dekun
2366 lines
90 KiB
Python
2366 lines
90 KiB
Python
"""币安实盘执行：eapi 期权 + fapi 永续；先期权后永续（含 anti-stuck 状态机）。"""
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from __future__ import annotations
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import logging
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import time
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from ..config import get_settings
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from ..env_store import live_ready
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from ..sim.liquidity import contracts_for_eth, eth_from_contracts
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from ..sim.matcher import CloseResult, Matcher, OpenResult
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from ..sim.pricing import option_intrinsic
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from ..strategy.session import get_session
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from .binance_trade import BinanceTradeClient
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from .reconcile import (
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assert_safe_to_open_live,
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claim_open_slot,
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exchange_option_abs_size,
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perp_close_qty_eth_binance,
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recover_stuck_opening,
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release_open_slot_if_opening,
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stamp_opening_intent,
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)
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from .symbols import live_settings, resolve_perp_inst_id
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logger = logging.getLogger(__name__)
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class BinanceLiveExecutor(Matcher):
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def __init__(self, db=None) -> None:
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super().__init__(db)
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self._trade: BinanceTradeClient | None = None
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def _client(self) -> BinanceTradeClient:
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if self._trade is None:
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self._trade = BinanceTradeClient()
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return self._trade
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def _guard_live(self) -> str | None:
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ok, reason = live_ready()
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if not ok:
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return reason
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return None
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def _perp_margin_mode(self) -> str:
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from ..config import get_settings
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s = get_settings()
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raw = str(
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self.ledger.get_setting_str("perp_margin_mode", s.perp_margin_mode)
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or s.perp_margin_mode
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or "cross"
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).strip().lower()
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return "isolated" if raw == "isolated" else "cross"
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def unrealized(self) -> dict:
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base = super().unrealized()
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if not base.get("has_position"):
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return base
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from .live_pnl import enrich_live_unrealized
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gid = base.get("group_id")
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open_at = None
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perp_inst = resolve_perp_inst_id(
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self.db, group_id=str(gid) if gid else None
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)
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if gid:
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g = self.db.fetchone(
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"SELECT open_at_ms, perp_inst_id FROM groups WHERE group_id=?",
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(gid,),
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)
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if g:
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open_at = int(g["open_at_ms"] or 0) or None
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if g["perp_inst_id"]:
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perp_inst = str(g["perp_inst_id"])
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try:
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client = self._client()
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except Exception:
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return base
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return enrich_live_unrealized(
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base=base,
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db=self.db,
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client=client,
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exchange="binance",
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perp_inst_id=perp_inst,
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perp_side=str(base.get("perp_side") or ""),
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open_at_ms=open_at,
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)
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def open_group(
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self,
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*,
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group_id: str,
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bias: str,
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option_side: str,
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perp_side: str,
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option_inst_id: str,
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entry_index_px: float,
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strike: float | None = None,
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expiry_ymd: str | None = None,
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) -> OpenResult:
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err = self._guard_live()
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if err:
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return OpenResult(ok=False, detail=err)
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claimed, claim_msg = claim_open_slot(self.db)
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if not claimed:
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return OpenResult(ok=False, detail=claim_msg)
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safe, safe_msg = assert_safe_to_open_live(self)
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if not safe:
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release_open_slot_if_opening(self.db)
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return OpenResult(ok=False, detail=safe_msg)
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s = live_settings()
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client = self._client()
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perp_inst = resolve_perp_inst_id(self.db)
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perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
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opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
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ct_mult = self._ct_mult(option_inst_id)
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opt_contracts = contracts_for_eth(opt_qty, ct_mult)
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stamp_opening_intent(
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self.db,
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group_id=group_id,
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option_inst_id=option_inst_id,
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option_side=option_side,
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perp_side=perp_side,
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option_qty_eth=opt_qty,
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option_qty_contracts=float(opt_contracts),
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entry_index_px=entry_index_px,
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)
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try:
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opt_fill = client.place_option_market(
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symbol=option_inst_id,
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side="BUY",
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quantity=opt_contracts,
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)
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except Exception as e:
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logger.exception("binance live open option failed")
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msg = str(e)
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# 仅当错误带明确 orderId= 时保留 opening（避免校验文案误卡槽）
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if "orderId=" in msg:
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return OpenResult(
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ok=False,
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detail=f"币安开期权未确认成交(保留 opening 防重复开，请核对交易所): {e}",
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)
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release_open_slot_if_opening(self.db)
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return OpenResult(ok=False, detail=f"币安开期权失败: {e}")
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filled_opt_contracts = float(opt_fill.sz) if opt_fill.sz and opt_fill.sz > 0 else float(
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int(round(opt_contracts))
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)
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opt_contracts = filled_opt_contracts
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opt_qty = eth_from_contracts(opt_contracts, ct_mult)
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stamp_opening_intent(
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self.db,
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group_id=group_id,
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option_inst_id=option_inst_id,
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option_side=option_side,
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perp_side=perp_side,
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option_qty_eth=opt_qty,
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option_qty_contracts=float(opt_contracts),
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entry_index_px=entry_index_px,
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option_entry_px=float(opt_fill.avg_px),
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)
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# 永续市价失败（多为保证金不足）→ 必须回滚期权
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mgn = self._perp_margin_mode()
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try:
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if perp_side == "long":
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side, pos_side = "BUY", "LONG"
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else:
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side, pos_side = "SELL", "SHORT"
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leverage = self.ledger.get_setting_float("leverage", s.leverage)
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try:
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client.set_margin_type(perp_inst, mgn)
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except Exception as e_mgn:
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logger.warning("binance set_margin_type failed: %s", e_mgn)
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try:
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client.set_leverage(perp_inst, leverage)
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except Exception as e_lev:
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logger.warning("binance set_leverage failed: %s", e_lev)
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perp_fill_live = client.place_perp_market(
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symbol=perp_inst,
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side=side,
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qty_eth=perp_qty,
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position_side=pos_side,
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)
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except Exception as e:
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logger.exception("binance live open perp failed (likely margin); rollback option")
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try:
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live_perp = client.get_perp_pos_sz(
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perp_inst,
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position_side=("LONG" if perp_side == "long" else "SHORT"),
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)
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except Exception:
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live_perp = None
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if live_perp is None or live_perp > 1e-8:
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return OpenResult(
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ok=False,
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detail=(
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f"永续开仓未确认(保留 opening，禁止回滚期权): {e}; "
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f"ex_perp={live_perp}"
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),
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)
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try:
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client.place_option_market(
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symbol=option_inst_id,
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side="SELL",
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quantity=opt_contracts,
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reduce_only=True,
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)
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except Exception as e2:
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logger.exception("binance option rollback failed: %s", e2)
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self._persist_half_open(
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group_id=group_id,
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bias=bias,
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option_side=option_side,
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perp_side=perp_side,
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option_inst_id=option_inst_id,
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entry_index_px=entry_index_px,
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strike=strike,
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expiry_ymd=expiry_ymd,
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opt_qty=opt_qty,
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opt_contracts=opt_contracts,
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of_px=float(opt_fill.avg_px),
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of_fee=float(opt_fill.fee),
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detail=f"保证金开永续失败且期权回滚失败: {e} / {e2}",
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)
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return OpenResult(
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ok=False,
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group_id=group_id,
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detail=f"永续开仓失败(保证金)且期权回滚失败，已标记 half_open: {e} / {e2}",
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)
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release_open_slot_if_opening(self.db)
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return OpenResult(
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ok=False,
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detail=f"永续开仓失败(多为保证金不足)，已回滚期权: {e}",
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)
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of_px = float(opt_fill.avg_px)
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pf_px = float(perp_fill_live.avg_px)
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of_fee = float(opt_fill.fee)
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pf_fee = float(perp_fill_live.fee)
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filled_perp_qty = (
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float(perp_fill_live.sz)
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if perp_fill_live.sz and perp_fill_live.sz > 0
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else perp_qty
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)
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perp_qty = filled_perp_qty
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initial_premium = of_px * opt_qty
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of_notional = of_px * opt_qty
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pf_notional = pf_px * perp_qty
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# LIVE：交易所已成交，本地账本允许透支镜像，禁止因账本拒记导致「交易所有仓、DB 空」
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self.ledger.apply_cash(
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-(of_notional + of_fee),
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kind="open_option",
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group_id=group_id,
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note=f"LIVE-BN open option {group_id}",
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allow_negative=True,
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)
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self.ledger.apply_cash(
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-pf_fee,
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kind="open_perp_fee",
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group_id=group_id,
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note=f"LIVE-BN open perp {group_id}",
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allow_negative=True,
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)
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now = int(time.time() * 1000)
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
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strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
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exec_mode, perp_margin_mode
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"open",
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bias,
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option_side,
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perp_side,
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option_inst_id,
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perp_inst,
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strike,
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expiry_ymd,
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entry_index_px,
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initial_premium,
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now,
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of_fee + pf_fee,
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0.0,
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"LIVE",
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mgn,
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"open",
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"long",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of_px,
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of_px,
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of_fee,
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0.0,
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of_notional,
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now,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"perp",
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"open",
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perp_side,
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perp_inst,
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perp_qty,
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None,
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pf_px,
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pf_px,
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pf_fee,
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0.0,
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pf_notional,
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now + 1,
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"LIVE",
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),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
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option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
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option_entry_px=?, entry_index_px=?, initial_premium=?, status=?
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WHERE id=1""",
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(
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group_id,
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perp_side,
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perp_qty,
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pf_px,
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option_inst_id,
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option_side,
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opt_qty,
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opt_contracts,
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of_px,
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entry_index_px,
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initial_premium,
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"open",
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),
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)
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self.db._conn.commit()
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try:
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from ..strategy.exits import lock_trade_exit_target
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lock_trade_exit_target(
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self.db, group_id=group_id, initial_premium=initial_premium
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)
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except Exception:
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logger.exception("lock exit target failed group=%s", group_id)
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leverage = self.ledger.get_setting_float("leverage", get_settings().leverage)
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perp_margin = (
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abs(float(pf_px) * float(perp_qty)) / float(leverage)
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if leverage and float(leverage) > 0
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else None
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)
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return OpenResult(
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ok=True,
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group_id=group_id,
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detail="opened_live_binance",
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data={
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"group_id": group_id,
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"exec_mode": "LIVE",
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"exchange": "binance",
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"bias": bias,
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"option_side": option_side,
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"perp_side": perp_side,
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"option_inst_id": option_inst_id,
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"strike": strike,
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"expiry_ymd": expiry_ymd,
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"option_ord": opt_fill.ord_id,
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"perp_ord": perp_fill_live.ord_id,
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"perp_qty_eth": float(perp_qty),
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"option_qty_eth": float(opt_qty),
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"perp_entry_px": float(pf_px),
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"option_entry_px": float(of_px),
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"initial_premium": initial_premium,
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"perp_margin": perp_margin,
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"leverage": float(leverage) if leverage else None,
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"fees": of_fee + pf_fee,
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},
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)
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def _persist_half_open(
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self,
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*,
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group_id: str,
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bias: str,
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option_side: str,
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perp_side: str,
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option_inst_id: str,
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entry_index_px: float,
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strike: float | None,
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expiry_ymd: str | None,
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opt_qty: float,
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opt_contracts: float,
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of_px: float,
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of_fee: float,
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detail: str,
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) -> None:
|
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"""期权已成交、永续未开且回滚失败 → 落 half_open，禁止新开，待 repair。"""
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perp_inst = resolve_perp_inst_id(self.db, group_id=group_id)
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initial_premium = of_px * opt_qty
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prior_cash = self.db.fetchone(
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"SELECT id FROM ledger_entries WHERE group_id=? AND kind='open_option' LIMIT 1",
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(group_id,),
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)
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if prior_cash is None:
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self.ledger.apply_cash(
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-(of_px * opt_qty + of_fee),
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kind="open_option",
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group_id=group_id,
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note=f"LIVE-BN half_open option {group_id}",
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allow_negative=True,
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)
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now = int(time.time() * 1000)
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with self.db._lock:
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existing = self.db._conn.execute(
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"SELECT group_id FROM groups WHERE group_id=?", (group_id,)
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).fetchone()
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if existing is None:
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self.db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
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strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
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exec_mode, note
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"half_open",
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bias,
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option_side,
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perp_side,
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option_inst_id,
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perp_inst,
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strike,
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expiry_ymd,
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entry_index_px,
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initial_premium,
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now,
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of_fee,
|
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0.0,
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"LIVE",
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detail[:200],
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),
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)
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self.db._conn.execute(
|
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
|
(
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group_id,
|
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"option",
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"open",
|
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"long",
|
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option_inst_id,
|
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opt_qty,
|
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opt_contracts,
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of_px,
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of_px,
|
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of_fee,
|
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0.0,
|
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of_px * opt_qty,
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now,
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"LIVE",
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),
|
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)
|
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self.db._conn.execute(
|
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"""UPDATE positions SET
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group_id=?, perp_side=?, perp_qty_eth=0, perp_entry_px=NULL,
|
|
option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
|
|
option_entry_px=?, entry_index_px=?, initial_premium=?, status='half_open'
|
|
WHERE id=1""",
|
|
(
|
|
group_id,
|
|
perp_side,
|
|
option_inst_id,
|
|
option_side,
|
|
opt_qty,
|
|
opt_contracts,
|
|
of_px,
|
|
entry_index_px,
|
|
initial_premium,
|
|
),
|
|
)
|
|
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=initial_premium
|
|
)
|
|
except Exception:
|
|
logger.exception("lock exit target failed half_open group=%s", group_id)
|
|
|
|
def repair_half_open(self) -> CloseResult:
|
|
"""卖出 half_open 残留期权，清本地状态。"""
|
|
err = self._guard_live()
|
|
if err:
|
|
return CloseResult(ok=False, detail=err)
|
|
pos = self.current_position()
|
|
if pos.get("status") != "half_open":
|
|
return CloseResult(ok=False, detail="非 half_open 状态")
|
|
group_id = str(pos.get("group_id") or "")
|
|
option_inst_id = str(pos.get("option_inst_id") or "")
|
|
opt_contracts = float(pos.get("option_qty_contracts") or 0)
|
|
opt_qty = float(pos.get("option_qty_eth") or 0)
|
|
if not option_inst_id:
|
|
return CloseResult(ok=False, detail="half_open 缺期权合约信息")
|
|
client = self._client()
|
|
ex_sz = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_sz is None:
|
|
return CloseResult(ok=False, detail="half_open：无法核对交易所期权仓位")
|
|
if ex_sz <= 1e-8:
|
|
of_px, of_fee, of_notional = 0.0, 0.0, 0.0
|
|
opt_contracts = 0.0
|
|
opt_qty = 0.0
|
|
opt_entry = float(pos.get("option_entry_px") or 0)
|
|
else:
|
|
opt_contracts = float(ex_sz)
|
|
opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
|
|
try:
|
|
opt_live = client.place_option_market(
|
|
symbol=option_inst_id,
|
|
side="SELL",
|
|
quantity=opt_contracts,
|
|
reduce_only=True,
|
|
)
|
|
except Exception as e:
|
|
return CloseResult(ok=False, detail=f"half_open 平期权失败: {e}")
|
|
of_px = float(opt_live.avg_px)
|
|
of_fee = float(opt_live.fee)
|
|
filled = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
|
|
if filled > 0:
|
|
opt_contracts = filled
|
|
opt_qty = eth_from_contracts(
|
|
opt_contracts, self._ct_mult(option_inst_id)
|
|
)
|
|
of_notional = of_px * opt_qty
|
|
ex_left = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_left is None or ex_left > 1e-8:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail=f"half_open：卖后仍有仓或无法核对 left={ex_left}",
|
|
)
|
|
opt_entry = float(pos.get("option_entry_px") or of_px)
|
|
self.ledger.apply_cash(
|
|
of_notional - of_fee,
|
|
kind="close_option",
|
|
group_id=group_id or None,
|
|
note="LIVE-BN repair half_open",
|
|
allow_negative=True,
|
|
)
|
|
now = int(time.time() * 1000)
|
|
with self.db._lock:
|
|
if group_id:
|
|
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,
|
|
0.0,
|
|
of_notional,
|
|
now,
|
|
"LIVE",
|
|
),
|
|
)
|
|
opt_pnl = (of_px - opt_entry) * opt_qty - of_fee
|
|
self.db._conn.execute(
|
|
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?, note=?
|
|
WHERE group_id=?""",
|
|
(
|
|
"closed",
|
|
now,
|
|
"half_open_repair",
|
|
float(opt_pnl),
|
|
"repaired half_open",
|
|
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,
|
|
exit_target_usdt=NULL, status='flat'
|
|
WHERE id=1"""
|
|
)
|
|
self.db._conn.commit()
|
|
return CloseResult(
|
|
ok=True,
|
|
detail="half_open_repaired",
|
|
data={"group_id": group_id, "exec_mode": "LIVE", "exchange": "binance"},
|
|
)
|
|
|
|
def recover_opening(self) -> CloseResult:
|
|
err = self._guard_live()
|
|
if err:
|
|
return CloseResult(ok=False, detail=err)
|
|
r = recover_stuck_opening(self)
|
|
if r is None:
|
|
return CloseResult(ok=False, detail="非 opening 状态")
|
|
return r
|
|
|
|
def _promote_opening_to_open(
|
|
self,
|
|
*,
|
|
pos: dict,
|
|
perp_inst: str,
|
|
opt_sz: float,
|
|
perp_total: float,
|
|
) -> CloseResult:
|
|
s = live_settings()
|
|
group_id = str(pos.get("group_id") or f"RCV-{int(time.time())}")
|
|
option_inst_id = str(pos.get("option_inst_id") or "")
|
|
option_side = str(pos.get("option_side") or "call")
|
|
perp_side = str(pos.get("perp_side") or "long")
|
|
of_px = float(pos.get("option_entry_px") or 0) or 0.0
|
|
opt_contracts = float(opt_sz) if opt_sz > 0 else float(
|
|
pos.get("option_qty_contracts") or 0
|
|
)
|
|
opt_qty = (
|
|
eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
|
|
if opt_contracts > 0
|
|
else float(pos.get("option_qty_eth") or 0)
|
|
)
|
|
perp_qty = float(pos.get("perp_qty_eth") or 0) or float(
|
|
self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
|
|
)
|
|
if perp_total > 0:
|
|
perp_qty = float(perp_total)
|
|
entry_index = float(pos.get("entry_index_px") or 0) or 0.0
|
|
pf_px = entry_index if entry_index > 0 else of_px
|
|
initial_premium = of_px * opt_qty
|
|
mgn = self._perp_margin_mode()
|
|
prior_cash = self.db.fetchone(
|
|
"SELECT id FROM ledger_entries WHERE group_id=? AND kind='open_option' LIMIT 1",
|
|
(group_id,),
|
|
)
|
|
if prior_cash is None and of_px > 0 and opt_qty > 0:
|
|
self.ledger.apply_cash(
|
|
-(of_px * opt_qty),
|
|
kind="open_option",
|
|
group_id=group_id,
|
|
note=f"LIVE-BN recover promote open_option {group_id}",
|
|
allow_negative=True,
|
|
)
|
|
now = int(time.time() * 1000)
|
|
with self.db._lock:
|
|
existing = self.db._conn.execute(
|
|
"SELECT group_id FROM groups WHERE group_id=?", (group_id,)
|
|
).fetchone()
|
|
if existing is None:
|
|
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, perp_margin_mode, note
|
|
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
|
(
|
|
group_id,
|
|
"open",
|
|
"recover",
|
|
option_side,
|
|
perp_side,
|
|
option_inst_id,
|
|
perp_inst,
|
|
None,
|
|
None,
|
|
entry_index,
|
|
initial_premium,
|
|
now,
|
|
0.0,
|
|
0.0,
|
|
"LIVE",
|
|
mgn,
|
|
"recover_opening both legs",
|
|
),
|
|
)
|
|
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='open'
|
|
WHERE id=1""",
|
|
(
|
|
group_id,
|
|
perp_side,
|
|
perp_qty,
|
|
pf_px,
|
|
option_inst_id,
|
|
option_side,
|
|
opt_qty,
|
|
opt_contracts,
|
|
of_px,
|
|
entry_index,
|
|
initial_premium,
|
|
),
|
|
)
|
|
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=initial_premium
|
|
)
|
|
except Exception:
|
|
logger.exception("lock exit target failed recover group=%s", group_id)
|
|
return CloseResult(
|
|
ok=True,
|
|
detail="recover_opening: 已提升为 open",
|
|
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（币安）：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()
|
|
call_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
|
|
put_qty = self.ledger.get_setting_float("oo_put_qty_eth", call_qty)
|
|
call_ct = self._ct_mult(call_inst_id)
|
|
put_ct = self._ct_mult(put_inst_id)
|
|
call_contracts = contracts_for_eth(call_qty, call_ct)
|
|
put_contracts = contracts_for_eth(put_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=call_qty,
|
|
option_qty_contracts=float(call_contracts),
|
|
entry_index_px=entry_index_px,
|
|
)
|
|
try:
|
|
call_fill = client.place_option_market(
|
|
symbol=call_inst_id, side="BUY", quantity=call_contracts
|
|
)
|
|
except Exception as e:
|
|
if "orderId=" 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(call_contracts)
|
|
)
|
|
call_qty = eth_from_contracts(call_contracts, call_ct)
|
|
put_contracts = contracts_for_eth(put_qty, put_ct)
|
|
try:
|
|
put_fill = client.place_option_market(
|
|
symbol=put_inst_id, side="BUY", quantity=put_contracts
|
|
)
|
|
except Exception as e:
|
|
try:
|
|
client.place_option_market(
|
|
symbol=call_inst_id, side="SELL", quantity=call_contracts
|
|
)
|
|
except Exception as e2:
|
|
logger.exception("bn oo call rollback failed: %s", e2)
|
|
return OpenResult(
|
|
ok=False,
|
|
detail=f"期期 Put 失败且 Call 回滚未确认: {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(put_contracts)
|
|
)
|
|
of_px = float(call_fill.avg_px)
|
|
pf_px = float(put_fill.avg_px)
|
|
put_qty = eth_from_contracts(put_contracts, put_ct)
|
|
call_prem = of_px * call_qty
|
|
put_prem = pf_px * put_qty
|
|
call_fee = float(getattr(call_fill, "fee", 0) or 0)
|
|
put_fee = float(getattr(put_fill, "fee", 0) or 0)
|
|
self.ledger.apply_cash(
|
|
-(call_prem + call_fee),
|
|
kind="open_option",
|
|
group_id=group_id,
|
|
note=f"LIVE-BN oo open call {group_id}",
|
|
allow_negative=True,
|
|
)
|
|
self.ledger.apply_cash(
|
|
-(put_prem + put_fee),
|
|
kind="open_option",
|
|
group_id=group_id,
|
|
note=f"LIVE-BN oo open put {group_id}",
|
|
allow_negative=True,
|
|
)
|
|
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,
|
|
call_fee + put_fee,
|
|
0.0,
|
|
"LIVE",
|
|
"option_option",
|
|
put_inst_id,
|
|
"put",
|
|
float(put_strike),
|
|
put_prem,
|
|
),
|
|
)
|
|
for leg, inst, contracts, fill_px, fee, ts, q in (
|
|
(
|
|
"option",
|
|
call_inst_id,
|
|
call_contracts,
|
|
of_px,
|
|
getattr(call_fill, "fee", 0),
|
|
now,
|
|
call_qty,
|
|
),
|
|
(
|
|
"option2",
|
|
put_inst_id,
|
|
put_contracts,
|
|
pf_px,
|
|
getattr(put_fill, "fee", 0),
|
|
now + 1,
|
|
put_qty,
|
|
),
|
|
):
|
|
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,
|
|
call_qty,
|
|
call_contracts,
|
|
of_px,
|
|
entry_index_px,
|
|
call_prem,
|
|
put_inst_id,
|
|
put_qty,
|
|
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 bn failed")
|
|
return OpenResult(
|
|
ok=True,
|
|
group_id=group_id,
|
|
detail="opened_oo_live_bn",
|
|
data={"hedge_mode": "option_option", "exec_mode": "LIVE"},
|
|
)
|
|
|
|
def live_sell_oo_both(
|
|
self, *, bypass_liquidity: bool = False, reason: str = ""
|
|
) -> None:
|
|
if str(reason or "") == "expiry":
|
|
logger.info("bn live_sell_oo_both: skip on expiry (exchange auto-settle)")
|
|
return
|
|
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:
|
|
continue
|
|
ex_sz = exchange_option_abs_size(client, inst)
|
|
if ex_sz is None:
|
|
if not bypass_liquidity:
|
|
raise RuntimeError(f"期期卖腿查仓失败: {inst}")
|
|
continue
|
|
if ex_sz <= 1e-8:
|
|
continue
|
|
try:
|
|
client.place_option_market(
|
|
symbol=inst,
|
|
side="SELL",
|
|
quantity=float(ex_sz),
|
|
reduce_only=True,
|
|
)
|
|
except Exception:
|
|
logger.exception("bn live_sell_oo_both failed inst=%s", inst)
|
|
if not bypass_liquidity:
|
|
raise
|
|
|
|
def close_oo_full(
|
|
self, *, reason: str = "expiry", bypass_liquidity: bool = False
|
|
) -> CloseResult:
|
|
"""期期 LIVE 全平：以交易所空仓为准；到期不卖期权。"""
|
|
err = self._guard_live()
|
|
if err:
|
|
return CloseResult(ok=False, detail=err)
|
|
pos = self.current_position()
|
|
st = str(pos.get("status") or "")
|
|
if st not in ("open", "closing") or not pos.get("group_id"):
|
|
return CloseResult(ok=False, detail="无期期持仓可平")
|
|
if not (
|
|
str(pos.get("hedge_mode") or "") == "option_option"
|
|
or pos.get("option2_inst_id")
|
|
):
|
|
return CloseResult(ok=False, detail="非期期持仓")
|
|
group_id = str(pos["group_id"])
|
|
client = self._client()
|
|
legs = [
|
|
("option", str(pos.get("option_inst_id") or ""), float(pos.get("option_qty_eth") or 0), float(pos.get("option_qty_contracts") or 0)),
|
|
("option2", str(pos.get("option2_inst_id") or ""), float(pos.get("option2_qty_eth") or 0), float(pos.get("option2_qty_contracts") or 0)),
|
|
]
|
|
if reason != "expiry":
|
|
try:
|
|
self.live_sell_oo_both(bypass_liquidity=bypass_liquidity, reason=reason)
|
|
except Exception as e:
|
|
return CloseResult(ok=False, detail=f"期期全平卖腿失败: {e}")
|
|
for _leg, inst, _qty, _c in legs:
|
|
if not inst:
|
|
continue
|
|
ex_sz = exchange_option_abs_size(client, inst)
|
|
if ex_sz is None:
|
|
return CloseResult(
|
|
ok=False, detail=f"期期全平无法核对交易所仓位: {inst}"
|
|
)
|
|
if ex_sz > 1e-8:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail=(
|
|
f"期期全平等待交易所{'到期结算' if reason == 'expiry' else '成交'}"
|
|
f": {inst} 仍有 {ex_sz}"
|
|
),
|
|
)
|
|
now = int(time.time() * 1000)
|
|
settle_px = None
|
|
if reason == "expiry":
|
|
try:
|
|
settle_px = self._close_spot_px(get_session().snapshot())
|
|
except Exception:
|
|
settle_px = None
|
|
for i, (leg, inst, qty, contracts) in enumerate(legs):
|
|
if not inst:
|
|
continue
|
|
if reason == "expiry":
|
|
px, fee, notional, cash = self._live_option_settlement_fill(
|
|
option_inst_id=inst, qty_eth=qty, group_id=group_id
|
|
)
|
|
if settle_px is not None and qty > 0:
|
|
if leg == "option":
|
|
side = str(pos.get("option_side") or "call")
|
|
strike = self._group_strike(group_id, inst)
|
|
else:
|
|
side = str(pos.get("option2_side") or "put")
|
|
try:
|
|
strike = float(pos.get("strike2") or 0) or None
|
|
except (TypeError, ValueError):
|
|
strike = None
|
|
if strike is not None:
|
|
iv = float(
|
|
option_intrinsic(
|
|
option_side=side,
|
|
strike=float(strike),
|
|
spot=float(settle_px),
|
|
)
|
|
)
|
|
tol = max(0.5, abs(iv) * 0.05)
|
|
if abs(float(px) - iv) > tol:
|
|
px = iv
|
|
notional = iv * float(qty)
|
|
cash = notional - float(fee or 0)
|
|
else:
|
|
px, fee, notional, cash = 0.0, 0.0, 0.0, 0.0
|
|
if abs(cash) > 1e-12:
|
|
self.ledger.apply_cash(
|
|
cash,
|
|
kind="close_option",
|
|
group_id=group_id,
|
|
note=f"LIVE-BN oo settle {leg} {reason}",
|
|
allow_negative=True,
|
|
)
|
|
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,
|
|
leg,
|
|
"close",
|
|
"flat",
|
|
inst,
|
|
qty,
|
|
contracts,
|
|
px,
|
|
px,
|
|
fee,
|
|
0.0,
|
|
notional,
|
|
now + i,
|
|
"LIVE",
|
|
),
|
|
)
|
|
self.db._conn.commit()
|
|
from ..sim.pnl import summarize_fills_pnl
|
|
|
|
fill_rows = self.db.fetchall(
|
|
"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
|
|
)
|
|
summary = summarize_fills_pnl(list(fill_rows))
|
|
net = float(summary.get("net_pnl") or 0.0)
|
|
with self.db._lock:
|
|
self.db._conn.execute(
|
|
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
|
note=?, settle_index_px=COALESCE(?, settle_index_px) WHERE group_id=?""",
|
|
(
|
|
"closed",
|
|
int(time.time() * 1000),
|
|
reason,
|
|
net,
|
|
f"oo full close {reason} exchange_flat_or_settle",
|
|
float(settle_px) if settle_px is not None else None,
|
|
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, exit_target_usdt=NULL, status='flat',
|
|
hedge_mode=NULL, option2_inst_id=NULL, option2_side=NULL,
|
|
option2_qty_eth=0, option2_qty_contracts=0, option2_entry_px=NULL,
|
|
strike2=NULL, initial_premium2=NULL
|
|
WHERE id=1"""
|
|
)
|
|
self.db._conn.commit()
|
|
return CloseResult(
|
|
ok=True,
|
|
detail="oo_full_closed_live_bn",
|
|
data={"group_id": group_id, "reason": reason, "net": net},
|
|
)
|
|
|
|
def close_winning_oo_leave_residual(
|
|
self, *, reason: str = "target_oo_win"
|
|
) -> CloseResult:
|
|
err = self._guard_live()
|
|
if err:
|
|
return CloseResult(ok=False, detail=err)
|
|
pos = self.current_position()
|
|
st = str(pos.get("status") or "")
|
|
if st == "closing":
|
|
return self._finish_oo_win_after_exchange(reason=reason, pos=pos)
|
|
if st != "open" or not pos.get("option2_inst_id"):
|
|
return CloseResult(ok=False, detail="无期期持仓")
|
|
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_leg = "option"
|
|
win_id = str(pos["option_inst_id"])
|
|
elif put_upl > 0:
|
|
win_leg = "option2"
|
|
win_id = str(pos["option2_inst_id"])
|
|
else:
|
|
return CloseResult(ok=False, detail="无明确盈利腿")
|
|
client = self._client()
|
|
ex_sz = exchange_option_abs_size(client, win_id)
|
|
if ex_sz is None:
|
|
return CloseResult(ok=False, detail="期期平盈利腿：无法核对交易所仓位")
|
|
if ex_sz <= 1e-8:
|
|
return self._finish_oo_win_after_exchange(
|
|
reason=reason,
|
|
pos=pos,
|
|
win_leg=win_leg,
|
|
fill_px=0.0,
|
|
fill_fee=0.0,
|
|
fill_c=0.0,
|
|
)
|
|
with self.db._lock:
|
|
self.db._conn.execute(
|
|
"UPDATE positions SET status='closing' WHERE id=1 AND status='open'"
|
|
)
|
|
self.db._conn.commit()
|
|
try:
|
|
live = client.place_option_market(
|
|
symbol=win_id,
|
|
side="SELL",
|
|
quantity=float(ex_sz),
|
|
reduce_only=True,
|
|
)
|
|
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}")
|
|
fill_c = float(live.sz) if live.sz and float(live.sz) > 0 else 0.0
|
|
return self._finish_oo_win_after_exchange(
|
|
reason=reason,
|
|
pos=self.current_position(),
|
|
win_leg=win_leg,
|
|
fill_px=float(live.avg_px),
|
|
fill_fee=float(live.fee),
|
|
fill_c=fill_c,
|
|
)
|
|
|
|
def _finish_oo_win_after_exchange(
|
|
self,
|
|
*,
|
|
reason: str,
|
|
pos: dict,
|
|
win_leg: str | None = None,
|
|
fill_px: float | None = None,
|
|
fill_fee: float | None = None,
|
|
fill_c: float | None = None,
|
|
) -> CloseResult:
|
|
client = self._client()
|
|
call_id = str(pos.get("option_inst_id") or "")
|
|
put_id = str(pos.get("option2_inst_id") or "")
|
|
if not win_leg:
|
|
c_sz = exchange_option_abs_size(client, call_id) if call_id else None
|
|
p_sz = exchange_option_abs_size(client, put_id) if put_id else None
|
|
if c_sz is None or p_sz is None:
|
|
return CloseResult(
|
|
ok=False, detail="closing 收尾：无法核对交易所两腿仓位"
|
|
)
|
|
if c_sz <= 1e-8 and p_sz > 1e-8:
|
|
win_leg = "option"
|
|
elif p_sz <= 1e-8 and c_sz > 1e-8:
|
|
win_leg = "option2"
|
|
elif c_sz <= 1e-8 and p_sz <= 1e-8:
|
|
return self.close_oo_full(reason=reason, bypass_liquidity=True)
|
|
else:
|
|
return CloseResult(
|
|
ok=False, detail="closing 收尾：盈利腿仍在交易所，请重试卖出"
|
|
)
|
|
win_id = call_id if win_leg == "option" else put_id
|
|
ex_win = exchange_option_abs_size(client, win_id)
|
|
if ex_win is None:
|
|
return CloseResult(ok=False, detail="closing 收尾：无法核对盈利腿仓位")
|
|
if ex_win > 1e-8:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail=f"closing 收尾：盈利腿仍有仓 {ex_win}，禁止本地清仓",
|
|
)
|
|
return super().close_winning_oo_leave_residual(
|
|
reason=reason,
|
|
skip_market=True,
|
|
live_fill_px=0.0 if fill_px is None else float(fill_px),
|
|
live_fill_fee=0.0 if fill_fee is None else float(fill_fee),
|
|
live_fill_contracts=fill_c,
|
|
live_win_leg=win_leg,
|
|
)
|
|
|
|
def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
|
|
err = self._guard_live()
|
|
if err:
|
|
return CloseResult(ok=False, detail=err)
|
|
|
|
s = live_settings()
|
|
pos = self.current_position()
|
|
st = str(pos.get("status") or "")
|
|
if st == "opening":
|
|
return self.recover_opening()
|
|
if st == "half_open":
|
|
return self.repair_half_open()
|
|
if st == "closing":
|
|
if pos.get("option2_inst_id") or str(pos.get("hedge_mode") or "") == "option_option":
|
|
return self.close_winning_oo_leave_residual(
|
|
reason=reason or "closing_retry"
|
|
)
|
|
return CloseResult(ok=False, detail="closing 非期期状态，请人工核对")
|
|
is_oo = (
|
|
str(pos.get("hedge_mode") or "") == "option_option"
|
|
or bool(pos.get("option2_inst_id"))
|
|
)
|
|
if is_oo and st == "open":
|
|
return self.close_oo_full(reason=reason, bypass_liquidity=bypass_liquidity)
|
|
if st not in ("open", "option_closed_perp_pending") 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)
|
|
perp_inst = resolve_perp_inst_id(self.db, group_id=group_id)
|
|
client = self._client()
|
|
is_expiry = reason == "expiry"
|
|
pending_perp_only = st == "option_closed_perp_pending"
|
|
|
|
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
|
|
option_apply_cash = True
|
|
perp_already_flat = False
|
|
|
|
if pending_perp_only:
|
|
prev = self.db.fetchone(
|
|
"""SELECT fill_px, fee, notional, slip FROM fills
|
|
WHERE group_id=? AND leg='option' AND action='close'
|
|
ORDER BY id DESC LIMIT 1""",
|
|
(group_id,),
|
|
)
|
|
if prev is None and not is_expiry:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail="option_closed_perp_pending 缺期权平仓记录，请人工核对",
|
|
)
|
|
if prev is not None:
|
|
of_px = float(prev["fill_px"])
|
|
of_fee = float(prev["fee"] or 0)
|
|
of_notional = float(prev["notional"] or (of_px * opt_qty))
|
|
else:
|
|
of_px = 0.0
|
|
of_fee = 0.0
|
|
of_notional = 0.0
|
|
self._ensure_option_closed_perp_pending(
|
|
group_id=group_id,
|
|
option_inst_id=option_inst_id,
|
|
opt_qty=opt_qty,
|
|
opt_contracts=opt_contracts,
|
|
of_px=of_px,
|
|
of_fee=of_fee,
|
|
of_notional=of_notional,
|
|
of_slip=0.0,
|
|
reason=reason,
|
|
apply_cash=False,
|
|
)
|
|
of_slip = 0.0
|
|
option_apply_cash = False
|
|
elif is_expiry:
|
|
ex_opt = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_opt is not None and ex_opt > 1e-8:
|
|
logger.warning(
|
|
"bn expiry: option still on exchange sz=%.4f group=%s; "
|
|
"skip option, close perp only",
|
|
ex_opt,
|
|
group_id,
|
|
)
|
|
of_px, of_fee, of_notional, settle_cash = self._live_option_settlement_fill(
|
|
option_inst_id=option_inst_id,
|
|
qty_eth=opt_qty,
|
|
group_id=group_id,
|
|
)
|
|
of_slip = 0.0
|
|
option_apply_cash = abs(settle_cash) > 1e-12
|
|
logger.info(
|
|
"bn expiry: skip option order, close perp only group=%s settle_cash=%.4f",
|
|
group_id,
|
|
settle_cash,
|
|
)
|
|
self._ensure_option_closed_perp_pending(
|
|
group_id=group_id,
|
|
option_inst_id=option_inst_id,
|
|
opt_qty=opt_qty,
|
|
opt_contracts=opt_contracts,
|
|
of_px=of_px,
|
|
of_fee=of_fee,
|
|
of_notional=of_notional,
|
|
of_slip=of_slip,
|
|
reason=reason,
|
|
apply_cash=option_apply_cash,
|
|
)
|
|
pending_perp_only = True
|
|
else:
|
|
ex_opt_pre = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_opt_pre is not None and ex_opt_pre > 1e-8:
|
|
opt_contracts = float(ex_opt_pre)
|
|
opt_qty = eth_from_contracts(
|
|
opt_contracts, self._ct_mult(option_inst_id)
|
|
)
|
|
try:
|
|
if ex_opt_pre is not None and ex_opt_pre <= 1e-8:
|
|
raise RuntimeError("option already flat on exchange")
|
|
if opt_contracts <= 0:
|
|
return CloseResult(
|
|
ok=False, detail="币安平期权失败: 无有效张数"
|
|
)
|
|
opt_live = client.place_option_market(
|
|
symbol=option_inst_id,
|
|
side="SELL",
|
|
quantity=max(1.0, opt_contracts),
|
|
reduce_only=True,
|
|
)
|
|
of_px = float(opt_live.avg_px)
|
|
of_fee = float(opt_live.fee)
|
|
filled_c = (
|
|
float(opt_live.sz) if opt_live.sz and opt_live.sz > 0 else 0.0
|
|
)
|
|
if filled_c <= 1e-12:
|
|
ex_after = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_after is None:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail="币安平期权失败: 成交张数未知且无法核对仓位",
|
|
)
|
|
if ex_after > 1e-8:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail=f"币安平期权失败: 未确认成交仍有仓 {ex_after}",
|
|
)
|
|
of_px = 0.0
|
|
of_fee = 0.0
|
|
of_notional = 0.0
|
|
option_apply_cash = False
|
|
else:
|
|
opt_contracts = filled_c
|
|
opt_qty = eth_from_contracts(
|
|
opt_contracts, self._ct_mult(option_inst_id)
|
|
)
|
|
of_notional = of_px * opt_qty
|
|
except Exception as e:
|
|
ex_opt = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_opt is not None and ex_opt <= 1e-8:
|
|
prev = self.db.fetchone(
|
|
"""SELECT fill_px, fee, notional, slip FROM fills
|
|
WHERE group_id=? AND leg='option' AND action='close'
|
|
ORDER BY id DESC LIMIT 1""",
|
|
(group_id,),
|
|
)
|
|
if prev is not None:
|
|
of_px = float(prev["fill_px"])
|
|
of_fee = float(prev["fee"] or 0)
|
|
of_notional = float(prev["notional"] or (of_px * opt_qty))
|
|
of_slip = float(prev["slip"] or 0)
|
|
option_apply_cash = False
|
|
else:
|
|
of_px = 0.0
|
|
of_fee = 0.0
|
|
of_notional = 0.0
|
|
of_slip = 0.0
|
|
option_apply_cash = False
|
|
logger.warning(
|
|
"binance option already flat on exchange; skip resell: %s", e
|
|
)
|
|
elif not bypass_liquidity:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail=f"币安平期权失败: {e}",
|
|
liquidity_wait=True,
|
|
)
|
|
else:
|
|
return CloseResult(ok=False, detail=f"币安平期权失败: {e}")
|
|
|
|
self._ensure_option_closed_perp_pending(
|
|
group_id=group_id,
|
|
option_inst_id=option_inst_id,
|
|
opt_qty=opt_qty,
|
|
opt_contracts=opt_contracts,
|
|
of_px=of_px,
|
|
of_fee=of_fee,
|
|
of_notional=of_notional,
|
|
of_slip=of_slip,
|
|
reason=reason,
|
|
apply_cash=option_apply_cash,
|
|
)
|
|
pending_perp_only = True
|
|
|
|
try:
|
|
if perp_side == "long":
|
|
side, pos_side = "SELL", "LONG"
|
|
else:
|
|
side, pos_side = "BUY", "SHORT"
|
|
perp_qty_close = perp_close_qty_eth_binance(
|
|
client,
|
|
perp_inst=perp_inst,
|
|
perp_side=perp_side,
|
|
perp_qty_eth=perp_qty,
|
|
allow_db_fallback=False,
|
|
)
|
|
if perp_qty_close is None:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail="期权已平，永续待平(无法核对交易所仓位，禁止空仓 finalize)",
|
|
)
|
|
if perp_qty_close <= 0:
|
|
pf_px = 0.0
|
|
pf_fee = 0.0
|
|
perp_already_flat = True
|
|
logger.warning(
|
|
"binance perp already flat; finalize without order group=%s",
|
|
group_id,
|
|
)
|
|
else:
|
|
perp_live = client.place_perp_market(
|
|
symbol=perp_inst,
|
|
side=side,
|
|
qty_eth=perp_qty_close,
|
|
position_side=pos_side,
|
|
reduce_only=True,
|
|
)
|
|
pf_px = float(perp_live.avg_px)
|
|
pf_fee = float(perp_live.fee)
|
|
perp_qty = float(perp_qty_close)
|
|
pos = {**pos, "perp_qty_eth": perp_qty}
|
|
except Exception as e:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail=f"期权已平，永续待平(option_closed_perp_pending): {e}",
|
|
)
|
|
|
|
return self._finalize_dual_close(
|
|
pos=pos,
|
|
group_id=group_id,
|
|
option_inst_id=option_inst_id,
|
|
opt_qty=opt_qty,
|
|
opt_contracts=opt_contracts,
|
|
of_px=of_px,
|
|
of_fee=of_fee,
|
|
of_slip=of_slip,
|
|
of_notional=of_notional,
|
|
pf_px=pf_px,
|
|
pf_fee=pf_fee,
|
|
reason=reason,
|
|
option_fill_already_written=bool(pending_perp_only),
|
|
skip_option_cash=True,
|
|
skip_perp_cash=bool(perp_already_flat),
|
|
skip_perp_fill=bool(perp_already_flat),
|
|
settle_index_px=spot,
|
|
)
|
|
|
|
def _live_option_settlement_fill(
|
|
self,
|
|
*,
|
|
option_inst_id: str,
|
|
qty_eth: float,
|
|
group_id: str | None = None,
|
|
begin_ms: int | None = None,
|
|
) -> tuple[float, float, float, float]:
|
|
from .option_settle import fetch_option_settlement, settlement_to_fill
|
|
|
|
open_ms = begin_ms
|
|
if open_ms is None and group_id:
|
|
g = self.db.fetchone(
|
|
"SELECT open_at_ms FROM groups WHERE group_id=?", (group_id,)
|
|
)
|
|
if g and g["open_at_ms"]:
|
|
open_ms = int(g["open_at_ms"])
|
|
st = fetch_option_settlement(
|
|
self._client(),
|
|
exchange="binance",
|
|
option_inst_id=option_inst_id,
|
|
qty_eth=float(qty_eth),
|
|
begin_ms=open_ms,
|
|
)
|
|
px, fee, notional = settlement_to_fill(st, qty_eth=float(qty_eth))
|
|
cash = float(st.cash) if st.found else 0.0
|
|
if st.found:
|
|
logger.info(
|
|
"bn option settlement %s source=%s px=%.6f fee=%.6f cash=%.6f (%s)",
|
|
option_inst_id,
|
|
st.source,
|
|
px,
|
|
fee,
|
|
cash,
|
|
st.detail,
|
|
)
|
|
return px, fee, notional, cash
|
|
|
|
def _ensure_option_closed_perp_pending(
|
|
self,
|
|
*,
|
|
group_id: str,
|
|
option_inst_id: str,
|
|
opt_qty: float,
|
|
opt_contracts: float,
|
|
of_px: float,
|
|
of_fee: float,
|
|
of_notional: float,
|
|
of_slip: float,
|
|
reason: str,
|
|
apply_cash: bool = True,
|
|
) -> None:
|
|
st_now = str(self.current_position().get("status") or "")
|
|
prev_close = self.db.fetchone(
|
|
"""SELECT id FROM fills
|
|
WHERE group_id=? AND leg='option' AND action='close'
|
|
ORDER BY id DESC LIMIT 1""",
|
|
(group_id,),
|
|
)
|
|
if st_now == "option_closed_perp_pending" or prev_close is not None:
|
|
if st_now != "option_closed_perp_pending":
|
|
with self.db._lock:
|
|
self.db._conn.execute(
|
|
"UPDATE positions SET status='option_closed_perp_pending' WHERE id=1"
|
|
)
|
|
self.db._conn.commit()
|
|
return
|
|
self._mark_option_closed_perp_pending(
|
|
group_id=group_id,
|
|
option_inst_id=option_inst_id,
|
|
opt_qty=opt_qty,
|
|
opt_contracts=opt_contracts,
|
|
of_px=of_px,
|
|
of_fee=of_fee,
|
|
of_notional=of_notional,
|
|
of_slip=of_slip,
|
|
reason=reason,
|
|
apply_cash=apply_cash,
|
|
)
|
|
|
|
def _mark_option_closed_perp_pending(
|
|
self,
|
|
*,
|
|
group_id: str,
|
|
option_inst_id: str,
|
|
opt_qty: float,
|
|
opt_contracts: float,
|
|
of_px: float,
|
|
of_fee: float,
|
|
of_notional: float,
|
|
of_slip: float,
|
|
reason: str,
|
|
apply_cash: bool = True,
|
|
) -> None:
|
|
if apply_cash:
|
|
self.ledger.apply_cash(
|
|
of_notional - of_fee,
|
|
kind="close_option",
|
|
group_id=group_id,
|
|
note=f"LIVE-BN close option pending perp {reason}",
|
|
allow_negative=True,
|
|
)
|
|
now = int(time.time() * 1000)
|
|
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(
|
|
"UPDATE positions SET status='option_closed_perp_pending' WHERE id=1"
|
|
)
|
|
note = (
|
|
f"option_closed_perp_pending:{reason}"
|
|
if apply_cash
|
|
else f"option_closed_perp_pending:{reason}:no_cash_exchange_sot"
|
|
)
|
|
self.db._conn.execute(
|
|
"UPDATE groups SET fees=COALESCE(fees,0)+?, note=? WHERE group_id=?",
|
|
(of_fee if apply_cash else 0.0, note, group_id),
|
|
)
|
|
self.db._conn.commit()
|
|
|
|
def _finalize_dual_close(
|
|
self,
|
|
*,
|
|
pos: dict,
|
|
group_id: str,
|
|
option_inst_id: str,
|
|
opt_qty: float,
|
|
opt_contracts: float,
|
|
of_px: float,
|
|
of_fee: float,
|
|
of_slip: float,
|
|
of_notional: float,
|
|
pf_px: float,
|
|
pf_fee: float,
|
|
reason: str,
|
|
option_fill_already_written: bool,
|
|
skip_option_cash: bool,
|
|
skip_perp_cash: bool = False,
|
|
skip_perp_fill: bool = False,
|
|
settle_index_px: float | None = None,
|
|
) -> CloseResult:
|
|
s = live_settings()
|
|
perp_inst = resolve_perp_inst_id(self.db, group_id=group_id)
|
|
perp_side = str(pos["perp_side"])
|
|
perp_qty = float(pos["perp_qty_eth"])
|
|
opt_entry = float(pos["option_entry_px"] or 0)
|
|
perp_entry = float(pos["perp_entry_px"] or pf_px or 0)
|
|
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
|
|
|
|
if not skip_option_cash:
|
|
self.ledger.apply_cash(
|
|
of_notional - of_fee,
|
|
kind="close_option",
|
|
group_id=group_id,
|
|
note=f"LIVE-BN close option {reason}",
|
|
allow_negative=True,
|
|
)
|
|
if not skip_perp_cash:
|
|
self.ledger.apply_cash(
|
|
perp_pnl - pf_fee,
|
|
kind="close_perp",
|
|
group_id=group_id,
|
|
note=f"LIVE-BN close perp {reason}",
|
|
allow_negative=True,
|
|
)
|
|
|
|
now = int(time.time() * 1000)
|
|
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
|
base_fees = float((g["fees"] if g else 0) or 0)
|
|
fees = (
|
|
base_fees
|
|
+ (0.0 if skip_option_cash else of_fee)
|
|
+ (0.0 if skip_perp_cash else pf_fee)
|
|
)
|
|
# LIVE：真实成交价已含盘口冲击，不另计/不计模拟滑点
|
|
of_slip = 0.0
|
|
slip = 0.0
|
|
from ..sim.pnl import summarize_fills_pnl
|
|
|
|
with self.db._lock:
|
|
if not option_fill_already_written:
|
|
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",
|
|
),
|
|
)
|
|
if not skip_perp_fill:
|
|
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",
|
|
perp_inst,
|
|
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
|
|
close_index = (
|
|
float(settle_index_px) if settle_index_px is not None else None
|
|
)
|
|
self.db._conn.execute(
|
|
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
|
fees=?, slip_cost=?, settle_index_px=COALESCE(?, settle_index_px) WHERE group_id=?""",
|
|
("closed", now, reason, float(net), fees, slip, close_index, 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,
|
|
exit_target_usdt=NULL, status='flat'
|
|
WHERE id=1"""
|
|
)
|
|
self.db._conn.commit()
|
|
|
|
from .live_pnl import reconcile_closed_group_pnl
|
|
|
|
g2 = self.db.fetchone(
|
|
"SELECT open_at_ms, perp_inst_id FROM groups WHERE group_id=?",
|
|
(group_id,),
|
|
)
|
|
net = reconcile_closed_group_pnl(
|
|
db=self.db,
|
|
client=self._client(),
|
|
exchange="binance",
|
|
group_id=group_id,
|
|
perp_inst_id=str((g2["perp_inst_id"] if g2 else None) or resolve_perp_inst_id(self.db, group_id=group_id)),
|
|
open_at_ms=int(g2["open_at_ms"]) if g2 and g2["open_at_ms"] else None,
|
|
local_net=float(net) if net is not None else None,
|
|
)
|
|
|
|
fills_summary = None
|
|
try:
|
|
from ..sim.pnl import summarize_fills_pnl
|
|
|
|
fill_rows = self.db.fetchall(
|
|
"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
|
|
)
|
|
fills_summary = summarize_fills_pnl(list(fill_rows))
|
|
except Exception:
|
|
fills_summary = None
|
|
return CloseResult(
|
|
ok=True,
|
|
detail="closed_live_binance",
|
|
data={
|
|
"group_id": group_id,
|
|
"reason": reason,
|
|
"perp_pnl": (
|
|
fills_summary.get("perp_pnl") if fills_summary else None
|
|
),
|
|
"option_pnl": (
|
|
fills_summary.get("option_pnl") if fills_summary else None
|
|
),
|
|
"net": net,
|
|
"net_pnl": net,
|
|
"fees": fills_summary.get("fees_total") if fills_summary else None,
|
|
"exec_mode": "LIVE",
|
|
"pnl_source": "live_exchange",
|
|
},
|
|
)
|
|
|
|
def _sync_residual_contracts_with_exchange(self, row: dict) -> dict | None:
|
|
option_inst_id = str(row.get("option_inst_id") or "")
|
|
group_id = str(row.get("group_id") or "")
|
|
client = self._client()
|
|
ex_sz = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_sz is None:
|
|
logger.warning(
|
|
"residual %s: exchange size unknown, skip until query ok", group_id
|
|
)
|
|
return None
|
|
ct = self._ct_mult(option_inst_id)
|
|
local_c = float(row.get("option_qty_contracts") or 0)
|
|
if local_c <= 0:
|
|
local_c = float(
|
|
contracts_for_eth(float(row.get("option_qty_eth") or 0), ct) or 0
|
|
)
|
|
if ex_sz <= 1e-8:
|
|
now_ms = int(time.time() * 1000)
|
|
qty_eth = float(row.get("option_qty_eth") or 0)
|
|
begin = None
|
|
try:
|
|
begin = int(row.get("created_at_ms") or 0) or None
|
|
except Exception:
|
|
begin = None
|
|
px, fee, notional, _cash = self._live_option_settlement_fill(
|
|
option_inst_id=option_inst_id,
|
|
qty_eth=qty_eth,
|
|
group_id=group_id,
|
|
begin_ms=begin,
|
|
)
|
|
booked = self._book_residual_market_close(
|
|
row,
|
|
fill_px=px,
|
|
fee=fee,
|
|
notional=notional,
|
|
slip=0.0,
|
|
now_ms=now_ms,
|
|
note=(
|
|
f"LIVE-BN residual already flat; settlement px={px}"
|
|
if notional > 0 or fee > 0
|
|
else "LIVE-BN residual already flat on exchange"
|
|
),
|
|
exec_mode="LIVE",
|
|
filled_contracts=(
|
|
float(row.get("option_qty_contracts") or 0)
|
|
if (notional > 0 or fee > 0)
|
|
else 0.0
|
|
),
|
|
remaining_contracts=0.0,
|
|
close_reason="residual_premium_close",
|
|
)
|
|
logger.warning(
|
|
"residual %s already flat on exchange; local settled=%s",
|
|
group_id,
|
|
booked is not None,
|
|
)
|
|
return None
|
|
if abs(local_c - ex_sz) > 1e-8:
|
|
rem_eth = eth_from_contracts(float(ex_sz), ct)
|
|
init = float(row.get("initial_premium") or 0)
|
|
local_eth = float(row.get("option_qty_eth") or 0)
|
|
if local_eth > 1e-12:
|
|
init = init * (rem_eth / local_eth)
|
|
with self.db._lock:
|
|
self.db._conn.execute(
|
|
"""UPDATE residual_options SET
|
|
option_qty_eth=?, option_qty_contracts=?, initial_premium=?
|
|
WHERE group_id=? AND status='pending'""",
|
|
(rem_eth, float(ex_sz), init, group_id),
|
|
)
|
|
self.db._conn.commit()
|
|
row = {
|
|
**row,
|
|
"option_qty_eth": rem_eth,
|
|
"option_qty_contracts": float(ex_sz),
|
|
"initial_premium": init,
|
|
}
|
|
return row
|
|
|
|
def try_close_one_residual(
|
|
self, row: dict, *, skip_premium_ratio: bool = False
|
|
) -> dict | None:
|
|
"""LIVE-BN：流动性通过后按最新买一 IOC 限价卖；自动路径另要求权利金比例。"""
|
|
err = self._guard_live()
|
|
if err:
|
|
logger.warning("residual close blocked: %s", err)
|
|
return None
|
|
synced = self._sync_residual_contracts_with_exchange(row)
|
|
if synced is None:
|
|
return None
|
|
row = synced
|
|
require_ratio = not skip_premium_ratio
|
|
skip, close_bid, _oq = self._evaluate_residual_premium_close(
|
|
row, require_premium_ratio=require_ratio
|
|
)
|
|
if skip or close_bid is None:
|
|
if skip:
|
|
logger.debug(
|
|
"residual close skip %s: %s",
|
|
row.get("group_id"),
|
|
skip,
|
|
)
|
|
return None
|
|
option_inst_id = str(row.get("option_inst_id") or "")
|
|
opt_contracts = float(row.get("option_qty_contracts") or 0)
|
|
opt_qty = float(row.get("option_qty_eth") or 0)
|
|
if opt_contracts <= 0:
|
|
ct = self._ct_mult(option_inst_id)
|
|
opt_contracts = float(contracts_for_eth(opt_qty, ct) or 0)
|
|
if opt_contracts <= 0:
|
|
logger.warning(
|
|
"residual close skip %s: bad contracts", row.get("group_id")
|
|
)
|
|
return None
|
|
oq2 = self._quote_held_option(option_inst_id)
|
|
if oq2 is None or oq2.bid is None:
|
|
return None
|
|
bid_px = float(oq2.bid)
|
|
skip2 = self._residual_bid_gate(
|
|
row, bid=bid_px, oq=oq2, require_premium_ratio=require_ratio
|
|
)
|
|
if skip2:
|
|
logger.debug(
|
|
"residual close recheck skip %s: %s",
|
|
row.get("group_id"),
|
|
skip2,
|
|
)
|
|
return None
|
|
client = self._client()
|
|
try:
|
|
opt_live = client.place_option_ioc(
|
|
symbol=option_inst_id,
|
|
side="SELL",
|
|
quantity=max(1.0, opt_contracts),
|
|
price=bid_px,
|
|
reduce_only=True,
|
|
)
|
|
except Exception as e:
|
|
logger.warning(
|
|
"residual close bid-ioc sell failed %s: %s",
|
|
row.get("group_id"),
|
|
e,
|
|
)
|
|
return None
|
|
of_px = float(opt_live.avg_px)
|
|
of_fee = float(opt_live.fee)
|
|
filled_c = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
|
|
if filled_c <= 1e-12:
|
|
return None
|
|
ex_left = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_left is None:
|
|
logger.warning(
|
|
"residual close %s: filled but remaining size unknown; leave pending",
|
|
row.get("group_id"),
|
|
)
|
|
return None
|
|
remaining = max(0.0, float(ex_left))
|
|
fill_eth = eth_from_contracts(filled_c, self._ct_mult(option_inst_id))
|
|
now_ms = int(time.time() * 1000)
|
|
tag = "manual" if skip_premium_ratio else "mid"
|
|
return self._book_residual_market_close(
|
|
row,
|
|
fill_px=of_px,
|
|
fee=of_fee,
|
|
notional=of_px * fill_eth,
|
|
slip=0.0,
|
|
now_ms=now_ms,
|
|
note=f"LIVE-BN residual {tag}-close at bid IOC px={bid_px}",
|
|
exec_mode="LIVE",
|
|
filled_contracts=filled_c,
|
|
remaining_contracts=remaining,
|
|
close_reason=(
|
|
"residual_manual_close"
|
|
if skip_premium_ratio
|
|
else "residual_premium_close"
|
|
),
|
|
)
|
|
|
|
def _try_exchange_flatten_residual(
|
|
self, row: dict, *, force: bool = False
|
|
) -> dict | None:
|
|
err = self._guard_live()
|
|
if err:
|
|
return None
|
|
option_inst_id = str(row.get("option_inst_id") or "")
|
|
client = self._client()
|
|
ex_sz = exchange_option_abs_size(client, option_inst_id)
|
|
if ex_sz is None:
|
|
logger.warning(
|
|
"residual flatten %s: exchange size unknown", row.get("group_id")
|
|
)
|
|
return None
|
|
if ex_sz <= 1e-8:
|
|
qty_eth = float(row.get("option_qty_eth") or 0)
|
|
begin = None
|
|
try:
|
|
begin = int(row.get("created_at_ms") or 0) or None
|
|
except Exception:
|
|
begin = None
|
|
gid = str(row.get("group_id") or "")
|
|
px, fee, notional, _cash = self._live_option_settlement_fill(
|
|
option_inst_id=option_inst_id,
|
|
qty_eth=qty_eth,
|
|
group_id=gid or None,
|
|
begin_ms=begin,
|
|
)
|
|
return {
|
|
"fill_px": px,
|
|
"fee": fee,
|
|
"notional": notional,
|
|
"slip": 0.0,
|
|
"filled_contracts": float(row.get("option_qty_contracts") or 0),
|
|
"remaining_contracts": 0.0,
|
|
"note": (
|
|
f"LIVE-BN residual flat; settlement px={px}"
|
|
if notional > 0 or fee > 0
|
|
else "LIVE-BN residual flat on exchange before settle"
|
|
),
|
|
"exec_mode": "LIVE",
|
|
"close_reason": "emergency" if force else "expiry",
|
|
}
|
|
if not force:
|
|
logger.info(
|
|
"residual expiry %s: exchange still holds %.4f, wait auto-settle",
|
|
row.get("group_id"),
|
|
ex_sz,
|
|
)
|
|
return None
|
|
opt_contracts = float(ex_sz)
|
|
if opt_contracts <= 0:
|
|
return None
|
|
oq = self._quote_held_option(option_inst_id)
|
|
bid_px = float(oq.bid) if oq is not None and oq.bid is not None else 0.0
|
|
try:
|
|
if bid_px > 0 and not force:
|
|
opt_live = client.place_option_ioc(
|
|
symbol=option_inst_id,
|
|
side="SELL",
|
|
quantity=max(1.0, opt_contracts),
|
|
price=bid_px,
|
|
reduce_only=True,
|
|
)
|
|
else:
|
|
opt_live = client.place_option_market(
|
|
symbol=option_inst_id,
|
|
side="SELL",
|
|
quantity=max(1.0, opt_contracts),
|
|
reduce_only=True,
|
|
)
|
|
except Exception as e:
|
|
logger.warning(
|
|
"residual exchange flatten failed %s force=%s: %s",
|
|
row.get("group_id"),
|
|
force,
|
|
e,
|
|
)
|
|
return None
|
|
filled_c = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
|
|
if filled_c <= 1e-12 and force:
|
|
try:
|
|
opt_live = client.place_option_market(
|
|
symbol=option_inst_id,
|
|
side="SELL",
|
|
quantity=max(1.0, opt_contracts),
|
|
reduce_only=True,
|
|
)
|
|
filled_c = (
|
|
float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
|
|
)
|
|
except Exception as e:
|
|
logger.warning("residual emergency market sell failed: %s", e)
|
|
return None
|
|
if filled_c <= 1e-12:
|
|
return None
|
|
of_px = float(opt_live.avg_px)
|
|
of_fee = float(opt_live.fee)
|
|
fill_eth = eth_from_contracts(filled_c, self._ct_mult(option_inst_id))
|
|
ex_left = exchange_option_abs_size(client, option_inst_id)
|
|
remaining = max(0.0, float(ex_left)) if ex_left is not None else 0.0
|
|
return {
|
|
"fill_px": of_px,
|
|
"fee": of_fee,
|
|
"notional": of_px * fill_eth,
|
|
"slip": 0.0,
|
|
"filled_contracts": filled_c,
|
|
"remaining_contracts": remaining,
|
|
"note": f"LIVE-BN residual exchange flatten force={force}",
|
|
"exec_mode": "LIVE",
|
|
"close_reason": "emergency" if force else "expiry",
|
|
}
|
|
|
|
def close_perp_abandon_option(
|
|
self, *, reason: str = "target_perp_only", require_deep_otm: bool = True
|
|
) -> CloseResult:
|
|
err = self._guard_live()
|
|
if err:
|
|
return CloseResult(ok=False, detail=err)
|
|
|
|
pos = self.current_position()
|
|
st = str(pos.get("status") or "")
|
|
if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
|
|
return CloseResult(ok=False, detail="无持仓可平")
|
|
# 若期权已平只剩永续，走 close_group 续平即可
|
|
if st == "option_closed_perp_pending":
|
|
return self.close_group(reason=reason, bypass_liquidity=True)
|
|
|
|
group_id = str(pos["group_id"])
|
|
option_inst_id = str(pos["option_inst_id"])
|
|
option_side = str(pos["option_side"])
|
|
opt_contracts = float(pos["option_qty_contracts"] or 0)
|
|
opt_qty = float(pos["option_qty_eth"])
|
|
perp_side = str(pos["perp_side"])
|
|
perp_qty = float(pos["perp_qty_eth"])
|
|
perp_entry = float(pos["perp_entry_px"])
|
|
perp_inst = resolve_perp_inst_id(self.db, group_id=group_id)
|
|
client = self._client()
|
|
|
|
# 优先尝试交易所平期权；成功则走双腿全平
|
|
try:
|
|
opt_live = client.place_option_market(
|
|
symbol=option_inst_id,
|
|
side="SELL",
|
|
quantity=max(1.0, opt_contracts),
|
|
reduce_only=True,
|
|
)
|
|
of_px = float(opt_live.avg_px)
|
|
of_fee = float(opt_live.fee)
|
|
filled_c = float(opt_live.sz) if opt_live.sz and opt_live.sz > 0 else opt_contracts
|
|
opt_contracts = filled_c
|
|
opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
|
|
of_notional = of_px * opt_qty
|
|
self._mark_option_closed_perp_pending(
|
|
group_id=group_id,
|
|
option_inst_id=option_inst_id,
|
|
opt_qty=opt_qty,
|
|
opt_contracts=opt_contracts,
|
|
of_px=of_px,
|
|
of_fee=of_fee,
|
|
of_notional=of_notional,
|
|
of_slip=0.0,
|
|
reason=reason,
|
|
)
|
|
return self.close_group(reason=reason, bypass_liquidity=True)
|
|
except Exception as e:
|
|
logger.warning("abandon: option exchange sell failed: %s", e)
|
|
if require_deep_otm and not self.option_is_deep_otm():
|
|
return CloseResult(
|
|
ok=False,
|
|
detail=f"期权平单失败且非远虚，应走双腿全平: {e}",
|
|
)
|
|
|
|
try:
|
|
if perp_side == "long":
|
|
side, pos_side = "SELL", "LONG"
|
|
else:
|
|
side, pos_side = "BUY", "SHORT"
|
|
perp_qty_close = perp_close_qty_eth_binance(
|
|
client,
|
|
perp_inst=perp_inst,
|
|
perp_side=perp_side,
|
|
perp_qty_eth=perp_qty,
|
|
allow_db_fallback=False,
|
|
)
|
|
if perp_qty_close is None:
|
|
return CloseResult(
|
|
ok=False,
|
|
detail="币安平永续失败: 无法核对交易所永续仓位",
|
|
)
|
|
if perp_qty_close > 0:
|
|
perp_live = client.place_perp_market(
|
|
symbol=perp_inst,
|
|
side=side,
|
|
qty_eth=perp_qty_close,
|
|
position_side=pos_side,
|
|
reduce_only=True,
|
|
)
|
|
pf_px = float(perp_live.avg_px)
|
|
pf_fee = float(perp_live.fee)
|
|
perp_qty = float(perp_qty_close)
|
|
else:
|
|
pf_px = 0.0
|
|
pf_fee = 0.0
|
|
logger.warning(
|
|
"bn abandon: perp already flat; archive option residual group=%s",
|
|
group_id,
|
|
)
|
|
except Exception as e:
|
|
return CloseResult(ok=False, detail=f"币安平永续失败: {e}")
|
|
|
|
if perp_side == "long":
|
|
perp_pnl = (pf_px - perp_entry) * perp_qty if pf_px else 0.0
|
|
else:
|
|
perp_pnl = (perp_entry - pf_px) * perp_qty if pf_px else 0.0
|
|
|
|
if abs(perp_pnl) + abs(pf_fee) > 1e-12:
|
|
self.ledger.apply_cash(
|
|
perp_pnl - pf_fee,
|
|
kind="close_perp",
|
|
group_id=group_id,
|
|
note=f"LIVE-BN close perp abandon option {reason}",
|
|
allow_negative=True,
|
|
)
|
|
|
|
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",
|
|
perp_inst,
|
|
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-BN abandoned after {reason}; spot={spot}",
|
|
),
|
|
)
|
|
self.db._conn.execute(
|
|
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
|
fees=?, slip_cost=?, note=?, exec_mode=? WHERE group_id=?""",
|
|
(
|
|
"option_residual",
|
|
now,
|
|
reason,
|
|
interim_net,
|
|
fees,
|
|
slip,
|
|
"LIVE-BN 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,
|
|
exit_target_usdt=NULL, status='flat'
|
|
WHERE id=1"""
|
|
)
|
|
self.db._conn.commit()
|
|
|
|
return CloseResult(
|
|
ok=True,
|
|
detail="perp_closed_option_residual_live_binance",
|
|
data={
|
|
"group_id": group_id,
|
|
"reason": reason,
|
|
"mode": "target_perp_only",
|
|
"perp_pnl": perp_pnl,
|
|
"option_pnl": None,
|
|
"interim_net": interim_net,
|
|
"net": interim_net,
|
|
"net_pnl": interim_net,
|
|
"option_abandoned": True,
|
|
"exec_mode": "LIVE",
|
|
},
|
|
)
|