dekun
342 lines
12 KiB
Python
342 lines
12 KiB
Python
"""策略行情会话：在交易所适配器之上做 ATM 对齐与开仓选约。"""
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from __future__ import annotations
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import asyncio
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import logging
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from dataclasses import dataclass
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from typing import Any
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from ..config import Settings, get_settings
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from ..exchange import get_exchange, set_exchange, build_exchange
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from ..exchange.protocol import ExchangeMarket
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from ..exchange.types import MarketSnapshot, OptionPair
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from .selection import (
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hours_until_expiry,
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list_eligible_expiry_ymds,
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option_leverage,
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select_option_pair,
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)
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logger = logging.getLogger(__name__)
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_ATM_DRIFT_POINTS = 5.0
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_session: StrategySession | None = None
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def _has_open_position() -> bool:
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try:
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from ..models.db import get_db
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row = get_db().fetchone("SELECT status FROM positions WHERE id=1")
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return bool(row and row["status"] == "open")
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except Exception:
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return False
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def _strategy_floats() -> tuple[float, float]:
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s = get_settings()
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try:
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from ..models.db import get_db
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db = get_db()
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hours = float(
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db.get_setting("min_option_hours", str(s.min_option_hours))
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or s.min_option_hours
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)
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lev = float(
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db.get_setting("min_option_leverage", str(s.min_option_leverage))
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or s.min_option_leverage
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)
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return hours, lev
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except Exception:
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return s.min_option_hours, s.min_option_leverage
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@dataclass(slots=True)
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class OpenPick:
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pair: OptionPair
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option_side: str
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perp_side: str
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bias: str
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call_ask: float
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put_ask: float
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option_ask: float
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option_leverage: float
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hours_left: float
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underlying_px: float
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class StrategySession:
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"""策略侧会话；交易所实现由 exchange 模块注入。"""
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def __init__(
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self,
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settings: Settings | None = None,
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exchange: ExchangeMarket | None = None,
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) -> None:
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self.settings = settings or get_settings()
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self.ex = exchange or get_exchange()
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self._pair: OptionPair | None = None
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self._refresh_task: asyncio.Task[None] | None = None
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self._started = False
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@property
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def pair(self) -> OptionPair | None:
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return self._pair
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async def start(self) -> None:
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if self._started:
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return
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self._started = True
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await self.ex.start()
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await asyncio.to_thread(self.align_instruments)
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await self.ex.resubscribe(
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[
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self.settings.perp_inst_id,
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self._pair.call_inst_id if self._pair else "",
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self._pair.put_inst_id if self._pair else "",
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]
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)
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self._refresh_task = asyncio.create_task(self._refresh_loop(), name="strategy-align")
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async def stop(self) -> None:
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self._started = False
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if self._refresh_task:
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self._refresh_task.cancel()
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try:
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await self._refresh_task
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except asyncio.CancelledError:
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pass
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self._refresh_task = None
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await self.ex.stop()
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def _apply_pair(self, pair: OptionPair, *, mark: float, idx: float | None) -> OptionPair:
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s = self.settings
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self._pair = pair
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self.ex.set_pair(pair)
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if idx is not None:
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self.ex.set_index_px(idx)
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ids = [s.perp_inst_id, pair.call_inst_id, pair.put_inst_id]
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self.ex.warm_and_subscribe(ids)
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logger.info(
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"aligned pair exchange=%s expiry=%s strike=%s mark=%.2f hours=%.1f",
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getattr(self.ex, "name", "?"),
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pair.expiry_ymd,
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pair.strike,
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mark,
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hours_until_expiry(pair.expiry_ymd, expiry_ms=pair.expiry_ms),
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)
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return pair
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def align_instruments(self) -> OptionPair | None:
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s = self.settings
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idx = self.ex.fetch_index(s.index_inst_id)
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mark = self.ex.fetch_mark(s.perp_inst_id) or idx
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if mark is None or mark <= 0:
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raise RuntimeError("无法获取标的标记/指数价格，无法选 ATM")
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min_hours, _ = _strategy_floats()
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contracts = self.ex.list_option_contracts(s.option_inst_family)
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pair = select_option_pair(contracts, mark_px=float(mark), min_hours=min_hours)
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if pair is None:
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raise RuntimeError(
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f"未找到剩余≥{min_hours}h 的 ATM Call/Put (family={s.option_inst_family})"
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)
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return self._apply_pair(pair, mark=float(mark), idx=idx)
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def pick_for_open(self) -> OpenPick | None:
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from .signal import decide
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s = self.settings
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min_hours, min_lev = _strategy_floats()
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idx = self.ex.fetch_index(s.index_inst_id)
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mark = self.ex.fetch_mark(s.perp_inst_id) or idx
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if mark is None or mark <= 0:
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return None
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underlying = float(mark)
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contracts = self.ex.list_option_contracts(s.option_inst_family)
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eligible = list_eligible_expiry_ymds(contracts, min_hours=min_hours)
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if not eligible:
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logger.info("no expiry with hours>=%.1f", min_hours)
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return None
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for ymd in eligible:
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pair = select_option_pair(contracts, mark_px=underlying, expiry_ymd=ymd)
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if pair is None:
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continue
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call_bids, call_asks, _ = self.ex.fetch_book(pair.call_inst_id, depth=5)
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put_bids, put_asks, _ = self.ex.fetch_book(pair.put_inst_id, depth=5)
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call_ask = call_asks[0].px if call_asks else None
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put_ask = put_asks[0].px if put_asks else None
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sig = decide(call_ask, put_ask)
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if sig is None:
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continue
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opt_ask = sig.call_ask if sig.option_side == "call" else sig.put_ask
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lev = option_leverage(underlying, opt_ask)
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hours_left = hours_until_expiry(ymd, expiry_ms=pair.expiry_ms)
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if lev is None or lev + 1e-9 < min_lev:
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logger.info(
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"skip expiry=%s strike=%.0f side=%s lev=%s need>=%.0f hours=%.1f",
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ymd,
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pair.strike,
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sig.option_side,
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f"{lev:.1f}" if lev else "n/a",
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min_lev,
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hours_left,
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)
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continue
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self._apply_pair(pair, mark=underlying, idx=idx)
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# warm_and_subscribe 已写盘口；再覆盖刚拉的 ask 侧
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from ..exchange.book_cache import BookCache
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# 直接通过 exchange quote path：再 upsert
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if hasattr(self.ex, "cache"):
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cache: BookCache = self.ex.cache # type: ignore[attr-defined]
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cache.upsert_book(pair.call_inst_id, bids=call_bids, asks=call_asks)
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cache.upsert_book(pair.put_inst_id, bids=put_bids, asks=put_asks)
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return OpenPick(
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pair=pair,
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option_side=sig.option_side,
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perp_side=sig.perp_side,
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bias=sig.bias,
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call_ask=float(sig.call_ask),
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put_ask=float(sig.put_ask),
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option_ask=float(opt_ask),
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option_leverage=float(lev),
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hours_left=hours_left,
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underlying_px=underlying,
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)
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return None
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async def realign_async(self) -> OptionPair | None:
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old = self._pair
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pair = await asyncio.to_thread(self.align_instruments)
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if old is None or (
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pair
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and (
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pair.call_inst_id != old.call_inst_id
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or pair.put_inst_id != old.put_inst_id
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)
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):
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await self.ex.resubscribe(
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[
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self.settings.perp_inst_id,
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pair.call_inst_id,
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pair.put_inst_id,
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]
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)
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return pair
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async def pick_for_open_async(self) -> OpenPick | None:
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old = self._pair
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pick = await asyncio.to_thread(self.pick_for_open)
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if pick and (
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old is None
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or pick.pair.call_inst_id != old.call_inst_id
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or pick.pair.put_inst_id != old.put_inst_id
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):
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await self.ex.resubscribe(
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[
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self.settings.perp_inst_id,
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pick.pair.call_inst_id,
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pick.pair.put_inst_id,
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]
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)
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return pick
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def _mark_for_atm(self) -> float | None:
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snap = self.snapshot()
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if snap.perp and snap.perp.mark_px:
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return float(snap.perp.mark_px)
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if snap.index_px:
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return float(snap.index_px)
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if snap.perp and snap.perp.bid and snap.perp.ask:
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return (float(snap.perp.bid) + float(snap.perp.ask)) / 2
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return None
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def atm_needs_realign(self, mark_px: float | None = None) -> bool:
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if self._pair is None:
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return True
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min_hours, _ = _strategy_floats()
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if (
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hours_until_expiry(self._pair.expiry_ymd, expiry_ms=self._pair.expiry_ms)
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+ 1e-9
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< min_hours
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):
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return True
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mark = mark_px if mark_px is not None else self._mark_for_atm()
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if mark is None or mark <= 0:
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return False
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return abs(float(self._pair.strike) - float(mark)) >= _ATM_DRIFT_POINTS
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async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
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if _has_open_position():
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return self._pair
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if force or self.atm_needs_realign():
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logger.info(
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"ATM realign force=%s old_strike=%s old_exp=%s",
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force,
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self._pair.strike if self._pair else None,
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self._pair.expiry_ymd if self._pair else None,
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)
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return await self.realign_async()
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return self._pair
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def snapshot(self) -> MarketSnapshot:
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return self.ex.snapshot(self.settings.perp_inst_id)
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def snapshot_dict(self) -> dict[str, Any]:
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d = self.ex.snapshot_dict(self.settings.perp_inst_id)
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d["exchange"] = getattr(self.ex, "name", self.settings.exchange)
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d["perp_inst_id"] = self.settings.perp_inst_id
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return d
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async def _refresh_loop(self) -> None:
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while True:
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await asyncio.sleep(30)
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try:
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idx = await asyncio.to_thread(
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self.ex.fetch_index, self.settings.index_inst_id
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)
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self.ex.set_index_px(idx)
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mark = await asyncio.to_thread(
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self.ex.fetch_mark, self.settings.perp_inst_id
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)
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if mark:
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self.ex.set_mark_px(self.settings.perp_inst_id, mark)
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await self.ensure_atm_async(force=False)
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except asyncio.CancelledError:
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raise
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except Exception as e:
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logger.warning("strategy align refresh failed: %s", e)
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def get_session() -> StrategySession:
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global _session
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if _session is None:
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_session = StrategySession()
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return _session
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def set_session(s: StrategySession | None) -> None:
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global _session
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_session = s
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# 兼容旧名
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MarketGateway = StrategySession
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get_gateway = get_session
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set_gateway = set_session
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def bootstrap_session(settings: Settings | None = None) -> StrategySession:
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"""main 启动：创建交易所 + 策略会话。"""
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from ..exchange.runtime import load_runtime_settings
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s = settings or load_runtime_settings()
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ex = build_exchange(s)
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set_exchange(ex)
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sess = StrategySession(s, ex)
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set_session(sess)
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return sess
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