dekun
77 lines
2.3 KiB
Python
77 lines
2.3 KiB
Python
"""交易组持仓周期：目标出场以策略平仓时刻为准；永续先平则以永续平仓为准。"""
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from __future__ import annotations
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from typing import Any, Mapping, Sequence
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# 目标平仓（含 15U / 权利金倍数 / 只平永续）
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_TARGET_REASONS = frozenset({"fixed_usdt", "premium_multiple", "target_perp_only"})
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def _ts(v: Any) -> int | None:
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if v is None:
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return None
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try:
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n = int(v)
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except (TypeError, ValueError):
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return None
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return n if n > 0 else None
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def first_perp_close_ts_ms(fills: Sequence[Mapping[str, Any]]) -> int | None:
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"""永续平仓成交时间（目标只平永续时作为持仓结束时刻）。"""
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best: int | None = None
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for f in fills:
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if str(f.get("leg") or "") != "perp":
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continue
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if str(f.get("action") or "") != "close":
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continue
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ts = _ts(f.get("ts_ms"))
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if ts is None:
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continue
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if best is None or ts < best:
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best = ts
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return best
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def hold_timing(
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group: Mapping[str, Any], fills: Sequence[Mapping[str, Any]]
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) -> dict[str, Any]:
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"""
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返回展示用开仓/平仓/持仓时长。
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- 开仓：groups.open_at_ms
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- 平仓（策略持仓周期）：
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- `target_perp_only` / `option_residual`：永续平仓 fill 时间
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- 其它已平：groups.close_at_ms（缺则回退成交）
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"""
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open_ms = _ts(group.get("open_at_ms"))
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status = str(group.get("status") or "")
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reason = str(group.get("close_reason") or "")
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group_close = _ts(group.get("close_at_ms"))
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perp_close = first_perp_close_ts_ms(fills)
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use_perp = reason == "target_perp_only" or status == "option_residual"
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if use_perp:
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close_ms = perp_close or group_close
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basis = "perp"
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elif status == "open":
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close_ms = None
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basis = "open"
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else:
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close_ms = group_close
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if close_ms is None and reason in _TARGET_REASONS:
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close_ms = perp_close
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basis = "group"
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hold_ms: int | None = None
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if open_ms is not None and close_ms is not None and close_ms >= open_ms:
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hold_ms = close_ms - open_ms
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return {
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"hold_open_at_ms": open_ms,
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"hold_close_at_ms": close_ms,
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"hold_ms": hold_ms,
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"hold_basis": basis,
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}
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