dekun
700 lines
25 KiB
Python
700 lines
25 KiB
Python
"""本地模拟撮合：永续市价 + 期权只买开/卖平。"""
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from __future__ import annotations
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import time
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from dataclasses import dataclass
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from typing import Any
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from ..config import get_settings
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from ..exchange import get_exchange
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from ..models.db import Database, get_db
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from ..strategy.session import get_session
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from .ledger import Ledger
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from .liquidity import bid_covers_eth, bid_mark_ok, contracts_for_eth
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from .pricing import (
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option_fill,
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option_intrinsic,
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perp_fill,
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resolve_option_close_bid,
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)
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@dataclass(slots=True)
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class OpenResult:
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ok: bool
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group_id: str | None = None
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detail: str = ""
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data: dict[str, Any] | None = None
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@dataclass(slots=True)
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class CloseResult:
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ok: bool
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detail: str = ""
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liquidity_wait: bool = False
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data: dict[str, Any] | None = None
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class Matcher:
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def __init__(self, db: Database | None = None) -> None:
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self.db = db or get_db()
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self.ledger = Ledger(self.db)
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def _fee_rate(self) -> float:
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return self.ledger.get_setting_float("fee_rate", get_settings().fee_rate)
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def _ct_mult(self, option_inst_id: str) -> float:
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try:
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from ..exchange.runtime import load_runtime_settings
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s = load_runtime_settings()
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except Exception:
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s = get_settings()
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try:
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return get_exchange().get_ct_mult(
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option_inst_id, s.option_inst_family, s.option_ct_mult_default
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)
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except Exception:
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pass
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return float(s.option_ct_mult_default)
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def current_position(self) -> dict[str, Any]:
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row = self.db.fetchone("SELECT * FROM positions WHERE id=1")
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assert row is not None
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return dict(row)
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def has_open_position(self) -> bool:
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pos = self.current_position()
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return pos.get("status") == "open" and bool(pos.get("group_id"))
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def _liquidity_wait(self, group_id: str, detail: str) -> CloseResult:
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note = f"liquidity_wait:{int(time.time())}:{detail[:80]}"
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self.db.execute(
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"UPDATE groups SET note=? WHERE group_id=? AND status='open'",
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(note, group_id),
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)
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return CloseResult(ok=False, detail=detail, liquidity_wait=True)
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def _group_strike(self, group_id: str, option_inst_id: str) -> float | None:
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g = self.db.fetchone(
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"SELECT strike FROM groups WHERE group_id=?", (group_id,)
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)
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if g is not None and g["strike"] is not None:
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try:
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return float(g["strike"])
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except (TypeError, ValueError):
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pass
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try:
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from ..exchange.okx.parse import parse_option_inst_id
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_, stk, _ = parse_option_inst_id(option_inst_id)
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if stk is not None:
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return float(stk)
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except Exception:
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pass
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try:
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from ..exchange.binance.parse import parse_option_symbol
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_, stk, _ = parse_option_symbol(option_inst_id)
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if stk is not None:
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return float(stk)
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except Exception:
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pass
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return None
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def _close_spot_px(self, snap: Any) -> float | None:
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if getattr(snap, "index_px", None) is not None:
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try:
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px = float(snap.index_px)
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if px > 0:
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return px
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except (TypeError, ValueError):
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pass
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perp = getattr(snap, "perp", None)
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if not perp:
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return None
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for attr in ("mark_px", "last"):
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v = getattr(perp, attr, None)
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if v is not None:
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try:
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px = float(v)
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if px > 0:
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return px
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except (TypeError, ValueError):
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pass
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if perp.bid is not None and perp.ask is not None:
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return (float(perp.bid) + float(perp.ask)) / 2.0
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if perp.bid is not None:
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return float(perp.bid)
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if perp.ask is not None:
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return float(perp.ask)
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return None
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def open_group(
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self,
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*,
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group_id: str,
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bias: str,
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option_side: str, # call|put
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perp_side: str, # long|short
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option_inst_id: str,
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entry_index_px: float,
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strike: float | None = None,
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expiry_ymd: str | None = None,
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) -> OpenResult:
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s = get_settings()
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pos = self.current_position()
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if pos.get("status") == "open" and pos.get("group_id"):
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return OpenResult(ok=False, detail="已有持仓组，请先平仓")
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sess = get_session()
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snap = sess.snapshot()
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if not snap.perp or snap.perp.bid is None or snap.perp.ask is None:
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return OpenResult(ok=False, detail="永续盘口不可用")
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oq = snap.call if option_side == "call" else snap.put
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# 若 ATM 对与持仓合约不一致，直接取持仓合约盘口
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held = get_exchange().quote(option_inst_id)
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if held and held.ask is not None:
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oq = held
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if not oq or oq.ask is None:
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return OpenResult(ok=False, detail="期权卖一不可用")
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fee_rate = self._fee_rate()
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s = get_settings()
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perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
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opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
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ct_mult = self._ct_mult(option_inst_id)
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opt_contracts = contracts_for_eth(opt_qty, ct_mult)
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# 1) 先成交期权（吃卖一）；失败则整组不开
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of = option_fill(
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action="open",
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bid=float(oq.bid or 0),
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ask=float(oq.ask),
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qty_eth=opt_qty,
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fee_rate=fee_rate,
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)
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initial_premium = of.fill_px * opt_qty # 锁定口径：成交价×名义，不含费
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premium_cost = of.notional + of.fee
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try:
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self.ledger.apply_cash(
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-premium_cost,
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kind="open_option",
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group_id=group_id,
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note=f"open option {group_id}",
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)
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except RuntimeError as e:
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return OpenResult(ok=False, detail=str(e))
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# 2) 期权确认后再市价成交永续（重新取盘口）
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snap2 = sess.snapshot()
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if not snap2.perp or snap2.perp.bid is None or snap2.perp.ask is None:
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self.ledger.apply_cash(
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premium_cost,
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kind="open_option_rollback",
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group_id=group_id,
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note=f"rollback option {group_id}: perp book missing",
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)
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return OpenResult(
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ok=False,
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detail="期权已成交但永续盘口不可用，已回滚期权",
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)
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pf = perp_fill(
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side=perp_side,
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action="open",
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bid=float(snap2.perp.bid),
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ask=float(snap2.perp.ask),
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qty_eth=perp_qty,
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fee_rate=fee_rate,
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)
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try:
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self.ledger.apply_cash(
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-pf.fee,
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kind="open_perp_fee",
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group_id=group_id,
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note=f"open perp {group_id}",
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)
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except RuntimeError as e:
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self.ledger.apply_cash(
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premium_cost,
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kind="open_option_rollback",
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group_id=group_id,
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note=f"rollback option {group_id}: {e}",
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)
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return OpenResult(ok=False, detail=f"期权已成交但永续扣费失败并已回滚: {e}")
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now = int(time.time() * 1000)
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
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strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"open",
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bias,
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option_side,
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perp_side,
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option_inst_id,
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s.perp_inst_id,
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strike,
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expiry_ymd,
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entry_index_px,
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initial_premium,
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now,
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pf.fee + of.fee,
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pf.slip + of.slip,
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),
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)
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# 成交顺序：期权先、永续后（时间戳差 1ms 便于审计）
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"open",
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"long",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of.base_px,
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of.fill_px,
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of.fee,
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of.slip,
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of.notional,
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now,
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"perp",
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"open",
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perp_side,
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s.perp_inst_id,
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perp_qty,
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None,
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pf.base_px,
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pf.fill_px,
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pf.fee,
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pf.slip,
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pf.notional,
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now + 1,
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),
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)
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self.db._conn.execute(
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"""UPDATE positions SET
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group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
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option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
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option_entry_px=?, entry_index_px=?, initial_premium=?, status=?
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WHERE id=1""",
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(
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group_id,
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perp_side,
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perp_qty,
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pf.fill_px,
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option_inst_id,
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option_side,
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opt_qty,
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opt_contracts,
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of.fill_px,
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entry_index_px,
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initial_premium,
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"open",
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),
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)
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self.db._conn.commit()
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return OpenResult(
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ok=True,
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group_id=group_id,
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detail="opened",
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data={
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"group_id": group_id,
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"perp": pf.to_dict(),
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"option": of.to_dict(),
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"initial_premium": initial_premium,
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"fees": pf.fee + of.fee,
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"open_sequence": ["option", "perp"],
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},
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)
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def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
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"""
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全平一组。默认校验期权买一深度 + 买一/标记偏差（默认≤30%）。
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bypass_liquidity=True：紧急/到期可绕过深度闸门；平仓价取 max(买一, 标记, 内在价值)，
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避免到期垃圾盘口把实值期权按近零价卖掉。
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成交顺序：先平期权（薄）→ 再瞬时平永续（对冲先留着）；永续盘口失败则回滚期权入账。
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"""
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s = get_settings()
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pos = self.current_position()
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if pos.get("status") != "open" or not pos.get("group_id"):
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return CloseResult(ok=False, detail="无持仓可平")
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group_id = str(pos["group_id"])
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sess = get_session()
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snap = sess.snapshot()
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if not snap.perp or snap.perp.bid is None or snap.perp.ask is None:
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return CloseResult(ok=False, detail="永续盘口不可用")
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option_inst_id = str(pos["option_inst_id"])
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option_side = str(pos["option_side"])
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oq = get_exchange().quote(option_inst_id) or (
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snap.call if option_side == "call" else snap.put
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)
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if not oq:
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return CloseResult(
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ok=False,
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detail="期权盘口不可用",
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liquidity_wait=not bypass_liquidity,
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)
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ct_mult = self._ct_mult(option_inst_id)
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need_eth = float(pos["option_qty_eth"] or s.option_qty_eth)
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max_dev = self.ledger.get_setting_float(
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"close_bid_mark_max_pct", s.close_bid_mark_max_pct
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)
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close_bid = oq.bid
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strike = self._group_strike(group_id, option_inst_id)
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spot = self._close_spot_px(snap)
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intrinsic: float | None = None
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if strike is not None and spot is not None:
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intrinsic = option_intrinsic(
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option_side=option_side, strike=strike, spot=spot
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)
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if not bypass_liquidity:
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if close_bid is None:
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return self._liquidity_wait(group_id, "期权买一不可用")
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if not bid_covers_eth(
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bid_sz_contracts=oq.bid_sz,
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ct_mult=ct_mult,
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need_eth=need_eth,
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):
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return self._liquidity_wait(group_id, "期权买一流动性不足")
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ok_dev, why = bid_mark_ok(
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bid=close_bid, mark=oq.mark_px, max_dev_pct=max_dev
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)
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if not ok_dev:
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return self._liquidity_wait(group_id, why)
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resolved = resolve_option_close_bid(
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bid=float(close_bid),
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mark=oq.mark_px,
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intrinsic=intrinsic,
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bypass_liquidity=False,
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)
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if resolved is None:
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return self._liquidity_wait(group_id, "期权平仓价不可用")
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close_bid = resolved
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else:
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# 到期/紧急：买一/标记可能枯死，用 max(买一, 标记, 内在价值)
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resolved = resolve_option_close_bid(
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bid=close_bid,
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mark=oq.mark_px,
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intrinsic=intrinsic,
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bypass_liquidity=True,
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)
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if resolved is None:
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return CloseResult(
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ok=False,
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detail="紧急全平失败：无买一/标记/内在价值",
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)
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close_bid = resolved
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fee_rate = self._fee_rate()
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perp_side = str(pos["perp_side"])
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perp_qty = float(pos["perp_qty_eth"])
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opt_qty = float(pos["option_qty_eth"])
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perp_entry = float(pos["perp_entry_px"])
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opt_entry = float(pos["option_entry_px"])
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# 1) 先平期权（买一流动性差）；永续对冲暂留
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of = option_fill(
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action="close",
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bid=float(close_bid),
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ask=float(oq.ask or close_bid),
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qty_eth=opt_qty,
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fee_rate=fee_rate,
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)
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opt_pnl = (of.fill_px - opt_entry) * opt_qty
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opt_cash = of.notional - of.fee
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self.ledger.apply_cash(
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opt_cash,
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kind="close_option",
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group_id=group_id,
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note=f"close option {reason}",
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)
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# 2) 期权确认后再瞬时平永续（重取盘口）
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snap2 = sess.snapshot()
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if not snap2.perp or snap2.perp.bid is None or snap2.perp.ask is None:
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self.ledger.apply_cash(
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-opt_cash,
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kind="close_option_rollback",
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group_id=group_id,
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note=f"rollback option close {group_id}: perp book missing",
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)
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return CloseResult(
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ok=False,
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detail="期权已平但永续盘口不可用，已回滚期权入账",
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)
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pf = perp_fill(
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side=perp_side,
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action="close",
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bid=float(snap2.perp.bid),
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ask=float(snap2.perp.ask),
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qty_eth=perp_qty,
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fee_rate=fee_rate,
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)
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if perp_side == "long":
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perp_pnl = (pf.fill_px - perp_entry) * perp_qty
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else:
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perp_pnl = (perp_entry - pf.fill_px) * perp_qty
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self.ledger.apply_cash(
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perp_pnl - pf.fee,
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kind="close_perp",
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group_id=group_id,
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note=f"close perp {reason}",
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)
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net = perp_pnl + opt_pnl - pf.fee - of.fee
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now = int(time.time() * 1000)
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with self.db._lock:
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# 成交顺序：期权先、永续后
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"close",
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"flat",
|
||
option_inst_id,
|
||
opt_qty,
|
||
float(pos["option_qty_contracts"] or 0),
|
||
of.base_px,
|
||
of.fill_px,
|
||
of.fee,
|
||
of.slip,
|
||
of.notional,
|
||
now,
|
||
),
|
||
)
|
||
self.db._conn.execute(
|
||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||
base_px, fill_px, fee, slip, notional, ts_ms)
|
||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
"perp",
|
||
"close",
|
||
"flat",
|
||
s.perp_inst_id,
|
||
perp_qty,
|
||
None,
|
||
pf.base_px,
|
||
pf.fill_px,
|
||
pf.fee,
|
||
pf.slip,
|
||
pf.notional,
|
||
now + 1,
|
||
),
|
||
)
|
||
g = self.db._conn.execute(
|
||
"SELECT fees, slip_cost FROM groups WHERE group_id=?", (group_id,)
|
||
).fetchone()
|
||
fees = float(g["fees"] or 0) + pf.fee + of.fee
|
||
slip = float(g["slip_cost"] or 0) + pf.slip + of.slip
|
||
self.db._conn.execute(
|
||
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
||
fees=?, slip_cost=?, note=NULL WHERE group_id=?""",
|
||
("closed", now, reason, net, fees, slip, group_id),
|
||
)
|
||
self.db._conn.execute(
|
||
"""UPDATE positions SET
|
||
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
|
||
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
|
||
option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
|
||
WHERE id=1"""
|
||
)
|
||
self.db._conn.commit()
|
||
|
||
return CloseResult(
|
||
ok=True,
|
||
detail="closed",
|
||
data={
|
||
"group_id": group_id,
|
||
"reason": reason,
|
||
"perp_pnl": perp_pnl,
|
||
"option_pnl": opt_pnl,
|
||
"net": net,
|
||
"close_sequence": ["option", "perp"],
|
||
"cash_delta": opt_cash + perp_pnl - pf.fee,
|
||
"option_close_bid": float(close_bid),
|
||
"option_intrinsic": intrinsic,
|
||
"settle_spot": spot,
|
||
},
|
||
)
|
||
|
||
def unrealized(self) -> dict[str, Any]:
|
||
pos = self.current_position()
|
||
if pos.get("status") != "open":
|
||
return {
|
||
"has_position": False,
|
||
"perp_upl": 0.0,
|
||
"option_upl": 0.0,
|
||
"net_pnl": 0.0,
|
||
"est_close_fees": 0.0,
|
||
"index_px": None,
|
||
"move_points": 0.0,
|
||
"move_pct": 0.0,
|
||
"premium_gap": None,
|
||
}
|
||
sess = get_session()
|
||
snap = sess.snapshot()
|
||
s = get_settings()
|
||
fee_rate = self._fee_rate()
|
||
index_px = snap.index_px
|
||
if index_px is None and snap.perp:
|
||
index_px = snap.perp.mark_px
|
||
perp_side = str(pos["perp_side"])
|
||
perp_entry = float(pos["perp_entry_px"])
|
||
perp_qty = float(pos["perp_qty_eth"])
|
||
opt_qty = float(pos["option_qty_eth"] or 0)
|
||
opt_entry = float(pos["option_entry_px"] or 0)
|
||
|
||
# 与平仓一致：用对手价估算可平盈亏 + 手续费
|
||
perp_upl = 0.0
|
||
est_perp_close_fee = 0.0
|
||
mark = None
|
||
if snap.perp and snap.perp.bid is not None and snap.perp.ask is not None:
|
||
pf = perp_fill(
|
||
side=perp_side,
|
||
action="close",
|
||
bid=float(snap.perp.bid),
|
||
ask=float(snap.perp.ask),
|
||
qty_eth=perp_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
if perp_side == "long":
|
||
perp_upl = (pf.fill_px - perp_entry) * perp_qty
|
||
else:
|
||
perp_upl = (perp_entry - pf.fill_px) * perp_qty
|
||
est_perp_close_fee = pf.fee
|
||
mark = pf.fill_px
|
||
elif snap.perp:
|
||
if perp_side == "long":
|
||
mark = snap.perp.bid or snap.perp.mark_px
|
||
else:
|
||
mark = snap.perp.ask or snap.perp.mark_px
|
||
if mark is not None:
|
||
if perp_side == "long":
|
||
perp_upl = (float(mark) - perp_entry) * perp_qty
|
||
else:
|
||
perp_upl = (perp_entry - float(mark)) * perp_qty
|
||
|
||
option_side = str(pos["option_side"])
|
||
opt_inst = str(pos.get("option_inst_id") or "")
|
||
oq = get_exchange().quote(opt_inst) if opt_inst else None
|
||
if oq is None:
|
||
oq = snap.call if option_side == "call" else snap.put
|
||
initial_premium = float(pos["initial_premium"] or 0)
|
||
option_upl = 0.0
|
||
est_opt_close_fee = 0.0
|
||
opt_mark = None
|
||
if oq and oq.bid is not None:
|
||
bid = float(oq.bid)
|
||
of = option_fill(
|
||
action="close",
|
||
bid=bid,
|
||
ask=float(oq.ask or bid),
|
||
qty_eth=opt_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
est_opt_close_fee = of.fee
|
||
opt_mark = bid
|
||
# 浮盈亏：买一×数量 − 初始权利金
|
||
option_upl = bid * opt_qty - initial_premium
|
||
elif oq:
|
||
opt_mark = oq.bid or oq.mark_px
|
||
if opt_mark is not None:
|
||
option_upl = float(opt_mark) * opt_qty - initial_premium
|
||
|
||
est_close_fees = est_perp_close_fee + est_opt_close_fee
|
||
# 净盈利：永续浮盈 + 期权浮盈 − 预估平仓手续费
|
||
net_pnl = perp_upl + option_upl - est_close_fees
|
||
|
||
entry_idx = float(pos["entry_index_px"] or 0)
|
||
move = abs(float(index_px) - entry_idx) if index_px is not None and entry_idx else 0.0
|
||
move_pct = (move / entry_idx * 100.0) if entry_idx > 0 else 0.0
|
||
premium_gap = initial_premium - perp_upl
|
||
leverage = self.ledger.get_setting_float("leverage", s.leverage)
|
||
notional = abs(perp_entry * perp_qty)
|
||
margin = notional / leverage if leverage > 0 else None
|
||
|
||
group_id = pos.get("group_id")
|
||
g = (
|
||
self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||
if group_id
|
||
else None
|
||
)
|
||
strike = float(g["strike"]) if g and g["strike"] is not None else None
|
||
expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None
|
||
expiry_ms = None
|
||
if expiry_ymd and len(expiry_ymd) == 6:
|
||
try:
|
||
from ..exchange.expiry import expiry_ms_from_ymd
|
||
|
||
expiry_ms = expiry_ms_from_ymd(expiry_ymd)
|
||
except Exception:
|
||
expiry_ms = None
|
||
perp_inst_id = (
|
||
str(g["perp_inst_id"])
|
||
if g and g["perp_inst_id"]
|
||
else s.perp_inst_id
|
||
)
|
||
|
||
return {
|
||
"has_position": True,
|
||
"group_id": group_id,
|
||
"perp_side": perp_side,
|
||
"option_side": option_side,
|
||
"perp_inst_id": perp_inst_id,
|
||
"perp_entry_px": perp_entry,
|
||
"perp_qty_eth": perp_qty,
|
||
"perp_mark_px": float(mark) if mark is not None else None,
|
||
"perp_notional": notional,
|
||
"perp_margin": margin,
|
||
"leverage": leverage,
|
||
"option_inst_id": pos.get("option_inst_id"),
|
||
"option_entry_px": opt_entry,
|
||
"option_qty_eth": opt_qty,
|
||
"option_qty_contracts": float(pos["option_qty_contracts"] or 0),
|
||
"option_mark_px": float(opt_mark) if opt_mark is not None else None,
|
||
"strike": strike,
|
||
"expiry_ymd": expiry_ymd,
|
||
"expiry_ms": expiry_ms,
|
||
"perp_upl": perp_upl,
|
||
"option_upl": option_upl,
|
||
"est_close_fees": est_close_fees,
|
||
"net_pnl": net_pnl,
|
||
"index_px": index_px,
|
||
"entry_index_px": entry_idx,
|
||
"move_points": move,
|
||
"move_pct": move_pct,
|
||
"initial_premium": initial_premium,
|
||
"premium_gap": premium_gap,
|
||
"status": pos.get("status"),
|
||
}
|