dekun
98 lines
2.9 KiB
Python
98 lines
2.9 KiB
Python
"""币安期权 / 永续符号解析 → 中性合约行。"""
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from __future__ import annotations
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import re
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from typing import Any
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from ..expiry import expiry_ms_from_ymd, ymd_from_expiry_ms
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_OPT_RE = re.compile(
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r"^(?P<under>[A-Z0-9]+)-(?P<ymd>\d{6})-(?P<strike>\d+(?:\.\d+)?)-(?P<side>[CP])$",
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re.IGNORECASE,
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)
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def safe_float(v: Any) -> float | None:
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if v is None or v == "":
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return None
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try:
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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 parse_option_symbol(symbol: str) -> tuple[str | None, float | None, str | None]:
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"""ETH-250726-1860-C → (YYMMDD, strike, C|P)."""
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m = _OPT_RE.match((symbol or "").strip())
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if not m:
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return None, None, None
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ymd = m.group("ymd")
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strike = safe_float(m.group("strike"))
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side = m.group("side").upper()
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return ymd, strike, side
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def is_option_symbol(symbol: str) -> bool:
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y, s, o = parse_option_symbol(symbol)
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return y is not None and s is not None and o in ("C", "P")
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def rows_to_option_contracts(rows: list[dict[str, Any]]) -> list[dict[str, Any]]:
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"""
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归一化：
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{inst_id, expiry_ymd, expiry_ms, strike, side, ct_mult}
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"""
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out: list[dict[str, Any]] = []
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for row in rows:
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if not isinstance(row, dict):
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continue
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status = str(row.get("status") or "TRADING").upper()
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if status and status not in ("TRADING", "LIVE", ""):
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continue
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inst_id = str(row.get("symbol") or row.get("inst_id") or "")
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y, stk, opt = parse_option_symbol(inst_id)
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exp_ms = None
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raw_exp = row.get("expiryDate") or row.get("expiration") or row.get("expiry_ms")
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if raw_exp is not None:
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try:
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exp_ms = int(float(raw_exp))
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if exp_ms < 10_000_000_000: # seconds
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exp_ms *= 1000
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except (TypeError, ValueError):
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exp_ms = None
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if y is None and exp_ms is not None:
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y = ymd_from_expiry_ms(exp_ms)
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if stk is None:
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stk = safe_float(row.get("strikePrice") or row.get("strike"))
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if opt is None:
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side_raw = str(row.get("side") or row.get("optionSide") or "").upper()
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if side_raw in ("CALL", "C"):
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opt = "C"
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elif side_raw in ("PUT", "P"):
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opt = "P"
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if not inst_id or not y or stk is None or opt not in ("C", "P"):
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continue
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if exp_ms is None:
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try:
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exp_ms = expiry_ms_from_ymd(y)
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except ValueError:
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continue
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unit = safe_float(row.get("unit") or row.get("ct_mult"))
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out.append(
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{
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"inst_id": inst_id,
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"expiry_ymd": y,
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"expiry_ms": int(exp_ms),
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"strike": float(stk),
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"side": opt,
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"ct_mult": float(unit) if unit and unit > 0 else 1.0,
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}
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)
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return out
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