dekun
a7aee8f425
Fleet status exposes enriched residuals; manual close skips the premium recovery gate while auto mid-close remains unchanged. Co-authored-by: Cursor <cursoragent@cursor.com>
1658 lines
65 KiB
Python
1658 lines
65 KiB
Python
"""实盘执行：OKX 真下单 + 本地账本/持仓记录（与 Matcher 同结构）。"""
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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 ..exchange.runtime import load_runtime_settings
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from ..models.db import get_db
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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_expiry_settle, option_intrinsic
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from ..strategy.session import get_session
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from .okx_trade import OkxTradeClient
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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_contracts_okx,
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perp_open_contracts_okx,
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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 OkxLiveExecutor(Matcher):
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"""开平仓走 OKX 私有接口；浮盈/残留逻辑复用 Matcher。"""
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def __init__(self, db=None) -> None:
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super().__init__(db)
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self._trade: OkxTradeClient | None = None
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def _client(self) -> OkxTradeClient:
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if self._trade is None:
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self._trade = OkxTradeClient()
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return self._trade
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def _perp_margin_mode(self) -> str:
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"""永续全仓/逐仓；期权始终 cash，不受此设置影响。"""
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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 _perp_margin_mode_for_group(self, group_id: str | None) -> str:
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"""平仓用开仓时写入的保证金模式；缺省回退当前设置。"""
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if group_id:
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g = self.db.fetchone(
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"SELECT perp_margin_mode FROM groups WHERE group_id=?", (group_id,)
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)
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if g is not None:
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m = str(g["perp_margin_mode"] or "").strip().lower()
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if m in ("cross", "isolated"):
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return m
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return self._perp_margin_mode()
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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 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="okx",
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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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# 意图先落库：崩溃后仍可 recover（含 option_inst_id）
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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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# 期权：买入，张数 = contracts
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try:
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opt_fill = client.place_market(
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inst_id=option_inst_id,
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side="buy",
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sz=str(int(round(opt_contracts))),
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td_mode="cash", # OKX 期权常见 cash；若账户不同可再扩展
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)
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except Exception as e:
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logger.exception("live open option failed")
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msg = str(e)
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# 已拿到 ordId：可能已成交，禁止释放 opening 以免重复开仓
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if "ordId=" in msg:
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return OpenResult(
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ok=False,
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detail=f"实盘开期权未确认成交(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"实盘开期权失败: {e}")
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# 以交易所实际成交张数回写名义
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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：按产品假设，失败原因实质为保证金不足 → 必须回滚期权
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mgn = self._perp_margin_mode()
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try:
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ct_val = client.get_ct_val(perp_inst, inst_type="SWAP")
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perp_sz = perp_open_contracts_okx(perp_qty_eth=perp_qty, ct_val=ct_val)
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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_leverage(
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perp_inst, leverage, mgn_mode=mgn, pos_side=pos_side
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)
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except Exception as e_lev:
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logger.warning("okx set_leverage failed: %s", e_lev)
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perp_fill_live = client.place_market(
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inst_id=perp_inst,
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side=side,
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sz=str(perp_sz),
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td_mode=mgn,
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pos_side=pos_side,
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)
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except Exception as e:
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logger.exception("live open perp failed (likely margin); rollback option")
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# 永续可能已成交：先查仓；查失败或有仓均不得回滚期权
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try:
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live_perp = client.get_perp_pos_sz(
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perp_inst, pos_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_market(
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inst_id=option_inst_id,
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side="sell",
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sz=str(int(round(opt_contracts))),
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td_mode="cash",
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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("live 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_sz = float(perp_fill_live.sz) if perp_fill_live.sz and perp_fill_live.sz > 0 else float(perp_sz)
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perp_qty = filled_perp_sz * float(ct_val)
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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 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 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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group_id,
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||
"perp",
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"open",
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perp_side,
|
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perp_inst,
|
||
perp_qty,
|
||
None,
|
||
pf_px,
|
||
pf_px,
|
||
pf_fee,
|
||
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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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""",
|
||
(
|
||
group_id,
|
||
perp_side,
|
||
perp_qty,
|
||
pf_px,
|
||
option_inst_id,
|
||
option_side,
|
||
opt_qty,
|
||
opt_contracts,
|
||
of_px,
|
||
entry_index_px,
|
||
initial_premium,
|
||
"open",
|
||
),
|
||
)
|
||
self.db._conn.commit()
|
||
|
||
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 group=%s", group_id)
|
||
|
||
leverage = self.ledger.get_setting_float("leverage", get_settings().leverage)
|
||
perp_margin = (
|
||
abs(float(pf_px) * float(perp_qty)) / float(leverage)
|
||
if leverage and float(leverage) > 0
|
||
else None
|
||
)
|
||
return OpenResult(
|
||
ok=True,
|
||
group_id=group_id,
|
||
detail="opened_live",
|
||
data={
|
||
"group_id": group_id,
|
||
"exec_mode": "LIVE",
|
||
"bias": bias,
|
||
"option_side": option_side,
|
||
"perp_side": perp_side,
|
||
"option_inst_id": option_inst_id,
|
||
"strike": strike,
|
||
"expiry_ymd": expiry_ymd,
|
||
"option_ord": opt_fill.ord_id,
|
||
"perp_ord": perp_fill_live.ord_id,
|
||
"perp_qty_eth": float(perp_qty),
|
||
"option_qty_eth": float(opt_qty),
|
||
"perp_entry_px": float(pf_px),
|
||
"option_entry_px": float(of_px),
|
||
"initial_premium": initial_premium,
|
||
"perp_margin": perp_margin,
|
||
"leverage": float(leverage) if leverage else None,
|
||
"fees": of_fee + pf_fee,
|
||
},
|
||
)
|
||
|
||
def _persist_half_open(
|
||
self,
|
||
*,
|
||
group_id: str,
|
||
bias: str,
|
||
option_side: str,
|
||
perp_side: str,
|
||
option_inst_id: str,
|
||
entry_index_px: float,
|
||
strike: float | None,
|
||
expiry_ymd: str | None,
|
||
opt_qty: float,
|
||
opt_contracts: float,
|
||
of_px: float,
|
||
of_fee: float,
|
||
detail: str,
|
||
) -> None:
|
||
"""期权已成交、永续未开且回滚失败 → 落 half_open，禁止新开，待 repair。"""
|
||
perp_inst = resolve_perp_inst_id(self.db, group_id=group_id)
|
||
initial_premium = of_px * opt_qty
|
||
# 幂等：崩溃重入时勿二次扣权利金
|
||
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:
|
||
self.ledger.apply_cash(
|
||
-(of_px * opt_qty + of_fee),
|
||
kind="open_option",
|
||
group_id=group_id,
|
||
note=f"LIVE half_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, note
|
||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
"half_open",
|
||
bias,
|
||
option_side,
|
||
perp_side,
|
||
option_inst_id,
|
||
perp_inst,
|
||
strike,
|
||
expiry_ymd,
|
||
entry_index_px,
|
||
initial_premium,
|
||
now,
|
||
of_fee,
|
||
0.0,
|
||
"LIVE",
|
||
detail[:200],
|
||
),
|
||
)
|
||
self.db._conn.execute(
|
||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
"option",
|
||
"open",
|
||
"long",
|
||
option_inst_id,
|
||
opt_qty,
|
||
opt_contracts,
|
||
of_px,
|
||
of_px,
|
||
of_fee,
|
||
0.0,
|
||
of_px * opt_qty,
|
||
now,
|
||
"LIVE",
|
||
),
|
||
)
|
||
self.db._conn.execute(
|
||
"""UPDATE positions SET
|
||
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 or opt_contracts <= 0:
|
||
return CloseResult(ok=False, detail="half_open 缺期权合约信息")
|
||
client = self._client()
|
||
try:
|
||
opt_live = client.place_market(
|
||
inst_id=option_inst_id,
|
||
side="sell",
|
||
sz=str(int(round(opt_contracts))),
|
||
td_mode="cash",
|
||
reduce_only=True,
|
||
)
|
||
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)
|
||
of_notional = of_px * opt_qty
|
||
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 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"},
|
||
)
|
||
|
||
def recover_opening(self) -> CloseResult:
|
||
"""恢复 stuck opening（交易所对账后 half_open/open/清槽）。"""
|
||
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:
|
||
"""opening + 交易所双边有仓 → 落本地 open（用 stamp/设置数量）。"""
|
||
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_qty = float(pos.get("option_qty_eth") or 0)
|
||
opt_contracts = float(pos.get("option_qty_contracts") or opt_sz or 0)
|
||
if opt_qty <= 0 and opt_contracts > 0:
|
||
opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
|
||
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:
|
||
try:
|
||
ct_val = self._client().get_ct_val(perp_inst, inst_type="SWAP")
|
||
if ct_val > 0:
|
||
perp_qty = float(perp_total) * float(ct_val)
|
||
except Exception:
|
||
pass
|
||
entry_index = float(pos.get("entry_index_px") or 0) or 0.0
|
||
# 永续入场价未知时用指数近似（仅恢复镜像）
|
||
pf_px = entry_index if entry_index > 0 else of_px
|
||
initial_premium = of_px * opt_qty
|
||
mgn = self._perp_margin_mode()
|
||
# 幂等补记权利金（崩溃在成交后、账本前时）
|
||
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 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 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 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"
|
||
fee_rate = self._fee_rate()
|
||
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
|
||
|
||
if pending_perp_only:
|
||
# 期权已在上次成交并入账；只读上次平期权 fill
|
||
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:
|
||
return CloseResult(
|
||
ok=False,
|
||
detail="option_closed_perp_pending 缺期权平仓记录，请人工核对",
|
||
)
|
||
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 = 0.0 # LIVE 不计模拟滑点
|
||
else:
|
||
# 含到期：优先交易所真实平期权；失败且无内在价值时可本地结算
|
||
try:
|
||
opt_live = client.place_market(
|
||
inst_id=option_inst_id,
|
||
side="sell",
|
||
sz=str(max(1, int(round(opt_contracts)))),
|
||
td_mode="cash",
|
||
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
|
||
except Exception as e:
|
||
# 交易所期权可能已空（上次卖出成功但未 mark）：跳过再卖，直接 pending
|
||
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)
|
||
elif is_expiry and intrinsic is not None:
|
||
of = option_expiry_settle(
|
||
intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate
|
||
)
|
||
of_px, of_fee, of_notional = of.fill_px, of.fee, of.notional
|
||
of_slip = 0.0
|
||
else:
|
||
of_px = float(pos.get("option_entry_px") or 0) or 0.0
|
||
of_fee = 0.0
|
||
of_notional = of_px * opt_qty
|
||
of_slip = 0.0
|
||
logger.warning(
|
||
"option already flat on exchange; skip resell: %s", e
|
||
)
|
||
elif is_expiry and intrinsic is not None:
|
||
# 到期后交易所可能已不能交易：用本地结算，仍进入 pending 再平永续
|
||
of = option_expiry_settle(
|
||
intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate
|
||
)
|
||
of_px, of_fee, of_notional = (
|
||
of.fill_px,
|
||
of.fee,
|
||
of.notional,
|
||
)
|
||
of_slip = 0.0 # LIVE 不计模拟滑点
|
||
logger.warning(
|
||
"expiry option exchange close failed, local settle: %s", e
|
||
)
|
||
elif not bypass_liquidity:
|
||
return CloseResult(
|
||
ok=False,
|
||
detail=f"实盘平期权失败: {e}",
|
||
liquidity_wait=True,
|
||
)
|
||
else:
|
||
return CloseResult(ok=False, detail=f"实盘平期权失败: {e}")
|
||
|
||
# 期权已平（或到期本地结算）：立刻落 pending，避免永续失败后重试再卖期权
|
||
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:
|
||
# 已入账过平期权：只保证 pending，禁止二次现金
|
||
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()
|
||
else:
|
||
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,
|
||
)
|
||
pending_perp_only = True
|
||
|
||
try:
|
||
ct_val = client.get_ct_val(perp_inst, inst_type="SWAP")
|
||
# pending 路径：交易所已空则禁止用 DB 数量再下单
|
||
perp_sz = perp_close_contracts_okx(
|
||
client,
|
||
perp_inst=perp_inst,
|
||
perp_side=perp_side,
|
||
perp_qty_eth=perp_qty,
|
||
ct_val=ct_val,
|
||
allow_db_fallback=not pending_perp_only,
|
||
)
|
||
if perp_sz 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_sz <= 0:
|
||
# 永续已在交易所平掉：用入场价近似 finalize（净盈亏由对账校正）
|
||
pf_px = float(pos.get("perp_entry_px") or 0) or 0.0
|
||
pf_fee = 0.0
|
||
logger.warning(
|
||
"perp already flat on exchange; finalize without order group=%s",
|
||
group_id,
|
||
)
|
||
else:
|
||
if perp_side == "long":
|
||
side, pos_side = "sell", "long"
|
||
else:
|
||
side, pos_side = "buy", "short"
|
||
perp_live = client.place_market(
|
||
inst_id=perp_inst,
|
||
side=side,
|
||
sz=str(perp_sz),
|
||
td_mode=self._perp_margin_mode_for_group(group_id),
|
||
pos_side=pos_side,
|
||
reduce_only=True,
|
||
)
|
||
pf_px = float(perp_live.avg_px)
|
||
pf_fee = float(perp_live.fee)
|
||
except Exception as e:
|
||
return CloseResult(
|
||
ok=False,
|
||
detail=f"期权已平，永续待平(option_closed_perp_pending): {e}",
|
||
)
|
||
|
||
# 期权已在 _mark_option_closed_perp_pending 入账/写 fill（含到期本地结算），
|
||
# 此处 pending_perp_only 必为 True；勿再按 is_expiry 二次入账。
|
||
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=bool(pending_perp_only),
|
||
)
|
||
|
||
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,
|
||
) -> None:
|
||
self.ledger.apply_cash(
|
||
of_notional - of_fee,
|
||
kind="close_option",
|
||
group_id=group_id,
|
||
note=f"LIVE 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"
|
||
)
|
||
self.db._conn.execute(
|
||
"UPDATE groups SET fees=COALESCE(fees,0)+?, note=? WHERE group_id=?",
|
||
(of_fee, f"option_closed_perp_pending:{reason}", 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,
|
||
) -> 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"])
|
||
perp_entry = float(pos["perp_entry_px"] or pf_px)
|
||
opt_pnl = (of_px - opt_entry) * opt_qty
|
||
if perp_side == "long":
|
||
perp_pnl = (pf_px - perp_entry) * perp_qty
|
||
else:
|
||
perp_pnl = (perp_entry - pf_px) * perp_qty
|
||
|
||
if not skip_option_cash:
|
||
self.ledger.apply_cash(
|
||
of_notional - of_fee,
|
||
kind="close_option",
|
||
group_id=group_id,
|
||
note=f"LIVE close option {reason}",
|
||
allow_negative=True,
|
||
)
|
||
self.ledger.apply_cash(
|
||
perp_pnl - pf_fee,
|
||
kind="close_perp",
|
||
group_id=group_id,
|
||
note=f"LIVE 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) + 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",
|
||
),
|
||
)
|
||
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(spot) if spot 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="okx",
|
||
group_id=group_id,
|
||
perp_inst_id=str((g2["perp_inst_id"] if g2 else None) or perp_inst),
|
||
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",
|
||
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:
|
||
"""按交易所持仓修正本地残留数量；已空仓则直接结清。返回待卖 row 或 None(已处理/跳过)。"""
|
||
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:
|
||
return row
|
||
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)
|
||
booked = self._book_residual_market_close(
|
||
row,
|
||
fill_px=0.0,
|
||
fee=0.0,
|
||
notional=0.0,
|
||
slip=0.0,
|
||
now_ms=now_ms,
|
||
note="LIVE residual already flat on exchange",
|
||
exec_mode="LIVE",
|
||
filled_contracts=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
|
||
# 交易所更少：缩到交易所数量，避免超卖
|
||
if 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：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_ioc(
|
||
inst_id=option_inst_id,
|
||
side="sell",
|
||
sz=str(max(1, int(round(opt_contracts)))),
|
||
px=bid_px,
|
||
td_mode="cash",
|
||
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 not None:
|
||
remaining = max(0.0, float(ex_left))
|
||
else:
|
||
remaining = max(0.0, opt_contracts - filled_c)
|
||
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 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:
|
||
"""到期/紧急：优先交易所卖掉残留；失败返回 None 走内在价值。"""
|
||
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 not None and ex_sz <= 1e-8:
|
||
return {
|
||
"fill_px": 0.0,
|
||
"fee": 0.0,
|
||
"notional": 0.0,
|
||
"slip": 0.0,
|
||
"filled_contracts": 0.0,
|
||
"remaining_contracts": 0.0,
|
||
"note": "LIVE residual flat on exchange before settle",
|
||
"exec_mode": "LIVE",
|
||
"close_reason": "emergency" if force else "expiry",
|
||
}
|
||
opt_contracts = float(row.get("option_qty_contracts") or 0)
|
||
if ex_sz is not None and ex_sz > 0:
|
||
opt_contracts = float(ex_sz)
|
||
if opt_contracts <= 0:
|
||
opt_contracts = float(
|
||
contracts_for_eth(
|
||
float(row.get("option_qty_eth") or 0),
|
||
self._ct_mult(option_inst_id),
|
||
)
|
||
or 0
|
||
)
|
||
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_ioc(
|
||
inst_id=option_inst_id,
|
||
side="sell",
|
||
sz=str(max(1, int(round(opt_contracts)))),
|
||
px=bid_px,
|
||
td_mode="cash",
|
||
reduce_only=True,
|
||
)
|
||
else:
|
||
opt_live = client.place_market(
|
||
inst_id=option_inst_id,
|
||
side="sell",
|
||
sz=str(max(1, int(round(opt_contracts)))),
|
||
td_mode="cash",
|
||
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:
|
||
# 紧急：再试市价
|
||
try:
|
||
opt_live = client.place_market(
|
||
inst_id=option_inst_id,
|
||
side="sell",
|
||
sz=str(max(1, int(round(opt_contracts)))),
|
||
td_mode="cash",
|
||
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
|
||
# 到期/紧急要求尽量结清：若仍有剩余且 force，不在此硬结（返回 None 让内在价值兜底会重复）
|
||
# 有成交则先入账已成交部分；剩余留 pending 由下次处理，除非交易所已空
|
||
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 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)
|
||
|
||
# 优先尝试双腿全平（含交易所卖期权）
|
||
dual = self.close_group(reason=reason, bypass_liquidity=True)
|
||
if dual.ok:
|
||
return dual
|
||
|
||
# close_group 可能已卖掉期权并落 option_closed_perp_pending；勿再记 residual，只续平永续
|
||
pos_after = self.current_position()
|
||
if str(pos_after.get("status") or "") == "option_closed_perp_pending":
|
||
return self.close_group(reason=reason, bypass_liquidity=True)
|
||
|
||
if require_deep_otm and not self.option_is_deep_otm():
|
||
return CloseResult(
|
||
ok=False,
|
||
detail=f"期权非远虚且双腿全平失败，应人工处理: {dual.detail}",
|
||
)
|
||
|
||
s = live_settings()
|
||
group_id = str(pos["group_id"])
|
||
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"])
|
||
perp_entry = float(pos["perp_entry_px"])
|
||
client = self._client()
|
||
try:
|
||
ct_val = client.get_ct_val(perp_inst, inst_type="SWAP")
|
||
perp_sz = perp_close_contracts_okx(
|
||
client,
|
||
perp_inst=perp_inst,
|
||
perp_side=perp_side,
|
||
perp_qty_eth=perp_qty,
|
||
ct_val=ct_val,
|
||
)
|
||
if perp_sz is None or perp_sz <= 0:
|
||
return CloseResult(
|
||
ok=False,
|
||
detail="弃期权平永续失败: 无法取得有效永续仓位数量",
|
||
)
|
||
if perp_side == "long":
|
||
side, pos_side = "sell", "long"
|
||
else:
|
||
side, pos_side = "buy", "short"
|
||
perp_live = client.place_market(
|
||
inst_id=perp_inst,
|
||
side=side,
|
||
sz=str(perp_sz),
|
||
td_mode=self._perp_margin_mode_for_group(group_id),
|
||
pos_side=pos_side,
|
||
reduce_only=True,
|
||
)
|
||
except Exception as e:
|
||
return CloseResult(ok=False, detail=f"实盘平永续失败: {e}")
|
||
|
||
pf_px = float(perp_live.avg_px)
|
||
pf_fee = float(perp_live.fee)
|
||
if perp_side == "long":
|
||
perp_pnl = (pf_px - perp_entry) * perp_qty
|
||
else:
|
||
perp_pnl = (perp_entry - pf_px) * perp_qty
|
||
|
||
self.ledger.apply_cash(
|
||
perp_pnl - pf_fee,
|
||
kind="close_perp",
|
||
group_id=group_id,
|
||
note=f"LIVE close perp abandon option {reason}",
|
||
allow_negative=True,
|
||
)
|
||
|
||
# 复用父类归档写入：临时改 fill 路径太重，直接调用父类会再平一次本地假价。
|
||
# 因此把实盘价写入后走父类结构——这里内联父类 abandon 的 DB 段。
|
||
option_inst_id = str(pos["option_inst_id"])
|
||
option_side = str(pos["option_side"])
|
||
strike = self._group_strike(group_id, option_inst_id)
|
||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||
expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None
|
||
expiry_ms = None
|
||
if expiry_ymd:
|
||
try:
|
||
from ..exchange.expiry import expiry_ms_from_ymd
|
||
|
||
expiry_ms = int(expiry_ms_from_ymd(expiry_ymd))
|
||
except Exception:
|
||
expiry_ms = None
|
||
|
||
now = int(time.time() * 1000)
|
||
open_fees = float((g["fees"] if g else 0) or 0)
|
||
fees = open_fees + pf_fee
|
||
slip = float((g["slip_cost"] if g else 0) or 0)
|
||
interim_net = perp_pnl - open_fees - pf_fee
|
||
spot = self._close_spot_px(get_session().snapshot())
|
||
|
||
with self.db._lock:
|
||
self.db._conn.execute(
|
||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||
base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
|
||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
"perp",
|
||
"close",
|
||
"flat",
|
||
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 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 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",
|
||
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",
|
||
},
|
||
)
|
||
|
||
|
||
def get_executor(db=None) -> Matcher:
|
||
"""按 MODE + 交易所返回执行器。"""
|
||
from ..models.db import get_db
|
||
|
||
database = db or get_db()
|
||
s = get_settings()
|
||
if s.is_sim:
|
||
return Matcher(database)
|
||
ex = load_runtime_settings().exchange
|
||
if ex == "binance":
|
||
from .binance_executor import BinanceLiveExecutor
|
||
|
||
return BinanceLiveExecutor(database)
|
||
return OkxLiveExecutor(database)
|