dekun
112 lines
3.0 KiB
Python
112 lines
3.0 KiB
Python
"""成交价与手续费：滑点 = 1×f。"""
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from __future__ import annotations
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from dataclasses import asdict, dataclass
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@dataclass(slots=True)
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class PriceResult:
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base_px: float
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fill_px: float
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fee: float
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slip: float
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notional: float
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def to_dict(self) -> dict[str, float]:
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return asdict(self)
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def option_intrinsic(*, option_side: str, strike: float, spot: float) -> float:
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"""多头期权内在价值（USDT/ETH）。call=max(S−K,0)，put=max(K−S,0)。"""
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s = float(spot)
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k = float(strike)
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side = str(option_side).lower().strip()
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if side in ("call", "c"):
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return max(s - k, 0.0)
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if side in ("put", "p"):
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return max(k - s, 0.0)
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return 0.0
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def resolve_option_close_bid(
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*,
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bid: float | None,
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mark: float | None,
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intrinsic: float | None,
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bypass_liquidity: bool,
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) -> float | None:
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"""
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平仓用买一价；多头卖出不得低于内在价值（SIM 防到期垃圾盘口）。
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bypass 时：买一缺失可用标记/内在价值兜底。
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"""
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candidates: list[float] = []
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if bid is not None and bid >= 0:
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candidates.append(float(bid))
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if bypass_liquidity and mark is not None and mark >= 0:
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candidates.append(float(mark))
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if intrinsic is not None and intrinsic >= 0:
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candidates.append(float(intrinsic))
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if not candidates:
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return None
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# 常规：有买一时，仍用 max(买一, 内在价值) 抬到合理底价
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# bypass：max(买一, 标记, 内在价值)
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if bypass_liquidity:
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return max(candidates)
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if bid is None:
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return None
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if intrinsic is not None and intrinsic >= 0:
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return max(float(bid), float(intrinsic))
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return float(bid)
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def perp_fill(
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*,
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side: str,
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action: str,
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bid: float,
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ask: float,
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qty_eth: float,
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fee_rate: float,
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) -> PriceResult:
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"""
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side: long|short（持仓方向意图：开仓要建立的方向 / 平仓时原持仓方向）
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action: open|close
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开多/平空: 吃卖一 ×(1+f)
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开空/平多: 吃买一 ×(1-f)
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"""
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f = float(fee_rate)
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buying = (action == "open" and side == "long") or (action == "close" and side == "short")
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if buying:
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base = float(ask)
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fill = base * (1.0 + f)
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else:
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base = float(bid)
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fill = base * (1.0 - f)
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notional = abs(fill * qty_eth)
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fee = notional * f
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slip = abs(fill - base) * qty_eth
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return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
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def option_fill(
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*,
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action: str,
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bid: float,
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ask: float,
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qty_eth: float,
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fee_rate: float,
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) -> PriceResult:
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"""开仓买入吃卖一；平仓卖出吃买一。"""
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f = float(fee_rate)
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if action == "open":
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base = float(ask)
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fill = base * (1.0 + f)
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else:
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base = float(bid)
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fill = base * (1.0 - f)
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notional = abs(fill * qty_eth)
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fee = notional * f
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slip = abs(fill - base) * qty_eth
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return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
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