"""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"], )