eth_hedge_sim/backend/app/sim/matcher.py

"""本地模拟撮合：永续市价 + 期权只买开/卖平。"""

from __future__ import annotations

import time
from dataclasses import dataclass
from typing import Any

from ..config import get_settings
from ..exchange import get_exchange
from ..models.db import Database, get_db
from ..strategy.session import get_session
from .ledger import Ledger
from .liquidity import bid_covers_eth, bid_mark_ok, contracts_for_eth
from .pricing import option_fill, perp_fill


@dataclass(slots=True)
class OpenResult:
    ok: bool
    group_id: str | None = None
    detail: str = ""
    data: dict[str, Any] | None = None


@dataclass(slots=True)
class CloseResult:
    ok: bool
    detail: str = ""
    liquidity_wait: bool = False
    data: dict[str, Any] | None = None


class Matcher:
    def __init__(self, db: Database | None = None) -> None:
        self.db = db or get_db()
        self.ledger = Ledger(self.db)

    def _fee_rate(self) -> float:
        return self.ledger.get_setting_float("fee_rate", get_settings().fee_rate)

    def _ct_mult(self, option_inst_id: str) -> float:
        s = get_settings()
        try:
            return get_exchange().get_ct_mult(
                option_inst_id, s.option_inst_family, s.option_ct_mult_default
            )
        except Exception:
            pass
        return float(s.option_ct_mult_default)

    def current_position(self) -> dict[str, Any]:
        row = self.db.fetchone("SELECT * FROM positions WHERE id=1")
        assert row is not None
        return dict(row)

    def has_open_position(self) -> bool:
        pos = self.current_position()
        return pos.get("status") == "open" and bool(pos.get("group_id"))

    def _liquidity_wait(self, group_id: str, detail: str) -> CloseResult:
        note = f"liquidity_wait:{int(time.time())}:{detail[:80]}"
        self.db.execute(
            "UPDATE groups SET note=? WHERE group_id=? AND status='open'",
            (note, group_id),
        )
        return CloseResult(ok=False, detail=detail, liquidity_wait=True)

    def open_group(
        self,
        *,
        group_id: str,
        bias: str,
        option_side: str,  # call|put
        perp_side: str,  # long|short
        option_inst_id: str,
        entry_index_px: float,
        strike: float | None = None,
        expiry_ymd: str | None = None,
    ) -> OpenResult:
        s = get_settings()
        pos = self.current_position()
        if pos.get("status") == "open" and pos.get("group_id"):
            return OpenResult(ok=False, detail="已有持仓组，请先平仓")

        sess = get_session()
        snap = sess.snapshot()
        if not snap.perp or snap.perp.bid is None or snap.perp.ask is None:
            return OpenResult(ok=False, detail="永续盘口不可用")
        oq = snap.call if option_side == "call" else snap.put
        # 若 ATM 对与持仓合约不一致，直接取持仓合约盘口
        held = get_exchange().quote(option_inst_id)
        if held and held.ask is not None:
            oq = held
        if not oq or oq.ask is None:
            return OpenResult(ok=False, detail="期权卖一不可用")

        fee_rate = self._fee_rate()
        s = get_settings()
        perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
        opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
        ct_mult = self._ct_mult(option_inst_id)
        opt_contracts = contracts_for_eth(opt_qty, ct_mult)

        pf = perp_fill(
            side=perp_side,
            action="open",
            bid=float(snap.perp.bid),
            ask=float(snap.perp.ask),
            qty_eth=perp_qty,
            fee_rate=fee_rate,
        )
        of = option_fill(
            action="open",
            bid=float(oq.bid or 0),
            ask=float(oq.ask),
            qty_eth=opt_qty,
            fee_rate=fee_rate,
        )
        initial_premium = of.fill_px * opt_qty  # 锁定口径：成交价×名义，不含费
        premium_cost = of.notional + of.fee
        total_debit = premium_cost + pf.fee  # 永续开仓只扣费；期权支付权利金+费

        try:
            self.ledger.apply_cash(
                -total_debit,
                kind="open_debit",
                group_id=group_id,
                note=f"open {group_id}",
            )
        except RuntimeError as e:
            return OpenResult(ok=False, detail=str(e))

        now = int(time.time() * 1000)
        with self.db._lock:
            self.db._conn.execute(
                """INSERT INTO groups(
                    group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
                    strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost
                ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
                (
                    group_id,
                    "open",
                    bias,
                    option_side,
                    perp_side,
                    option_inst_id,
                    s.perp_inst_id,
                    strike,
                    expiry_ymd,
                    entry_index_px,
                    initial_premium,
                    now,
                    pf.fee + of.fee,
                    pf.slip + of.slip,
                ),
            )
            self.db._conn.execute(
                """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
                   base_px, fill_px, fee, slip, notional, ts_ms)
                   VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
                (
                    group_id,
                    "perp",
                    "open",
                    perp_side,
                    s.perp_inst_id,
                    perp_qty,
                    None,
                    pf.base_px,
                    pf.fill_px,
                    pf.fee,
                    pf.slip,
                    pf.notional,
                    now,
                ),
            )
            self.db._conn.execute(
                """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
                   base_px, fill_px, fee, slip, notional, ts_ms)
                   VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
                (
                    group_id,
                    "option",
                    "open",
                    "long",
                    option_inst_id,
                    opt_qty,
                    opt_contracts,
                    of.base_px,
                    of.fill_px,
                    of.fee,
                    of.slip,
                    of.notional,
                    now,
                ),
            )
            self.db._conn.execute(
                """UPDATE positions SET
                    group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
                    option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
                    option_entry_px=?, entry_index_px=?, initial_premium=?, status=?
                    WHERE id=1""",
                (
                    group_id,
                    perp_side,
                    perp_qty,
                    pf.fill_px,
                    option_inst_id,
                    option_side,
                    opt_qty,
                    opt_contracts,
                    of.fill_px,
                    entry_index_px,
                    initial_premium,
                    "open",
                ),
            )
            self.db._conn.commit()

        return OpenResult(
            ok=True,
            group_id=group_id,
            detail="opened",
            data={
                "group_id": group_id,
                "perp": pf.to_dict(),
                "option": of.to_dict(),
                "initial_premium": initial_premium,
                "fees": pf.fee + of.fee,
            },
        )

    def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
        """
        全平一组。默认校验期权买一深度 + 买一/标记偏差（默认≤30%）。
        bypass_liquidity=True：紧急全平可绕过（仍需有可用买一价才能成交；无买一时用标记近似）。
        """
        s = get_settings()
        pos = self.current_position()
        if pos.get("status") != "open" or not pos.get("group_id"):
            return CloseResult(ok=False, detail="无持仓可平")

        group_id = str(pos["group_id"])
        sess = get_session()
        snap = sess.snapshot()
        if not snap.perp or snap.perp.bid is None or snap.perp.ask is None:
            return CloseResult(ok=False, detail="永续盘口不可用")

        option_inst_id = str(pos["option_inst_id"])
        option_side = str(pos["option_side"])
        oq = get_exchange().quote(option_inst_id) or (
            snap.call if option_side == "call" else snap.put
        )
        if not oq:
            return CloseResult(
                ok=False,
                detail="期权盘口不可用",
                liquidity_wait=not bypass_liquidity,
            )

        ct_mult = self._ct_mult(option_inst_id)
        need_eth = float(pos["option_qty_eth"] or s.option_qty_eth)
        max_dev = self.ledger.get_setting_float(
            "close_bid_mark_max_pct", s.close_bid_mark_max_pct
        )

        close_bid = oq.bid
        if not bypass_liquidity:
            if close_bid is None:
                return self._liquidity_wait(group_id, "期权买一不可用")
            if not bid_covers_eth(
                bid_sz_contracts=oq.bid_sz,
                ct_mult=ct_mult,
                need_eth=need_eth,
            ):
                return self._liquidity_wait(group_id, "期权买一流动性不足")
            ok_dev, why = bid_mark_ok(
                bid=close_bid, mark=oq.mark_px, max_dev_pct=max_dev
            )
            if not ok_dev:
                return self._liquidity_wait(group_id, why)
        else:
            # 紧急：优先买一，否则用标记价近似成交（SIM）
            if close_bid is None:
                close_bid = oq.mark_px
            if close_bid is None:
                return CloseResult(ok=False, detail="紧急全平失败：无买一/标记价")

        fee_rate = self._fee_rate()
        perp_side = str(pos["perp_side"])
        perp_qty = float(pos["perp_qty_eth"])
        opt_qty = float(pos["option_qty_eth"])
        perp_entry = float(pos["perp_entry_px"])
        opt_entry = float(pos["option_entry_px"])

        pf = perp_fill(
            side=perp_side,
            action="close",
            bid=float(snap.perp.bid),
            ask=float(snap.perp.ask),
            qty_eth=perp_qty,
            fee_rate=fee_rate,
        )
        of = option_fill(
            action="close",
            bid=float(close_bid),
            ask=float(oq.ask or close_bid),
            qty_eth=opt_qty,
            fee_rate=fee_rate,
        )

        # 永续盈亏
        if perp_side == "long":
            perp_pnl = (pf.fill_px - perp_entry) * perp_qty
        else:
            perp_pnl = (perp_entry - pf.fill_px) * perp_qty
        # 期权多头盈亏
        opt_pnl = (of.fill_px - opt_entry) * opt_qty
        cash_in = of.notional - of.fee + pf.fee * 0  # 收回权利金（扣卖出费）；永续平仓费另扣
        # 永续平仓：实现盈亏入账并扣平仓手续费
        net = perp_pnl + opt_pnl - pf.fee - of.fee
        # 更清晰：现金变动 = 期权卖出净额 + 永续盈亏 - 永续平仓费
        # 开仓已付期权权利金+开仓费；平仓收回 of.notional 并付 of.fee；永续只记 pnl 与 fee
        cash_delta = (of.notional - of.fee) + perp_pnl - pf.fee

        self.ledger.apply_cash(
            cash_delta,
            kind="close_settle",
            group_id=group_id,
            note=f"close {reason}",
        )

        now = int(time.time() * 1000)
        with self.db._lock:
            self.db._conn.execute(
                """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
                   base_px, fill_px, fee, slip, notional, ts_ms)
                   VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
                (
                    group_id,
                    "perp",
                    "close",
                    "flat",
                    s.perp_inst_id,
                    perp_qty,
                    None,
                    pf.base_px,
                    pf.fill_px,
                    pf.fee,
                    pf.slip,
                    pf.notional,
                    now,
                ),
            )
            self.db._conn.execute(
                """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
                   base_px, fill_px, fee, slip, notional, ts_ms)
                   VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
                (
                    group_id,
                    "option",
                    "close",
                    "flat",
                    option_inst_id,
                    opt_qty,
                    float(pos["option_qty_contracts"] or 0),
                    of.base_px,
                    of.fill_px,
                    of.fee,
                    of.slip,
                    of.notional,
                    now,
                ),
            )
            g = self.db._conn.execute(
                "SELECT fees, slip_cost FROM groups WHERE group_id=?", (group_id,)
            ).fetchone()
            fees = float(g["fees"] or 0) + pf.fee + of.fee
            slip = float(g["slip_cost"] or 0) + pf.slip + of.slip
            self.db._conn.execute(
                """UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
                   fees=?, slip_cost=?, note=NULL WHERE group_id=?""",
                ("closed", now, reason, net, fees, slip, group_id),
            )
            self.db._conn.execute(
                """UPDATE positions SET
                    group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
                    option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
                    option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
                    WHERE id=1"""
            )
            self.db._conn.commit()

        return CloseResult(
            ok=True,
            detail="closed",
            data={
                "group_id": group_id,
                "reason": reason,
                "perp_pnl": perp_pnl,
                "option_pnl": opt_pnl,
                "net": net,
                "cash_delta": cash_delta,
            },
        )

    def unrealized(self) -> dict[str, Any]:
        pos = self.current_position()
        if pos.get("status") != "open":
            return {
                "has_position": False,
                "perp_upl": 0.0,
                "option_upl": 0.0,
                "net_pnl": 0.0,
                "est_close_fees": 0.0,
                "index_px": None,
                "move_points": 0.0,
                "move_pct": 0.0,
                "premium_gap": None,
            }
        sess = get_session()
        snap = sess.snapshot()
        s = get_settings()
        fee_rate = self._fee_rate()
        index_px = snap.index_px
        if index_px is None and snap.perp:
            index_px = snap.perp.mark_px
        perp_side = str(pos["perp_side"])
        perp_entry = float(pos["perp_entry_px"])
        perp_qty = float(pos["perp_qty_eth"])
        opt_qty = float(pos["option_qty_eth"] or 0)
        opt_entry = float(pos["option_entry_px"] or 0)

        # 与平仓一致：用对手价估算可平盈亏 + 手续费
        perp_upl = 0.0
        est_perp_close_fee = 0.0
        mark = None
        if snap.perp and snap.perp.bid is not None and snap.perp.ask is not None:
            pf = perp_fill(
                side=perp_side,
                action="close",
                bid=float(snap.perp.bid),
                ask=float(snap.perp.ask),
                qty_eth=perp_qty,
                fee_rate=fee_rate,
            )
            if perp_side == "long":
                perp_upl = (pf.fill_px - perp_entry) * perp_qty
            else:
                perp_upl = (perp_entry - pf.fill_px) * perp_qty
            est_perp_close_fee = pf.fee
            mark = pf.fill_px
        elif snap.perp:
            if perp_side == "long":
                mark = snap.perp.bid or snap.perp.mark_px
            else:
                mark = snap.perp.ask or snap.perp.mark_px
            if mark is not None:
                if perp_side == "long":
                    perp_upl = (float(mark) - perp_entry) * perp_qty
                else:
                    perp_upl = (perp_entry - float(mark)) * perp_qty

        option_side = str(pos["option_side"])
        opt_inst = str(pos.get("option_inst_id") or "")
        oq = get_exchange().quote(opt_inst) if opt_inst else None
        if oq is None:
            oq = snap.call if option_side == "call" else snap.put
        option_upl = 0.0
        est_opt_close_fee = 0.0
        opt_mark = None
        if oq and oq.bid is not None:
            of = option_fill(
                action="close",
                bid=float(oq.bid),
                ask=float(oq.ask or oq.bid),
                qty_eth=opt_qty,
                fee_rate=fee_rate,
            )
            option_upl = (of.fill_px - opt_entry) * opt_qty
            est_opt_close_fee = of.fee
            opt_mark = of.fill_px
        elif oq:
            opt_mark = oq.bid or oq.mark_px
            if opt_mark is not None:
                option_upl = (float(opt_mark) - opt_entry) * opt_qty

        est_close_fees = est_perp_close_fee + est_opt_close_fee
        # 净盈利口径与平仓结算一致：双腿盈亏 − 预估平仓手续费
        net_pnl = perp_upl + option_upl - est_close_fees

        entry_idx = float(pos["entry_index_px"] or 0)
        move = abs(float(index_px) - entry_idx) if index_px is not None and entry_idx else 0.0
        move_pct = (move / entry_idx * 100.0) if entry_idx > 0 else 0.0
        initial_premium = float(pos["initial_premium"] or 0)
        premium_gap = initial_premium - perp_upl
        leverage = self.ledger.get_setting_float("leverage", s.leverage)
        notional = abs(perp_entry * perp_qty)
        margin = notional / leverage if leverage > 0 else None

        group_id = pos.get("group_id")
        g = (
            self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
            if group_id
            else None
        )
        strike = float(g["strike"]) if g and g["strike"] is not None else None
        expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None
        perp_inst_id = (
            str(g["perp_inst_id"])
            if g and g["perp_inst_id"]
            else s.perp_inst_id
        )

        return {
            "has_position": True,
            "group_id": group_id,
            "perp_side": perp_side,
            "option_side": option_side,
            "perp_inst_id": perp_inst_id,
            "perp_entry_px": perp_entry,
            "perp_qty_eth": perp_qty,
            "perp_mark_px": float(mark) if mark is not None else None,
            "perp_notional": notional,
            "perp_margin": margin,
            "leverage": leverage,
            "option_inst_id": pos.get("option_inst_id"),
            "option_entry_px": opt_entry,
            "option_qty_eth": opt_qty,
            "option_qty_contracts": float(pos["option_qty_contracts"] or 0),
            "option_mark_px": float(opt_mark) if opt_mark is not None else None,
            "strike": strike,
            "expiry_ymd": expiry_ymd,
            "perp_upl": perp_upl,
            "option_upl": option_upl,
            "est_close_fees": est_close_fees,
            "net_pnl": net_pnl,
            "index_px": index_px,
            "entry_index_px": entry_idx,
            "move_points": move,
            "move_pct": move_pct,
            "initial_premium": initial_premium,
            "premium_gap": premium_gap,
            "status": pos.get("status"),
        }