dekun
323 lines
11 KiB
Python
323 lines
11 KiB
Python
"""开仓资金可开判定：只看交易账户（永续 USDT / 期权 USDC）。"""
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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 typing import Any
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from ..config import get_settings
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from ..models.db import Database, get_db
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from ..sim.funds_wallets import SimFundsWallets
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from ..sim.ledger import Ledger
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logger = logging.getLogger(__name__)
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_live_bal_cache: dict[str, Any] = {"ts": 0.0, "data": None}
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_LIVE_BAL_TTL_SEC = 8.0
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# 不足期间只推一次；资金恢复后清零，下次再不足可再推一次
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_notified_while_short: bool = False
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def invalidate_live_balance_cache() -> None:
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"""兑换/划转后强制下次重拉交易账户余额。"""
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_live_bal_cache["ts"] = 0.0
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_live_bal_cache["data"] = None
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def _f(v: Any) -> float | None:
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try:
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if v is None or v == "":
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return None
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return float(v)
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except (TypeError, ValueError):
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return None
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def _index_and_option_ask() -> tuple[float | None, float | None]:
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"""指数价 + 期权卖一粗估（取 Call/Put 卖一较大者，偏保守）。"""
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try:
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from .session import get_session
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snap = get_session().snapshot()
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except Exception:
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return None, None
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idx = _f(getattr(snap, "index_px", None))
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if idx is None and snap.perp:
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idx = _f(snap.perp.mark_px) or _f(snap.perp.ask) or _f(snap.perp.bid)
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asks: list[float] = []
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for leg in (snap.call, snap.put):
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if leg is None:
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continue
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a = _f(leg.ask)
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if a is not None and a > 0:
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asks.append(a)
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ask = max(asks) if asks else None
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return idx, ask
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def _live_balances() -> dict[str, float | None]:
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now = time.time()
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if _live_bal_cache["data"] is not None and now - float(_live_bal_cache["ts"]) < _LIVE_BAL_TTL_SEC:
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return dict(_live_bal_cache["data"])
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out: dict[str, float | None] = {
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"trading_usdt": None,
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"trading_usdc": None,
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}
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try:
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from ..exchange.runtime import load_runtime_settings
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ex = str(load_runtime_settings().exchange or "").strip().lower()
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if ex in ("binance", "bn"):
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from ..live.binance_trade import BinanceTradeClient
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client = BinanceTradeClient()
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try:
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bal = client.fetch_balances()
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out["trading_usdt"] = _f(bal.get("trading_usdt"))
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out["trading_usdc"] = _f(bal.get("trading_usdc"))
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finally:
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client.close()
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else:
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from ..live.okx_funds import OkxFundsClient
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client = OkxFundsClient()
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try:
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bal = client.fetch_balances()
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out["trading_usdt"] = _f(bal.get("trading_usdt"))
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out["trading_usdc"] = _f(bal.get("trading_usdc"))
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finally:
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client.close()
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except Exception as e:
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logger.warning("open_capacity live balance failed: %s", e)
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_live_bal_cache["ts"] = now
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_live_bal_cache["data"] = dict(out)
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return out
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def _sim_balances(db: Database) -> dict[str, float]:
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"""只看交易账户，不看资金账户。"""
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w = SimFundsWallets(db).view()
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return {
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"perp_usdt": float(w.get("trading_usdt") or 0),
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"option_usdc": float(w.get("trading_usdc") or 0),
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}
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def assess_open_capacity(
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db: Database | None = None,
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*,
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option_ask: float | None = None,
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option_qty_eth: float | None = None,
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perp_qty_eth: float | None = None,
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call_ask: float | None = None,
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put_ask: float | None = None,
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) -> dict[str, Any]:
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"""
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返回永续/期权是否有足够交易账户资金开新仓。
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- 永续：交易账户 USDT >= 名义/杠杆
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- 期权：交易账户 USDC >= 卖一×名义×(1+费率)
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- 期期：期权需 (call_ask+put_ask)×qty×(1+fee)；永续视为不需要
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"""
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global _notified_while_short
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db = db or get_db()
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s = get_settings()
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ledger = Ledger(db)
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hedge = str(
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ledger.get_setting_str("hedge_mode", s.hedge_mode) or s.hedge_mode
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).strip().lower()
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if hedge not in ("perp_option", "option_option"):
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hedge = "perp_option"
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lev = float(ledger.get_setting_float("leverage", s.leverage) or 3)
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if lev <= 0:
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lev = 3.0
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perp_qty = float(
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perp_qty_eth
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if perp_qty_eth is not None
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else (ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth) or 1)
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)
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opt_qty = float(
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option_qty_eth
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if option_qty_eth is not None
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else (ledger.get_setting_float("option_qty_eth", s.option_qty_eth) or 2)
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)
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fee_rate = float(ledger.get_setting_float("fee_rate", s.fee_rate) or 0.0005)
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idx, ask_book = _index_and_option_ask()
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ask = float(option_ask) if option_ask is not None and float(option_ask) > 0 else ask_book
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if hedge == "option_option":
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ca = float(call_ask) if call_ask is not None and float(call_ask) > 0 else None
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pa = float(put_ask) if put_ask is not None and float(put_ask) > 0 else None
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if ca is None or pa is None:
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# 回退：用监控对 call/put 卖一
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try:
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from .session import get_session
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snap = get_session().snapshot()
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if ca is None and snap.call and snap.call.ask:
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ca = float(snap.call.ask)
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if pa is None and snap.put and snap.put.ask:
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pa = float(snap.put.ask)
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except Exception:
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pass
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if ca is not None and pa is not None and ca > 0 and pa > 0:
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call_q = float(opt_qty)
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put_q = float(
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ledger.get_setting_float("oo_put_qty_eth", call_q) or call_q
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)
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# 与定仓一致：两腿各自权利金
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premium_need = (
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(ca * call_q + pa * put_q) * (1.0 + fee_rate)
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)
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else:
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premium_need = None
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margin_need = 0.0
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perp_qty = 0.0
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else:
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margin_need = (float(idx) * perp_qty / lev) if idx and idx > 0 else None
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premium_need = (
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float(ask) * opt_qty * (1.0 + fee_rate) if ask is not None and ask > 0 else None
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)
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if s.is_sim:
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bal = _sim_balances(db)
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have_perp = float(bal["perp_usdt"])
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have_opt = float(bal["option_usdc"])
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else:
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live = _live_balances()
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t_usdt = live.get("trading_usdt")
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t_usdc = live.get("trading_usdc")
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have_perp = float(t_usdt) if t_usdt is not None else None
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have_opt = float(t_usdc) if t_usdc is not None else None
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perp_ok: bool | None
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if hedge == "option_option":
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perp_ok = True
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elif margin_need is None or have_perp is None:
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perp_ok = None
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else:
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perp_ok = float(have_perp) + 1e-9 >= float(margin_need)
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opt_ok: bool | None
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if premium_need is None or have_opt is None:
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opt_ok = None
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else:
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opt_ok = float(have_opt) + 1e-9 >= float(premium_need)
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if hedge == "option_option":
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funds_ok = opt_ok is True
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else:
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funds_ok = perp_ok is True and opt_ok is True
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# 资金恢复后允许下次不足再通知一次
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if funds_ok:
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_notified_while_short = False
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lev_i = int(round(lev)) if abs(lev - round(lev)) < 1e-9 else lev
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if hedge == "option_option":
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perp_label = "永续 —（期期）"
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elif perp_ok is True:
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perp_label = f"永续{lev_i}x 可开"
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elif perp_ok is False:
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perp_label = f"永续{lev_i}x 不可开"
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else:
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perp_label = f"永续{lev_i}x —"
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if opt_ok is True:
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opt_label = "期权可开"
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elif opt_ok is False:
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opt_label = "期权不可开"
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else:
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opt_label = "期权 —"
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return {
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"hedge_mode": hedge,
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"leverage": lev,
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"perp_qty_eth": perp_qty,
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"option_qty_eth": opt_qty,
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"index_px": idx,
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"option_ask": ask,
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"perp_need_usdt": round(margin_need, 2) if margin_need is not None else None,
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"option_need_usdc": round(premium_need, 2) if premium_need is not None else None,
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"perp_have_usdt": round(have_perp, 2) if have_perp is not None else None,
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"option_have_usdc": round(have_opt, 2) if have_opt is not None else None,
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"perp_can_open": perp_ok,
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"option_can_open": opt_ok,
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"perp_label": perp_label,
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"option_label": opt_label,
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"funds_ok": funds_ok,
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"source": "trading",
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}
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def funds_gate_blocks(cap: dict[str, Any] | None) -> tuple[bool, str]:
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"""
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Fail-closed：永期需永续+期权均为 True；期期仅需期权为 True。
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None（未知）或 False → 拦截。
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"""
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if not cap:
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return True, "资金可开判定结果为空，拒绝开仓"
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hedge = str(cap.get("hedge_mode") or "perp_option").strip().lower()
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if hedge == "option_option":
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if cap.get("option_can_open") is not True:
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detail = (
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f"{cap.get('option_label')}；"
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f"期权需≈{cap.get('option_need_usdc')}U/有{cap.get('option_have_usdc')}U"
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)
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if cap.get("option_can_open") is None:
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detail += "（余额/盘口未知，fail-closed 拒绝开仓）"
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return True, f"资金不足或状态未知，暂不可开新仓：{detail}"
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return False, ""
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if cap.get("perp_can_open") is not True or cap.get("option_can_open") is not True:
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detail = (
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f"{cap.get('perp_label')} · {cap.get('option_label')}；"
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f"永续需≈{cap.get('perp_need_usdt')}U/有{cap.get('perp_have_usdt')}U，"
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f"期权需≈{cap.get('option_need_usdc')}U/有{cap.get('option_have_usdc')}U"
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)
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if cap.get("perp_can_open") is None or cap.get("option_can_open") is None:
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detail += "（余额/盘口未知，fail-closed 拒绝开仓）"
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return True, f"资金不足或状态未知，暂不可开新仓：{detail}"
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return False, ""
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def maybe_notify_funds_short(cap: dict[str, Any] | None = None) -> None:
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"""仅在「不能开」时推送一次；能开绝不通知。"""
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global _notified_while_short
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cap = cap or assess_open_capacity()
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# 能开 / 未知：不通知；资金恢复则重置，便于下次不足再提醒一次
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if cap.get("funds_ok") is True:
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_notified_while_short = False
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return
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cannot = cap.get("perp_can_open") is False or cap.get("option_can_open") is False
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if not cannot:
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return
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if _notified_while_short:
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return
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_notified_while_short = True
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parts: list[str] = []
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if cap.get("perp_can_open") is False:
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parts.append(
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f"交易账户 USDT 不足：需约 {cap.get('perp_need_usdt')}U，现有 {cap.get('perp_have_usdt')}U"
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)
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if cap.get("option_can_open") is False:
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parts.append(
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f"交易账户 USDC 不足：需约 {cap.get('option_need_usdc')}U，现有 {cap.get('option_have_usdc')}U"
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)
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try:
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from ..notify import wecom
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wecom.notify_async(
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wecom.build_markdown(
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tag=wecom.TAG_FAULT,
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title="交易账户资金不足 · 无法开新仓",
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lines=[
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f"**永续**: {cap.get('perp_label')}",
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f"**期权**: {cap.get('option_label')}",
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*[f"**详情**: {p}" for p in parts],
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"OKX 开仓前会尝试交易账户市价兑 USDC；仍不足请检查交易账户余额。",
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],
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)
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)
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except Exception:
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logger.exception("wecom funds notify failed")
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