dekun
4f56eff40c
Forward target is K+/-N not spot+/-N; UI shows option target and perp net lock. Co-authored-by: Cursor <cursoragent@cursor.com>
275 lines
8.7 KiB
Python
275 lines
8.7 KiB
Python
"""半自动：人工定方向/目标并授权 → 机器盯开盯平 → 平完停等人工。"""
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from __future__ import annotations
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import json
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from dataclasses import dataclass
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from typing import Any
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from ..config import get_settings
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from ..sim.ledger import Ledger
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PHASE_WAIT_HUMAN = "wait_human"
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REASON_POINTS = "semi_target_points"
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REASON_PERP_NET = "semi_perp_exit"
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TRADE_LOCK_KEY = "semi_trade_lock"
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OTM_LEV_FLOOR = 180.0
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MONEYNESS_CHOICES = ("itm", "atm", "otm")
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def is_semi_auto(ledger: Ledger | None = None) -> bool:
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led = ledger or Ledger()
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s = get_settings()
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return bool(
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led.get_setting_bool("semi_auto_enabled", s.semi_auto_enabled)
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)
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def is_armed(ledger: Ledger | None = None) -> bool:
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led = ledger or Ledger()
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return bool(led.get_setting_bool("semi_armed", False))
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def set_armed(db: Any, armed: bool) -> None:
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db.set_setting("semi_armed", "true" if armed else "false")
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def clear_armed_if_flat(db: Any, *, has_open_position: bool) -> None:
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"""进程重启等：无仓时清授权，避免陈旧 armed 自动开仓。"""
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if not has_open_position:
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set_armed(db, False)
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def read_trade_lock(ledger: Ledger | None = None) -> dict[str, Any] | None:
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led = ledger or Ledger()
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raw = led.get_setting_str(TRADE_LOCK_KEY, "") or ""
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raw = str(raw).strip()
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if not raw:
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return None
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try:
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data = json.loads(raw)
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except Exception:
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return None
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if not isinstance(data, dict) or not data.get("group_id"):
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return None
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return data
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def lock_trade_params(
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db: Any,
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*,
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group_id: str,
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view_side: str,
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option_move_points: float,
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perp_exit_unit: float,
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moneyness: str = "otm",
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otm_max_offset: float = 25.0,
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perp_unit: float = 1.0,
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option_unit: float = 4.0,
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) -> None:
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mny = str(moneyness or "otm").strip().lower()
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if mny not in MONEYNESS_CHOICES:
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mny = "otm"
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payload = {
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"group_id": str(group_id),
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"view_side": "short" if view_side == "short" else "long",
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"option_move_points": float(option_move_points),
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"perp_exit_unit": float(perp_exit_unit),
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"moneyness": mny,
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"otm_max_offset": float(otm_max_offset),
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"perp_unit": float(perp_unit),
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"option_unit": float(option_unit),
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}
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db.set_setting(TRADE_LOCK_KEY, json.dumps(payload, ensure_ascii=False))
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def clear_trade_lock(db: Any) -> None:
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db.set_setting(TRADE_LOCK_KEY, "")
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def _norm_moneyness(raw: str | None, default: str = "otm") -> str:
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m = str(raw or default).strip().lower()
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return m if m in MONEYNESS_CHOICES else default
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def effective_min_leverage(moneyness: str, configured: float) -> float:
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"""虚值强制不低于 180；实值/平值用配置值。"""
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lev = max(1.0, float(configured))
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if _norm_moneyness(moneyness) == "otm":
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return max(lev, OTM_LEV_FLOOR)
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return lev
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def read_semi_params(
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ledger: Ledger | None = None,
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*,
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group_id: str | None = None,
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) -> dict[str, Any]:
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led = ledger or Ledger()
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s = get_settings()
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view = str(
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led.get_setting_str("semi_view_side", s.semi_view_side) or s.semi_view_side
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).strip().lower()
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if view not in ("long", "short"):
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view = "long"
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move = float(
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led.get_setting_float(
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"semi_option_move_points", s.semi_option_move_points
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)
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or s.semi_option_move_points
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)
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exit_unit = float(
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led.get_setting_float("semi_perp_exit_unit", s.semi_perp_exit_unit)
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or s.semi_perp_exit_unit
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)
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moneyness = _norm_moneyness(
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led.get_setting_str("semi_moneyness", s.semi_moneyness),
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s.semi_moneyness,
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)
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otm_off = float(
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led.get_setting_float("semi_otm_max_offset", s.semi_otm_max_offset)
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or s.semi_otm_max_offset
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)
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perp_u = float(
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led.get_setting_float("semi_perp_unit", s.semi_perp_unit) or s.semi_perp_unit
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)
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opt_u = float(
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led.get_setting_float("semi_option_unit", s.semi_option_unit)
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or s.semi_option_unit
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)
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if perp_u <= 0:
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perp_u = float(s.semi_perp_unit)
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if opt_u <= 0:
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opt_u = float(s.semi_option_unit)
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min_lev_cfg = float(
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led.get_setting_float(
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"semi_min_option_leverage", s.semi_min_option_leverage
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)
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or s.semi_min_option_leverage
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)
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# 持仓中优先用开仓时锁定的出场/选约参数
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lock = read_trade_lock(led)
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if lock and group_id and str(lock.get("group_id")) == str(group_id):
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view = str(lock.get("view_side") or view).strip().lower()
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if view not in ("long", "short"):
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view = "long"
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try:
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move = float(lock.get("option_move_points", move))
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exit_unit = float(lock.get("perp_exit_unit", exit_unit))
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otm_off = float(lock.get("otm_max_offset", otm_off))
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perp_u = float(lock.get("perp_unit", perp_u))
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opt_u = float(lock.get("option_unit", opt_u))
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except (TypeError, ValueError):
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pass
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moneyness = _norm_moneyness(str(lock.get("moneyness") or moneyness), moneyness)
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return {
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"enabled": is_semi_auto(led),
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"armed": is_armed(led),
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"view_side": view,
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# 看法多 → Call+永续空；看法空 → Put+永续多
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"option_side": "call" if view == "long" else "put",
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"perp_side": "short" if view == "long" else "long",
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"option_move_points": move,
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"perp_exit_unit": exit_unit,
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"moneyness": moneyness,
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"otm_max_offset": max(0.0, otm_off),
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"perp_unit": perp_u,
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"option_unit": opt_u,
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"min_option_hours": float(
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led.get_setting_float(
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"semi_min_option_hours", s.semi_min_option_hours
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)
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or s.semi_min_option_hours
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),
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"min_option_leverage": effective_min_leverage(moneyness, min_lev_cfg),
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"min_option_leverage_cfg": min_lev_cfg,
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"trade_locked": bool(
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lock and group_id and str(lock.get("group_id")) == str(group_id)
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),
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}
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@dataclass(slots=True)
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class SemiExitDecision:
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should_close: bool
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reason: str = ""
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detail: str = ""
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target_index: float | None = None
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net_target: float | None = None
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def check_semi_exits(
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*,
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net_pnl: float,
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strike: float | None,
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index_px: float | None,
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view_side: str,
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option_move_points: float,
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perp_exit_unit: float,
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risk_k: float = 1.0,
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entry_index: float | None = None,
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) -> SemiExitDecision:
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"""
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顺方向：指数到达「行权价 ± 波动点」且组合净利>0 → 全平。
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多/Call：目标 = K + N；空/Put：目标 = K − N（N 为设置的波动点，不是现价±N）。
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逆方向兑现（永续锁定净利）：组合净利 ≥ 净利基数×k → 全平。
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"""
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view = (view_side or "long").strip().lower()
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if view not in ("long", "short"):
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view = "long"
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move = max(0.0, float(option_move_points))
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k = float(risk_k) if risk_k and risk_k > 0 else 1.0
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net_tgt = max(0.0, float(perp_exit_unit)) * k
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net = float(net_pnl)
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# 逆方向 / 永续净利锁定：达标即可离场（不必等点位）
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if net_tgt > 0 and net + 1e-9 >= net_tgt:
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return SemiExitDecision(
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True,
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REASON_PERP_NET,
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f"半自动·永续净利锁定≥{net_tgt:.2f}U（基数×k）",
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net_target=net_tgt,
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)
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if index_px is None:
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return SemiExitDecision(False, "", "缺指数")
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idx = float(index_px)
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# 锚定行权价；无 strike 时才回退开仓指数（兼容旧仓）
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anchor = None
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if strike is not None and float(strike) > 0:
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anchor = float(strike)
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elif entry_index is not None and float(entry_index) > 0:
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anchor = float(entry_index)
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if anchor is None or idx <= 0 or move <= 0:
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return SemiExitDecision(False, "", "点位无效")
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if view == "long":
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target_idx = anchor + move
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hit = idx + 1e-9 >= target_idx
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else:
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target_idx = anchor - move
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hit = idx - 1e-9 <= target_idx
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if hit and net > 0:
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return SemiExitDecision(
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True,
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REASON_POINTS,
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f"半自动·指数到期权目标{target_idx:.2f}（K{anchor:g}±{move:g}）且净利>0",
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target_index=target_idx,
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net_target=0.0,
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)
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if hit and net <= 0:
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return SemiExitDecision(
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False,
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"",
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f"已到期权目标{target_idx:.2f}但组合净利≤0（{net:.2f}），继续持有",
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target_index=target_idx,
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)
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return SemiExitDecision(
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False,
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"",
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f"未到期权目标（K{anchor:g}→{target_idx:.2f}）",
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target_index=target_idx,
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net_target=net_tgt,
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)
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