Initial eth_hedge_sim: P0 market, auth UI, one-click deploy.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-24 16:33:25 +08:00
commit e51f357b48
49 changed files with 4783 additions and 0 deletions
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+"""合约选择：次日 16:00（上海）到期 + ATM 行权价（暂定默认，待拍板可改）。"""
+
+from __future__ import annotations
+
+import re
+from datetime import datetime, timedelta, timezone
+from typing import Any
+from zoneinfo import ZoneInfo
+
+from .types import OptionPair
+
+_SH = ZoneInfo("Asia/Shanghai")
+_DATE_RE = re.compile(r"^\d{6}$")
+
+
+def safe_float(v: Any) -> float | None:
+    if v is None or v == "":
+        return None
+    try:
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+def parse_option_inst_id(inst_id: str) -> tuple[str | None, float | None, str | None]:
+    """ETH-USD_UM-YYMMDD-STRIKE-C → (YYMMDD, strike, C|P)."""
+    parts = (inst_id or "").strip().split("-")
+    if len(parts) < 5:
+        return None, None, None
+    ymd = parts[-3]
+    strike = safe_float(parts[-2])
+    opt = parts[-1].upper()
+    if not _DATE_RE.fullmatch(ymd) or strike is None or opt not in ("C", "P"):
+        return None, None, None
+    return ymd, strike, opt
+
+
+def expiry_ms_from_ymd(ymd: str) -> int:
+    """OKX 期权到期：当日 08:00 UTC = 上海 16:00。"""
+    yy, mm, dd = int(ymd[0:2]), int(ymd[2:4]), int(ymd[4:6])
+    dt = datetime(2000 + yy, mm, dd, 8, 0, 0, tzinfo=timezone.utc)
+    return int(dt.timestamp() * 1000)
+
+
+def next_session_expiry_ymd(now: datetime | None = None) -> str:
+    """
+    业务约定：开仓选「次日 16:00」到期。
+    - 上海时间 >= 当日 16:00：目标到期日 = 次日
+    - 上海时间 < 当日 16:00：目标到期日 = 当日（当日 16:00 到期仍可用作盘口对齐/预热）
+    正式开仓窗从当日 16:00 起，届时「次日」即日历次日。
+    """
+    now_sh = (now or datetime.now(tz=_SH)).astimezone(_SH)
+    open_today = now_sh.replace(hour=16, minute=0, second=0, microsecond=0)
+    if now_sh >= open_today:
+        target = now_sh.date() + timedelta(days=1)
+    else:
+        target = now_sh.date()
+    return target.strftime("%y%m%d")
+
+
+def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
+    if not strikes or mark_px <= 0:
+        return None
+    return min(strikes, key=lambda s: (abs(s - mark_px), s))
+
+
+def select_option_pair(
+    instruments: list[dict[str, Any]],
+    *,
+    mark_px: float,
+    expiry_ymd: str | None = None,
+    now: datetime | None = None,
+) -> OptionPair | None:
+    """
+    从 live 合约列表中选出：目标到期日 + ATM 同行权价 Call/Put。
+    行权价规则暂定 ATM（最接近标记/指数价）；待拍板后可替换。
+    """
+    ymd = expiry_ymd or next_session_expiry_ymd(now)
+    by_strike: dict[float, dict[str, str]] = {}
+
+    for row in instruments:
+        if not isinstance(row, dict):
+            continue
+        state = str(row.get("state") or "live").lower()
+        if state and state != "live":
+            continue
+
+        inst_id = str(row.get("instId") or "")
+        y, stk, opt = parse_option_inst_id(inst_id)
+
+        if y is None or stk is None or opt is None:
+            exp = safe_float(row.get("expTime"))
+            if exp:
+                ms = int(exp) if exp > 10_000_000_000 else int(exp * 1000)
+                y = datetime.fromtimestamp(ms / 1000, tz=timezone.utc).strftime("%y%m%d")
+            stk = safe_float(row.get("stk"))
+            opt_raw = str(row.get("optType") or "").upper()
+            opt = opt_raw if opt_raw in ("C", "P") else None
+
+        if not inst_id or y != ymd or stk is None or opt not in ("C", "P"):
+            continue
+        by_strike.setdefault(float(stk), {})[opt] = inst_id
+
+    complete = {s: v for s, v in by_strike.items() if "C" in v and "P" in v}
+    if not complete:
+        return None
+
+    atm = pick_atm_strike(list(complete.keys()), mark_px)
+    if atm is None:
+        return None
+
+    legs = complete[atm]
+    return OptionPair(
+        expiry_ymd=ymd,
+        expiry_ms=expiry_ms_from_ymd(ymd),
+        strike=atm,
+        call_inst_id=legs["C"],
+        put_inst_id=legs["P"],
+    )