dekun
a88d708ea3
Reuse OO amplitude settings (default off); Plan shows index/HL when filtering. Co-authored-by: Cursor <cursoragent@cursor.com>
1072 lines
39 KiB
Python
1072 lines
39 KiB
Python
"""策略行情会话：在交易所适配器之上做 ATM 对齐与开仓选约。"""
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from __future__ import annotations
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import asyncio
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import logging
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from dataclasses import dataclass
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from typing import Any
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from ..config import Settings, get_settings
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from ..exchange import get_exchange, set_exchange, build_exchange
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from ..exchange.option_ids import pair_from_option_inst
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from ..exchange.protocol import ExchangeMarket
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from ..exchange.types import MarketSnapshot, OptionPair
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from .selection import (
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atm_allows_open,
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atm_open_offset,
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hours_until_expiry,
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is_itm_or_atm,
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list_eligible_expiry_ymds,
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option_leverage,
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select_option_pair,
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)
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logger = logging.getLogger(__name__)
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_ATM_DRIFT_POINTS = 5.0
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_session: StrategySession | None = None
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def _has_open_position() -> bool:
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try:
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from ..models.db import get_db
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from ..sim.matcher import BLOCKING_STATUSES
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row = get_db().fetchone("SELECT status, group_id, option_inst_id FROM positions WHERE id=1")
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if not row:
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return False
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st = str(row["status"] or "")
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if st not in BLOCKING_STATUSES:
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return False
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return bool(row["group_id"] or row["option_inst_id"])
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except Exception:
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return False
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def _held_option_inst_id() -> str | None:
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"""活跃持仓期权合约；无仓返回 None。"""
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try:
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from ..models.db import get_db
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row = get_db().fetchone(
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"SELECT status, option_inst_id FROM positions WHERE id=1"
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)
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if not row or row["status"] not in ("open", "half_open", "option_closed_perp_pending"):
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return None
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# 期权已平待平永续：不再钉期权盘口
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if row["status"] == "option_closed_perp_pending":
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return None
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inst = str(row["option_inst_id"] or "").strip()
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return inst or None
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except Exception:
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return None
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def _held_option_legs() -> tuple[str | None, str | None]:
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"""期期持仓：返回 (call_inst, put_inst)；非期期或无仓则 put 为空。"""
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try:
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from ..models.db import get_db
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row = get_db().fetchone(
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"""SELECT status, hedge_mode, option_inst_id, option2_inst_id
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FROM positions WHERE id=1"""
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)
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if not row or row["status"] not in ("open", "half_open"):
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return None, None
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call_id = str(row["option_inst_id"] or "").strip() or None
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put_id = str(row["option2_inst_id"] or "").strip() or None
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if str(row["hedge_mode"] or "").strip().lower() != "option_option":
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return call_id, None
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return call_id, put_id
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except Exception:
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return None, None
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def _as_bool_setting(raw: str | None, default: bool) -> bool:
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if raw is None or raw == "":
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return default
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return str(raw).strip().lower() in ("1", "true", "yes", "on")
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def _skip_expiry_ymds_for_next() -> set[str]:
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"""
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空仓选约/监控应跳过的到期日：
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- 历史上已开过该到期（one_expiry_per_day，跨日）
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- 仍有待结算残留期权的到期档（该档已「完成」开平，盯下一档）
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"""
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skip: set[str] = set()
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try:
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from ..models.db import get_db
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from .clock import pending_residual_expiry_ymds, used_expiry_ymds
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s = get_settings()
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db = get_db()
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one_exp_day = _as_bool_setting(
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db.get_setting("one_expiry_per_day", str(s.one_expiry_per_day)),
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s.one_expiry_per_day,
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)
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if one_exp_day:
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skip |= used_expiry_ymds(db)
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skip |= pending_residual_expiry_ymds(db)
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except Exception:
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logger.exception("skip-expiry lookup failed; continue without skip")
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return skip
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def _strategy_floats() -> tuple[float, float, float, bool]:
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"""min_hours, min_leverage, max_atm_open_offset, atm_open_offset_enabled"""
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s = get_settings()
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try:
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from ..models.db import get_db
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db = get_db()
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hours = float(
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db.get_setting("min_option_hours", str(s.min_option_hours))
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or s.min_option_hours
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)
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lev = float(
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db.get_setting("min_option_leverage", str(s.min_option_leverage))
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or s.min_option_leverage
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)
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atm_off = float(
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db.get_setting("max_atm_open_offset", str(s.max_atm_open_offset))
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or s.max_atm_open_offset
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)
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atm_on = _as_bool_setting(
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db.get_setting("atm_open_offset_enabled", str(s.atm_open_offset_enabled)),
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s.atm_open_offset_enabled,
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)
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return hours, lev, atm_off, atm_on
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except Exception:
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return (
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s.min_option_hours,
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s.min_option_leverage,
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s.max_atm_open_offset,
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s.atm_open_offset_enabled,
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)
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def _fixed_direction() -> tuple[bool, str]:
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"""(enabled, perp_side long|short)。默认关。"""
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s = get_settings()
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try:
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from ..models.db import get_db
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db = get_db()
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enabled = _as_bool_setting(
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db.get_setting(
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"fixed_direction_enabled", str(s.fixed_direction_enabled)
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),
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s.fixed_direction_enabled,
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)
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side = str(
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db.get_setting("fixed_perp_side", s.fixed_perp_side) or s.fixed_perp_side
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).strip().lower()
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if side not in ("long", "short"):
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side = "long"
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return enabled, side
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except Exception:
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side = str(s.fixed_perp_side or "long").strip().lower()
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if side not in ("long", "short"):
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side = "long"
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return bool(s.fixed_direction_enabled), side
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def _option_side_for_perp(perp_side: str) -> str:
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return "put" if (perp_side or "").strip().lower() == "long" else "call"
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def _hedge_mode() -> str:
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s = get_settings()
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try:
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from ..models.db import get_db
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raw = str(
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get_db().get_setting("hedge_mode", s.hedge_mode) or s.hedge_mode
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).strip().lower()
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if raw in ("perp_option", "option_option"):
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return raw
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except Exception:
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pass
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return "perp_option"
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def _oo_settings() -> tuple[float, float, float, float, float, bool]:
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"""amplitude_pct, amplitude_hours, min_option_hours, min_leverage, strike_max_dev_pct, amp_filter_on"""
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s = get_settings()
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try:
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from ..models.db import get_db
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db = get_db()
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filt_raw = db.get_setting(
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"oo_amplitude_filter_enabled", str(s.oo_amplitude_filter_enabled)
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)
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filt_on = str(filt_raw or "").strip().lower() in (
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"1",
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"true",
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"yes",
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"on",
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)
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if filt_raw is None or filt_raw == "":
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filt_on = bool(s.oo_amplitude_filter_enabled)
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return (
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float(db.get_setting("oo_amplitude_pct", str(s.oo_amplitude_pct)) or s.oo_amplitude_pct),
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float(
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db.get_setting("oo_amplitude_hours", str(s.oo_amplitude_hours))
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or s.oo_amplitude_hours
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),
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float(
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db.get_setting("oo_min_option_hours", str(s.oo_min_option_hours))
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or s.oo_min_option_hours
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),
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float(db.get_setting("oo_min_leverage", str(s.oo_min_leverage)) or s.oo_min_leverage),
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float(
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db.get_setting(
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"oo_strike_max_dev_pct", str(s.oo_strike_max_dev_pct)
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)
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or s.oo_strike_max_dev_pct
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),
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filt_on,
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)
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except Exception:
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return (
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s.oo_amplitude_pct,
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s.oo_amplitude_hours,
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s.oo_min_option_hours,
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s.oo_min_leverage,
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s.oo_strike_max_dev_pct,
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bool(s.oo_amplitude_filter_enabled),
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)
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@dataclass(slots=True)
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class OpenPick:
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pair: OptionPair
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option_side: str
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perp_side: str
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bias: str
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call_ask: float
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put_ask: float
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option_ask: float
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option_leverage: float
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hours_left: float
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underlying_px: float
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hedge_mode: str = "perp_option"
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call_inst_id: str | None = None
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put_inst_id: str | None = None
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call_strike: float | None = None
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put_strike: float | None = None
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call_leverage: float | None = None
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put_leverage: float | None = None
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amplitude_high: float | None = None
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amplitude_low: float | None = None
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amplitude_range_pct: float | None = None
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oo_detail: str | None = None
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class StrategySession:
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"""策略侧会话；交易所实现由 exchange 模块注入。"""
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def __init__(
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self,
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settings: Settings | None = None,
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exchange: ExchangeMarket | None = None,
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) -> None:
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self.settings = settings or get_settings()
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self.ex = exchange or get_exchange()
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self._pair: OptionPair | None = None
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self._oo_amp: dict[str, Any] | None = None
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self._refresh_task: asyncio.Task[None] | None = None
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self._started = False
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@property
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def pair(self) -> OptionPair | None:
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return self._pair
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def _watch_ids(self, pair: OptionPair | None = None) -> list[str]:
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"""永续 + 监控对 + 持仓腿（有仓时绝不能 drop 持仓盘口）。"""
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s = self.settings
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p = pair if pair is not None else self._pair
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ids: list[str] = [s.perp_inst_id]
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if p is not None:
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ids.extend([p.call_inst_id, p.put_inst_id])
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held, held2 = _held_option_legs()
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if held:
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ids.append(held)
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if held2:
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ids.append(held2)
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# 去重保序
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out: list[str] = []
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seen: set[str] = set()
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for i in ids:
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if i and i not in seen:
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seen.add(i)
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out.append(i)
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return out
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async def start(self) -> None:
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if self._started:
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return
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self._started = True
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await self.ex.start()
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try:
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# 有持仓时必须钉在持仓行权价，禁止重启后漂到新 ATM
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if _has_open_position():
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await asyncio.to_thread(self.align_to_held_position)
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else:
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await asyncio.to_thread(self.align_instruments)
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except Exception as e:
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# eapi 418/429 时允许先起会话，后续 refresh 再对齐
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logger.warning("initial ATM align failed (will retry): %s", e)
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await self.ex.resubscribe(self._watch_ids())
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self._refresh_task = asyncio.create_task(self._refresh_loop(), name="strategy-align")
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async def stop(self) -> None:
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self._started = False
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if self._refresh_task:
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self._refresh_task.cancel()
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try:
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await self._refresh_task
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except asyncio.CancelledError:
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pass
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self._refresh_task = None
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await self.ex.stop()
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def _apply_pair(self, pair: OptionPair, *, mark: float, idx: float | None) -> OptionPair:
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s = self.settings
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self._pair = pair
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self.ex.set_pair(pair)
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if idx is not None:
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self.ex.set_index_px(idx)
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self.ex.warm_and_subscribe(self._watch_ids(pair))
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logger.info(
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"aligned pair exchange=%s expiry=%s strike=%s mark=%.2f hours=%.1f",
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getattr(self.ex, "name", "?"),
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pair.expiry_ymd,
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pair.strike,
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mark,
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hours_until_expiry(pair.expiry_ymd, expiry_ms=pair.expiry_ms),
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)
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return pair
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def align_to_held_position(self) -> OptionPair | None:
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"""有活跃仓时：监控对锁定为持仓合约的到期/行权价。"""
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self.refresh_oo_amplitude()
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call_id, put_id = _held_option_legs()
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held = call_id or _held_option_inst_id()
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if not held:
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return None
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mark = self._mark_for_atm()
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idx = None
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try:
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idx = self.ex.fetch_index(self.settings.index_inst_id)
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except Exception:
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pass
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if put_id and call_id:
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# 期期：双腿分别钉住
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try:
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from ..models.db import get_db
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row = get_db().fetchone(
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"SELECT strike2 FROM positions WHERE id=1"
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)
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except Exception:
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row = None
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cpair = pair_from_option_inst(call_id)
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ppair = pair_from_option_inst(put_id)
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if cpair is None:
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logger.warning("cannot rebuild call pair from held %s", call_id)
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return None
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put_strike = None
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if row and row["strike2"] is not None:
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put_strike = float(row["strike2"])
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elif ppair is not None:
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put_strike = float(ppair.strike)
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pair = OptionPair(
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expiry_ymd=cpair.expiry_ymd,
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expiry_ms=cpair.expiry_ms,
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strike=float(cpair.strike),
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call_inst_id=call_id,
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put_inst_id=put_id,
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put_strike=put_strike,
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)
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logger.info(
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"pin OO watch call=%s put=%s C@%.0f P@%.0f",
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call_id,
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put_id,
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pair.strike,
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float(put_strike or pair.strike),
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)
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return self._apply_pair(
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pair, mark=float(mark or pair.strike), idx=idx
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)
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pair = pair_from_option_inst(held)
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if pair is None:
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logger.warning("cannot rebuild pair from held option %s", held)
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return None
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mark = mark or float(pair.strike)
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logger.info(
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"pin watch to held option %s strike=%.0f expiry=%s",
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held,
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pair.strike,
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pair.expiry_ymd,
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)
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return self._apply_pair(pair, mark=float(mark), idx=idx)
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|
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def align_instruments(self) -> OptionPair | None:
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# 重启/刷新时若仍有仓，绝不切到新 ATM
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if _has_open_position():
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return self.align_to_held_position()
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if _hedge_mode() == "option_option":
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return self.align_oo_instruments()
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# 永期：刷新振幅供 Plan（过滤关也展示；开仓门禁在 pick）
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self.refresh_oo_amplitude()
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s = self.settings
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idx = self.ex.fetch_index(s.index_inst_id)
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mark = self.ex.fetch_mark(s.perp_inst_id) or idx
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if mark is None or mark <= 0:
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raise RuntimeError("无法获取标的标记/指数价格，无法选 ATM")
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min_hours, _, _, _ = _strategy_floats()
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fixed_on, fixed_perp = _fixed_direction()
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opt_side = _option_side_for_perp(fixed_perp) if fixed_on else None
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contracts = self.ex.list_option_contracts(s.option_inst_family)
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eligible = list_eligible_expiry_ymds(contracts, min_hours=min_hours)
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skip = _skip_expiry_ymds_for_next()
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pair = None
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for ymd in eligible:
|
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if ymd in skip:
|
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logger.info(
|
|
"align skip expiry=%s (used today and/or residual pending)",
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ymd,
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)
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continue
|
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pair = select_option_pair(
|
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contracts,
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mark_px=float(mark),
|
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expiry_ymd=ymd,
|
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option_side=opt_side,
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)
|
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if pair is not None:
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break
|
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if pair is None and eligible:
|
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# 候选都被跳过时仍回退最近合格档，避免盘口空白
|
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pair = select_option_pair(
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contracts,
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mark_px=float(mark),
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expiry_ymd=eligible[0],
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option_side=opt_side,
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)
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if pair is None:
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kind = f"实值/平值 {opt_side}" if opt_side else "ATM"
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raise RuntimeError(
|
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f"未找到剩余≥{min_hours}h 的 {kind} Call/Put (family={s.option_inst_family})"
|
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)
|
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return self._apply_pair(pair, mark=float(mark), idx=idx)
|
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|
|
def refresh_oo_amplitude(self) -> dict[str, Any] | None:
|
|
"""刷新振幅高低（永期/期期；有仓/无仓都要，否则 UI 指数/振幅会空）。"""
|
|
try:
|
|
from ..exchange.candles import fetch_amplitude_hl_for_runtime
|
|
from .amplitude_gate import evaluate_amplitude_gate
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|
|
|
amp_pct, amp_hours, _, _, _, amp_filt = _oo_settings()
|
|
amp = fetch_amplitude_hl_for_runtime(amp_hours)
|
|
gate = evaluate_amplitude_gate(
|
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filter_enabled=bool(amp_filt),
|
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amp=amp,
|
|
max_pct=float(amp_pct),
|
|
hours=float(amp_hours),
|
|
)
|
|
self._oo_amp = dict(gate["snapshot"])
|
|
return self._oo_amp
|
|
except Exception:
|
|
logger.exception("refresh_oo_amplitude failed")
|
|
return self._oo_amp
|
|
|
|
def _apply_amplitude_first_gate(self) -> bool:
|
|
"""
|
|
振幅过滤为开仓第一关。返回 True=可继续选约；False=拒开。
|
|
无论是否开启过滤都写入 _oo_amp 供 Plan 展示。
|
|
"""
|
|
from ..exchange.candles import fetch_amplitude_hl_for_runtime
|
|
from .amplitude_gate import evaluate_amplitude_gate
|
|
|
|
amp_pct, amp_hours, _, _, _, amp_filt = _oo_settings()
|
|
amp = fetch_amplitude_hl_for_runtime(amp_hours)
|
|
gate = evaluate_amplitude_gate(
|
|
filter_enabled=bool(amp_filt),
|
|
amp=amp,
|
|
max_pct=float(amp_pct),
|
|
hours=float(amp_hours),
|
|
)
|
|
self._oo_amp = dict(gate["snapshot"])
|
|
if gate["blocked"]:
|
|
logger.info("amplitude gate blocked: %s", gate.get("reason"))
|
|
return False
|
|
return True
|
|
|
|
def amplitude_gate_fail_reason(self) -> str | None:
|
|
"""若最近一次振幅快照显示过滤开启且未过关，返回文案。"""
|
|
amp = self._oo_amp
|
|
if not amp or not amp.get("filter_enabled"):
|
|
return None
|
|
if amp.get("ok") is True:
|
|
return None
|
|
hours = amp.get("hours")
|
|
range_pct = amp.get("range_pct")
|
|
max_pct = amp.get("max_pct")
|
|
if range_pct is None:
|
|
return f"振幅未过关：无法获取近 {hours:g}h K 线高低" if hours is not None else "振幅未过关"
|
|
try:
|
|
return (
|
|
f"振幅未过关：{float(hours):g}h 内 "
|
|
f"{float(range_pct):.2f}% > {float(max_pct):g}%"
|
|
)
|
|
except (TypeError, ValueError):
|
|
return "振幅未过关"
|
|
|
|
def align_oo_instruments(self) -> OptionPair | None:
|
|
"""期期监控：按振幅高低点选虚值 Call/Put（展示用；振幅超限仍对齐候选）。"""
|
|
from .oo_selection import select_oo_pair
|
|
|
|
# 有仓也刷新振幅（钉仓不再走选约，否则 _oo_amp 一直空）
|
|
self.refresh_oo_amplitude()
|
|
if _has_open_position():
|
|
return self.align_to_held_position()
|
|
s = self.settings
|
|
amp_pct, amp_hours, min_hours, _min_lev, max_dev, _amp_filt = _oo_settings()
|
|
idx = self.ex.fetch_index(s.index_inst_id)
|
|
mark = self.ex.fetch_mark(s.perp_inst_id) or idx
|
|
if mark is None or mark <= 0:
|
|
raise RuntimeError("无法获取标的标记/指数价格，无法选期期虚值")
|
|
underlying = float(mark)
|
|
if self._oo_amp is None:
|
|
raise RuntimeError("无法获取振幅 K 线高低点")
|
|
amp_high = float(self._oo_amp["high"])
|
|
amp_low = float(self._oo_amp["low"])
|
|
contracts = self.ex.list_option_contracts(s.option_inst_family)
|
|
skip = _skip_expiry_ymds_for_next()
|
|
picked = select_oo_pair(
|
|
contracts,
|
|
spot=underlying,
|
|
high=amp_high,
|
|
low=amp_low,
|
|
min_hours=float(min_hours),
|
|
skip_expiry_ymds=skip,
|
|
max_dev_pct=float(max_dev),
|
|
)
|
|
if picked is None:
|
|
raise RuntimeError(
|
|
f"未找到剩余≥{min_hours}h 且贴高低≤{max_dev:g}% 的虚值 Call/Put"
|
|
)
|
|
ymd, ems, ck, pk, call_inst, put_inst = picked
|
|
pair = OptionPair(
|
|
expiry_ymd=ymd,
|
|
expiry_ms=int(ems),
|
|
strike=float(ck),
|
|
call_inst_id=call_inst,
|
|
put_inst_id=put_inst,
|
|
put_strike=float(pk),
|
|
)
|
|
return self._apply_pair(pair, mark=underlying, idx=idx)
|
|
|
|
def pick_for_open(self) -> OpenPick | None:
|
|
if _hedge_mode() == "option_option":
|
|
return self._pick_for_open_oo()
|
|
return self._pick_for_open_perp()
|
|
|
|
def _pick_for_open_oo(self) -> OpenPick | None:
|
|
from ..exchange.candles import fetch_amplitude_hl_for_runtime
|
|
from .oo_selection import (
|
|
pick_otm_call_strike,
|
|
pick_otm_put_strike,
|
|
select_oo_pair,
|
|
)
|
|
from .selection import _complete_by_expiry, option_leverage
|
|
|
|
s = self.settings
|
|
amp_pct, amp_hours, min_hours, min_lev, max_dev, amp_filt = _oo_settings()
|
|
idx = self.ex.fetch_index(s.index_inst_id)
|
|
mark = self.ex.fetch_mark(s.perp_inst_id) or idx
|
|
if mark is None or mark <= 0:
|
|
return None
|
|
underlying = float(mark)
|
|
amp = fetch_amplitude_hl_for_runtime(amp_hours)
|
|
if amp is None:
|
|
logger.info("oo: amplitude candles unavailable")
|
|
return None
|
|
# 无论是否超限都写入，供「指数/振幅」面板展示
|
|
self._oo_amp = {
|
|
"high": float(amp.high),
|
|
"low": float(amp.low),
|
|
"mid": float(amp.mid),
|
|
"range_pct": float(amp.range_pct),
|
|
"hours": float(amp_hours),
|
|
"max_pct": float(amp_pct),
|
|
"filter_enabled": bool(amp_filt),
|
|
"ok": (
|
|
True
|
|
if not amp_filt
|
|
else float(amp.range_pct) <= float(amp_pct) + 1e-12
|
|
),
|
|
}
|
|
if amp_filt and float(amp.range_pct) > float(amp_pct) + 1e-12:
|
|
logger.info(
|
|
"oo: amplitude %.3f%% > max %.3f%% (H=%.2f L=%.2f)",
|
|
amp.range_pct,
|
|
amp_pct,
|
|
amp.high,
|
|
amp.low,
|
|
)
|
|
return None
|
|
contracts = self.ex.list_option_contracts(s.option_inst_family)
|
|
skip = _skip_expiry_ymds_for_next()
|
|
picked = select_oo_pair(
|
|
contracts,
|
|
spot=underlying,
|
|
high=float(amp.high),
|
|
low=float(amp.low),
|
|
min_hours=float(min_hours),
|
|
skip_expiry_ymds=skip,
|
|
max_dev_pct=float(max_dev),
|
|
)
|
|
if picked is None:
|
|
logger.info(
|
|
"oo: no OTM call/put within %.2f%% of amplitude HL",
|
|
max_dev,
|
|
)
|
|
return None
|
|
ymd, ems, ck, pk, call_inst, put_inst = picked
|
|
call_bids, call_asks, _ = self.ex.fetch_book(call_inst, depth=5)
|
|
put_bids, put_asks, _ = self.ex.fetch_book(put_inst, depth=5)
|
|
call_ask = call_asks[0].px if call_asks else None
|
|
put_ask = put_asks[0].px if put_asks else None
|
|
if call_ask is None:
|
|
cq = self.ex.quote(call_inst)
|
|
call_ask = cq.ask if cq else None
|
|
if put_ask is None:
|
|
pq = self.ex.quote(put_inst)
|
|
put_ask = pq.ask if pq else None
|
|
if call_ask is None or put_ask is None or call_ask <= 0 or put_ask <= 0:
|
|
logger.info("oo: missing ask call=%s put=%s", call_ask, put_ask)
|
|
return None
|
|
c_lev = option_leverage(underlying, float(call_ask))
|
|
p_lev = option_leverage(underlying, float(put_ask))
|
|
if (
|
|
c_lev is None
|
|
or p_lev is None
|
|
or c_lev + 1e-9 < min_lev
|
|
or p_lev + 1e-9 < min_lev
|
|
):
|
|
logger.info(
|
|
"oo: leverage too low call=%s put=%s need>=%.0f",
|
|
f"{c_lev:.1f}" if c_lev else "n/a",
|
|
f"{p_lev:.1f}" if p_lev else "n/a",
|
|
min_lev,
|
|
)
|
|
return None
|
|
# 监控用：Call/Put 不同行权价
|
|
pair = OptionPair(
|
|
expiry_ymd=ymd,
|
|
expiry_ms=int(ems),
|
|
strike=float(ck),
|
|
call_inst_id=call_inst,
|
|
put_inst_id=put_inst,
|
|
put_strike=float(pk),
|
|
)
|
|
self._oo_amp = {
|
|
"high": float(amp.high),
|
|
"low": float(amp.low),
|
|
"mid": float(amp.mid),
|
|
"range_pct": float(amp.range_pct),
|
|
"hours": float(amp_hours),
|
|
"max_pct": float(amp_pct),
|
|
"ok": True,
|
|
}
|
|
self._apply_pair(pair, mark=underlying, idx=idx)
|
|
if hasattr(self.ex, "cache"):
|
|
from ..exchange.book_cache import BookCache
|
|
|
|
cache: BookCache = self.ex.cache # type: ignore[attr-defined]
|
|
cache.upsert_book(call_inst, bids=call_bids, asks=call_asks)
|
|
cache.upsert_book(put_inst, bids=put_bids, asks=put_asks)
|
|
hours_left = hours_until_expiry(ymd, expiry_ms=ems)
|
|
return OpenPick(
|
|
pair=pair,
|
|
option_side="call",
|
|
perp_side="",
|
|
bias="option_option",
|
|
call_ask=float(call_ask),
|
|
put_ask=float(put_ask),
|
|
option_ask=float(call_ask),
|
|
option_leverage=float(min(c_lev, p_lev)),
|
|
hours_left=hours_left,
|
|
underlying_px=underlying,
|
|
hedge_mode="option_option",
|
|
call_inst_id=call_inst,
|
|
put_inst_id=put_inst,
|
|
call_strike=float(ck),
|
|
put_strike=float(pk),
|
|
call_leverage=float(c_lev),
|
|
put_leverage=float(p_lev),
|
|
amplitude_high=float(amp.high),
|
|
amplitude_low=float(amp.low),
|
|
amplitude_range_pct=float(amp.range_pct),
|
|
oo_detail=(
|
|
f"amp={amp.range_pct:.2f}% H={amp.high:.2f} L={amp.low:.2f} "
|
|
f"C@{ck:g} P@{pk:g}"
|
|
),
|
|
)
|
|
|
|
def _pick_for_open_perp(self) -> OpenPick | None:
|
|
from .signal import decide, decide_fixed
|
|
|
|
s = self.settings
|
|
min_hours, min_lev, max_atm_off, atm_off_on = _strategy_floats()
|
|
fixed_on, fixed_perp = _fixed_direction()
|
|
opt_side_hint = _option_side_for_perp(fixed_perp) if fixed_on else None
|
|
# 第一关：振幅过滤（默认关；开启则回看窗振幅须 ≤ 最大%）
|
|
if not self._apply_amplitude_first_gate():
|
|
return None
|
|
idx = self.ex.fetch_index(s.index_inst_id)
|
|
mark = self.ex.fetch_mark(s.perp_inst_id) or idx
|
|
if mark is None or mark <= 0:
|
|
return None
|
|
underlying = float(mark)
|
|
contracts = self.ex.list_option_contracts(s.option_inst_family)
|
|
eligible = list_eligible_expiry_ymds(contracts, min_hours=min_hours)
|
|
if not eligible:
|
|
logger.info("no expiry with hours>=%.1f", min_hours)
|
|
return None
|
|
|
|
skip_expiries = _skip_expiry_ymds_for_next()
|
|
|
|
for ymd in eligible:
|
|
if ymd in skip_expiries:
|
|
logger.info(
|
|
"skip expiry=%s: used today and/or residual pending",
|
|
ymd,
|
|
)
|
|
continue
|
|
pair = select_option_pair(
|
|
contracts,
|
|
mark_px=underlying,
|
|
expiry_ymd=ymd,
|
|
option_side=opt_side_hint,
|
|
)
|
|
if pair is None:
|
|
continue
|
|
if fixed_on:
|
|
if not is_itm_or_atm(
|
|
option_side=opt_side_hint or "",
|
|
strike=pair.strike,
|
|
mark_px=underlying,
|
|
):
|
|
logger.info(
|
|
"skip expiry=%s strike=%.0f not ITM/ATM for %s mark=%.2f",
|
|
ymd,
|
|
pair.strike,
|
|
opt_side_hint,
|
|
underlying,
|
|
)
|
|
continue
|
|
else:
|
|
offset = atm_open_offset(pair.strike, underlying)
|
|
if not atm_allows_open(
|
|
pair.strike,
|
|
underlying,
|
|
max_offset=max_atm_off,
|
|
enabled=atm_off_on,
|
|
):
|
|
logger.info(
|
|
"skip expiry=%s strike=%.0f atm_offset=%.1f > max=%.1f",
|
|
ymd,
|
|
pair.strike,
|
|
offset,
|
|
max_atm_off,
|
|
)
|
|
continue
|
|
call_bids, call_asks, _ = self.ex.fetch_book(pair.call_inst_id, depth=5)
|
|
put_bids, put_asks, _ = self.ex.fetch_book(pair.put_inst_id, depth=5)
|
|
call_ask = call_asks[0].px if call_asks else None
|
|
put_ask = put_asks[0].px if put_asks else None
|
|
# REST 被限流时回退 WS/缓存盘口
|
|
if call_ask is None:
|
|
cq = self.ex.quote(pair.call_inst_id)
|
|
call_ask = cq.ask if cq else None
|
|
if put_ask is None:
|
|
pq = self.ex.quote(pair.put_inst_id)
|
|
put_ask = pq.ask if pq else None
|
|
if fixed_on:
|
|
sig = decide_fixed(call_ask, put_ask, perp_side=fixed_perp)
|
|
else:
|
|
sig = decide(
|
|
call_ask,
|
|
put_ask,
|
|
strike=pair.strike,
|
|
mark_px=underlying,
|
|
)
|
|
if sig is None:
|
|
continue
|
|
opt_ask = sig.call_ask if sig.option_side == "call" else sig.put_ask
|
|
lev = option_leverage(underlying, opt_ask)
|
|
hours_left = hours_until_expiry(ymd, expiry_ms=pair.expiry_ms)
|
|
if lev is None or lev + 1e-9 < min_lev:
|
|
logger.info(
|
|
"skip expiry=%s strike=%.0f side=%s lev=%s need>=%.0f hours=%.1f",
|
|
ymd,
|
|
pair.strike,
|
|
sig.option_side,
|
|
f"{lev:.1f}" if lev else "n/a",
|
|
min_lev,
|
|
hours_left,
|
|
)
|
|
continue
|
|
self._apply_pair(pair, mark=underlying, idx=idx)
|
|
# warm_and_subscribe 已写盘口；再覆盖刚拉的 ask 侧
|
|
from ..exchange.book_cache import BookCache
|
|
|
|
# 直接通过 exchange quote path：再 upsert
|
|
if hasattr(self.ex, "cache"):
|
|
cache: BookCache = self.ex.cache # type: ignore[attr-defined]
|
|
cache.upsert_book(pair.call_inst_id, bids=call_bids, asks=call_asks)
|
|
cache.upsert_book(pair.put_inst_id, bids=put_bids, asks=put_asks)
|
|
return OpenPick(
|
|
pair=pair,
|
|
option_side=sig.option_side,
|
|
perp_side=sig.perp_side,
|
|
bias=sig.bias,
|
|
call_ask=float(sig.call_ask),
|
|
put_ask=float(sig.put_ask),
|
|
option_ask=float(opt_ask),
|
|
option_leverage=float(lev),
|
|
hours_left=hours_left,
|
|
underlying_px=underlying,
|
|
hedge_mode="perp_option",
|
|
)
|
|
return None
|
|
|
|
async def realign_async(self) -> OptionPair | None:
|
|
old = self._pair
|
|
pair = await asyncio.to_thread(self.align_instruments)
|
|
if old is None or (
|
|
pair
|
|
and (
|
|
pair.call_inst_id != old.call_inst_id
|
|
or pair.put_inst_id != old.put_inst_id
|
|
)
|
|
):
|
|
await self.ex.resubscribe(self._watch_ids(pair))
|
|
return pair
|
|
|
|
async def pick_for_open_async(self) -> OpenPick | None:
|
|
old = self._pair
|
|
pick = await asyncio.to_thread(self.pick_for_open)
|
|
if pick and (
|
|
old is None
|
|
or pick.pair.call_inst_id != old.call_inst_id
|
|
or pick.pair.put_inst_id != old.put_inst_id
|
|
):
|
|
await self.ex.resubscribe(self._watch_ids(pick.pair))
|
|
return pick
|
|
|
|
def _mark_for_atm(self) -> float | None:
|
|
snap = self.snapshot()
|
|
if snap.perp and snap.perp.mark_px:
|
|
return float(snap.perp.mark_px)
|
|
if snap.index_px:
|
|
return float(snap.index_px)
|
|
if snap.perp and snap.perp.bid and snap.perp.ask:
|
|
return (float(snap.perp.bid) + float(snap.perp.ask)) / 2
|
|
return None
|
|
|
|
def atm_needs_realign(self, mark_px: float | None = None) -> bool:
|
|
if _hedge_mode() == "option_option":
|
|
return self.oo_needs_realign()
|
|
if self._pair is None:
|
|
return True
|
|
min_hours, _, _, _ = _strategy_floats()
|
|
if (
|
|
hours_until_expiry(self._pair.expiry_ymd, expiry_ms=self._pair.expiry_ms)
|
|
+ 1e-9
|
|
< min_hours
|
|
):
|
|
return True
|
|
skip = _skip_expiry_ymds_for_next()
|
|
if str(self._pair.expiry_ymd or "") in skip:
|
|
return True
|
|
mark = mark_px if mark_px is not None else self._mark_for_atm()
|
|
if mark is None or mark <= 0:
|
|
return False
|
|
fixed_on, fixed_perp = _fixed_direction()
|
|
if fixed_on:
|
|
opt = _option_side_for_perp(fixed_perp)
|
|
if not is_itm_or_atm(
|
|
option_side=opt, strike=float(self._pair.strike), mark_px=float(mark)
|
|
):
|
|
return True
|
|
return abs(float(self._pair.strike) - float(mark)) >= _ATM_DRIFT_POINTS
|
|
|
|
def oo_needs_realign(self) -> bool:
|
|
if self._pair is None:
|
|
return True
|
|
_amp_pct, amp_hours, min_hours, _, max_dev, amp_filt = _oo_settings()
|
|
if (
|
|
hours_until_expiry(self._pair.expiry_ymd, expiry_ms=self._pair.expiry_ms)
|
|
+ 1e-9
|
|
< min_hours
|
|
):
|
|
return True
|
|
skip = _skip_expiry_ymds_for_next()
|
|
if str(self._pair.expiry_ymd or "") in skip:
|
|
return True
|
|
try:
|
|
from ..exchange.candles import fetch_amplitude_hl_for_runtime
|
|
from .oo_selection import select_oo_pair
|
|
|
|
mark = self._mark_for_atm()
|
|
if mark is None or mark <= 0:
|
|
return False
|
|
amp = fetch_amplitude_hl_for_runtime(amp_hours)
|
|
if amp is None:
|
|
return False
|
|
self._oo_amp = {
|
|
"high": float(amp.high),
|
|
"low": float(amp.low),
|
|
"mid": float(amp.mid),
|
|
"range_pct": float(amp.range_pct),
|
|
"hours": float(amp_hours),
|
|
"max_pct": float(_amp_pct),
|
|
"filter_enabled": bool(amp_filt),
|
|
"ok": (
|
|
True
|
|
if not amp_filt
|
|
else float(amp.range_pct) <= float(_amp_pct) + 1e-12
|
|
),
|
|
}
|
|
contracts = self.ex.list_option_contracts(self.settings.option_inst_family)
|
|
picked = select_oo_pair(
|
|
contracts,
|
|
spot=float(mark),
|
|
high=float(amp.high),
|
|
low=float(amp.low),
|
|
min_hours=float(min_hours),
|
|
skip_expiry_ymds=skip,
|
|
max_dev_pct=float(max_dev),
|
|
)
|
|
if picked is None:
|
|
return False
|
|
_ymd, _ems, _ck, _pk, call_inst, put_inst = picked
|
|
return (
|
|
call_inst != self._pair.call_inst_id
|
|
or put_inst != self._pair.put_inst_id
|
|
)
|
|
except Exception:
|
|
logger.exception("oo_needs_realign failed")
|
|
return False
|
|
|
|
async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
|
|
if _has_open_position():
|
|
# 持仓期间：钉住持仓行权价（禁止漂到新 ATM/虚值）；仍刷新振幅供 UI
|
|
await asyncio.to_thread(self.refresh_oo_amplitude)
|
|
call_id, put_id = _held_option_legs()
|
|
held = call_id or _held_option_inst_id()
|
|
if held and (
|
|
self._pair is None
|
|
or held not in (self._pair.call_inst_id, self._pair.put_inst_id)
|
|
or (
|
|
put_id
|
|
and put_id
|
|
not in (self._pair.call_inst_id, self._pair.put_inst_id)
|
|
)
|
|
):
|
|
return await asyncio.to_thread(self.align_to_held_position)
|
|
return self._pair
|
|
if force or self.atm_needs_realign():
|
|
logger.info(
|
|
"%s realign force=%s old_strike=%s old_exp=%s",
|
|
"OO" if _hedge_mode() == "option_option" else "ATM",
|
|
force,
|
|
self._pair.strike if self._pair else None,
|
|
self._pair.expiry_ymd if self._pair else None,
|
|
)
|
|
return await self.realign_async()
|
|
return self._pair
|
|
|
|
def snapshot(self) -> MarketSnapshot:
|
|
return self.ex.snapshot(self.settings.perp_inst_id)
|
|
|
|
def snapshot_dict(self) -> dict[str, Any]:
|
|
d = self.ex.snapshot_dict(self.settings.perp_inst_id)
|
|
d["exchange"] = getattr(self.ex, "name", self.settings.exchange)
|
|
d["perp_inst_id"] = self.settings.perp_inst_id
|
|
hm = _hedge_mode()
|
|
d["hedge_mode"] = hm
|
|
if self._pair is not None:
|
|
pd = self._pair.to_dict()
|
|
d["pair"] = pd
|
|
if self._oo_amp is not None:
|
|
d["oo_amplitude"] = dict(self._oo_amp)
|
|
if hm == "option_option":
|
|
ac = dict(d.get("ask_compare") or {})
|
|
ac["bias"] = "option_option"
|
|
d["ask_compare"] = ac
|
|
return d
|
|
|
|
async def _refresh_loop(self) -> None:
|
|
while True:
|
|
await asyncio.sleep(30 if self._pair is not None else 10)
|
|
try:
|
|
idx = await asyncio.to_thread(
|
|
self.ex.fetch_index, self.settings.index_inst_id
|
|
)
|
|
self.ex.set_index_px(idx)
|
|
mark = await asyncio.to_thread(
|
|
self.ex.fetch_mark, self.settings.perp_inst_id
|
|
)
|
|
if mark:
|
|
self.ex.set_mark_px(self.settings.perp_inst_id, mark)
|
|
if self._pair is None:
|
|
await self.ensure_atm_async(force=True)
|
|
else:
|
|
await self.ensure_atm_async(force=False)
|
|
except asyncio.CancelledError:
|
|
raise
|
|
except Exception as e:
|
|
logger.warning("strategy align refresh failed: %s", e)
|
|
|
|
|
|
def get_session() -> StrategySession:
|
|
global _session
|
|
if _session is None:
|
|
_session = StrategySession()
|
|
return _session
|
|
|
|
|
|
def set_session(s: StrategySession | None) -> None:
|
|
global _session
|
|
_session = s
|
|
|
|
|
|
# 兼容旧名
|
|
MarketGateway = StrategySession
|
|
get_gateway = get_session
|
|
set_gateway = set_session
|
|
|
|
|
|
def bootstrap_session(settings: Settings | None = None) -> StrategySession:
|
|
"""main 启动：创建交易所 + 策略会话。始终以 DB 覆盖后的 runtime 为准。"""
|
|
from ..exchange.runtime import load_runtime_settings
|
|
|
|
# 忽略裸 get_settings()：重启后必须跟 DB 里选的交易所一致
|
|
try:
|
|
s = load_runtime_settings()
|
|
except Exception:
|
|
s = settings or get_settings()
|
|
ex = build_exchange(s)
|
|
set_exchange(ex)
|
|
sess = StrategySession(s, ex)
|
|
set_session(sess)
|
|
return sess
|