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
@@ -0,0 +1,901 @@
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"""币安实盘执行：eapi 期权 + fapi 永续；先期权后永续（含 anti-stuck 状态机）。"""
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from __future__ import annotations
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import logging
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import time
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from ..config import get_settings
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from ..env_store import live_ready
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from ..sim.liquidity import contracts_for_eth
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from ..sim.matcher import CloseResult, Matcher, OpenResult
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from ..sim.pricing import option_expiry_settle, option_intrinsic
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from ..strategy.session import get_session
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from .binance_trade import BinanceTradeClient
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logger = logging.getLogger(__name__)
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class BinanceLiveExecutor(Matcher):
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def __init__(self, db=None) -> None:
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super().__init__(db)
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self._trade: BinanceTradeClient | None = None
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def _client(self) -> BinanceTradeClient:
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if self._trade is None:
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self._trade = BinanceTradeClient()
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return self._trade
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def _guard_live(self) -> str | None:
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ok, reason = live_ready()
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if not ok:
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return reason
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return None
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def open_group(
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self,
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*,
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group_id: str,
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bias: str,
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option_side: str,
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perp_side: str,
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option_inst_id: str,
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entry_index_px: float,
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strike: float | None = None,
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expiry_ymd: str | None = None,
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) -> OpenResult:
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err = self._guard_live()
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if err:
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return OpenResult(ok=False, detail=err)
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s = get_settings()
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if self.has_open_position():
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st = self.position_status()
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return OpenResult(
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ok=False,
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detail=f"已有持仓/半仓状态({st})，请先修复或平仓",
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)
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client = self._client()
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perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
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opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
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ct_mult = self._ct_mult(option_inst_id)
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opt_contracts = contracts_for_eth(opt_qty, ct_mult)
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try:
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opt_fill = client.place_option_market(
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symbol=option_inst_id,
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side="BUY",
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quantity=opt_contracts,
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)
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except Exception as e:
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logger.exception("binance live open option failed")
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return OpenResult(ok=False, detail=f"币安开期权失败: {e}")
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# 永续市价失败（多为保证金不足）→ 必须回滚期权
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try:
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if perp_side == "long":
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side, pos_side = "BUY", "LONG"
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else:
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side, pos_side = "SELL", "SHORT"
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perp_fill_live = client.place_perp_market(
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symbol=s.perp_inst_id,
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side=side,
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qty_eth=perp_qty,
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position_side=pos_side,
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)
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except Exception as e:
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logger.exception("binance live open perp failed (likely margin); rollback option")
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try:
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client.place_option_market(
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symbol=option_inst_id,
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side="SELL",
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quantity=opt_contracts,
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reduce_only=True,
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)
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except Exception as e2:
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logger.exception("binance option rollback failed: %s", e2)
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self._persist_half_open(
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group_id=group_id,
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bias=bias,
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option_side=option_side,
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perp_side=perp_side,
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option_inst_id=option_inst_id,
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entry_index_px=entry_index_px,
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strike=strike,
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expiry_ymd=expiry_ymd,
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opt_qty=opt_qty,
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opt_contracts=opt_contracts,
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of_px=float(opt_fill.avg_px),
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of_fee=float(opt_fill.fee),
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detail=f"保证金开永续失败且期权回滚失败: {e} / {e2}",
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)
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return OpenResult(
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ok=False,
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group_id=group_id,
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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}",
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)
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return OpenResult(
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ok=False,
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detail=f"永续开仓失败(多为保证金不足)，已回滚期权: {e}",
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)
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of_px = float(opt_fill.avg_px)
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pf_px = float(perp_fill_live.avg_px)
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of_fee = float(opt_fill.fee)
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pf_fee = float(perp_fill_live.fee)
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initial_premium = of_px * opt_qty
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of_notional = of_px * opt_qty
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pf_notional = pf_px * perp_qty
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# 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」
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self.ledger.apply_cash(
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-(of_notional + of_fee),
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kind="open_option",
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group_id=group_id,
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note=f"LIVE-BN open option {group_id}",
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allow_negative=True,
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)
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self.ledger.apply_cash(
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-pf_fee,
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kind="open_perp_fee",
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group_id=group_id,
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note=f"LIVE-BN open perp {group_id}",
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allow_negative=True,
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)
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now = int(time.time() * 1000)
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
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strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
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exec_mode
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"open",
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bias,
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option_side,
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perp_side,
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option_inst_id,
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s.perp_inst_id,
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strike,
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expiry_ymd,
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entry_index_px,
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initial_premium,
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now,
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of_fee + pf_fee,
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0.0,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"open",
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"long",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of_px,
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of_px,
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of_fee,
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0.0,
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of_notional,
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now,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"perp",
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"open",
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perp_side,
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s.perp_inst_id,
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perp_qty,
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None,
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pf_px,
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pf_px,
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pf_fee,
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0.0,
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pf_notional,
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now + 1,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
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option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
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option_entry_px=?, entry_index_px=?, initial_premium=?, status=?
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WHERE id=1""",
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(
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group_id,
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perp_side,
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perp_qty,
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pf_px,
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option_inst_id,
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option_side,
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opt_qty,
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opt_contracts,
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of_px,
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entry_index_px,
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initial_premium,
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"open",
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),
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)
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self.db._conn.commit()
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return OpenResult(
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ok=True,
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group_id=group_id,
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detail="opened_live_binance",
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data={
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"group_id": group_id,
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"exec_mode": "LIVE",
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"exchange": "binance",
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"option_ord": opt_fill.ord_id,
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"perp_ord": perp_fill_live.ord_id,
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"initial_premium": initial_premium,
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"fees": of_fee + pf_fee,
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},
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)
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def _persist_half_open(
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self,
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*,
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group_id: str,
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bias: str,
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option_side: str,
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perp_side: str,
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option_inst_id: str,
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entry_index_px: float,
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strike: float | None,
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expiry_ymd: str | None,
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opt_qty: float,
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opt_contracts: float,
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of_px: float,
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of_fee: float,
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detail: str,
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) -> None:
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"""期权已成交、永续未开且回滚失败 → 落 half_open，禁止新开，待 repair。"""
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s = get_settings()
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initial_premium = of_px * opt_qty
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self.ledger.apply_cash(
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-(of_px * opt_qty + of_fee),
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kind="open_option",
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group_id=group_id,
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note=f"LIVE-BN half_open option {group_id}",
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allow_negative=True,
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)
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now = int(time.time() * 1000)
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with self.db._lock:
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existing = self.db._conn.execute(
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"SELECT group_id FROM groups WHERE group_id=?", (group_id,)
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).fetchone()
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if existing is None:
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self.db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
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strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
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exec_mode, note
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"half_open",
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bias,
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option_side,
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perp_side,
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option_inst_id,
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s.perp_inst_id,
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strike,
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expiry_ymd,
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entry_index_px,
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initial_premium,
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now,
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of_fee,
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0.0,
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"LIVE",
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detail[:200],
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"open",
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"long",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of_px,
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of_px,
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of_fee,
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0.0,
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of_px * opt_qty,
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now,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=?, perp_side=?, perp_qty_eth=0, perp_entry_px=NULL,
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option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
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option_entry_px=?, entry_index_px=?, initial_premium=?, status='half_open'
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WHERE id=1""",
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(
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group_id,
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perp_side,
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option_inst_id,
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option_side,
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opt_qty,
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opt_contracts,
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of_px,
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entry_index_px,
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initial_premium,
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),
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)
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self.db._conn.commit()
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def repair_half_open(self) -> CloseResult:
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"""卖出 half_open 残留期权，清本地状态。"""
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err = self._guard_live()
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if err:
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return CloseResult(ok=False, detail=err)
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pos = self.current_position()
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if pos.get("status") != "half_open":
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return CloseResult(ok=False, detail="非 half_open 状态")
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group_id = str(pos.get("group_id") or "")
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option_inst_id = str(pos.get("option_inst_id") or "")
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opt_contracts = float(pos.get("option_qty_contracts") or 0)
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opt_qty = float(pos.get("option_qty_eth") or 0)
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if not option_inst_id or opt_contracts <= 0:
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return CloseResult(ok=False, detail="half_open 缺期权合约信息")
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client = self._client()
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try:
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opt_live = client.place_option_market(
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symbol=option_inst_id,
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side="SELL",
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quantity=opt_contracts,
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reduce_only=True,
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)
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except Exception as e:
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return CloseResult(ok=False, detail=f"half_open 平期权失败: {e}")
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of_px = float(opt_live.avg_px)
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of_fee = float(opt_live.fee)
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of_notional = of_px * opt_qty
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opt_entry = float(pos.get("option_entry_px") or of_px)
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self.ledger.apply_cash(
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of_notional - of_fee,
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kind="close_option",
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group_id=group_id or None,
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note="LIVE-BN repair half_open",
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allow_negative=True,
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)
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now = int(time.time() * 1000)
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with self.db._lock:
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if group_id:
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"close",
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"flat",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of_px,
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of_px,
|
||||
of_fee,
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||||
0.0,
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of_notional,
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now,
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"LIVE",
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),
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)
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opt_pnl = (of_px - opt_entry) * opt_qty - of_fee
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self.db._conn.execute(
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"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?, note=?
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WHERE group_id=?""",
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(
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"closed",
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now,
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"half_open_repair",
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float(opt_pnl),
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"repaired half_open",
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group_id,
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),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
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option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
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option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
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WHERE id=1"""
|
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)
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self.db._conn.commit()
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return CloseResult(
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ok=True,
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detail="half_open_repaired",
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data={"group_id": group_id, "exec_mode": "LIVE", "exchange": "binance"},
|
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)
|
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|
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def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
|
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err = self._guard_live()
|
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if err:
|
||||
return CloseResult(ok=False, detail=err)
|
||||
|
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s = get_settings()
|
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pos = self.current_position()
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||||
st = str(pos.get("status") or "")
|
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if st == "half_open":
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return self.repair_half_open()
|
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if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
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return CloseResult(ok=False, detail="无持仓可平")
|
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|
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group_id = str(pos["group_id"])
|
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option_inst_id = str(pos["option_inst_id"])
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option_side = str(pos["option_side"])
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||||
perp_side = str(pos["perp_side"])
|
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opt_qty = float(pos["option_qty_eth"])
|
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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"},
|
||||
)
|
||||
Reference in New Issue
Block a user