dekun
38ffbf728b
Stop falling back to ATM quotes for unrealized/close PnL after ATM drifts or restart. Co-authored-by: Cursor <cursoragent@cursor.com>
54 lines
1.5 KiB
Python
54 lines
1.5 KiB
Python
"""期权合约 ID 工具：从持仓合约还原同到期同行权价的 Call/Put 对。"""
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from __future__ import annotations
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from .expiry import expiry_ms_from_ymd
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from .types import OptionPair
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def flip_option_side(inst_id: str) -> str | None:
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"""ETH-...-1880-P ↔ ...-C；币安 ETH-YYMMDD-STRIKE-P ↔ -C。"""
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s = (inst_id or "").strip()
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if not s:
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return None
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if s.endswith("-C"):
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return s[:-1] + "P"
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if s.endswith("-P"):
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return s[:-1] + "C"
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if s.endswith("-c"):
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return s[:-1] + "p"
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if s.endswith("-p"):
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return s[:-1] + "c"
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return None
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def pair_from_option_inst(inst_id: str) -> OptionPair | None:
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"""由任一腿合约 ID 还原同 strike/expiry 的 OptionPair。"""
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from .okx.parse import parse_option_inst_id
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from .binance.parse import parse_option_symbol
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s = (inst_id or "").strip()
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if not s:
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return None
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ymd, strike, side = parse_option_inst_id(s)
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if ymd is None:
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ymd, strike, side = parse_option_symbol(s)
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if ymd is None or strike is None or side not in ("C", "P"):
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return None
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other = flip_option_side(s)
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if not other:
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return None
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call_id = s if side == "C" else other
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put_id = s if side == "P" else other
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try:
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ems = expiry_ms_from_ymd(ymd)
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except ValueError:
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return None
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return OptionPair(
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expiry_ymd=ymd,
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expiry_ms=int(ems),
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strike=float(strike),
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call_inst_id=call_id,
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put_inst_id=put_id,
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)
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