"""策略行情会话:在交易所适配器之上做 ATM 对齐与开仓选约。""" from __future__ import annotations import asyncio import logging from dataclasses import dataclass from typing import Any from ..config import Settings, get_settings from ..exchange import get_exchange, set_exchange, build_exchange from ..exchange.protocol import ExchangeMarket from ..exchange.types import MarketSnapshot, OptionPair from .selection import ( atm_allows_open, atm_open_offset, hours_until_expiry, list_eligible_expiry_ymds, option_leverage, select_option_pair, ) logger = logging.getLogger(__name__) _ATM_DRIFT_POINTS = 5.0 _session: StrategySession | None = None def _has_open_position() -> bool: try: from ..models.db import get_db row = get_db().fetchone("SELECT status FROM positions WHERE id=1") return bool(row and row["status"] == "open") except Exception: return False def _strategy_floats() -> tuple[float, float, float]: """min_hours, min_leverage, max_atm_open_offset""" s = get_settings() try: from ..models.db import get_db db = get_db() hours = float( db.get_setting("min_option_hours", str(s.min_option_hours)) or s.min_option_hours ) lev = float( db.get_setting("min_option_leverage", str(s.min_option_leverage)) or s.min_option_leverage ) atm_off = float( db.get_setting("max_atm_open_offset", str(s.max_atm_open_offset)) or s.max_atm_open_offset ) return hours, lev, atm_off except Exception: return s.min_option_hours, s.min_option_leverage, s.max_atm_open_offset @dataclass(slots=True) class OpenPick: pair: OptionPair option_side: str perp_side: str bias: str call_ask: float put_ask: float option_ask: float option_leverage: float hours_left: float underlying_px: float class StrategySession: """策略侧会话;交易所实现由 exchange 模块注入。""" def __init__( self, settings: Settings | None = None, exchange: ExchangeMarket | None = None, ) -> None: self.settings = settings or get_settings() self.ex = exchange or get_exchange() self._pair: OptionPair | None = None self._refresh_task: asyncio.Task[None] | None = None self._started = False @property def pair(self) -> OptionPair | None: return self._pair async def start(self) -> None: if self._started: return self._started = True await self.ex.start() await asyncio.to_thread(self.align_instruments) await self.ex.resubscribe( [ self.settings.perp_inst_id, self._pair.call_inst_id if self._pair else "", self._pair.put_inst_id if self._pair else "", ] ) self._refresh_task = asyncio.create_task(self._refresh_loop(), name="strategy-align") async def stop(self) -> None: self._started = False if self._refresh_task: self._refresh_task.cancel() try: await self._refresh_task except asyncio.CancelledError: pass self._refresh_task = None await self.ex.stop() def _apply_pair(self, pair: OptionPair, *, mark: float, idx: float | None) -> OptionPair: s = self.settings self._pair = pair self.ex.set_pair(pair) if idx is not None: self.ex.set_index_px(idx) ids = [s.perp_inst_id, pair.call_inst_id, pair.put_inst_id] self.ex.warm_and_subscribe(ids) logger.info( "aligned pair exchange=%s expiry=%s strike=%s mark=%.2f hours=%.1f", getattr(self.ex, "name", "?"), pair.expiry_ymd, pair.strike, mark, hours_until_expiry(pair.expiry_ymd, expiry_ms=pair.expiry_ms), ) return pair def align_instruments(self) -> OptionPair | None: s = self.settings idx = self.ex.fetch_index(s.index_inst_id) mark = self.ex.fetch_mark(s.perp_inst_id) or idx if mark is None or mark <= 0: raise RuntimeError("无法获取标的标记/指数价格,无法选 ATM") min_hours, _, _ = _strategy_floats() contracts = self.ex.list_option_contracts(s.option_inst_family) pair = select_option_pair(contracts, mark_px=float(mark), min_hours=min_hours) if pair is None: raise RuntimeError( f"未找到剩余≥{min_hours}h 的 ATM Call/Put (family={s.option_inst_family})" ) return self._apply_pair(pair, mark=float(mark), idx=idx) def pick_for_open(self) -> OpenPick | None: from .signal import decide s = self.settings min_hours, min_lev, max_atm_off = _strategy_floats() idx = self.ex.fetch_index(s.index_inst_id) mark = self.ex.fetch_mark(s.perp_inst_id) or idx if mark is None or mark <= 0: return None underlying = float(mark) contracts = self.ex.list_option_contracts(s.option_inst_family) eligible = list_eligible_expiry_ymds(contracts, min_hours=min_hours) if not eligible: logger.info("no expiry with hours>=%.1f", min_hours) return None for ymd in eligible: pair = select_option_pair(contracts, mark_px=underlying, expiry_ymd=ymd) if pair is None: continue offset = atm_open_offset(pair.strike, underlying) if not atm_allows_open( pair.strike, underlying, max_offset=max_atm_off ): logger.info( "skip expiry=%s strike=%.0f atm_offset=%.1f > max=%.1f", ymd, pair.strike, offset, max_atm_off, ) continue call_bids, call_asks, _ = self.ex.fetch_book(pair.call_inst_id, depth=5) put_bids, put_asks, _ = self.ex.fetch_book(pair.put_inst_id, depth=5) call_ask = call_asks[0].px if call_asks else None put_ask = put_asks[0].px if put_asks else None sig = decide( call_ask, put_ask, strike=pair.strike, mark_px=underlying, ) if sig is None: continue opt_ask = sig.call_ask if sig.option_side == "call" else sig.put_ask lev = option_leverage(underlying, opt_ask) hours_left = hours_until_expiry(ymd, expiry_ms=pair.expiry_ms) if lev is None or lev + 1e-9 < min_lev: logger.info( "skip expiry=%s strike=%.0f side=%s lev=%s need>=%.0f hours=%.1f", ymd, pair.strike, sig.option_side, f"{lev:.1f}" if lev else "n/a", min_lev, hours_left, ) continue self._apply_pair(pair, mark=underlying, idx=idx) # warm_and_subscribe 已写盘口;再覆盖刚拉的 ask 侧 from ..exchange.book_cache import BookCache # 直接通过 exchange quote path:再 upsert if hasattr(self.ex, "cache"): cache: BookCache = self.ex.cache # type: ignore[attr-defined] cache.upsert_book(pair.call_inst_id, bids=call_bids, asks=call_asks) cache.upsert_book(pair.put_inst_id, bids=put_bids, asks=put_asks) return OpenPick( pair=pair, option_side=sig.option_side, perp_side=sig.perp_side, bias=sig.bias, call_ask=float(sig.call_ask), put_ask=float(sig.put_ask), option_ask=float(opt_ask), option_leverage=float(lev), hours_left=hours_left, underlying_px=underlying, ) return None async def realign_async(self) -> OptionPair | None: old = self._pair pair = await asyncio.to_thread(self.align_instruments) if old is None or ( pair and ( pair.call_inst_id != old.call_inst_id or pair.put_inst_id != old.put_inst_id ) ): await self.ex.resubscribe( [ self.settings.perp_inst_id, pair.call_inst_id, pair.put_inst_id, ] ) return pair async def pick_for_open_async(self) -> OpenPick | None: old = self._pair pick = await asyncio.to_thread(self.pick_for_open) if pick and ( old is None or pick.pair.call_inst_id != old.call_inst_id or pick.pair.put_inst_id != old.put_inst_id ): await self.ex.resubscribe( [ self.settings.perp_inst_id, pick.pair.call_inst_id, pick.pair.put_inst_id, ] ) return pick def _mark_for_atm(self) -> float | None: snap = self.snapshot() if snap.perp and snap.perp.mark_px: return float(snap.perp.mark_px) if snap.index_px: return float(snap.index_px) if snap.perp and snap.perp.bid and snap.perp.ask: return (float(snap.perp.bid) + float(snap.perp.ask)) / 2 return None def atm_needs_realign(self, mark_px: float | None = None) -> bool: if self._pair is None: return True min_hours, _, _ = _strategy_floats() if ( hours_until_expiry(self._pair.expiry_ymd, expiry_ms=self._pair.expiry_ms) + 1e-9 < min_hours ): return True mark = mark_px if mark_px is not None else self._mark_for_atm() if mark is None or mark <= 0: return False return abs(float(self._pair.strike) - float(mark)) >= _ATM_DRIFT_POINTS async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None: if _has_open_position(): return self._pair if force or self.atm_needs_realign(): logger.info( "ATM realign force=%s old_strike=%s old_exp=%s", force, self._pair.strike if self._pair else None, self._pair.expiry_ymd if self._pair else None, ) return await self.realign_async() return self._pair def snapshot(self) -> MarketSnapshot: return self.ex.snapshot(self.settings.perp_inst_id) def snapshot_dict(self) -> dict[str, Any]: d = self.ex.snapshot_dict(self.settings.perp_inst_id) d["exchange"] = getattr(self.ex, "name", self.settings.exchange) d["perp_inst_id"] = self.settings.perp_inst_id return d async def _refresh_loop(self) -> None: while True: await asyncio.sleep(30) try: idx = await asyncio.to_thread( self.ex.fetch_index, self.settings.index_inst_id ) self.ex.set_index_px(idx) mark = await asyncio.to_thread( self.ex.fetch_mark, self.settings.perp_inst_id ) if mark: self.ex.set_mark_px(self.settings.perp_inst_id, mark) await self.ensure_atm_async(force=False) except asyncio.CancelledError: raise except Exception as e: logger.warning("strategy align refresh failed: %s", e) def get_session() -> StrategySession: global _session if _session is None: _session = StrategySession() return _session def set_session(s: StrategySession | None) -> None: global _session _session = s # 兼容旧名 MarketGateway = StrategySession get_gateway = get_session set_gateway = set_session def bootstrap_session(settings: Settings | None = None) -> StrategySession: """main 启动:创建交易所 + 策略会话。始终以 DB 覆盖后的 runtime 为准。""" from ..exchange.runtime import load_runtime_settings # 忽略裸 get_settings():重启后必须跟 DB 里选的交易所一致 try: s = load_runtime_settings() except Exception: s = settings or get_settings() ex = build_exchange(s) set_exchange(ex) sess = StrategySession(s, ex) set_session(sess) return sess