Add option-option hedge mode with SIM/LIVE parity.

Mutual hedge_mode, amplitude OTM selection, 1:1 risk sizing, win-leg/full close, dual audits and docs. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-07 16:01:16 +08:00
parent 15fe2f72dc
commit ec244c63c6
22 changed files with 2640 additions and 83 deletions
@@ -746,6 +746,273 @@ class OkxLiveExecutor(Matcher):
            data={"group_id": group_id, "exec_mode": "LIVE"},
        )

+    def open_oo_group(
+        self,
+        *,
+        group_id: str,
+        call_inst_id: str,
+        put_inst_id: str,
+        call_strike: float,
+        put_strike: float,
+        entry_index_px: float,
+        expiry_ymd: str | None = None,
+    ) -> OpenResult:
+        """期期 LIVE：先买 Call 再买 Put。"""
+        err = self._guard_live()
+        if err:
+            return OpenResult(ok=False, detail=err)
+        claimed, claim_msg = claim_open_slot(self.db)
+        if not claimed:
+            return OpenResult(ok=False, detail=claim_msg)
+        safe, safe_msg = assert_safe_to_open_live(self)
+        if not safe:
+            release_open_slot_if_opening(self.db)
+            return OpenResult(ok=False, detail=safe_msg)
+
+        s = live_settings()
+        client = self._client()
+        opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
+        call_ct = self._ct_mult(call_inst_id)
+        put_ct = self._ct_mult(put_inst_id)
+        call_contracts = contracts_for_eth(opt_qty, call_ct)
+        put_contracts = contracts_for_eth(opt_qty, put_ct)
+        stamp_opening_intent(
+            self.db,
+            group_id=group_id,
+            option_inst_id=call_inst_id,
+            option_side="call",
+            perp_side=f"oo_put:{put_inst_id}",
+            option_qty_eth=opt_qty,
+            option_qty_contracts=float(call_contracts),
+            entry_index_px=entry_index_px,
+        )
+        try:
+            call_fill = client.place_market(
+                inst_id=call_inst_id,
+                side="buy",
+                sz=str(int(round(call_contracts))),
+                td_mode="cash",
+            )
+        except Exception as e:
+            logger.exception("live oo open call failed")
+            if "ordId=" not in str(e):
+                release_open_slot_if_opening(self.db)
+            return OpenResult(ok=False, detail=f"期期开 Call 失败: {e}")
+
+        call_contracts = (
+            float(call_fill.sz)
+            if call_fill.sz and call_fill.sz > 0
+            else float(int(round(call_contracts)))
+        )
+        opt_qty = eth_from_contracts(call_contracts, call_ct)
+        put_contracts = contracts_for_eth(opt_qty, put_ct)
+        try:
+            put_fill = client.place_market(
+                inst_id=put_inst_id,
+                side="buy",
+                sz=str(int(round(put_contracts))),
+                td_mode="cash",
+            )
+        except Exception as e:
+            logger.exception("live oo open put failed; rolling back call")
+            try:
+                client.place_market(
+                    inst_id=call_inst_id,
+                    side="sell",
+                    sz=str(int(round(call_contracts))),
+                    td_mode="cash",
+                )
+            except Exception as e2:
+                logger.exception("oo call rollback failed: %s", e2)
+                return OpenResult(
+                    ok=False,
+                    detail=f"期期 Put 失败且 Call 回滚未确认(保留 opening): {e}",
+                )
+            release_open_slot_if_opening(self.db)
+            return OpenResult(ok=False, detail=f"期期开 Put 失败已回滚 Call: {e}")
+
+        put_contracts = (
+            float(put_fill.sz)
+            if put_fill.sz and put_fill.sz > 0
+            else float(int(round(put_contracts)))
+        )
+        of_px = float(call_fill.avg_px)
+        pf_px = float(put_fill.avg_px)
+        call_prem = of_px * opt_qty
+        put_prem = pf_px * eth_from_contracts(put_contracts, put_ct)
+        # 等量：以 Call 成交名义为准
+        qty2 = eth_from_contracts(put_contracts, put_ct)
+        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, hedge_mode, option2_inst_id, option2_side, strike2, initial_premium2
+                ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+                (
+                    group_id,
+                    "open",
+                    "option_option",
+                    "call",
+                    None,
+                    call_inst_id,
+                    None,
+                    float(call_strike),
+                    expiry_ymd,
+                    entry_index_px,
+                    call_prem,
+                    now,
+                    float(getattr(call_fill, "fee", 0) or 0)
+                    + float(getattr(put_fill, "fee", 0) or 0),
+                    0.0,
+                    "LIVE",
+                    "option_option",
+                    put_inst_id,
+                    "put",
+                    float(put_strike),
+                    put_prem,
+                ),
+            )
+            for leg, inst, contracts, fill_px, fee, ts in (
+                ("option", call_inst_id, call_contracts, of_px, getattr(call_fill, "fee", 0), now),
+                ("option2", put_inst_id, put_contracts, pf_px, getattr(put_fill, "fee", 0), now + 1),
+            ):
+                q = opt_qty if leg == "option" else qty2
+                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,
+                        leg,
+                        "open",
+                        "long",
+                        inst,
+                        q,
+                        contracts,
+                        fill_px,
+                        fill_px,
+                        float(fee or 0),
+                        0.0,
+                        float(fill_px) * float(q),
+                        ts,
+                        "LIVE",
+                    ),
+                )
+            self.db._conn.execute(
+                """UPDATE positions SET
+                    group_id=?, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
+                    option_inst_id=?, option_side='call', option_qty_eth=?, option_qty_contracts=?,
+                    option_entry_px=?, entry_index_px=?, initial_premium=?, status='open',
+                    hedge_mode='option_option', option2_inst_id=?, option2_side='put',
+                    option2_qty_eth=?, option2_qty_contracts=?, option2_entry_px=?,
+                    strike2=?, initial_premium2=?
+                    WHERE id=1""",
+                (
+                    group_id,
+                    call_inst_id,
+                    opt_qty,
+                    call_contracts,
+                    of_px,
+                    entry_index_px,
+                    call_prem,
+                    put_inst_id,
+                    qty2,
+                    put_contracts,
+                    pf_px,
+                    float(put_strike),
+                    put_prem,
+                ),
+            )
+            self.db._conn.commit()
+        try:
+            from ..strategy.exits import lock_trade_exit_target
+
+            lock_trade_exit_target(
+                self.db, group_id=group_id, initial_premium=call_prem + put_prem
+            )
+        except Exception:
+            logger.exception("lock exit oo live failed")
+        return OpenResult(
+            ok=True,
+            group_id=group_id,
+            detail="opened_oo_live",
+            data={"hedge_mode": "option_option", "exec_mode": "LIVE"},
+        )
+
+    def live_sell_oo_both(self, *, bypass_liquidity: bool = False) -> None:
+        """到期/紧急：交易所市价卖掉 Call+Put。"""
+        pos = self.current_position()
+        client = self._client()
+        for inst, contracts in (
+            (str(pos.get("option_inst_id") or ""), float(pos.get("option_qty_contracts") or 0)),
+            (str(pos.get("option2_inst_id") or ""), float(pos.get("option2_qty_contracts") or 0)),
+        ):
+            if not inst or contracts <= 0:
+                continue
+            try:
+                client.place_market(
+                    inst_id=inst,
+                    side="sell",
+                    sz=str(int(round(contracts))),
+                    td_mode="cash",
+                )
+            except Exception:
+                logger.exception("live_sell_oo_both failed inst=%s", inst)
+                if not bypass_liquidity:
+                    raise
+
+    def close_winning_oo_leave_residual(
+        self, *, reason: str = "target_oo_win"
+    ) -> CloseResult:
+        """期期达标：先标记 closing，再交易所卖掉盈利腿，再落库。"""
+        err = self._guard_live()
+        if err:
+            return CloseResult(ok=False, detail=err)
+        pos = self.current_position()
+        if str(pos.get("status") or "") != "open" or not pos.get("option2_inst_id"):
+            return CloseResult(ok=False, detail="无期期持仓")
+        # 防重入：已在 closing 则只做账本收尾
+        if str(pos.get("status") or "") == "closing":
+            return super().close_winning_oo_leave_residual(
+                reason=reason, skip_market=True
+            )
+        upl = self.unrealized()
+        call_upl = float(upl.get("option_upl") or 0)
+        put_upl = float(upl.get("option2_upl") or 0)
+        if call_upl >= put_upl and call_upl > 0:
+            win_id = str(pos["option_inst_id"])
+            win_contracts = float(pos.get("option_qty_contracts") or 0)
+        elif put_upl > 0:
+            win_id = str(pos["option2_inst_id"])
+            win_contracts = float(pos.get("option2_qty_contracts") or 0)
+        else:
+            return CloseResult(ok=False, detail="无明确盈利腿")
+        with self.db._lock:
+            self.db._conn.execute(
+                "UPDATE positions SET status='closing' WHERE id=1 AND status='open'"
+            )
+            self.db._conn.commit()
+        client = self._client()
+        try:
+            client.place_market(
+                inst_id=win_id,
+                side="sell",
+                sz=str(int(round(win_contracts))),
+                td_mode="cash",
+            )
+        except Exception as e:
+            with self.db._lock:
+                self.db._conn.execute(
+                    "UPDATE positions SET status='open' WHERE id=1 AND status='closing'"
+                )
+                self.db._conn.commit()
+            return CloseResult(ok=False, detail=f"期期平盈利腿失败: {e}")
+        return super().close_winning_oo_leave_residual(
+            reason=reason, skip_market=True
+        )
+
    def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
        err = self._guard_live()
        if err: