dekun
dbc86a1ce6
OKX/Binance LIVE share half_open and option_closed_perp_pending repair paths; private REST throttles default to 1s and are tunable in settings. Co-authored-by: Cursor <cursoragent@cursor.com>
546 lines
21 KiB
Python
546 lines
21 KiB
Python
"""策略状态机：选向开仓 / 盯盘平仓 / 休息（无开仓窗、无轮次上限）。"""
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from __future__ import annotations
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import asyncio
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import logging
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import time
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from typing import Any
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from ..config import get_settings
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from .session import get_session
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from ..models.db import get_db
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from ..sim.ledger import Ledger
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from ..live import get_executor
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from ..live.rate_limit import LiveRetryGate, is_rate_limit_error
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from ..env_store import live_ready
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from .clock import can_open_new, window_key
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from .exits import check_expiry_close, check_exits, resolve_exit_target
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from .group import next_group_id
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logger = logging.getLogger(__name__)
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class StrategyEngine:
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def __init__(self) -> None:
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self.db = get_db()
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self.ledger = Ledger(self.db)
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self.matcher = get_executor(self.db)
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self._task: asyncio.Task[None] | None = None
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self._lock = asyncio.Lock()
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self._retry_gate = LiveRetryGate()
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self._extra_sleep_sec = 0.0
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def refresh_executor(self) -> None:
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"""MODE 变更后刷新执行器。"""
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self.matcher = get_executor(self.db)
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def _gate_key(self, kind: str) -> str:
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pos = self.matcher.current_position()
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gid = str(pos.get("group_id") or "none")
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return f"{kind}:{gid}"
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def _note_retry_result(self, kind: str, *, ok: bool, detail: str = "") -> None:
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key = self._gate_key(kind)
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if ok:
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self._retry_gate.success(key)
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return
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rl = is_rate_limit_error(detail)
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delay = self._retry_gate.fail(key, rate_limited=rl)
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if rl:
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self._extra_sleep_sec = max(self._extra_sleep_sec, min(delay, 60.0))
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logger.warning(
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"live retry backoff kind=%s fails=%s delay=%.1fs rate_limited=%s detail=%s",
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kind,
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self._retry_gate.fails(key),
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delay,
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rl,
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(detail or "")[:160],
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)
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def _retry_allowed(self, kind: str) -> tuple[bool, float]:
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return self._retry_gate.allow(self._gate_key(kind))
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def state(self) -> dict[str, Any]:
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row = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
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assert row is not None
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upl = self.matcher.unrealized()
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s = get_settings()
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exit_mode = self.ledger.get_setting_str("exit_mode", s.exit_mode)
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net_target = self.ledger.get_setting_float(
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"net_profit_target", s.net_profit_target
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)
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prem_mult = self.ledger.get_setting_float(
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"premium_exit_multiple", s.premium_exit_multiple
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)
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exit_amt, _ = resolve_exit_target(
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exit_mode=exit_mode,
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net_profit_target=net_target,
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premium_exit_multiple=prem_mult,
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initial_premium=float(upl.get("initial_premium") or 0),
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)
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rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
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skip_weekends = self.ledger.get_setting_bool("skip_weekends", s.skip_weekends)
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leverage = self.ledger.get_setting_float("leverage", s.leverage)
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min_hours = self.ledger.get_setting_float("min_option_hours", s.min_option_hours)
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min_opt_lev = self.ledger.get_setting_float(
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"min_option_leverage", s.min_option_leverage
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)
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atm_off_on = self.ledger.get_setting_bool(
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"atm_open_offset_enabled", s.atm_open_offset_enabled
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)
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max_atm_off = self.ledger.get_setting_float(
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"max_atm_open_offset", s.max_atm_open_offset
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)
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rest_until = row["rest_until_ms"]
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rest_left = 0
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if rest_until:
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rest_left = max(0, int((int(rest_until) - time.time() * 1000) / 1000))
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last_error = row["last_error"]
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if last_error and "PriceResult" in str(last_error) and "__dict__" in str(last_error):
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self._set_state(last_error=None)
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last_error = None
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allow_open = can_open_new(skip_weekends=skip_weekends)
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return {
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"running": bool(row["running"]),
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"phase": row["phase"],
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"rounds_done": int(row["rounds_done"] or 0),
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"window_key": row["window_key"],
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"rest_until_ms": rest_until,
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"rest_left_sec": rest_left,
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"rest_seconds": rest_sec,
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"skip_weekends": skip_weekends,
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"exit_mode": exit_mode,
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"net_profit_target": net_target,
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"premium_exit_multiple": prem_mult,
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"exit_target_usdt": exit_amt,
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"leverage": leverage,
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"min_option_hours": min_hours,
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"min_option_leverage": min_opt_lev,
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"atm_open_offset_enabled": atm_off_on,
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"max_atm_open_offset": max_atm_off,
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"can_open": allow_open,
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"last_error": last_error,
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"position": upl,
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"residuals": self.matcher.list_residual_options(pending_only=True),
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"ledger": self.ledger.snapshot(),
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"mode": "SIM" if s.is_sim else "LIVE",
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"sim": s.is_sim,
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"live_ready": (live_ready()[0] if not s.is_sim else True),
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"live_ready_reason": (live_ready()[1] if not s.is_sim else "sim"),
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}
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def _set_state(self, **kwargs: Any) -> None:
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cols = []
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vals: list[Any] = []
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for k, v in kwargs.items():
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cols.append(f"{k}=?")
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vals.append(v)
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cols.append("updated_at_ms=?")
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vals.append(int(time.time() * 1000))
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sql = f"UPDATE strategy_state SET {', '.join(cols)} WHERE id=1"
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self.db.execute(sql, tuple(vals))
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async def pause(self) -> dict[str, Any]:
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self._set_state(running=0, phase="paused", last_error=None)
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return self.state()
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async def start(self) -> dict[str, Any]:
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self.refresh_executor()
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s = get_settings()
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if not s.is_sim:
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ok, reason = live_ready()
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if not ok:
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self._set_state(running=0, phase="paused", last_error=reason)
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return self.state()
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self._set_state(running=1, last_error=None, phase="idle")
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self.ensure_loop()
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return self.state()
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def ensure_loop(self) -> None:
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"""保证后台循环在跑（即使策略暂停，也要盯到期全平）。"""
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if self._task is None or self._task.done():
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self._task = asyncio.create_task(self._loop(), name="strategy-engine")
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async def emergency_close(self) -> dict[str, Any]:
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async with self._lock:
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close_data: dict[str, Any] | None = None
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detail = "flat"
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ok = True
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pos = self.matcher.current_position()
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st = str(pos.get("status") or "flat")
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if st == "half_open":
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repair = getattr(self.matcher, "repair_half_open", None)
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if callable(repair):
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r = repair()
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else:
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r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
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ok = r.ok
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detail = r.detail
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close_data = r.data
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if r.ok:
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self._after_close()
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elif st in ("open", "option_closed_perp_pending"):
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# A：双腿（或续平永续）
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r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
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if not r.ok and st == "open":
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# B：砸不出期权时强制只平永续（不要求远虚）
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abandon = getattr(self.matcher, "close_perp_abandon_option", None)
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if callable(abandon):
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try:
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r2 = abandon(reason="emergency_perp", require_deep_otm=False)
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except TypeError:
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r2 = abandon(reason="emergency_perp")
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if r2.ok:
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r = r2
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ok = r.ok
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detail = r.detail
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close_data = r.data
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if r.ok:
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self._after_close()
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residuals = self.matcher.settle_all_residuals_now()
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return {
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"close": {
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"ok": ok,
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"detail": detail,
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"data": close_data,
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"residuals_settled": residuals,
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},
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"state": self.state(),
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}
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def _after_close(self) -> None:
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s = get_settings()
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row = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
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assert row is not None
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rounds = int(row["rounds_done"] or 0) + 1
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rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
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rest_until = int(time.time() * 1000) + rest_sec * 1000
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self._set_state(
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rounds_done=rounds,
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phase="resting",
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rest_until_ms=rest_until,
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)
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def _count_groups_for_day(self, wkey: str) -> int:
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rows = self.db.fetchall(
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"SELECT group_id FROM groups WHERE group_id LIKE ?",
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(f"G-{wkey}-%",),
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)
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return len(rows)
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def _position_expiry_ms(self, upl: dict[str, Any]) -> int | None:
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raw = upl.get("expiry_ms")
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if raw is not None:
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try:
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return int(raw)
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except (TypeError, ValueError):
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pass
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ymd = upl.get("expiry_ymd")
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if ymd:
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try:
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from ..exchange.expiry import expiry_ms_from_ymd
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return int(expiry_ms_from_ymd(str(ymd)))
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except Exception:
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return None
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return None
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async def _close_open_position(
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self,
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*,
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reason: str,
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bypass_liquidity: bool,
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pending_close: bool,
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abandon_if_deep_otm: bool = False,
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retry_kind: str | None = None,
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) -> None:
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kind = retry_kind or (
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"perp_pending"
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if reason == "perp_pending_retry"
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else ("liquidity" if pending_close or not bypass_liquidity else "close")
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)
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allowed, left = self._retry_allowed(kind)
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if not allowed:
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self._set_state(
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phase="liquidity_wait" if kind == "liquidity" else "closing",
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last_error=f"限流/失败退避中，{left:.0f}s 后再试 ({kind})",
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)
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return
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if not pending_close:
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self._set_state(phase="closing", last_error=None)
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# 目标平仓 B：远虚 → 只平永续，期权归档
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if abandon_if_deep_otm and reason != "expiry" and self.matcher.option_is_deep_otm():
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abandon = self.matcher.close_perp_abandon_option
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try:
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r = await asyncio.to_thread(
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abandon,
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reason="target_perp_only",
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require_deep_otm=True,
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)
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except TypeError:
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r = await asyncio.to_thread(abandon, reason="target_perp_only")
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if r.ok:
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self._note_retry_result(kind, ok=True)
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self._after_close()
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self._set_state(
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last_error=None,
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phase="resting",
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)
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else:
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self._note_retry_result(kind, ok=False, detail=r.detail)
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self._set_state(phase="closing", last_error=r.detail)
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return
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r = await asyncio.to_thread(
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self.matcher.close_group,
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reason=reason,
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bypass_liquidity=bypass_liquidity,
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)
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if r.ok:
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self._note_retry_result(kind, ok=True)
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self._after_close()
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elif r.liquidity_wait and not bypass_liquidity:
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# 等待期间若已变成远虚，下一 tick 走归档
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if self.matcher.option_is_deep_otm():
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r2 = await asyncio.to_thread(
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self.matcher.close_perp_abandon_option,
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reason="target_perp_only",
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)
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if r2.ok:
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self._note_retry_result(kind, ok=True)
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self._after_close()
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return
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self._note_retry_result("liquidity", ok=False, detail=r.detail)
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self._set_state(phase="liquidity_wait", last_error=r.detail)
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else:
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self._note_retry_result(kind, ok=False, detail=r.detail)
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self._set_state(phase="closing", last_error=r.detail)
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async def _settle_residuals(self) -> None:
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await asyncio.to_thread(self.matcher.settle_due_residuals)
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async def _maybe_expiry_close(self) -> bool:
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"""若持仓已到期则强制全平。返回是否触发到期平仓。"""
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await self._settle_residuals()
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pos = self.matcher.current_position()
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if pos.get("status") not in ("open", "option_closed_perp_pending"):
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return False
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upl = self.matcher.unrealized()
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expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
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if not expired.should_close:
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return False
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st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
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assert st is not None
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pending = st["phase"] in ("liquidity_wait", "closing")
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await self._close_open_position(
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reason="expiry",
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bypass_liquidity=True,
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pending_close=pending,
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abandon_if_deep_otm=False,
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retry_kind="expiry",
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)
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return True
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async def _loop(self) -> None:
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logger.info("strategy engine loop started")
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while True:
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try:
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row = self.db.fetchone("SELECT running FROM strategy_state WHERE id=1")
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running = bool(row and int(row["running"]))
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if not running:
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# 暂停时仍执行到期全平，避免拖过期
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async with self._lock:
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await self._maybe_expiry_close()
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await asyncio.sleep(1)
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continue
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async with self._lock:
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try:
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await get_session().ensure_atm_async(force=False)
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except Exception as e:
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logger.warning("ATM ensure before tick failed: %s", e)
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await self._tick_async()
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except asyncio.CancelledError:
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raise
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except Exception as e:
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err = str(e)
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if is_rate_limit_error(err):
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logger.warning("strategy tick rate-limited: %s", err[:200])
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self._set_state(last_error="交易/行情接口限流，稍后自动重试")
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await asyncio.sleep(20)
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continue
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logger.exception("strategy tick failed")
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self._set_state(last_error=err)
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sleep_for = 1.0 + max(0.0, self._extra_sleep_sec)
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self._extra_sleep_sec = 0.0
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await asyncio.sleep(min(sleep_for, 60.0))
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async def _tick_async(self) -> None:
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# 残留期权到期结算（与活跃组隔离，不挡开仓）
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await self._settle_residuals()
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s = get_settings()
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st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
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assert st is not None
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wkey = window_key()
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if st["window_key"] != wkey:
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self._set_state(window_key=wkey, phase="idle")
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st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
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assert st is not None
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exit_mode = self.ledger.get_setting_str("exit_mode", s.exit_mode)
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net_target = self.ledger.get_setting_float(
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"net_profit_target", s.net_profit_target
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)
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prem_mult = self.ledger.get_setting_float(
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"premium_exit_multiple", s.premium_exit_multiple
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)
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pos = self.matcher.current_position()
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st_pos = str(pos.get("status") or "flat")
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# 实盘半仓修复：禁止新开；失败指数退避，避免每秒砸期权
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if st_pos == "half_open":
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allowed, left = self._retry_allowed("half_open")
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if not allowed:
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self._set_state(
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phase="closing",
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last_error=f"half_open 修复退避中，{left:.0f}s 后再试",
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)
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return
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repair = getattr(self.matcher, "repair_half_open", None)
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if callable(repair):
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r = await asyncio.to_thread(repair)
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if r.ok:
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self._note_retry_result("half_open", ok=True)
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self._after_close()
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self._set_state(phase="resting", last_error=None)
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else:
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self._note_retry_result("half_open", ok=False, detail=r.detail)
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self._set_state(phase="closing", last_error=r.detail)
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return
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# 期权已平、永续待平：只续平永续（带退避）
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if st_pos == "option_closed_perp_pending":
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await self._close_open_position(
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reason="perp_pending_retry",
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bypass_liquidity=True,
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pending_close=True,
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abandon_if_deep_otm=False,
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retry_kind="perp_pending",
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)
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return
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# 有活跃持仓：只盯当前组平仓；残留期权不在此扫描
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if st_pos == "open":
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upl = self.matcher.unrealized()
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expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
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decision = check_exits(
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net_pnl=float(upl.get("net_pnl") or 0),
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exit_mode=exit_mode,
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net_profit_target=net_target,
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premium_exit_multiple=prem_mult,
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initial_premium=float(upl.get("initial_premium") or 0),
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)
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pending_close = st["phase"] in ("liquidity_wait", "closing")
|
|
if expired.should_close or decision.should_close or pending_close:
|
|
if expired.should_close:
|
|
reason = "expiry"
|
|
bypass = True
|
|
abandon = False
|
|
rkind = "expiry"
|
|
else:
|
|
reason = decision.reason or "liquidity_retry"
|
|
bypass = False
|
|
# 目标达标（或流动性等待重试）时：远虚走只平永续
|
|
abandon = bool(decision.should_close or pending_close)
|
|
rkind = "liquidity" if pending_close else "close"
|
|
await self._close_open_position(
|
|
reason=reason,
|
|
bypass_liquidity=bypass,
|
|
pending_close=pending_close,
|
|
abandon_if_deep_otm=abandon,
|
|
retry_kind=rkind,
|
|
)
|
|
else:
|
|
self._set_state(phase="open", last_error=None)
|
|
return
|
|
|
|
if st["phase"] == "resting" and st["rest_until_ms"]:
|
|
if int(time.time() * 1000) < int(st["rest_until_ms"]):
|
|
return
|
|
self._set_state(phase="idle", rest_until_ms=None)
|
|
|
|
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
|
|
assert st is not None
|
|
if st["phase"] in ("paused",):
|
|
return
|
|
|
|
# 旧「轮次停开」状态：自动恢复为空闲以便继续
|
|
if st["phase"] in ("stopped", "outside_window"):
|
|
self._set_state(phase="idle")
|
|
|
|
skip_weekends = self.ledger.get_setting_bool("skip_weekends", s.skip_weekends)
|
|
if not can_open_new(skip_weekends=skip_weekends):
|
|
self._set_state(
|
|
phase="weekend_skip",
|
|
last_error="周六/周日跳过开仓（上海时区）；持仓仍可平仓",
|
|
)
|
|
return
|
|
if st["phase"] == "weekend_skip":
|
|
self._set_state(phase="idle", last_error=None)
|
|
|
|
# 双保险：账本仍显示有仓则不开
|
|
if self.matcher.has_open_position():
|
|
self._set_state(phase="open", last_error="有未平仓，禁止开下一组")
|
|
return
|
|
|
|
self._set_state(phase="wait_signal")
|
|
pick = await get_session().pick_for_open_async()
|
|
if pick is None:
|
|
self._set_state(
|
|
last_error="无合格期权：需剩余时长、杠杆（及已开启的ATM偏差）同时满足"
|
|
)
|
|
return
|
|
|
|
self._set_state(phase="opening", last_error=None)
|
|
count = self._count_groups_for_day(wkey)
|
|
gid = next_group_id(count)
|
|
option_inst = (
|
|
pick.pair.call_inst_id if pick.option_side == "call" else pick.pair.put_inst_id
|
|
)
|
|
entry_idx = pick.underlying_px
|
|
r = await asyncio.to_thread(
|
|
self.matcher.open_group,
|
|
group_id=gid,
|
|
bias=pick.bias,
|
|
option_side=pick.option_side,
|
|
perp_side=pick.perp_side,
|
|
option_inst_id=option_inst,
|
|
entry_index_px=float(entry_idx),
|
|
strike=pick.pair.strike,
|
|
expiry_ymd=pick.pair.expiry_ymd,
|
|
)
|
|
if r.ok:
|
|
self._set_state(phase="open", last_error=None)
|
|
else:
|
|
self._set_state(phase="idle", last_error=r.detail)
|
|
|
|
|
|
_engine: StrategyEngine | None = None
|
|
|
|
|
|
def get_engine() -> StrategyEngine:
|
|
global _engine
|
|
if _engine is None:
|
|
_engine = StrategyEngine()
|
|
return _engine
|
|
|
|
|
|
def set_engine(engine: StrategyEngine | None) -> None:
|
|
global _engine
|
|
_engine = engine
|