** 名义 | **只买不卖** | 开仓吃卖一，平仓吃买一 |
|
||||
|
||||
- 永续杠杆建议 **3×**（可调；越高强平越近）。
|
||||
- 同时最多 **1 组活跃仓**；远虚归档的残留期权（逐仓）不挡下一组。
|
||||
- **开仓顺序**：先期权 → 确认后再开永续；永续失败则立即平掉刚开的期权（不留半边）。
|
||||
- **平仓顺序（双腿全平）**：先期权 → 再永续。
|
||||
|
||||
### 2.2 缩放规则（放大 / 缩小）
|
||||
|
||||
定义仓位倍数 **`k`**（相对标准仓）：
|
||||
|
||||
```
|
||||
永续名义 = 1 × k ETH
|
||||
期权名义 = 2 × k ETH
|
||||
```
|
||||
|
||||
| 倍数 k | 永续 | 期权名义 | 适用 |
|
||||
| 交易所 | 文档 | 资金要点 | LIVE |
|
||||
|--------|------|----------|------|
|
||||
| **0.1** | 0.1 | 0.2 | 实盘试跑 / 验证规则 |
|
||||
| **0.25** | 0.25 | 0.5 | 小资金适应盘口 |
|
||||
| **0.5** | 0.5 | 1.0 | 半仓 |
|
||||
| **1.0** | **1** | **2** | **标准仓** |
|
||||
| **2.0** | 2 | 4 | 放大（须资金与深度够） |
|
||||
|
||||
**必须同比缩放（禁止只改一条腿）**：
|
||||
|
||||
| 项目 | 规则 |
|
||||
|------|------|
|
||||
| 仓位 | 永续与期权名义始终保持 **1 : 2** |
|
||||
| 净利目标（`fixed_usdt`） | `净利目标 ≈ 15 × k`（标准仓 15U） |
|
||||
| 权利金倍数模式 | 倍数本身不变（仍按 `initial_premium × multiple`） |
|
||||
| 资金占用 | 保证金 + 权利金 + 缓冲约按 **k** 近似线性放大 |
|
||||
| 深度要求 | 期权买一/卖一须能覆盖 **本档名义**；k 越大越容易卡流动性 |
|
||||
|
||||
> 例：k=0.1 → 永续 0.1 / 期权 0.2，目标约 **1.5U**；k=2 → 永续 2 / 期权 4，目标约 **30U**。
|
||||
|
||||
### 2.3 缩放时的注意
|
||||
|
||||
- **k 过小**：手续费占比升高，小目标更难赚；更适合「验证通不通」而非「赚多少」。
|
||||
- **k 过大**：期权盘口薄、冲击成本大；远虚时更难双腿平，更容易走「只平永续 + 期权到期」。
|
||||
- 改 k 须在 **无活跃仓** 时进行；残留期权可仍挂着，但不影响改下一组标准。
|
||||
| **OKX** | [OKX实盘策略说明](./OKX实盘策略说明.md) | 永续 **USDT** + 期权常 **USDC**，需 **USDT↔USDC** | 已接 |
|
||||
| **币安** | [币安实盘策略说明](./币安实盘策略说明.md) | 永续与欧洲期权多为 **USDT**，一般无需换 USDC | 已接 |
|
||||
|
||||
---
|
||||
|
||||
## 3. 开仓方向（与 SIM 一致）
|
||||
## 共用口径（两所相同）
|
||||
|
||||
行权价相对标的有偏离时，**先按 ATM 偏上/偏下选向**；贴平时再比 Call/Put 卖一。
|
||||
|
||||
| 条件 | 期权 | 永续 |
|
||||
|------|------|------|
|
||||
| ATM 行权价 **<** 标的 | 买 Call | 空永续 |
|
||||
| ATM 行权价 **>** 标的 | 买 Put | 多永续 |
|
||||
| ATM ≈ 标的，Call 卖一 > Put 卖一 | 买 Call | 空永续 |
|
||||
| ATM ≈ 标的，Put 卖一 > Call 卖一 | 买 Put | 多永续 |
|
||||
| ATM ≈ 标的且卖一相等 | 不开，继续等 | — |
|
||||
|
||||
---
|
||||
|
||||
## 4. 开仓机制（实盘）
|
||||
|
||||
### 4.1 流程
|
||||
|
||||
```
|
||||
策略运行中
|
||||
→ 无活跃持仓且不在组间休息
|
||||
→ 非周末跳过（若开启，上海时区）
|
||||
→ 选到期：剩余 ≥ min_option_hours（建议 ≥12h）
|
||||
→ 该到期 ATM（最接近标的）
|
||||
→ 可选：|ATM − 标的| ≤ max_atm_open_offset
|
||||
→ 期权杠杆 = 标的价 ÷ 卖一 ≥ min_option_leverage（建议 ≥100）
|
||||
→ 按 k 下单：先开期权 → 再开永续
|
||||
→ 锁定 initial_premium = 期权成交价 × 期权名义（不含费）
|
||||
```
|
||||
|
||||
### 4.2 实盘下单要点
|
||||
|
||||
| 项 | 建议 |
|
||||
| 项 | 说明 |
|
||||
|----|------|
|
||||
| 期权 | 限价吃卖一或交易所支持的市价/对手价；确认 **成交数量 = 计划名义** 后再开永续 |
|
||||
| 永续 | 市价/IOC；失败则 **立刻市价平期权** |
|
||||
| 部分成交 | 按实际成交名义对齐另一腿，或整组撤掉重来；禁止长期单腿敞口 |
|
||||
| API / 限流 | 独立出口 IP；退避重试；断连时优先保仓可平 |
|
||||
|
||||
### 4.3 节奏
|
||||
|
||||
| 规则 | 说明 |
|
||||
|------|------|
|
||||
| 周末 | 建议跳过新开；持仓仍可平、到期仍结算 |
|
||||
| 组间休息 | 建议全平后休息约 **5 分钟** 再开下一组 |
|
||||
| 轮次上限 | 不设硬顶；由行情与选约决定 |
|
||||
| 活跃组 | 最多 1 组 |
|
||||
| 标准仓 | 永续 **1 ETH** + 期权 **2 ETH** 名义；倍数 `k` 同比例缩放；净利目标 ≈ `15×k` |
|
||||
| 试跑 | 建议 `k=0.1`（0.1 + 0.2） |
|
||||
| 平仓类 | **目标平仓** A 双腿 / B 只平永续（远虚残留）；**到期平仓** |
|
||||
| 模式 | 设置页 SIM/LIVE；切 LIVE 输入 `LIVE`；密钥写入 `.env` |
|
||||
| 同时仓 | 最多 1 组活跃；残留期权不挡新开 |
|
||||
|
||||
---
|
||||
|
||||
## 5. 平仓机制（实盘）
|
||||
## 两所差异速览
|
||||
|
||||
两大类：**① 目标平仓**；**② 到期平仓**。目标平仓再分 A/B。
|
||||
| 项 | OKX | 币安 |
|
||||
|----|-----|------|
|
||||
| 换汇 | 常需 USDT→USDC 才能付期权 | 通常只需 USDT |
|
||||
| API | Key + Secret + Passphrase | Key + Secret |
|
||||
| 期权 | `ETH-USD_UM`（V5） | 欧洲期权 eapi |
|
||||
| 永续数量 | 张（÷ ctVal） | ETH 名义（fapi） |
|
||||
| 开平顺序 | 先期权后永续；回滚卖期权 | 同序，分 eapi / fapi |
|
||||
|
||||
### 5.1 净盈利口径（盯盘）
|
||||
|
||||
```
|
||||
净盈利 ≈ 永续浮盈 + 期权浮盈 − 预估平仓手续费
|
||||
期权浮盈 = 当前买一 × 数量 − 初始权利金
|
||||
```
|
||||
|
||||
主要看 **买一可平价**，不拿标记价当出场依据。
|
||||
|
||||
| 模式 | 标准仓（k=1）默认 | 缩放 |
|
||||
|------|-------------------|------|
|
||||
| `fixed_usdt` | 净利 ≥ **15 USDT** | ≥ **15 × k** |
|
||||
| `premium_multiple` | 净利 ≥ 初始权利金 × 倍数 | 倍数不变 |
|
||||
|
||||
### 5.2 目标 A · 双腿全平
|
||||
|
||||
- 净利达标，且期权 **非远虚**（仍有可平买一）。
|
||||
- 校验：买一深度覆盖平仓名义；买一相对标记偏差建议 ≤ **30%**。
|
||||
- 顺序：先平期权 → 再平永续。
|
||||
- 通不过 → 等待，不改组、不强开下一组。
|
||||
|
||||
### 5.3 目标 B · 只平永续 + 期权到期
|
||||
|
||||
- 净利达标，且期权 **远虚**（内在价值 ≈ 0；约 100× 杠杆期权在标的波动 ~1% 后常见）。
|
||||
- **只平永续**；期权留在逐仓账户等到期，按交易所 **内在价值** 结算。
|
||||
- 残留 **不挡** 下一组开仓；下一组只盯新活跃组。
|
||||
- 整组最终净利 = 已实现永续盈亏 + 期权到期结算 − 全部手续费。
|
||||
|
||||
### 5.4 到期平仓（未达标）
|
||||
|
||||
- 不主动砍；持有到期权到期（OKX/币安欧式常见：UTC 08:00 = **上海 16:00**）。
|
||||
- 活跃组：期权按内在价值；若永续仍在则一并市价平掉。
|
||||
- 残留组：只结期权。
|
||||
- 策略暂停时仍应执行到期处理，避免拖过期。
|
||||
|
||||
### 5.5 紧急全平
|
||||
|
||||
- 活跃组尽量双腿市价平掉（可放宽流动性闸门）。
|
||||
- 残留期权：能平则平，否则等到期内在价值。
|
||||
|
||||
### 5.6 流程总览
|
||||
|
||||
```
|
||||
有活跃持仓
|
||||
├─ 净利达标？
|
||||
│ ├─ 是 · 远虚 → 只平永续，期权归档到期，可开下一组
|
||||
│ └─ 是 · 非远虚 → 双腿全平（流动性闸门）→ 失败则等
|
||||
└─ 否 → 持有到到期 → 内在价值结算（+ 平剩余永续）
|
||||
|
||||
残留期权
|
||||
└─ 仅到期结算；不参与下一组盯盘
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 6. 行情监控（实盘界面 / 风控台）
|
||||
|
||||
| 状态 | 活跃持仓 | 残留列表 | 下方期权盘口 |
|
||||
|------|----------|----------|--------------|
|
||||
| 有活跃组 | 显示本组 | 可另有历史残留 | **钉持仓行权价**；浮盈亏只用该合约盘口 |
|
||||
| 空仓 | 空 | 无 | **跟现价 ATM**（建议 \|ATM−标的\|≥5 点切换） |
|
||||
| 仅残留 | 空 | 显示归档腿 | **新 ATM**（给下一组），不钉残留合约 |
|
||||
|
||||
---
|
||||
|
||||
## 7. 交易所与账户
|
||||
|
||||
### 7.1 候选
|
||||
|
||||
| 交易所 | 永续 | 期权 | 备注 |
|
||||
|--------|------|------|------|
|
||||
| **币安**（实盘优先候选） | ETHUSDT | 欧洲期权 ETH-YYMMDD-K-C/P | USDT 统一保证金体验较好 |
|
||||
| OKX | ETH-USDT-SWAP | ETH-USD_UM 等 | 与当前 SIM 默认行情接近 |
|
||||
|
||||
有持仓时 **禁止切换交易所**。
|
||||
|
||||
### 7.2 账户要求
|
||||
|
||||
- 期权建议 **逐仓 / 独立保证金**，以便残留不挡新开。
|
||||
- API Key：交易权限最小化；IP 白名单；**密钥不出客户机房**（见商业化方案）。
|
||||
- 保留足够 USDT：保证金 + 权利金 + 多日磨损缓冲（见 §9）。
|
||||
|
||||
---
|
||||
|
||||
## 8. 侧重点与边界
|
||||
|
||||
| 要点 | 说明 |
|
||||
|------|------|
|
||||
| 吃波动 | 需要标的走动；横盘是主要磨损源 |
|
||||
| 费用后净利 | 达标看扣费后，避免账面赚、平完亏 |
|
||||
| 1:2 纪律 | 任意 k 下永续:期权 = 1:2 |
|
||||
| 单活跃组 | 残留可共存，但不叠第二组活跃对冲 |
|
||||
| 权利金是预算 | 拖到期亏权利金属设计内成本 |
|
||||
|
||||
**不做**：卖方期权；横盘「智能识别」；多组并行活跃仓；承诺收益。
|
||||
|
||||
---
|
||||
|
||||
## 9. 资金与风险（按标准仓再 ×k）
|
||||
|
||||
以下按 **k=1**、ETH≈1800–2200、杠杆 3× 粗算；其他倍数 **×k**。
|
||||
|
||||
### 9.1 单组占用（k=1）
|
||||
|
||||
| 项目 | 约略 USDT |
|
||||
|------|-----------|
|
||||
| 永续保证金 | ≈ 600–750 |
|
||||
| 期权权利金（2 ETH ATM 短期） | ≈ 15–60（波动大时更高） |
|
||||
| 费用 / 滑点缓冲 | ≈ 20–50 |
|
||||
| 逆向波动缓冲 | ≈ 300–800 |
|
||||
|
||||
### 9.2 建议权益
|
||||
|
||||
| 档位 | 权益（k=1） | 说明 |
|
||||
|------|-------------|------|
|
||||
| 试跑 | 按 k=0.1 再估 | 先通流程 |
|
||||
| 最小可用 | ≥ **3,000** | 仍偏紧 |
|
||||
| 推荐起步 | ≥ **5,000** | 更符合概率样本 |
|
||||
| 较舒适 | ≥ **10,000** | 连续磨损日更从容 |
|
||||
|
||||
缩放：权益需求大致 **×k**（再另留固定运维缓冲）。
|
||||
|
||||
### 9.3 主要风险（实盘加重项）
|
||||
|
||||
| 风险 | 说明 | 缓解 |
|
||||
|------|------|------|
|
||||
| 横盘磨损 | Theta 吃权利金 | 周末少开；到期认亏 |
|
||||
| 滑点 / 拒单 / 部分成交 | 实盘比 SIM 严重 | 深度闸门；半边仓立即处理 |
|
||||
| 强平 | 永续杠杆与缓冲不足 | 3×、留保证金、勿盲目加大 k |
|
||||
| 期权流动性 | 远虚买一枯死 | 走目标 B；到期结算 |
|
||||
| 限流 / 断连 | 延误开平 | 独立 IP、监控、可人工紧急平 |
|
||||
| 规则外推 | SIM≠实盘 | 小 k 验证后再放大 |
|
||||
|
||||
---
|
||||
|
||||
## 10. 实盘参数速查（标准仓）
|
||||
|
||||
| 参数 | 标准建议 | 随 k 变化 |
|
||||
|------|----------|-----------|
|
||||
| `perp_qty_eth` | 1 | ×k |
|
||||
| `option_qty_eth` | 2 | ×k |
|
||||
| `leverage` | 3 | 一般不随 k 变 |
|
||||
| `exit_mode` | fixed_usdt | — |
|
||||
| `net_profit_target` | 15 | ×k |
|
||||
| `premium_exit_multiple` | 1.0 | 不变 |
|
||||
| `rest_seconds` | 300 | 可选不变 |
|
||||
| `skip_weekends` | true | — |
|
||||
| `min_option_hours` | 12 | — |
|
||||
| `min_option_leverage` | 100 | — |
|
||||
| `close_bid_mark_max_pct` | 30 | — |
|
||||
|
||||
试跑建议：**k=0.1**（0.1 + 0.2 ETH），目标约 **1.5U**，跑通开平与到期后再加大。
|
||||
|
||||
---
|
||||
|
||||
## 11. 上线检查清单
|
||||
|
||||
1. SIM 同规则已跑通（含目标 A/B、到期、残留）。
|
||||
2. 设置页切 **LIVE**，二次确认输入 `LIVE`；OKX Key/Secret/Passphrase 写入 `.env`。
|
||||
3. 实盘授权档位 + 二次确认（见商业化方案）。
|
||||
4. 选定交易所、合约族、API 与 IP 白名单。
|
||||
5. 确定 k；写入永续/期权名义与净利目标（15×k）。
|
||||
6. 保证金与权利金缓冲到位；期权逐仓。
|
||||
7. 监控：活跃仓、残留列表、持仓盘口钉死、紧急全平可用。
|
||||
8. 先 k=0.1 试跑至少覆盖：开仓、目标平、到期或残留结算各一类。
|
||||
|
||||
> 软件侧：`MODE=LIVE` + OKX 密钥齐全后，策略开平仓走 OKX 私有下单；币安真下单尚未接入。
|
||||
|
||||
---
|
||||
|
||||
## 12. 修订记录
|
||||
|
||||
| 日期 | 说明 |
|
||||
|------|------|
|
||||
| 2026-07-26 | 初稿：由 SIM 策略说明改写实盘；标准仓 1+2 ETH；倍数 k 缩放与目标同比 |
|
||||
| 2026-07-26 | 对齐软件：设置页 SIM/LIVE + API→.env；OKX 真下单 |
|
||||
详细开平仓步骤、账户模式、检查清单见各所专篇。
|
||||
|
||||
@@ -0,0 +1,127 @@
|
||||
# 币安实盘策略说明
|
||||
|
||||
> 专用于 **币安** LIVE。通用对冲逻辑见 [策略说明](./策略说明.md)；OKX 见 [OKX实盘策略说明](./OKX实盘策略说明.md)。
|
||||
> **标准仓**：永续 **1 ETH** + 期权 **2 ETH** 名义（倍数 `k` 可缩放）。
|
||||
> 更新：2026-07-26
|
||||
|
||||
---
|
||||
|
||||
## 1. 一句话
|
||||
|
||||
ATM **期权买方** + **反向永续**；净利达标兑现，未达标拖到期。币安侧永续与欧洲期权均可 **USDT** 计价，**无需像 OKX 那样先把 USDT 换成 USDC**，账户准备更简单。
|
||||
|
||||
---
|
||||
|
||||
## 2. 合约与资金
|
||||
|
||||
| 腿 | 合约（默认） | 计价 / 保证金 | 说明 |
|
||||
|----|--------------|---------------|------|
|
||||
| 永续 | `ETHUSDT`（USDT-M） | **USDT** | 下单数量直接为 **ETH**（软件按名义 ETH 填 `quantity`） |
|
||||
| 期权 | `ETH-YYMMDD-行权价-C/P`（欧洲期权 eapi） | **USDT** | 张数：名义 ETH ÷ 合约单位（默认约 **1**） |
|
||||
|
||||
### 2.1 资金（相对 OKX 更简单）
|
||||
|
||||
- 主要准备 **USDT** 即可：永续保证金 + 期权权利金 + 缓冲。
|
||||
- **不需要**日常 USDT→USDC 换汇（这是 OKX `ETH-USD_UM` 的常见摩擦）。
|
||||
- 仍须留足：保证金挤压、多日磨损、手续费。
|
||||
|
||||
### 2.2 账户模式建议
|
||||
|
||||
| 项 | 建议 |
|
||||
|----|------|
|
||||
| 永续 | USDT-M；**双向持仓（Hedge）** 时软件带 `positionSide=LONG/SHORT`；单向模式则用 `reduceOnly` |
|
||||
| 期权 | 欧洲期权账户开通；买方；尽量独立保证金，便于残留不挡新开 |
|
||||
| API | Key + Secret（**无 Passphrase**）；分别开通 **期货 + 期权** 交易权限；IP 白名单 |
|
||||
|
||||
### 2.3 与 OKX 对照
|
||||
|
||||
| 项 | 币安 | OKX |
|
||||
|----|------|-----|
|
||||
| 保证金币 | 多为统一 **USDT** | 永续 USDT + 期权常 **USDC** |
|
||||
| 换汇 | 一般不需要 | 常需 USDT↔USDC |
|
||||
| API | Key + Secret | Key + Secret + Passphrase |
|
||||
| 永续数量 | ETH 名义 | 张（÷ ctVal） |
|
||||
| 期权接口 | `eapi.binance.com` | OKX V5 `OPTION` |
|
||||
| ATM 档 | 行权价网格常更粗 | 相对更细（视产品） |
|
||||
|
||||
---
|
||||
|
||||
## 3. 标准仓与缩放
|
||||
|
||||
`永续 = 1×k ETH`，`期权 = 2×k ETH`，净利目标 ≈ `15×k` USDT。
|
||||
试跑建议 **k=0.1**。
|
||||
|
||||
注意：币安期权单位常为 1 ETH/张，同样 2 ETH 名义 ≈ **2 张**；OKX 默认 0.01 乘数时张数会大很多——**不要照搬张数，只锁 ETH 名义比 1:2**。
|
||||
|
||||
---
|
||||
|
||||
## 4. 开仓机制（币安）
|
||||
|
||||
```
|
||||
选 ATM → 先 eapi 市价买期权 → 再 fapi 市价开永续
|
||||
永续失败 → eapi 市价卖期权回滚
|
||||
```
|
||||
|
||||
| 步骤 | 币安行为 |
|
||||
|------|----------|
|
||||
| 1 期权 | `POST /eapi/v1/order`，`type=MARKET`，`side=BUY`，`quantity`=张 |
|
||||
| 2 永续 | `POST /fapi/v1/order`，`type=MARKET`；多=`BUY`+`LONG`，空=`SELL`+`SHORT` |
|
||||
| 失败回滚 | 期权 `SELL` + `reduceOnly` |
|
||||
|
||||
**与 OKX 差异**：
|
||||
|
||||
- 双 API 域：期权 eapi、永续 fapi，限流与权限分开。
|
||||
- 永续数量用 **ETH**，期权用 **张**（单位≈1）。
|
||||
- 无 Passphrase；需确认账户是对冲模式还是单向（软件会探测 `positionSide/dual`）。
|
||||
- ATM 行权价档更粗时，更常触发「行权价相对现价偏上/偏下」选向规则。
|
||||
|
||||
选向表与通用策略说明相同。
|
||||
|
||||
---
|
||||
|
||||
## 5. 平仓机制（币安）
|
||||
|
||||
| 路径 | 币安动作 |
|
||||
|------|----------|
|
||||
| **A 双腿全平** | eapi 市价卖期权 → fapi 市价平永续（`reduceOnly` / 反向 `positionSide`） |
|
||||
| **B 远虚** | 只平永续；期权留到到期按 **内在价值** 结算；不挡下一组 |
|
||||
| **到期** | 期权交易所结算；软件按内在价值记账；永续若在则平掉 |
|
||||
| **紧急** | 尽量双腿市价 |
|
||||
|
||||
期权远虚时 eapi 买一可能枯竭——优先走 B，勿死磕 A。
|
||||
|
||||
---
|
||||
|
||||
## 6. 监控与模式
|
||||
|
||||
有活跃仓钉持仓行权价；空仓/仅残留跟新 ATM。
|
||||
|
||||
设置页：交易所选 **币安**，运行模式 **LIVE**，填 Key/Secret → `.env`。切 LIVE 输入 `LIVE` 确认。
|
||||
|
||||
---
|
||||
|
||||
## 7. 风险（币安特有加重）
|
||||
|
||||
| 风险 | 说明 |
|
||||
|------|------|
|
||||
| **期权权限 / 地区** | 未开通欧洲期权则无法下单 |
|
||||
| **eapi 限流** | 比 fapi 更敏感；独立 IP、退避 |
|
||||
| **ATM 粗档** | 方向偏差更大，更依赖选向规则 |
|
||||
| **对冲模式不一致** | 单向账户却强制 `positionSide` 会拒单（软件已探测） |
|
||||
|
||||
---
|
||||
|
||||
## 8. 上线检查（币安）
|
||||
|
||||
1. SIM 在币安行情下跑通。
|
||||
2. 期货 + 期权交易权限、USDT 余额到位。
|
||||
3. API Key/Secret + LIVE 确认。
|
||||
4. k=0.1 试开平 / 到期或残留。
|
||||
|
||||
---
|
||||
|
||||
## 9. 修订记录
|
||||
|
||||
| 日期 | 说明 |
|
||||
|------|------|
|
||||
| 2026-07-26 | 初稿：币安 LIVE 接入；强调 USDT 统一、eapi/fapi 开平差异 vs OKX |
|
||||
+3
-3
@@ -1,10 +1,10 @@
|
||||
# ETH 永续 + 期权对冲策略说明
|
||||
|
||||
> 依据当前代码逻辑整理（SIM 默认真值参数）。
|
||||
> 关联：[开发方案](./开发方案.md)、[商业化与授权方案](./商业化与授权方案.md)、[实盘策略说明](./实盘策略说明.md)
|
||||
> 关联：[开发方案](./开发方案.md)、[商业化与授权方案](./商业化与授权方案.md)、[实盘索引](./实盘策略说明.md)、[OKX实盘](./OKX实盘策略说明.md)、[币安实盘](./币安实盘策略说明.md)
|
||||
> 更新：2026-07-26
|
||||
|
||||
**运行模式**：设置页「运行模式」可切 **SIM / LIVE**；交易所 API 录入后写入服务器 `.env`（不回传明文）。LIVE 须二次确认输入 `LIVE`；当前 **OKX** 可真下单，币安仅存密钥。有持仓时不可切模式。
|
||||
**运行模式**：设置页「运行模式」可切 **SIM / LIVE**；交易所 API 录入后写入服务器 `.env`（不回传明文）。LIVE 须二次确认输入 `LIVE`；**OKX / 币安均可真下单**（须选对应当前交易所并配齐密钥）。有持仓时不可切模式。
|
||||
|
||||
---
|
||||
|
||||
@@ -302,7 +302,7 @@
|
||||
|
||||
系统默认虚拟权益 `initial_equity = 10,000` USDT（策略设置可改；保存且数值变更时在无持仓下重置账本），**不代表**实盘建议入金。
|
||||
|
||||
日后币安实盘试跑建议仓位：**永续 0.1 ETH / 期权 0.2 ETH 名义**，并同比下调净利目标。完整实盘口径见 [实盘策略说明](./实盘策略说明.md)。
|
||||
实盘试跑建议仓位：**永续 0.1 ETH / 期权 0.2 ETH 名义**（k=0.1），并同比下调净利目标。分所口径见 [OKX实盘策略说明](./OKX实盘策略说明.md)、[币安实盘策略说明](./币安实盘策略说明.md)。
|
||||
|
||||
---
|
||||
|
||||
|
||||
@@ -203,6 +203,7 @@ export type StrategySettings = {
|
||||
net_profit_target: number;
|
||||
premium_exit_multiple: number;
|
||||
rest_seconds: number;
|
||||
live_order_interval_sec?: number;
|
||||
skip_weekends: boolean;
|
||||
initial_equity: number;
|
||||
leverage: number;
|
||||
|
||||
@@ -28,6 +28,7 @@ export default function SettingsPage() {
|
||||
const [netTarget, setNetTarget] = useState(15);
|
||||
const [premMult, setPremMult] = useState(1);
|
||||
const [rest, setRest] = useState(300);
|
||||
const [orderInterval, setOrderInterval] = useState(1);
|
||||
const [skipWeekends, setSkipWeekends] = useState(true);
|
||||
const [leverage, setLeverage] = useState(3);
|
||||
const [minHours, setMinHours] = useState(12);
|
||||
@@ -67,6 +68,7 @@ export default function SettingsPage() {
|
||||
setNetTarget(s.net_profit_target ?? 15);
|
||||
setPremMult(s.premium_exit_multiple ?? 1);
|
||||
setRest(s.rest_seconds);
|
||||
setOrderInterval(s.live_order_interval_sec ?? 1);
|
||||
setSkipWeekends(s.skip_weekends !== false);
|
||||
setLeverage(s.leverage ?? 3);
|
||||
setMinHours(s.min_option_hours ?? 12);
|
||||
@@ -127,6 +129,7 @@ export default function SettingsPage() {
|
||||
net_profit_target: netTarget,
|
||||
premium_exit_multiple: premMult,
|
||||
rest_seconds: rest,
|
||||
live_order_interval_sec: orderInterval,
|
||||
skip_weekends: skipWeekends,
|
||||
leverage,
|
||||
min_option_hours: minHours,
|
||||
@@ -446,6 +449,23 @@ export default function SettingsPage() {
|
||||
onChange={(e) => setRest(Number(e.target.value))}
|
||||
/>
|
||||
</div>
|
||||
<div className="field">
|
||||
<label htmlFor="orderInterval">实盘下单最小间隔（秒）</label>
|
||||
<input
|
||||
id="orderInterval"
|
||||
className="mono"
|
||||
type="number"
|
||||
step="0.1"
|
||||
min="0.2"
|
||||
max="30"
|
||||
value={orderInterval}
|
||||
onChange={(e) => setOrderInterval(Number(e.target.value))}
|
||||
/>
|
||||
<p className="settings-hint">
|
||||
LIVE 私有下单/查单间隔，默认 1s（非高频建议 ≥1）。范围
|
||||
0.2–30。保存后立即生效。
|
||||
</p>
|
||||
</div>
|
||||
<div className="field">
|
||||
<label htmlFor="skipWe">周六日跳过开仓（上海时区）</label>
|
||||
<select
|
||||
@@ -484,8 +504,8 @@ export default function SettingsPage() {
|
||||
{tab === "runtime" ? (
|
||||
<div className="card settings-card">
|
||||
<p className="settings-lead">
|
||||
SIM = 本地撮合；LIVE = 交易所真下单（当前 OKX 已接，币安仅存密钥）。密钥只写入服务器{" "}
|
||||
<span className="mono">.env</span>，接口不回传明文。
|
||||
SIM = 本地撮合；LIVE = 当前所选交易所真下单（OKX / 币安均已接入）。密钥只写入服务器{" "}
|
||||
<span className="mono">.env</span>，接口不回传明文。OKX 期权常需账户有 USDC；币安多为 USDT。
|
||||
</p>
|
||||
{runtimeOk ? <div className="settings-ok">{runtimeOk}</div> : null}
|
||||
{err && tab === "runtime" ? <div className="err">{err}</div> : null}
|
||||
@@ -574,7 +594,7 @@ export default function SettingsPage() {
|
||||
</section>
|
||||
|
||||
<section className="settings-section">
|
||||
<h3>币安 API（仅落盘）</h3>
|
||||
<h3>币安 API</h3>
|
||||
<div className="settings-fields">
|
||||
<div className="field">
|
||||
<label htmlFor="bnKey">API Key</label>
|
||||
@@ -608,7 +628,10 @@ export default function SettingsPage() {
|
||||
onChange={(e) => setBnSecret(e.target.value)}
|
||||
/>
|
||||
</div>
|
||||
<p className="settings-hint">留空保存=不覆盖已有密钥。币安真下单后续接入。</p>
|
||||
<p className="settings-hint">
|
||||
留空保存=不覆盖已有密钥。交易所选币安且 LIVE 时用此密钥真下单（无
|
||||
Passphrase）。
|
||||
</p>
|
||||
</div>
|
||||
</section>
|
||||
|
||||
|
||||
Reference in New Issue
Block a user