dekun
77 lines
2.5 KiB
Python
77 lines
2.5 KiB
Python
"""OKX 合约 ID / 到期解析（交易所专属）。"""
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from __future__ import annotations
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import re
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from datetime import datetime, timezone
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from typing import Any
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_DATE_RE = re.compile(r"^\d{6}$")
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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_inst_id(inst_id: str) -> tuple[str | None, float | None, str | None]:
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"""ETH-USD_UM-YYMMDD-STRIKE-C → (YYMMDD, strike, C|P)."""
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parts = (inst_id or "").strip().split("-")
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if len(parts) < 5:
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return None, None, None
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ymd = parts[-3]
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strike = safe_float(parts[-2])
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opt = parts[-1].upper()
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if not _DATE_RE.fullmatch(ymd) or strike is None or opt not in ("C", "P"):
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return None, None, None
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return ymd, strike, opt
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def expiry_ms_from_ymd(ymd: str) -> int:
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"""OKX 期权到期：当日 08:00 UTC = 上海 16:00。"""
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yy, mm, dd = int(ymd[0:2]), int(ymd[2:4]), int(ymd[4:6])
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dt = datetime(2000 + yy, mm, dd, 8, 0, 0, tzinfo=timezone.utc)
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return int(dt.timestamp() * 1000)
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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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归一化为策略层可用的中性结构：
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{inst_id, expiry_ymd, 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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state = str(row.get("state") or "live").lower()
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if state and state != "live":
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continue
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inst_id = str(row.get("instId") or "")
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y, stk, opt = parse_option_inst_id(inst_id)
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if y is None or stk is None or opt is None:
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exp = safe_float(row.get("expTime"))
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if exp:
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ms = int(exp) if exp > 10_000_000_000 else int(exp * 1000)
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y = datetime.fromtimestamp(ms / 1000, tz=timezone.utc).strftime("%y%m%d")
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stk = safe_float(row.get("stk"))
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opt_raw = str(row.get("optType") or "").upper()
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opt = opt_raw if opt_raw in ("C", "P") else None
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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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ct = safe_float(row.get("ctMult"))
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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": expiry_ms_from_ymd(y),
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"strike": float(stk),
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"side": opt,
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"ct_mult": float(ct) if ct and ct > 0 else None,
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}
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)
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return out
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