"""实盘执行:OKX 真下单 + 本地账本/持仓记录(与 Matcher 同结构)。""" from __future__ import annotations import logging import time from typing import Any from ..config import get_settings from ..env_store import live_ready from ..exchange.runtime import load_runtime_settings from ..models.db import get_db from ..sim.liquidity import contracts_for_eth from ..sim.matcher import CloseResult, Matcher, OpenResult from ..sim.pricing import option_expiry_settle, option_intrinsic from ..strategy.session import get_session from .okx_trade import OkxTradeClient logger = logging.getLogger(__name__) class OkxLiveExecutor(Matcher): """开平仓走 OKX 私有接口;浮盈/残留逻辑复用 Matcher。""" def __init__(self, db=None) -> None: super().__init__(db) self._trade: OkxTradeClient | None = None def _client(self) -> OkxTradeClient: if self._trade is None: self._trade = OkxTradeClient() return self._trade def _guard_live(self) -> str | None: ok, reason = live_ready() if not ok: return reason return None def open_group( self, *, group_id: str, bias: str, option_side: str, perp_side: str, option_inst_id: str, entry_index_px: float, strike: float | None = None, expiry_ymd: str | None = None, ) -> OpenResult: err = self._guard_live() if err: return OpenResult(ok=False, detail=err) s = get_settings() pos = self.current_position() if pos.get("status") == "open" and pos.get("group_id"): return OpenResult(ok=False, detail="已有持仓组,请先平仓") client = self._client() perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth) opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth) ct_mult = self._ct_mult(option_inst_id) opt_contracts = contracts_for_eth(opt_qty, ct_mult) # 期权:买入,张数 = contracts try: opt_fill = client.place_market( inst_id=option_inst_id, side="buy", sz=str(int(round(opt_contracts))), td_mode="cash", # OKX 期权常见 cash;若账户不同可再扩展 ) except Exception as e: logger.exception("live open option failed") return OpenResult(ok=False, detail=f"实盘开期权失败: {e}") # 永续:按仓位方向 try: ct_val = client.get_ct_val(s.perp_inst_id, inst_type="SWAP") perp_sz = max(1, int(round(perp_qty / ct_val))) if perp_side == "long": side, pos_side = "buy", "long" else: side, pos_side = "sell", "short" perp_fill_live = client.place_market( inst_id=s.perp_inst_id, side=side, sz=str(perp_sz), td_mode="cross", pos_side=pos_side, ) except Exception as e: logger.exception("live open perp failed; attempting option close") try: client.place_market( inst_id=option_inst_id, side="sell", sz=str(int(round(opt_contracts))), td_mode="cash", reduce_only=True, ) except Exception as e2: logger.exception("live option rollback failed: %s", e2) return OpenResult( ok=False, detail=f"永续开仓失败且期权回滚失败: {e} / {e2}", ) return OpenResult(ok=False, detail=f"永续开仓失败,已尝试平期权: {e}") of_px = float(opt_fill.avg_px) pf_px = float(perp_fill_live.avg_px) of_fee = float(opt_fill.fee) pf_fee = float(perp_fill_live.fee) initial_premium = of_px * opt_qty of_notional = of_px * opt_qty pf_notional = pf_px * perp_qty try: self.ledger.apply_cash( -(of_notional + of_fee), kind="open_option", group_id=group_id, note=f"LIVE open option {group_id}", ) self.ledger.apply_cash( -pf_fee, kind="open_perp_fee", group_id=group_id, note=f"LIVE open perp {group_id}", ) except RuntimeError as e: return OpenResult(ok=False, detail=str(e)) 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 ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", ( group_id, "open", bias, option_side, perp_side, option_inst_id, s.perp_inst_id, strike, expiry_ymd, entry_index_px, initial_premium, now, of_fee + pf_fee, 0.0, "LIVE", ), ) 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, "option", "open", "long", option_inst_id, opt_qty, opt_contracts, of_px, of_px, of_fee, 0.0, of_notional, now, "LIVE", ), ) 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, "perp", "open", perp_side, s.perp_inst_id, perp_qty, None, pf_px, pf_px, pf_fee, 0.0, pf_notional, now + 1, "LIVE", ), ) self.db._conn.execute( """UPDATE positions SET group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?, option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?, option_entry_px=?, entry_index_px=?, initial_premium=?, status=? WHERE id=1""", ( group_id, perp_side, perp_qty, pf_px, option_inst_id, option_side, opt_qty, opt_contracts, of_px, entry_index_px, initial_premium, "open", ), ) self.db._conn.commit() return OpenResult( ok=True, group_id=group_id, detail="opened_live", data={ "group_id": group_id, "exec_mode": "LIVE", "option_ord": opt_fill.ord_id, "perp_ord": perp_fill_live.ord_id, "initial_premium": initial_premium, "fees": of_fee + pf_fee, }, ) def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult: err = self._guard_live() if err: return CloseResult(ok=False, detail=err) s = get_settings() pos = self.current_position() if pos.get("status") != "open" or not pos.get("group_id"): return CloseResult(ok=False, detail="无持仓可平") group_id = str(pos["group_id"]) option_inst_id = str(pos["option_inst_id"]) option_side = str(pos["option_side"]) perp_side = str(pos["perp_side"]) opt_qty = float(pos["option_qty_eth"]) perp_qty = float(pos["perp_qty_eth"]) opt_contracts = float(pos["option_qty_contracts"] or 0) client = self._client() is_expiry = reason == "expiry" fee_rate = self._fee_rate() sess = get_session() snap = sess.snapshot() strike = self._group_strike(group_id, option_inst_id) spot = self._close_spot_px(snap) intrinsic = None if strike is not None and spot is not None: intrinsic = option_intrinsic( option_side=option_side, strike=float(strike), spot=float(spot) ) of_px = 0.0 of_fee = 0.0 of_slip = 0.0 of_notional = 0.0 if is_expiry: if intrinsic is None: return CloseResult(ok=False, detail="到期结算失败:缺行权价或标的价") of = option_expiry_settle( intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate ) of_px, of_fee, of_slip, of_notional = of.fill_px, of.fee, of.slip, of.notional else: try: opt_live = client.place_market( inst_id=option_inst_id, side="sell", sz=str(int(round(opt_contracts))), td_mode="cash", reduce_only=True, ) of_px = float(opt_live.avg_px) of_fee = float(opt_live.fee) of_notional = of_px * opt_qty except Exception as e: if not bypass_liquidity: return CloseResult( ok=False, detail=f"实盘平期权失败: {e}", liquidity_wait=True, ) return CloseResult(ok=False, detail=f"实盘平期权失败: {e}") try: ct_val = client.get_ct_val(s.perp_inst_id, inst_type="SWAP") perp_sz = max(1, int(round(perp_qty / ct_val))) if perp_side == "long": side, pos_side = "sell", "long" else: side, pos_side = "buy", "short" perp_live = client.place_market( inst_id=s.perp_inst_id, side=side, sz=str(perp_sz), td_mode="cross", pos_side=pos_side, reduce_only=True, ) pf_px = float(perp_live.avg_px) pf_fee = float(perp_live.fee) except Exception as e: return CloseResult(ok=False, detail=f"期权已平但永续平仓失败: {e}") opt_entry = float(pos["option_entry_px"]) perp_entry = float(pos["perp_entry_px"]) opt_pnl = (of_px - opt_entry) * opt_qty if perp_side == "long": perp_pnl = (pf_px - perp_entry) * perp_qty else: perp_pnl = (perp_entry - pf_px) * perp_qty self.ledger.apply_cash( of_notional - of_fee, kind="close_option", group_id=group_id, note=f"LIVE close option {reason}", ) self.ledger.apply_cash( perp_pnl - pf_fee, kind="close_perp", group_id=group_id, note=f"LIVE close perp {reason}", ) now = int(time.time() * 1000) g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,)) fees = float((g["fees"] if g else 0) or 0) + of_fee + pf_fee slip = float((g["slip_cost"] if g else 0) or 0) + of_slip from ..sim.pnl import summarize_fills_pnl with self.db._lock: 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, "option", "close", "flat", option_inst_id, opt_qty, opt_contracts, of_px, of_px, of_fee, of_slip, of_notional, now, "LIVE", ), ) 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, "perp", "close", "flat", s.perp_inst_id, perp_qty, None, pf_px, pf_px, pf_fee, 0.0, pf_px * perp_qty, now + 1, "LIVE", ), ) fills = self.db._conn.execute( "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,) ).fetchall() summary = summarize_fills_pnl(list(fills)) net = summary.get("net_pnl") if net is None: net = opt_pnl + perp_pnl - of_fee - pf_fee self.db._conn.execute( """UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?, fees=?, slip_cost=? WHERE group_id=?""", ("closed", now, reason, float(net), fees, slip, group_id), ) self.db._conn.execute( """UPDATE positions SET group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL, option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0, option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat' WHERE id=1""" ) self.db._conn.commit() return CloseResult( ok=True, detail="closed_live", data={"group_id": group_id, "reason": reason, "net_pnl": net, "exec_mode": "LIVE"}, ) def close_perp_abandon_option(self, *, reason: str = "target_perp_only") -> CloseResult: err = self._guard_live() if err: return CloseResult(ok=False, detail=err) # 先校验远虚,再实盘只平永续,其余写入复用父类逻辑的简化版: if not self.option_is_deep_otm(): return CloseResult(ok=False, detail="期权非远虚,应走双腿全平") s = get_settings() pos = self.current_position() if pos.get("status") != "open" or not pos.get("group_id"): return CloseResult(ok=False, detail="无持仓可平") group_id = str(pos["group_id"]) perp_side = str(pos["perp_side"]) perp_qty = float(pos["perp_qty_eth"]) perp_entry = float(pos["perp_entry_px"]) client = self._client() try: ct_val = client.get_ct_val(s.perp_inst_id, inst_type="SWAP") perp_sz = max(1, int(round(perp_qty / ct_val))) if perp_side == "long": side, pos_side = "sell", "long" else: side, pos_side = "buy", "short" perp_live = client.place_market( inst_id=s.perp_inst_id, side=side, sz=str(perp_sz), td_mode="cross", pos_side=pos_side, reduce_only=True, ) except Exception as e: return CloseResult(ok=False, detail=f"实盘平永续失败: {e}") pf_px = float(perp_live.avg_px) pf_fee = float(perp_live.fee) if perp_side == "long": perp_pnl = (pf_px - perp_entry) * perp_qty else: perp_pnl = (perp_entry - pf_px) * perp_qty self.ledger.apply_cash( perp_pnl - pf_fee, kind="close_perp", group_id=group_id, note=f"LIVE close perp abandon option {reason}", ) # 复用父类归档写入:临时改 fill 路径太重,直接调用父类会再平一次本地假价。 # 因此把实盘价写入后走父类结构——这里内联父类 abandon 的 DB 段。 option_inst_id = str(pos["option_inst_id"]) option_side = str(pos["option_side"]) strike = self._group_strike(group_id, option_inst_id) g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,)) expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None expiry_ms = None if expiry_ymd: try: from ..exchange.expiry import expiry_ms_from_ymd expiry_ms = int(expiry_ms_from_ymd(expiry_ymd)) except Exception: expiry_ms = None now = int(time.time() * 1000) open_fees = float((g["fees"] if g else 0) or 0) fees = open_fees + pf_fee slip = float((g["slip_cost"] if g else 0) or 0) interim_net = perp_pnl - open_fees - pf_fee spot = self._close_spot_px(get_session().snapshot()) with self.db._lock: 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, "perp", "close", "flat", s.perp_inst_id, perp_qty, None, pf_px, pf_px, pf_fee, 0.0, pf_px * perp_qty, now, "LIVE", ), ) self.db._conn.execute( """INSERT INTO residual_options( group_id, option_inst_id, option_side, option_qty_eth, option_qty_contracts, option_entry_px, strike, expiry_ymd, expiry_ms, entry_index_px, initial_premium, status, created_at_ms, note ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""", ( group_id, option_inst_id, option_side, float(pos["option_qty_eth"]), float(pos["option_qty_contracts"] or 0), float(pos["option_entry_px"]), float(strike) if strike is not None else None, expiry_ymd, expiry_ms, float(pos["entry_index_px"] or 0), float(pos["initial_premium"] or 0), "pending", now, f"LIVE abandoned after {reason}; spot={spot}", ), ) self.db._conn.execute( """UPDATE groups SET status=?, close_reason=?, realized_pnl=?, fees=?, slip_cost=?, note=?, exec_mode=? WHERE group_id=?""", ( "option_residual", reason, interim_net, fees, slip, "LIVE perp_closed; option residual until expiry", "LIVE", group_id, ), ) self.db._conn.execute( """UPDATE positions SET group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL, option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0, option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat' WHERE id=1""" ) self.db._conn.commit() return CloseResult( ok=True, detail="perp_closed_option_residual_live", data={"group_id": group_id, "reason": reason, "mode": "target_perp_only", "exec_mode": "LIVE"}, ) class BinanceLiveStub(Matcher): def open_group(self, **kwargs: Any) -> OpenResult: # type: ignore[override] return OpenResult(ok=False, detail="币安实盘下单尚未接入,请使用 OKX 或切回 SIM") def close_group(self, **kwargs: Any) -> CloseResult: # type: ignore[override] return CloseResult(ok=False, detail="币安实盘下单尚未接入,请使用 OKX 或切回 SIM") def close_perp_abandon_option(self, **kwargs: Any) -> CloseResult: # type: ignore[override] return CloseResult(ok=False, detail="币安实盘下单尚未接入,请使用 OKX 或切回 SIM") def get_executor(db=None) -> Matcher: """按 MODE + 交易所返回执行器。""" from ..models.db import get_db database = db or get_db() s = get_settings() if s.is_sim: return Matcher(database) ex = load_runtime_settings().exchange if ex == "binance": return BinanceLiveStub(database) return OkxLiveExecutor(database)