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Add Binance live trading, anti-stuck open/close recovery, and configurable rate limits.

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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
2026-07-26 21:35:10 +08:00
parent e666230d0b
commit dbc86a1ce6
23 changed files with 2381 additions and 385 deletions
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backend/app/live/executor.py
+406 -62
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@@ -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)