dekun
380 lines
13 KiB
Python
380 lines
13 KiB
Python
"""LIVE 开仓对账：占槽、交易所持仓核对、平永续数量解析、stuck opening 恢复。"""
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from __future__ import annotations
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import logging
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from typing import Any
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from ..config import get_settings
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from ..exchange.runtime import load_runtime_settings
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from ..sim.matcher import BLOCKING_STATUSES, CloseResult
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from .symbols import resolve_perp_inst_id
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logger = logging.getLogger(__name__)
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_PERP_EPS = 1e-8
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_OPT_EPS = 1e-8
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def claim_open_slot(db) -> tuple[bool, str]:
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"""原子占用开仓槽：flat/空 → opening；已有 blocking 状态则拒绝。"""
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with db._lock:
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row = db._conn.execute("SELECT status FROM positions WHERE id=1").fetchone()
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st = str(row["status"] or "") if row else ""
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if st in BLOCKING_STATUSES:
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return False, f"已有持仓/半仓状态({st})，请先修复或平仓"
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cur = db._conn.execute(
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"""UPDATE positions SET status='opening'
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WHERE id=1 AND (status IS NULL OR status='' OR status='flat')"""
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)
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if cur.rowcount != 1:
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st2 = st or "unknown"
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return False, f"无法占用开仓槽(当前 status={st2})"
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db._conn.commit()
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return True, "ok"
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def stamp_opening_intent(
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db,
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*,
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group_id: str,
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option_inst_id: str,
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option_side: str,
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perp_side: str,
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option_qty_eth: float,
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option_qty_contracts: float,
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entry_index_px: float | None = None,
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option_entry_px: float | None = None,
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) -> None:
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"""开仓意图落库：崩溃后仍可按 option_inst_id 恢复，禁止「opening 无元数据」。"""
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with db._lock:
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self_row = db._conn.execute(
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"SELECT status FROM positions WHERE id=1"
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).fetchone()
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st = str(self_row["status"] or "") if self_row else ""
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if st != "opening":
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return
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db._conn.execute(
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"""UPDATE positions SET
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group_id=?, option_inst_id=?, option_side=?, perp_side=?,
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option_qty_eth=?, option_qty_contracts=?,
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entry_index_px=COALESCE(?, entry_index_px),
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option_entry_px=COALESCE(?, option_entry_px),
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status='opening'
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WHERE id=1 AND status='opening'""",
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(
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group_id,
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option_inst_id,
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option_side,
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perp_side,
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float(option_qty_eth),
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float(option_qty_contracts),
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entry_index_px,
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option_entry_px,
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),
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)
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db._conn.commit()
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def release_open_slot_if_opening(db) -> None:
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"""开仓失败且未落 half_open/open 时，释放 opening 占槽。"""
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with db._lock:
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db._conn.execute(
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"""UPDATE positions SET
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status='flat', group_id=NULL, option_inst_id=NULL,
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option_side=NULL, perp_side=NULL,
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option_qty_eth=0, option_qty_contracts=0,
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option_entry_px=NULL, perp_qty_eth=0, perp_entry_px=NULL,
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entry_index_px=NULL, initial_premium=0
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WHERE id=1 AND status='opening'"""
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)
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db._conn.commit()
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def exchange_perp_abs_size(
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client: Any,
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exchange: str,
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perp_inst_id: str,
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perp_side: str,
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) -> float | None:
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"""查询交易所永续绝对持仓：OKX 张数，Binance ETH。"""
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ex = (exchange or "").strip().lower()
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try:
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if ex in ("binance", "bn"):
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ps = "LONG" if perp_side == "long" else "SHORT"
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return client.get_perp_pos_sz(perp_inst_id, position_side=ps)
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ps = "long" if perp_side == "long" else "short"
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return client.get_perp_pos_sz(perp_inst_id, pos_side=ps)
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except Exception as e:
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logger.warning("exchange_perp_abs_size failed exchange=%s: %s", ex, e)
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return None
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def exchange_option_abs_size(
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client: Any, option_inst_id: str
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) -> float | None:
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try:
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return client.get_option_pos_sz(option_inst_id)
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except Exception as e:
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logger.warning("exchange_option_abs_size failed: %s", e)
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return None
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def exchange_any_option_abs(client: Any) -> float | None:
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try:
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return client.any_option_pos_abs()
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except Exception as e:
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logger.warning("exchange_any_option_abs failed: %s", e)
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return None
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def assert_safe_to_open_live(executor) -> tuple[bool, str]:
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"""LIVE 开仓前：本地无 blocking 仓，且交易所无残留永续/期权（flat/opening 时）。"""
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if get_settings().is_sim:
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return True, "ok"
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pos = executor.current_position()
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st = str(pos.get("status") or "")
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if st in BLOCKING_STATUSES and st != "opening":
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return False, f"已有持仓/半仓状态({st})，请先修复或平仓"
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client, ex_name = _executor_client_and_exchange(executor)
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if client is None:
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return False, "无法核对交易所持仓"
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perp_inst = resolve_perp_inst_id(executor.db)
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if st in ("flat", "", "opening"):
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sides = ("long", "short")
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else:
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sides = (str(pos.get("perp_side") or "long"),)
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total = 0.0
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for side in sides:
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ex_sz = exchange_perp_abs_size(client, ex_name or "", perp_inst, side)
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if ex_sz is None:
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return False, "无法核对交易所持仓"
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total += float(ex_sz)
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if total > _PERP_EPS and st in ("flat", "", "opening"):
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return (
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False,
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"交易所有永续仓但本地无持仓，禁止新开，请人工核对",
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)
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# 期权：有具体合约则查该合约；flat 时查账户任意期权残留
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opt_inst = str(pos.get("option_inst_id") or "")
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if opt_inst:
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opt_sz = exchange_option_abs_size(client, opt_inst)
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if opt_sz is None:
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return False, "无法核对交易所期权持仓"
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if opt_sz > _OPT_EPS and st in ("flat", "", "opening"):
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return (
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False,
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f"交易所有期权仓({opt_inst})但本地未确认持仓，禁止新开，请人工核对",
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)
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elif st in ("flat", "", "opening"):
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# opening 且尚未 stamp option_inst_id 时仍须扫任意期权残留
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any_opt = exchange_any_option_abs(client)
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if any_opt is None:
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return False, "无法核对交易所期权持仓"
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if any_opt > _OPT_EPS:
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return (
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False,
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"交易所有期权残留仓但本地无持仓，禁止新开，请人工核对",
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)
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return True, "ok"
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def log_exchange_db_mismatch(executor) -> None:
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"""LIVE 启动时记录交易所 vs 本地持仓不一致（仅日志，不阻断）。"""
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if get_settings().is_sim:
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return
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ok, msg = assert_safe_to_open_live(executor)
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if ok:
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logger.info("LIVE startup reconcile: exchange/DB OK")
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else:
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logger.warning("LIVE startup reconcile mismatch: %s", msg)
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# 启动时尝试恢复 stuck opening
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try:
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r = recover_stuck_opening(executor)
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if r is not None:
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logger.info("LIVE startup recover_opening: ok=%s detail=%s", r.ok, r.detail)
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except Exception:
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logger.exception("LIVE startup recover_opening failed")
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def perp_close_contracts_okx(
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client: Any,
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*,
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perp_inst: str,
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perp_side: str,
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perp_qty_eth: float,
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ct_val: float,
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allow_db_fallback: bool = False,
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) -> int | None:
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"""平永续张数：以交易所持仓为准。
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返回 >0 应下单；0=已确认空仓；None=查仓失败（调用方不得当空仓 finalize）。
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交易所已确认空仓时绝不回退 DB。allow_db_fallback 仅在查仓失败时可用。
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"""
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ps = "long" if perp_side == "long" else "short"
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ex_sz = client.get_perp_pos_sz(perp_inst, pos_side=ps)
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if ex_sz is None:
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if not allow_db_fallback:
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return None
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return max(1, int(round(perp_qty_eth / ct_val)))
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if ex_sz > _PERP_EPS:
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return max(1, int(round(ex_sz)))
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return 0
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def perp_close_qty_eth_binance(
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client: Any,
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*,
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perp_inst: str,
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perp_side: str,
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perp_qty_eth: float,
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allow_db_fallback: bool = False,
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) -> float | None:
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"""平永续 ETH：>0 下单；0=已确认空；None=查仓失败。已空绝不回退 DB。"""
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ps = "LONG" if perp_side == "long" else "SHORT"
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ex_sz = client.get_perp_pos_sz(perp_inst, position_side=ps)
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if ex_sz is None:
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if not allow_db_fallback:
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return None
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return float(perp_qty_eth)
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if ex_sz > _PERP_EPS:
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return float(ex_sz)
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return 0.0
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def perp_open_contracts_okx(*, perp_qty_eth: float, ct_val: float) -> int:
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"""开仓张数：仅按设置名义/面值，不跟交易所残留。"""
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if ct_val <= 0:
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raise RuntimeError("ct_val invalid")
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return max(1, int(round(float(perp_qty_eth) / float(ct_val))))
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def recover_stuck_opening(executor) -> CloseResult | None:
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"""恢复本地 status=opening：
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- 交易所期权+永续皆空 → 清槽
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- 仅期权 → half_open 并尝试 repair
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- 期权+永续 → 提升为 open（用本地已 stamp 的数量/均价）
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- 无元数据且交易所仍有仓 → 保持 opening，返回失败详情
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"""
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if get_settings().is_sim:
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return None
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pos = executor.current_position()
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st = str(pos.get("status") or "")
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if st != "opening":
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return None
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client, ex_name = _executor_client_and_exchange(executor)
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if client is None:
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return CloseResult(ok=False, detail="recover_opening: 无交易客户端")
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option_inst = str(pos.get("option_inst_id") or "")
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perp_side = str(pos.get("perp_side") or "long")
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group_id = str(pos.get("group_id") or "")
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perp_inst = resolve_perp_inst_id(executor.db, group_id=group_id or None)
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perp_total = 0.0
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for side in ("long", "short"):
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sz = exchange_perp_abs_size(client, ex_name or "", perp_inst, side)
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if sz is None:
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return CloseResult(ok=False, detail="recover_opening: 无法查永续")
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perp_total += float(sz)
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opt_sz = 0.0
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if option_inst:
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raw = exchange_option_abs_size(client, option_inst)
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if raw is None:
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return CloseResult(ok=False, detail="recover_opening: 无法查期权")
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opt_sz = float(raw)
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else:
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any_opt = exchange_any_option_abs(client)
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if any_opt is None:
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return CloseResult(ok=False, detail="recover_opening: 无法查期权")
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if any_opt > _OPT_EPS:
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return CloseResult(
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ok=False,
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detail=(
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"recover_opening: opening 无 option_inst_id 但交易所有期权仓，"
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"禁止自动清槽，请人工核对"
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),
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)
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opt_sz = 0.0
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# 两边皆空 → 清槽
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if opt_sz <= _OPT_EPS and perp_total <= _PERP_EPS:
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release_open_slot_if_opening(executor.db)
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return CloseResult(ok=True, detail="recover_opening: 交易所空仓，已释放 opening")
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# 无元数据但有仓 → 不自动处理
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if not option_inst:
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return CloseResult(
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ok=False,
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detail="recover_opening: 交易所有仓但本地 opening 缺 option_inst_id",
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)
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# 仅期权 → half_open + repair
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if opt_sz > _OPT_EPS and perp_total <= _PERP_EPS:
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persist = getattr(executor, "_persist_half_open", None)
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if not callable(persist):
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return CloseResult(ok=False, detail="recover_opening: 无 half_open 落库")
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of_px = float(pos.get("option_entry_px") or 0) or 0.0
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# 数量以交易所为准
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opt_contracts = float(opt_sz)
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opt_qty = float(pos.get("option_qty_eth") or 0)
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if hasattr(executor, "_ct_mult"):
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from ..sim.liquidity import eth_from_contracts
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opt_qty = eth_from_contracts(opt_contracts, executor._ct_mult(option_inst))
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elif opt_qty <= 0:
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opt_qty = float(opt_sz)
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persist(
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group_id=group_id or f"RCV-{option_inst[-12:]}",
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bias="recover",
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option_side=str(pos.get("option_side") or "call"),
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perp_side=perp_side,
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option_inst_id=option_inst,
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entry_index_px=float(pos.get("entry_index_px") or 0) or 0.0,
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strike=None,
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expiry_ymd=None,
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opt_qty=opt_qty,
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opt_contracts=opt_contracts or opt_sz,
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of_px=of_px,
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of_fee=0.0,
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detail="recover_opening option-only → half_open",
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)
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repair = getattr(executor, "repair_half_open", None)
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if callable(repair):
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return repair()
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return CloseResult(ok=True, detail="recover_opening: 已落 half_open")
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# 期权+永续 → 提升为 open
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promote = getattr(executor, "_promote_opening_to_open", None)
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if callable(promote):
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return promote(pos=pos, perp_inst=perp_inst, opt_sz=opt_sz, perp_total=perp_total)
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return CloseResult(
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ok=False,
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detail="recover_opening: 双边有仓但执行器无 promote，请人工核对",
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)
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def _executor_client_and_exchange(executor) -> tuple[Any | None, str | None]:
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if get_settings().is_sim:
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return None, None
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try:
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ex_name = load_runtime_settings().exchange
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except Exception:
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ex_name = get_settings().exchange
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client = None
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if hasattr(executor, "_client"):
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try:
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client = executor._client()
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except Exception as e:
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logger.warning("live executor client unavailable: %s", e)
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return None, ex_name
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return client, ex_name
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