Split exchange and strategy modules for future Binance support.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -1,118 +1,36 @@
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"""合约选择：剩余时长过滤 + ATM 平值期权。"""
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"""兼容层：选约逻辑已迁至 strategy.selection；OKX 解析在 exchange.okx.parse。"""
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from __future__ import annotations
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import re
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from datetime import datetime, timedelta, timezone
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from typing import Any
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from zoneinfo import ZoneInfo
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from .types import OptionPair
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from ..exchange.okx.parse import (
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expiry_ms_from_ymd,
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parse_option_inst_id,
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safe_float,
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)
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from ..exchange.types import OptionPair
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from ..strategy.selection import (
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hours_until_expiry,
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list_eligible_expiry_ymds as _list_eligible,
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next_session_expiry_ymd,
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option_leverage,
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pick_atm_strike,
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select_option_pair as _select_pair,
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normalize_contracts,
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)
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_SH = ZoneInfo("Asia/Shanghai")
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_DATE_RE = re.compile(r"^\d{6}$")
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def safe_float(v: Any) -> float | None:
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if v is None or v == "":
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return None
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try:
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return float(v)
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except (TypeError, ValueError):
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return None
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def parse_option_inst_id(inst_id: str) -> tuple[str | None, float | None, str | None]:
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"""ETH-USD_UM-YYMMDD-STRIKE-C → (YYMMDD, strike, C|P)."""
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parts = (inst_id or "").strip().split("-")
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if len(parts) < 5:
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return None, None, None
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ymd = parts[-3]
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strike = safe_float(parts[-2])
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opt = parts[-1].upper()
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if not _DATE_RE.fullmatch(ymd) or strike is None or opt not in ("C", "P"):
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return None, None, None
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return ymd, strike, opt
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def expiry_ms_from_ymd(ymd: str) -> int:
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"""OKX 期权到期：当日 08:00 UTC = 上海 16:00。"""
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yy, mm, dd = int(ymd[0:2]), int(ymd[2:4]), int(ymd[4:6])
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dt = datetime(2000 + yy, mm, dd, 8, 0, 0, tzinfo=timezone.utc)
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return int(dt.timestamp() * 1000)
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def hours_until_expiry(ymd: str, now: datetime | None = None) -> float:
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"""距到期剩余小时（可为负）。"""
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n = (now or datetime.now(tz=_SH)).astimezone(_SH)
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left_ms = expiry_ms_from_ymd(ymd) - int(n.timestamp() * 1000)
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return left_ms / 3_600_000.0
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def next_session_expiry_ymd(now: datetime | None = None) -> str:
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"""兼容旧逻辑：次日/当日 16:00 到期键（展示/测试用）。"""
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now_sh = (now or datetime.now(tz=_SH)).astimezone(_SH)
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open_today = now_sh.replace(hour=16, minute=0, second=0, microsecond=0)
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if now_sh >= open_today:
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target = now_sh.date() + timedelta(days=1)
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else:
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target = now_sh.date()
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return target.strftime("%y%m%d")
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def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
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if not strikes or mark_px <= 0:
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return None
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return min(strikes, key=lambda s: (abs(s - mark_px), s))
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def _complete_by_expiry(
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instruments: list[dict[str, Any]],
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) -> dict[str, dict[float, dict[str, str]]]:
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"""expiry_ymd -> strike -> {C|P: instId}，仅完整 Call+Put。"""
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by_exp: dict[str, dict[float, dict[str, str]]] = {}
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for row in instruments:
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if not isinstance(row, dict):
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continue
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state = str(row.get("state") or "live").lower()
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if state and state != "live":
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continue
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inst_id = str(row.get("instId") or "")
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y, stk, opt = parse_option_inst_id(inst_id)
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if y is None or stk is None or opt is None:
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exp = safe_float(row.get("expTime"))
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if exp:
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ms = int(exp) if exp > 10_000_000_000 else int(exp * 1000)
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y = datetime.fromtimestamp(ms / 1000, tz=timezone.utc).strftime("%y%m%d")
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stk = safe_float(row.get("stk"))
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opt_raw = str(row.get("optType") or "").upper()
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opt = opt_raw if opt_raw in ("C", "P") else None
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if not inst_id or not y or stk is None or opt not in ("C", "P"):
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continue
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by_exp.setdefault(y, {}).setdefault(float(stk), {})[opt] = inst_id
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out: dict[str, dict[float, dict[str, str]]] = {}
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for ymd, strikes in by_exp.items():
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complete = {s: v for s, v in strikes.items() if "C" in v and "P" in v}
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if complete:
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out[ymd] = complete
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return out
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def list_eligible_expiry_ymds(
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instruments: list[dict[str, Any]],
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*,
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min_hours: float,
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now: datetime | None = None,
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) -> list[str]:
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"""剩余时间 >= min_hours 的到期日，由近到远。"""
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complete = _complete_by_expiry(instruments)
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eligible = [
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ymd
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for ymd in complete
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if hours_until_expiry(ymd, now) + 1e-9 >= float(min_hours)
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]
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return sorted(eligible, key=lambda y: expiry_ms_from_ymd(y))
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__all__ = [
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"expiry_ms_from_ymd",
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"hours_until_expiry",
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"list_eligible_expiry_ymds",
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"next_session_expiry_ymd",
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"option_leverage",
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"parse_option_inst_id",
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"pick_atm_strike",
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"safe_float",
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"select_option_pair",
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]
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def select_option_pair(
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@@ -121,54 +39,22 @@ def select_option_pair(
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mark_px: float,
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expiry_ymd: str | None = None,
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min_hours: float | None = None,
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now: datetime | None = None,
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now=None,
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) -> OptionPair | None:
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"""
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选 ATM Call/Put。
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- 若给 expiry_ymd：在该到期日选平值。
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- 若给 min_hours：选「剩余时长合格」中最近到期日的平值。
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- 否则回退 next_session_expiry_ymd。
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"""
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complete = _complete_by_expiry(instruments)
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if not complete:
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return None
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if expiry_ymd:
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ymd = expiry_ymd
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if ymd not in complete:
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return None
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elif min_hours is not None:
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eligible = list_eligible_expiry_ymds(
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instruments, min_hours=min_hours, now=now
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)
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if not eligible:
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return None
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ymd = eligible[0]
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else:
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ymd = next_session_expiry_ymd(now)
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if ymd not in complete:
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# 回退到最近合格到期
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eligible = list_eligible_expiry_ymds(instruments, min_hours=0, now=now)
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if not eligible:
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return None
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ymd = eligible[0]
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strikes_map = complete[ymd]
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atm = pick_atm_strike(list(strikes_map.keys()), mark_px)
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if atm is None:
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return None
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legs = strikes_map[atm]
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return OptionPair(
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expiry_ymd=ymd,
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expiry_ms=expiry_ms_from_ymd(ymd),
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strike=atm,
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call_inst_id=legs["C"],
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put_inst_id=legs["P"],
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contracts = normalize_contracts(instruments)
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return _select_pair(
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contracts,
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mark_px=mark_px,
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expiry_ymd=expiry_ymd,
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min_hours=min_hours,
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now=now,
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)
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def option_leverage(underlying_px: float, premium_ask: float) -> float | None:
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"""现价 / 卖一权利金。"""
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if underlying_px <= 0 or premium_ask is None or premium_ask <= 0:
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return None
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return float(underlying_px) / float(premium_ask)
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def list_eligible_expiry_ymds(
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instruments: list[dict[str, Any]],
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*,
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min_hours: float,
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now=None,
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) -> list[str]:
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return _list_eligible(normalize_contracts(instruments), min_hours=min_hours, now=now)
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