dekun
9fd2a842af
Block new opens while flat legs wait; emergency close bypasses the check. Co-authored-by: Cursor <cursoragent@cursor.com>
49 lines
1.6 KiB
Python
49 lines
1.6 KiB
Python
"""期权买一流动性：深度覆盖 + 买一相对标记偏差。"""
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from __future__ import annotations
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def contracts_for_eth(qty_eth: float, ct_mult: float) -> float:
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m = float(ct_mult) if ct_mult and ct_mult > 0 else 0.01
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return float(qty_eth) / m
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def eth_from_contracts(contracts: float, ct_mult: float) -> float:
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m = float(ct_mult) if ct_mult and ct_mult > 0 else 0.01
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return float(contracts) * m
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def bid_covers_eth(*, bid_sz_contracts: float | None, ct_mult: float, need_eth: float) -> bool:
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if bid_sz_contracts is None or bid_sz_contracts <= 0:
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return False
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return eth_from_contracts(bid_sz_contracts, ct_mult) + 1e-12 >= float(need_eth)
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def bid_mark_deviation_pct(bid: float | None, mark: float | None) -> float | None:
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"""|bid-mark|/mark * 100；无法计算返回 None。"""
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if bid is None or mark is None or mark <= 0 or bid < 0:
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return None
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return abs(float(bid) - float(mark)) / float(mark) * 100.0
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def bid_mark_ok(
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*,
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bid: float | None,
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mark: float | None,
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max_dev_pct: float,
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) -> tuple[bool, str]:
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"""
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买一相对标记偏差是否可接受。
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max_dev_pct: 百分数，如 30 表示 30%。
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"""
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if bid is None:
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return False, "期权买一不可用"
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if mark is None or mark <= 0:
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return False, "期权标记价不可用，等待"
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dev = bid_mark_deviation_pct(bid, mark)
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if dev is None:
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return False, "无法计算买一/标记偏差"
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if dev > float(max_dev_pct) + 1e-9:
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return False, f"买一相对标记偏差 {dev:.1f}% > {max_dev_pct:.0f}%，等待"
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return True, ""
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