dekun
ec244c63c6
Mutual hedge_mode, amplitude OTM selection, 1:1 risk sizing, win-leg/full close, dual audits and docs. Co-authored-by: Cursor <cursoragent@cursor.com>
2245 lines
86 KiB
Python
2245 lines
86 KiB
Python
"""本地模拟撮合：永续市价 + 期权只买开/卖平。"""
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from __future__ import annotations
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import logging
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import time
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from dataclasses import dataclass
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from typing import Any
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from ..config import get_settings
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from ..exchange import get_exchange
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from ..models.db import Database, get_db
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from ..strategy.session import get_session
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from .ledger import Ledger
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from .liquidity import bid_covers_eth, bid_mark_ok, contracts_for_eth, eth_from_contracts
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from .pricing import (
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is_deep_otm,
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option_expiry_settle,
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option_fill,
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option_intrinsic,
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perp_fill,
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resolve_option_close_bid,
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)
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logger = logging.getLogger(__name__)
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# 禁止新开仓的本地仓位状态（实盘防卡）
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BLOCKING_STATUSES = frozenset(
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{"open", "half_open", "option_closed_perp_pending", "opening"}
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)
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@dataclass(slots=True)
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class OpenResult:
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ok: bool
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group_id: str | None = None
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detail: str = ""
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data: dict[str, Any] | None = None
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@dataclass(slots=True)
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class CloseResult:
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ok: bool
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detail: str = ""
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liquidity_wait: bool = False
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data: dict[str, Any] | None = None
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class Matcher:
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def __init__(self, db: Database | None = None) -> None:
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self.db = db or get_db()
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self.ledger = Ledger(self.db)
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def _fee_rate(self) -> float:
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return self.ledger.get_setting_float("fee_rate", get_settings().fee_rate)
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def _ct_mult(self, option_inst_id: str) -> float:
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try:
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from ..exchange.runtime import load_runtime_settings
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s = load_runtime_settings()
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except Exception:
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s = get_settings()
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try:
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return get_exchange().get_ct_mult(
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option_inst_id, s.option_inst_family, s.option_ct_mult_default
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)
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except Exception:
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pass
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return float(s.option_ct_mult_default)
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def current_position(self) -> dict[str, Any]:
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row = self.db.fetchone("SELECT * FROM positions WHERE id=1")
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assert row is not None
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return dict(row)
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def has_open_position(self) -> bool:
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"""是否禁止新开：含 open / half_open / option_closed_perp_pending / opening。"""
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pos = self.current_position()
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st = str(pos.get("status") or "")
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if st not in BLOCKING_STATUSES:
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return False
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if st == "opening":
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return True
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return bool(pos.get("group_id") or pos.get("option_inst_id"))
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def position_status(self) -> str:
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return str(self.current_position().get("status") or "flat")
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def _liquidity_wait(self, group_id: str, detail: str) -> CloseResult:
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note = f"liquidity_wait:{int(time.time())}:{detail[:80]}"
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self.db.execute(
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"UPDATE groups SET note=? WHERE group_id=? AND status='open'",
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(note, group_id),
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)
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return CloseResult(ok=False, detail=detail, liquidity_wait=True)
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def _group_strike(self, group_id: str, option_inst_id: str) -> float | None:
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g = self.db.fetchone(
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"SELECT strike FROM groups WHERE group_id=?", (group_id,)
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)
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if g is not None and g["strike"] is not None:
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try:
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return float(g["strike"])
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except (TypeError, ValueError):
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pass
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try:
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from ..exchange.okx.parse import parse_option_inst_id
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_, stk, _ = parse_option_inst_id(option_inst_id)
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if stk is not None:
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return float(stk)
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except Exception:
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pass
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try:
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from ..exchange.binance.parse import parse_option_symbol
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_, stk, _ = parse_option_symbol(option_inst_id)
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if stk is not None:
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return float(stk)
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except Exception:
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pass
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return None
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def _close_spot_px(self, snap: Any) -> float | None:
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if getattr(snap, "index_px", None) is not None:
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try:
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px = float(snap.index_px)
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if px > 0:
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return px
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except (TypeError, ValueError):
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pass
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perp = getattr(snap, "perp", None)
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if not perp:
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return None
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for attr in ("mark_px", "last"):
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v = getattr(perp, attr, None)
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if v is not None:
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try:
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px = float(v)
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if px > 0:
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return px
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except (TypeError, ValueError):
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pass
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if perp.bid is not None and perp.ask is not None:
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return (float(perp.bid) + float(perp.ask)) / 2.0
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if perp.bid is not None:
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return float(perp.bid)
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if perp.ask is not None:
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return float(perp.ask)
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return None
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def open_group(
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self,
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*,
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group_id: str,
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bias: str,
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option_side: str, # call|put
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perp_side: str, # long|short
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option_inst_id: str,
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entry_index_px: float,
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strike: float | None = None,
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expiry_ymd: str | None = None,
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) -> OpenResult:
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s = get_settings()
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pos = self.current_position()
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st = str(pos.get("status") or "flat")
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if st in BLOCKING_STATUSES and (
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st == "opening" or bool(pos.get("group_id") or pos.get("option_inst_id"))
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):
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return OpenResult(ok=False, detail=f"已有持仓状态({st})，请先平仓")
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if pos.get("status") == "open" and pos.get("group_id"):
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return OpenResult(ok=False, detail="已有持仓组，请先平仓")
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sess = get_session()
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snap = sess.snapshot()
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if not snap.perp or snap.perp.bid is None or snap.perp.ask is None:
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return OpenResult(ok=False, detail="永续盘口不可用")
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oq = snap.call if option_side == "call" else snap.put
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# 若 ATM 对与持仓合约不一致，直接取持仓合约盘口
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held = get_exchange().quote(option_inst_id)
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if held and held.ask is not None:
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oq = held
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if not oq or oq.ask is None:
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return OpenResult(ok=False, detail="期权卖一不可用")
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fee_rate = self._fee_rate()
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s = get_settings()
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perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
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opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
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ct_mult = self._ct_mult(option_inst_id)
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opt_contracts = contracts_for_eth(opt_qty, ct_mult)
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# 1) 先成交期权（吃卖一）；失败则整组不开
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of = option_fill(
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action="open",
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bid=float(oq.bid or 0),
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ask=float(oq.ask),
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qty_eth=opt_qty,
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fee_rate=fee_rate,
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)
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initial_premium = of.fill_px * opt_qty # 锁定口径：成交价×名义，不含费
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premium_cost = of.notional + of.fee
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try:
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self.ledger.apply_cash(
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-premium_cost,
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kind="open_option",
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group_id=group_id,
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note=f"open option {group_id}",
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)
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except RuntimeError as e:
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return OpenResult(ok=False, detail=str(e))
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# 2) 期权确认后再市价成交永续（重新取盘口）
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snap2 = sess.snapshot()
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if not snap2.perp or snap2.perp.bid is None or snap2.perp.ask is None:
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self.ledger.apply_cash(
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premium_cost,
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kind="open_option_rollback",
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group_id=group_id,
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note=f"rollback option {group_id}: perp book missing",
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)
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return OpenResult(
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ok=False,
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detail="期权已成交但永续盘口不可用，已回滚期权",
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)
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pf = perp_fill(
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side=perp_side,
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action="open",
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bid=float(snap2.perp.bid),
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ask=float(snap2.perp.ask),
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qty_eth=perp_qty,
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fee_rate=fee_rate,
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)
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try:
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self.ledger.apply_cash(
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-pf.fee,
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kind="open_perp_fee",
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group_id=group_id,
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note=f"open perp {group_id}",
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)
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except RuntimeError as e:
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self.ledger.apply_cash(
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premium_cost,
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kind="open_option_rollback",
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group_id=group_id,
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note=f"rollback option {group_id}: {e}",
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)
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return OpenResult(ok=False, detail=f"期权已成交但永续扣费失败并已回滚: {e}")
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now = int(time.time() * 1000)
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
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strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
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exec_mode
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"open",
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bias,
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option_side,
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perp_side,
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option_inst_id,
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s.perp_inst_id,
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strike,
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expiry_ymd,
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entry_index_px,
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initial_premium,
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now,
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pf.fee + of.fee,
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pf.slip + of.slip,
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"SIM",
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),
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)
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# 成交顺序：期权先、永续后（时间戳差 1ms 便于审计）
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option",
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"open",
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"long",
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option_inst_id,
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opt_qty,
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opt_contracts,
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of.base_px,
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of.fill_px,
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of.fee,
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of.slip,
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of.notional,
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now,
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"SIM",
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),
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)
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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base_px, fill_px, fee, slip, notional, ts_ms, exec_mode)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"perp",
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"open",
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perp_side,
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s.perp_inst_id,
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perp_qty,
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None,
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pf.base_px,
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pf.fill_px,
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pf.fee,
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pf.slip,
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pf.notional,
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now + 1,
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"SIM",
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),
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)
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self.db._conn.execute(
|
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"""UPDATE positions SET
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group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
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option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
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option_entry_px=?, entry_index_px=?, initial_premium=?, status=?
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WHERE id=1""",
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(
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group_id,
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perp_side,
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perp_qty,
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pf.fill_px,
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option_inst_id,
|
||
option_side,
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opt_qty,
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opt_contracts,
|
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of.fill_px,
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entry_index_px,
|
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initial_premium,
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"open",
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),
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)
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self.db._conn.commit()
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|
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try:
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from ..strategy.exits import lock_trade_exit_target
|
||
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lock_trade_exit_target(
|
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self.db, group_id=group_id, initial_premium=initial_premium
|
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)
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except Exception:
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logger.exception("lock exit target failed group=%s", group_id)
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leverage = self.ledger.get_setting_float("leverage", s.leverage)
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perp_margin = (
|
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abs(float(pf.fill_px) * float(perp_qty)) / float(leverage)
|
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if leverage and float(leverage) > 0
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else None
|
||
)
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return OpenResult(
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ok=True,
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group_id=group_id,
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detail="opened",
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data={
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"group_id": group_id,
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"bias": bias,
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"option_side": option_side,
|
||
"perp_side": perp_side,
|
||
"option_inst_id": option_inst_id,
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||
"strike": strike,
|
||
"expiry_ymd": expiry_ymd,
|
||
"perp": pf.to_dict(),
|
||
"option": of.to_dict(),
|
||
"perp_qty_eth": float(perp_qty),
|
||
"option_qty_eth": float(opt_qty),
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"perp_entry_px": float(pf.fill_px),
|
||
"option_entry_px": float(of.fill_px),
|
||
"initial_premium": initial_premium,
|
||
"perp_margin": perp_margin,
|
||
"leverage": float(leverage) if leverage else None,
|
||
"fees": pf.fee + of.fee,
|
||
"open_sequence": ["option", "perp"],
|
||
},
|
||
)
|
||
|
||
def open_oo_group(
|
||
self,
|
||
*,
|
||
group_id: str,
|
||
call_inst_id: str,
|
||
put_inst_id: str,
|
||
call_strike: float,
|
||
put_strike: float,
|
||
entry_index_px: float,
|
||
expiry_ymd: str | None = None,
|
||
) -> OpenResult:
|
||
"""期期：买 Call 再买 Put，无永续。"""
|
||
if not get_settings().is_sim:
|
||
return OpenResult(
|
||
ok=False,
|
||
detail="LIVE 期期开仓须走 LiveExecutor.open_oo_group",
|
||
)
|
||
pos = self.current_position()
|
||
st = str(pos.get("status") or "flat")
|
||
if st in BLOCKING_STATUSES and (
|
||
st == "opening" or bool(pos.get("group_id") or pos.get("option_inst_id"))
|
||
):
|
||
return OpenResult(ok=False, detail=f"已有持仓状态({st})，请先平仓")
|
||
if pos.get("status") == "open" and pos.get("group_id"):
|
||
return OpenResult(ok=False, detail="已有持仓组，请先平仓")
|
||
|
||
ex = get_exchange()
|
||
cq = ex.quote(call_inst_id)
|
||
pq = ex.quote(put_inst_id)
|
||
if cq is None or cq.ask is None:
|
||
_, asks, _ = ex.fetch_book(call_inst_id, depth=5)
|
||
if asks:
|
||
from types import SimpleNamespace
|
||
|
||
cq = SimpleNamespace(ask=asks[0].px, bid=None)
|
||
if pq is None or pq.ask is None:
|
||
_, asks, _ = ex.fetch_book(put_inst_id, depth=5)
|
||
if asks:
|
||
from types import SimpleNamespace
|
||
|
||
pq = SimpleNamespace(ask=asks[0].px, bid=None)
|
||
if not cq or cq.ask is None or not pq or pq.ask is None:
|
||
return OpenResult(ok=False, detail="期期 Call/Put 卖一不可用")
|
||
|
||
fee_rate = self._fee_rate()
|
||
opt_qty = self.ledger.get_setting_float("option_qty_eth", 0.1)
|
||
if opt_qty < 0.1 - 1e-12:
|
||
return OpenResult(ok=False, detail="期期名义 qty 无效")
|
||
call_ct = self._ct_mult(call_inst_id)
|
||
put_ct = self._ct_mult(put_inst_id)
|
||
call_contracts = contracts_for_eth(opt_qty, call_ct)
|
||
put_contracts = contracts_for_eth(opt_qty, put_ct)
|
||
|
||
cf = option_fill(
|
||
action="open",
|
||
bid=float(getattr(cq, "bid", None) or 0),
|
||
ask=float(cq.ask),
|
||
qty_eth=opt_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
call_prem = cf.fill_px * opt_qty
|
||
call_cost = cf.notional + cf.fee
|
||
try:
|
||
self.ledger.apply_cash(
|
||
-call_cost,
|
||
kind="open_option",
|
||
group_id=group_id,
|
||
note=f"open oo call {group_id}",
|
||
)
|
||
except RuntimeError as e:
|
||
return OpenResult(ok=False, detail=str(e))
|
||
|
||
# 再买 Put；失败则尝试卖回 Call
|
||
pq2 = ex.quote(put_inst_id) or pq
|
||
ask2 = float(pq2.ask) if pq2 and pq2.ask else float(pq.ask)
|
||
pf = option_fill(
|
||
action="open",
|
||
bid=float(getattr(pq2, "bid", None) or 0),
|
||
ask=ask2,
|
||
qty_eth=opt_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
put_prem = pf.fill_px * opt_qty
|
||
put_cost = pf.notional + pf.fee
|
||
try:
|
||
self.ledger.apply_cash(
|
||
-put_cost,
|
||
kind="open_option",
|
||
group_id=group_id,
|
||
note=f"open oo put {group_id}",
|
||
)
|
||
except RuntimeError as e:
|
||
# 回滚 Call：按买一卖出估算
|
||
bid = float(getattr(cq, "bid", None) or cf.fill_px)
|
||
rb = option_fill(
|
||
action="close",
|
||
bid=bid,
|
||
ask=float(cq.ask),
|
||
qty_eth=opt_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
self.ledger.apply_cash(
|
||
rb.notional - rb.fee,
|
||
kind="open_option_rollback",
|
||
group_id=group_id,
|
||
note=f"rollback oo call {group_id}: {e}",
|
||
)
|
||
return OpenResult(ok=False, detail=f"Call 已成交但 Put 扣费失败并已回滚: {e}")
|
||
|
||
now = int(time.time() * 1000)
|
||
total_prem = call_prem + put_prem
|
||
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,
|
||
exec_mode, hedge_mode, option2_inst_id, option2_side, strike2, initial_premium2
|
||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
"open",
|
||
"option_option",
|
||
"call",
|
||
None,
|
||
call_inst_id,
|
||
None,
|
||
float(call_strike),
|
||
expiry_ymd,
|
||
entry_index_px,
|
||
call_prem,
|
||
now,
|
||
cf.fee + pf.fee,
|
||
cf.slip + pf.slip,
|
||
"SIM",
|
||
"option_option",
|
||
put_inst_id,
|
||
"put",
|
||
float(put_strike),
|
||
put_prem,
|
||
),
|
||
)
|
||
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, exec_mode)
|
||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
"option",
|
||
"open",
|
||
"long",
|
||
call_inst_id,
|
||
opt_qty,
|
||
call_contracts,
|
||
cf.base_px,
|
||
cf.fill_px,
|
||
cf.fee,
|
||
cf.slip,
|
||
cf.notional,
|
||
now,
|
||
"SIM",
|
||
),
|
||
)
|
||
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, exec_mode)
|
||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
"option2",
|
||
"open",
|
||
"long",
|
||
put_inst_id,
|
||
opt_qty,
|
||
put_contracts,
|
||
pf.base_px,
|
||
pf.fill_px,
|
||
pf.fee,
|
||
pf.slip,
|
||
pf.notional,
|
||
now + 1,
|
||
"SIM",
|
||
),
|
||
)
|
||
self.db._conn.execute(
|
||
"""UPDATE positions SET
|
||
group_id=?, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
|
||
option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
|
||
option_entry_px=?, entry_index_px=?, initial_premium=?, status=?,
|
||
hedge_mode=?, option2_inst_id=?, option2_side=?, option2_qty_eth=?,
|
||
option2_qty_contracts=?, option2_entry_px=?, strike2=?, initial_premium2=?
|
||
WHERE id=1""",
|
||
(
|
||
group_id,
|
||
call_inst_id,
|
||
"call",
|
||
opt_qty,
|
||
call_contracts,
|
||
cf.fill_px,
|
||
entry_index_px,
|
||
call_prem,
|
||
"open",
|
||
"option_option",
|
||
put_inst_id,
|
||
"put",
|
||
opt_qty,
|
||
put_contracts,
|
||
pf.fill_px,
|
||
float(put_strike),
|
||
put_prem,
|
||
),
|
||
)
|
||
self.db._conn.commit()
|
||
|
||
try:
|
||
from ..strategy.exits import lock_trade_exit_target
|
||
|
||
lock_trade_exit_target(
|
||
self.db, group_id=group_id, initial_premium=total_prem
|
||
)
|
||
except Exception:
|
||
logger.exception("lock exit target failed oo group=%s", group_id)
|
||
|
||
return OpenResult(
|
||
ok=True,
|
||
group_id=group_id,
|
||
detail="opened_oo",
|
||
data={
|
||
"group_id": group_id,
|
||
"hedge_mode": "option_option",
|
||
"call_inst_id": call_inst_id,
|
||
"put_inst_id": put_inst_id,
|
||
"call_strike": float(call_strike),
|
||
"put_strike": float(put_strike),
|
||
"option_qty_eth": float(opt_qty),
|
||
"initial_premium": total_prem,
|
||
"fees": cf.fee + pf.fee,
|
||
"open_sequence": ["call", "put"],
|
||
},
|
||
)
|
||
|
||
def close_winning_oo_leave_residual(
|
||
self, *, reason: str = "target_oo_win", skip_market: bool = False
|
||
) -> CloseResult:
|
||
"""期期达标：平盈利腿，亏损腿进 residual。skip_market=True 时假定已在交易所卖掉盈利腿。"""
|
||
pos = self.current_position()
|
||
st = str(pos.get("status") or "")
|
||
if st not in ("open", "closing") or not pos.get("group_id"):
|
||
return CloseResult(ok=False, detail="无期期持仓可平")
|
||
if str(pos.get("hedge_mode") or "") != "option_option":
|
||
# 兼容：有 option2 即视为期期
|
||
if not pos.get("option2_inst_id"):
|
||
return CloseResult(ok=False, detail="非期期持仓")
|
||
if st == "closing" and not skip_market:
|
||
skip_market = True
|
||
|
||
group_id = str(pos["group_id"])
|
||
call_id = str(pos.get("option_inst_id") or "")
|
||
put_id = str(pos.get("option2_inst_id") or "")
|
||
qty = float(pos.get("option_qty_eth") or 0)
|
||
qty2 = float(pos.get("option2_qty_eth") or qty)
|
||
if not call_id or not put_id or qty <= 0:
|
||
return CloseResult(ok=False, detail="期期腿不完整")
|
||
|
||
upl = self.unrealized()
|
||
call_upl = float(upl.get("option_upl") or 0)
|
||
put_upl = float(upl.get("option2_upl") or 0)
|
||
# 盈利腿：UPL 更高且 > 0
|
||
if call_upl >= put_upl and call_upl > 0:
|
||
win_leg, lose_leg = "option", "option2"
|
||
win_id, lose_id = call_id, put_id
|
||
win_side, lose_side = "call", "put"
|
||
win_qty = qty
|
||
lose_qty = qty2
|
||
win_entry = float(pos.get("option_entry_px") or 0)
|
||
lose_entry = float(pos.get("option2_entry_px") or 0)
|
||
lose_strike = float(pos.get("strike2") or 0)
|
||
lose_prem = float(pos.get("initial_premium2") or 0)
|
||
win_contracts = float(pos.get("option_qty_contracts") or 0)
|
||
lose_contracts = float(pos.get("option2_qty_contracts") or 0)
|
||
elif put_upl > call_upl and put_upl > 0:
|
||
win_leg, lose_leg = "option2", "option"
|
||
win_id, lose_id = put_id, call_id
|
||
win_side, lose_side = "put", "call"
|
||
win_qty = qty2
|
||
lose_qty = qty
|
||
win_entry = float(pos.get("option2_entry_px") or 0)
|
||
lose_entry = float(pos.get("option_entry_px") or 0)
|
||
g = self.db.fetchone(
|
||
"SELECT strike FROM groups WHERE group_id=?", (group_id,)
|
||
)
|
||
lose_strike = float(g["strike"] or 0) if g else 0.0
|
||
lose_prem = float(pos.get("initial_premium") or 0)
|
||
win_contracts = float(pos.get("option2_qty_contracts") or 0)
|
||
lose_contracts = float(pos.get("option_qty_contracts") or 0)
|
||
else:
|
||
return CloseResult(ok=False, detail="无明确盈利腿，暂不平")
|
||
|
||
fee_rate = self._fee_rate()
|
||
if skip_market:
|
||
oq = self._quote_held_option(win_id)
|
||
fill_px = float(oq.bid) if oq and oq.bid else float(win_entry)
|
||
of = option_fill(
|
||
action="close",
|
||
bid=fill_px,
|
||
ask=fill_px,
|
||
qty_eth=win_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
else:
|
||
oq = self._quote_held_option(win_id)
|
||
if oq is None or oq.bid is None or float(oq.bid) <= 0:
|
||
return CloseResult(ok=False, detail="盈利腿买一不可用")
|
||
gate = self._residual_bid_gate(
|
||
{
|
||
"option_inst_id": win_id,
|
||
"option_qty_eth": win_qty,
|
||
"initial_premium": win_entry * win_qty,
|
||
},
|
||
bid=float(oq.bid),
|
||
oq=oq,
|
||
require_premium_ratio=False,
|
||
)
|
||
if gate:
|
||
return CloseResult(ok=False, detail=f"盈利腿流动性不足: {gate}")
|
||
of = option_fill(
|
||
action="close",
|
||
bid=float(oq.bid),
|
||
ask=float(oq.ask or oq.bid),
|
||
qty_eth=win_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
cash = of.notional - of.fee
|
||
if get_settings().is_sim or not skip_market:
|
||
self.ledger.apply_cash(
|
||
cash, kind="close_option", group_id=group_id, note=f"oo win {win_leg}"
|
||
)
|
||
elif skip_market:
|
||
# LIVE：交易所已成交，仍记本地账本现金（与其它 LIVE 平仓一致）
|
||
try:
|
||
self.ledger.apply_cash(
|
||
cash,
|
||
kind="close_option",
|
||
group_id=group_id,
|
||
note=f"oo win live {win_leg}",
|
||
)
|
||
except Exception:
|
||
logger.exception("oo win live ledger cash failed")
|
||
|
||
now = int(time.time() * 1000)
|
||
expiry_ymd = None
|
||
expiry_ms = None
|
||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||
if g:
|
||
expiry_ymd = g["expiry_ymd"]
|
||
try:
|
||
from ..exchange.expiry import expiry_ms_from_ymd
|
||
|
||
if expiry_ymd:
|
||
expiry_ms = int(expiry_ms_from_ymd(str(expiry_ymd)))
|
||
except Exception:
|
||
expiry_ms = None
|
||
|
||
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, exec_mode)
|
||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
win_leg,
|
||
"close",
|
||
"sell",
|
||
win_id,
|
||
win_qty,
|
||
win_contracts,
|
||
of.base_px,
|
||
of.fill_px,
|
||
of.fee,
|
||
of.slip,
|
||
of.notional,
|
||
now,
|
||
"SIM",
|
||
),
|
||
)
|
||
self.db._conn.execute(
|
||
"""INSERT INTO residual_options(
|
||
group_id, option_inst_id, option_side, option_qty_eth, option_qty_contracts,
|
||
option_entry_px, strike, expiry_ymd, expiry_ms, entry_index_px,
|
||
initial_premium, status, created_at_ms, note
|
||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
lose_id,
|
||
lose_side,
|
||
lose_qty,
|
||
lose_contracts,
|
||
lose_entry,
|
||
lose_strike,
|
||
expiry_ymd,
|
||
expiry_ms,
|
||
float(pos.get("entry_index_px") or 0),
|
||
lose_prem,
|
||
"pending",
|
||
now,
|
||
f"oo losing leg after {reason}; win={win_leg}",
|
||
),
|
||
)
|
||
# 组：记部分实现盈亏（赢腿），状态 residual
|
||
win_pnl = (of.fill_px - win_entry) * win_qty - of.fee
|
||
self.db._conn.execute(
|
||
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
||
fees=COALESCE(fees,0)+?, note=?
|
||
WHERE group_id=?""",
|
||
(
|
||
"option_residual",
|
||
now,
|
||
reason,
|
||
float(win_pnl),
|
||
float(of.fee),
|
||
f"oo win closed {win_leg}; lose {lose_leg} residual",
|
||
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, exit_target_usdt=NULL, status='flat',
|
||
hedge_mode=NULL, option2_inst_id=NULL, option2_side=NULL,
|
||
option2_qty_eth=0, option2_qty_contracts=0, option2_entry_px=NULL,
|
||
strike2=NULL, initial_premium2=NULL
|
||
WHERE id=1"""
|
||
)
|
||
self.db._conn.commit()
|
||
|
||
return CloseResult(
|
||
ok=True,
|
||
detail="oo_win_closed_lose_residual",
|
||
data={
|
||
"group_id": group_id,
|
||
"reason": reason,
|
||
"win_leg": win_leg,
|
||
"lose_leg": lose_leg,
|
||
"win_pnl": win_pnl,
|
||
},
|
||
)
|
||
|
||
def close_oo_full(
|
||
self, *, reason: str = "expiry", bypass_liquidity: bool = False
|
||
) -> CloseResult:
|
||
"""期期全平两腿（到期/紧急）；无永续。"""
|
||
pos = self.current_position()
|
||
if str(pos.get("status") or "") != "open" or not pos.get("group_id"):
|
||
return CloseResult(ok=False, detail="无期期持仓可平")
|
||
if not (
|
||
str(pos.get("hedge_mode") or "") == "option_option"
|
||
or pos.get("option2_inst_id")
|
||
):
|
||
return CloseResult(ok=False, detail="非期期持仓")
|
||
|
||
group_id = str(pos["group_id"])
|
||
legs = [
|
||
(
|
||
"option",
|
||
str(pos.get("option_inst_id") or ""),
|
||
float(pos.get("option_qty_eth") or 0),
|
||
float(pos.get("option_qty_contracts") or 0),
|
||
float(pos.get("option_entry_px") or 0),
|
||
float(pos.get("initial_premium") or 0),
|
||
),
|
||
(
|
||
"option2",
|
||
str(pos.get("option2_inst_id") or ""),
|
||
float(pos.get("option2_qty_eth") or 0),
|
||
float(pos.get("option2_qty_contracts") or 0),
|
||
float(pos.get("option2_entry_px") or 0),
|
||
float(pos.get("initial_premium2") or 0),
|
||
),
|
||
]
|
||
fee_rate = self._fee_rate()
|
||
now = int(time.time() * 1000)
|
||
total_pnl = 0.0
|
||
total_fees = 0.0
|
||
for leg, inst, qty, contracts, entry, prem in legs:
|
||
if not inst or qty <= 0:
|
||
continue
|
||
oq = self._quote_held_option(inst)
|
||
if reason == "expiry":
|
||
# 到期：尽量用买一，否则按 0 权利金结算
|
||
bid = float(oq.bid) if oq and oq.bid is not None else 0.0
|
||
ask = float(oq.ask) if oq and oq.ask is not None else bid
|
||
else:
|
||
if oq is None or oq.bid is None or float(oq.bid) <= 0:
|
||
if not bypass_liquidity:
|
||
return CloseResult(
|
||
ok=False, detail=f"期期全平缺买一: {inst}"
|
||
)
|
||
bid = float(entry)
|
||
ask = bid
|
||
else:
|
||
if not bypass_liquidity:
|
||
gate = self._residual_bid_gate(
|
||
{
|
||
"option_inst_id": inst,
|
||
"option_qty_eth": qty,
|
||
"initial_premium": prem or entry * qty,
|
||
},
|
||
bid=float(oq.bid),
|
||
oq=oq,
|
||
require_premium_ratio=False,
|
||
)
|
||
if gate:
|
||
return CloseResult(
|
||
ok=False, detail=f"期期全平流动性: {gate}"
|
||
)
|
||
bid = float(oq.bid)
|
||
ask = float(oq.ask or oq.bid)
|
||
of = option_fill(
|
||
action="close",
|
||
bid=bid,
|
||
ask=ask if ask > 0 else bid,
|
||
qty_eth=qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
cash = of.notional - of.fee
|
||
if get_settings().is_sim:
|
||
self.ledger.apply_cash(
|
||
cash,
|
||
kind="close_option",
|
||
group_id=group_id,
|
||
note=f"oo full {leg}",
|
||
)
|
||
else:
|
||
try:
|
||
self.ledger.apply_cash(
|
||
cash,
|
||
kind="close_option",
|
||
group_id=group_id,
|
||
note=f"oo full {leg}",
|
||
)
|
||
except Exception:
|
||
logger.exception("oo full ledger cash failed leg=%s", leg)
|
||
total_pnl += (of.fill_px * qty - (prem or entry * qty)) - of.fee
|
||
total_fees += of.fee
|
||
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, exec_mode)
|
||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
leg,
|
||
"close",
|
||
"sell",
|
||
inst,
|
||
qty,
|
||
contracts,
|
||
of.base_px,
|
||
of.fill_px,
|
||
of.fee,
|
||
of.slip,
|
||
of.notional,
|
||
now,
|
||
"SIM" if get_settings().is_sim else "LIVE",
|
||
),
|
||
)
|
||
self.db._conn.commit()
|
||
now += 1
|
||
|
||
with self.db._lock:
|
||
self.db._conn.execute(
|
||
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
||
fees=COALESCE(fees,0)+?, note=?
|
||
WHERE group_id=?""",
|
||
(
|
||
"closed",
|
||
int(time.time() * 1000),
|
||
reason,
|
||
float(total_pnl),
|
||
float(total_fees),
|
||
f"oo full close {reason}",
|
||
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, exit_target_usdt=NULL, status='flat',
|
||
hedge_mode=NULL, option2_inst_id=NULL, option2_side=NULL,
|
||
option2_qty_eth=0, option2_qty_contracts=0, option2_entry_px=NULL,
|
||
strike2=NULL, initial_premium2=NULL
|
||
WHERE id=1"""
|
||
)
|
||
self.db._conn.commit()
|
||
return CloseResult(
|
||
ok=True,
|
||
detail="oo_full_closed",
|
||
data={"group_id": group_id, "reason": reason, "net": total_pnl},
|
||
)
|
||
|
||
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%）。
|
||
reason=expiry：对齐实盘，期权按标的结算价的内在价值入账（不吃盘口）。
|
||
bypass_liquidity=True（紧急）：绕过深度/偏差闸门，成交价仍按买一（对齐 OKX 市价卖，不用标记）。
|
||
成交顺序：先平期权 → 再瞬时平永续；永续盘口失败则回滚期权入账。
|
||
"""
|
||
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"])
|
||
# 严禁回退到 ATM 对：持仓行权价可能已偏离当前 ATM
|
||
oq = self._quote_held_option(option_inst_id)
|
||
if oq is None and reason != "expiry":
|
||
return CloseResult(
|
||
ok=False,
|
||
detail=f"持仓期权盘口不可用: {option_inst_id}",
|
||
)
|
||
|
||
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
|
||
)
|
||
|
||
strike = self._group_strike(group_id, option_inst_id)
|
||
spot = self._close_spot_px(snap)
|
||
intrinsic: float | None = None
|
||
if strike is not None and spot is not None:
|
||
intrinsic = option_intrinsic(
|
||
option_side=option_side, strike=strike, spot=spot
|
||
)
|
||
|
||
fee_rate = self._fee_rate()
|
||
is_expiry = reason == "expiry"
|
||
|
||
if is_expiry:
|
||
# 实盘到期：直接按内在价值结算，不依赖盘口
|
||
if intrinsic is None:
|
||
return CloseResult(
|
||
ok=False,
|
||
detail="到期结算失败：缺少行权价或标的结算价",
|
||
)
|
||
of = option_expiry_settle(
|
||
intrinsic=float(intrinsic),
|
||
qty_eth=float(pos["option_qty_eth"]),
|
||
fee_rate=fee_rate,
|
||
)
|
||
close_bid = float(intrinsic)
|
||
else:
|
||
if not oq:
|
||
return CloseResult(
|
||
ok=False,
|
||
detail="期权盘口不可用",
|
||
liquidity_wait=not bypass_liquidity,
|
||
)
|
||
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)
|
||
resolved = resolve_option_close_bid(
|
||
bid=float(close_bid),
|
||
mark=oq.mark_px,
|
||
intrinsic=intrinsic,
|
||
bypass_liquidity=False,
|
||
)
|
||
if resolved is None:
|
||
return self._liquidity_wait(group_id, "期权平仓价不可用")
|
||
close_bid = resolved
|
||
else:
|
||
resolved = resolve_option_close_bid(
|
||
bid=close_bid,
|
||
mark=oq.mark_px,
|
||
intrinsic=intrinsic,
|
||
bypass_liquidity=True,
|
||
)
|
||
if resolved is None:
|
||
return CloseResult(
|
||
ok=False,
|
||
detail="紧急全平失败：无买一（对齐 OKX，不能用标记价平仓）",
|
||
)
|
||
close_bid = resolved
|
||
of = option_fill(
|
||
action="close",
|
||
bid=float(close_bid),
|
||
ask=float(oq.ask or close_bid),
|
||
qty_eth=float(pos["option_qty_eth"]),
|
||
fee_rate=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"])
|
||
|
||
# 1) 先平期权；永续对冲暂留
|
||
opt_pnl = (of.fill_px - opt_entry) * opt_qty
|
||
opt_cash = of.notional - of.fee
|
||
self.ledger.apply_cash(
|
||
opt_cash,
|
||
kind="close_option",
|
||
group_id=group_id,
|
||
note=f"close option {reason}",
|
||
)
|
||
|
||
# 2) 期权确认后再瞬时平永续（重取盘口）
|
||
snap2 = sess.snapshot()
|
||
if not snap2.perp or snap2.perp.bid is None or snap2.perp.ask is None:
|
||
self.ledger.apply_cash(
|
||
-opt_cash,
|
||
kind="close_option_rollback",
|
||
group_id=group_id,
|
||
note=f"rollback option close {group_id}: perp book missing",
|
||
)
|
||
return CloseResult(
|
||
ok=False,
|
||
detail="期权已平但永续盘口不可用，已回滚期权入账",
|
||
)
|
||
|
||
pf = perp_fill(
|
||
side=perp_side,
|
||
action="close",
|
||
bid=float(snap2.perp.bid),
|
||
ask=float(snap2.perp.ask),
|
||
qty_eth=perp_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
if perp_side == "long":
|
||
perp_pnl = (pf.fill_px - perp_entry) * perp_qty
|
||
else:
|
||
perp_pnl = (perp_entry - pf.fill_px) * perp_qty
|
||
self.ledger.apply_cash(
|
||
perp_pnl - pf.fee,
|
||
kind="close_perp",
|
||
group_id=group_id,
|
||
note=f"close perp {reason}",
|
||
)
|
||
|
||
net = perp_pnl + opt_pnl - pf.fee - of.fee
|
||
# 组已累计开仓手续费；实现净盈亏扣开+平全部手续费
|
||
open_fees = float(
|
||
(
|
||
self.db.fetchone(
|
||
"SELECT fees FROM groups WHERE group_id=?", (group_id,)
|
||
)
|
||
or {"fees": 0}
|
||
)["fees"]
|
||
or 0
|
||
)
|
||
net_after_all_fees = perp_pnl + opt_pnl - open_fees - pf.fee - of.fee
|
||
|
||
now = int(time.time() * 1000)
|
||
with self.db._lock:
|
||
# 成交顺序：期权先、永续后
|
||
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,
|
||
),
|
||
)
|
||
self.db._conn.execute(
|
||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||
base_px, fill_px, fee, slip, notional, ts_ms)
|
||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
"perp",
|
||
"close",
|
||
"flat",
|
||
s.perp_inst_id,
|
||
perp_qty,
|
||
None,
|
||
pf.base_px,
|
||
pf.fill_px,
|
||
pf.fee,
|
||
pf.slip,
|
||
pf.notional,
|
||
now + 1,
|
||
),
|
||
)
|
||
g = self.db._conn.execute(
|
||
"SELECT fees, slip_cost FROM groups WHERE group_id=?", (group_id,)
|
||
).fetchone()
|
||
fees = float(g["fees"] or 0) + pf.fee + of.fee
|
||
slip = float(g["slip_cost"] or 0) + pf.slip + of.slip
|
||
settle_index = float(spot) if spot is not None else None
|
||
self.db._conn.execute(
|
||
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
||
fees=?, slip_cost=?, note=NULL, settle_index_px=? WHERE group_id=?""",
|
||
(
|
||
"closed",
|
||
now,
|
||
reason,
|
||
net_after_all_fees,
|
||
fees,
|
||
slip,
|
||
settle_index,
|
||
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,
|
||
exit_target_usdt=NULL, 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_after_all_fees,
|
||
"net_pnl": net_after_all_fees,
|
||
"fees_open": open_fees,
|
||
"fees_close": pf.fee + of.fee,
|
||
"fees": float(open_fees) + float(pf.fee) + float(of.fee),
|
||
"close_sequence": ["option", "perp"],
|
||
"cash_delta": opt_cash + perp_pnl - pf.fee,
|
||
"option_close_bid": float(close_bid),
|
||
"option_intrinsic": intrinsic,
|
||
"settle_spot": spot,
|
||
},
|
||
)
|
||
|
||
def option_is_deep_otm(self) -> bool:
|
||
"""活跃组期权是否远虚（内在价值≈0）。"""
|
||
pos = self.current_position()
|
||
if pos.get("status") != "open" or not pos.get("group_id"):
|
||
return False
|
||
group_id = str(pos["group_id"])
|
||
option_inst_id = str(pos.get("option_inst_id") or "")
|
||
option_side = str(pos.get("option_side") or "")
|
||
strike = self._group_strike(group_id, option_inst_id)
|
||
spot = self._close_spot_px(get_session().snapshot())
|
||
if strike is None or spot is None:
|
||
return False
|
||
return is_deep_otm(
|
||
option_side=option_side, strike=float(strike), spot=float(spot)
|
||
)
|
||
|
||
def close_perp_abandon_option(
|
||
self, *, reason: str = "target_perp_only", require_deep_otm: bool = True
|
||
) -> CloseResult:
|
||
"""
|
||
目标平仓 B：只平永续，期权归档为到期残留（不再盯盘、不挡新开）。
|
||
"""
|
||
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"])
|
||
strike = self._group_strike(group_id, option_inst_id)
|
||
spot = self._close_spot_px(snap)
|
||
if strike is None or spot is None:
|
||
return CloseResult(ok=False, detail="无法判断远虚：缺行权价或标的价")
|
||
if require_deep_otm and not is_deep_otm(
|
||
option_side=option_side, strike=float(strike), spot=float(spot)
|
||
):
|
||
return CloseResult(ok=False, detail="期权非远虚，应走双腿全平")
|
||
|
||
fee_rate = self._fee_rate()
|
||
perp_side = str(pos["perp_side"])
|
||
perp_qty = float(pos["perp_qty_eth"])
|
||
perp_entry = float(pos["perp_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,
|
||
)
|
||
if perp_side == "long":
|
||
perp_pnl = (pf.fill_px - perp_entry) * perp_qty
|
||
else:
|
||
perp_pnl = (perp_entry - pf.fill_px) * perp_qty
|
||
self.ledger.apply_cash(
|
||
perp_pnl - pf.fee,
|
||
kind="close_perp",
|
||
group_id=group_id,
|
||
note=f"close perp {reason} abandon option",
|
||
)
|
||
|
||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
|
||
expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None
|
||
expiry_ms = None
|
||
if expiry_ymd:
|
||
try:
|
||
from ..exchange.expiry import expiry_ms_from_ymd
|
||
|
||
expiry_ms = int(expiry_ms_from_ymd(expiry_ymd))
|
||
except Exception:
|
||
expiry_ms = None
|
||
|
||
now = int(time.time() * 1000)
|
||
open_fees = float((g["fees"] if g else 0) or 0)
|
||
fees = open_fees + pf.fee
|
||
slip = float((g["slip_cost"] if g else 0) or 0) + pf.slip
|
||
# 暂记永续段实现盈亏；期权到期结算后再按全部成交重算
|
||
interim_net = perp_pnl - open_fees - pf.fee
|
||
|
||
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 residual_options(
|
||
group_id, option_inst_id, option_side, option_qty_eth, option_qty_contracts,
|
||
option_entry_px, strike, expiry_ymd, expiry_ms, entry_index_px,
|
||
initial_premium, status, created_at_ms, note
|
||
) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||
(
|
||
group_id,
|
||
option_inst_id,
|
||
option_side,
|
||
float(pos["option_qty_eth"]),
|
||
float(pos["option_qty_contracts"] or 0),
|
||
float(pos["option_entry_px"]),
|
||
float(strike),
|
||
expiry_ymd,
|
||
expiry_ms,
|
||
float(pos["entry_index_px"] or 0),
|
||
float(pos["initial_premium"] or 0),
|
||
"pending",
|
||
now,
|
||
f"abandoned after {reason}; deep_otm spot={spot:.4f} K={strike}",
|
||
),
|
||
)
|
||
self.db._conn.execute(
|
||
"""UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
|
||
fees=?, slip_cost=?, note=? WHERE group_id=?""",
|
||
(
|
||
"option_residual",
|
||
now,
|
||
reason,
|
||
interim_net,
|
||
fees,
|
||
slip,
|
||
f"perp_closed; option residual until expiry",
|
||
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,
|
||
exit_target_usdt=NULL, status='flat'
|
||
WHERE id=1"""
|
||
)
|
||
self.db._conn.commit()
|
||
|
||
return CloseResult(
|
||
ok=True,
|
||
detail="perp_closed_option_residual",
|
||
data={
|
||
"group_id": group_id,
|
||
"reason": reason,
|
||
"mode": "target_perp_only",
|
||
"perp_pnl": perp_pnl,
|
||
"option_pnl": None,
|
||
"interim_net": interim_net,
|
||
"net": interim_net,
|
||
"net_pnl": interim_net,
|
||
"option_abandoned": True,
|
||
"strike": float(strike),
|
||
"spot": float(spot),
|
||
},
|
||
)
|
||
|
||
def list_residual_options(self, *, pending_only: bool = True) -> list[dict[str, Any]]:
|
||
if pending_only:
|
||
rows = self.db.fetchall(
|
||
"SELECT * FROM residual_options WHERE status='pending' ORDER BY created_at_ms ASC"
|
||
)
|
||
else:
|
||
rows = self.db.fetchall(
|
||
"SELECT * FROM residual_options ORDER BY created_at_ms DESC LIMIT 100"
|
||
)
|
||
return [dict(r) for r in rows]
|
||
|
||
def _residual_min_premium_pct(self) -> float:
|
||
s = get_settings()
|
||
return float(
|
||
self.ledger.get_setting_float(
|
||
"residual_min_premium_pct", s.residual_min_premium_pct
|
||
)
|
||
)
|
||
|
||
def _residual_bid_gate(
|
||
self,
|
||
row: dict[str, Any],
|
||
*,
|
||
bid: float,
|
||
oq: Any,
|
||
require_premium_ratio: bool = True,
|
||
) -> str | None:
|
||
"""深度 + 买一/标记偏差；可选权利金比例。通过返回 None。"""
|
||
s = get_settings()
|
||
initial_premium = float(row.get("initial_premium") or 0)
|
||
opt_qty = float(row.get("option_qty_eth") or 0)
|
||
if opt_qty <= 0:
|
||
return "invalid_qty"
|
||
if bid <= 0:
|
||
return "option_bid_unavailable"
|
||
if require_premium_ratio:
|
||
if initial_premium <= 0:
|
||
return "invalid_initial_premium_or_qty"
|
||
current_premium = float(bid) * opt_qty
|
||
min_pct = self._residual_min_premium_pct()
|
||
threshold = initial_premium * (min_pct / 100.0)
|
||
if current_premium + 1e-12 < threshold:
|
||
return (
|
||
f"premium_below_threshold curr={current_premium:.4f} "
|
||
f"need>={threshold:.4f} ({min_pct:g}%)"
|
||
)
|
||
option_inst_id = str(row.get("option_inst_id") or "")
|
||
ct_mult = self._ct_mult(option_inst_id)
|
||
if not bid_covers_eth(
|
||
bid_sz_contracts=getattr(oq, "bid_sz", None),
|
||
ct_mult=ct_mult,
|
||
need_eth=opt_qty,
|
||
):
|
||
return "option_bid_liquidity_insufficient"
|
||
max_dev = self.ledger.get_setting_float(
|
||
"close_bid_mark_max_pct", s.close_bid_mark_max_pct
|
||
)
|
||
ok_dev, why = bid_mark_ok(
|
||
bid=float(bid),
|
||
mark=getattr(oq, "mark_px", None),
|
||
max_dev_pct=max_dev,
|
||
)
|
||
if not ok_dev:
|
||
return why or "bid_mark_deviation"
|
||
return None
|
||
|
||
def _evaluate_residual_premium_close(
|
||
self, row: dict[str, Any], *, require_premium_ratio: bool = True
|
||
) -> tuple[str | None, float | None, Any]:
|
||
"""
|
||
残留平前置：买一流动性；自动路径另加权利金比例。
|
||
返回 (skip_reason, close_bid, option_quote)；skip_reason 非空则本轮不卖。
|
||
"""
|
||
option_inst_id = str(row.get("option_inst_id") or "")
|
||
if not option_inst_id:
|
||
return ("missing_option_inst", None, None)
|
||
oq = self._quote_held_option(option_inst_id)
|
||
if oq is None or oq.bid is None:
|
||
return ("option_bid_unavailable", None, None)
|
||
close_bid = float(oq.bid)
|
||
skip = self._residual_bid_gate(
|
||
row,
|
||
bid=close_bid,
|
||
oq=oq,
|
||
require_premium_ratio=require_premium_ratio,
|
||
)
|
||
if skip:
|
||
return (skip, None, None)
|
||
return (None, close_bid, oq)
|
||
|
||
def list_residual_options_enriched(self) -> list[dict[str, Any]]:
|
||
"""pending 残留 + 买一价/量、买一权利金、回收占比、流动性是否可手动平。"""
|
||
out: list[dict[str, Any]] = []
|
||
for row in self.list_residual_options(pending_only=True):
|
||
d = dict(row)
|
||
option_inst_id = str(d.get("option_inst_id") or "")
|
||
opt_qty = float(d.get("option_qty_eth") or 0)
|
||
init = float(d.get("initial_premium") or 0)
|
||
oq = self._quote_held_option(option_inst_id) if option_inst_id else None
|
||
bid = float(oq.bid) if oq is not None and oq.bid is not None else None
|
||
bid_sz = None
|
||
bid_sz_eth = None
|
||
if oq is not None and getattr(oq, "bid_sz", None) is not None:
|
||
try:
|
||
bid_sz = float(oq.bid_sz)
|
||
except (TypeError, ValueError):
|
||
bid_sz = None
|
||
if bid_sz is not None and bid_sz >= 0:
|
||
ct = self._ct_mult(option_inst_id) if option_inst_id else 0.01
|
||
bid_sz_eth = eth_from_contracts(bid_sz, ct)
|
||
# 权利金 = 最新买一价 × 持仓数量；占比 = 买一权利金 / 开仓权利金
|
||
cur = float(bid) * opt_qty if bid is not None else None
|
||
ratio = (cur / init * 100.0) if cur is not None and init > 1e-12 else None
|
||
liq_detail: str | None
|
||
if bid is None or oq is None:
|
||
liq_detail = "option_bid_unavailable"
|
||
else:
|
||
liq_detail = self._residual_bid_gate(
|
||
d, bid=bid, oq=oq, require_premium_ratio=False
|
||
)
|
||
d.update(
|
||
{
|
||
"bid_px": bid,
|
||
"bid_sz": bid_sz,
|
||
"bid_sz_eth": bid_sz_eth,
|
||
"current_premium": cur,
|
||
"recovery_pct": ratio,
|
||
"liquidity_ok": liq_detail is None,
|
||
"liquidity_detail": liq_detail,
|
||
}
|
||
)
|
||
out.append(d)
|
||
return out
|
||
|
||
def close_residual_manual(self, group_id: str) -> CloseResult:
|
||
"""中控手动平单条残留：只验流动性，不验权利金比例。"""
|
||
gid = str(group_id or "").strip()
|
||
if not gid:
|
||
return CloseResult(ok=False, detail="缺少 group_id")
|
||
row = self.db.fetchone(
|
||
"SELECT * FROM residual_options WHERE group_id=? AND status='pending'",
|
||
(gid,),
|
||
)
|
||
if row is None:
|
||
return CloseResult(ok=False, detail="无该组 pending 残留")
|
||
d = dict(row)
|
||
skip, _bid, _oq = self._evaluate_residual_premium_close(
|
||
d, require_premium_ratio=False
|
||
)
|
||
if skip:
|
||
return CloseResult(ok=False, detail=skip, liquidity_wait=True)
|
||
booked = self.try_close_one_residual(d, skip_premium_ratio=True)
|
||
if not booked:
|
||
return CloseResult(
|
||
ok=False,
|
||
detail="平残留失败（流动性变化或下单未成交）",
|
||
liquidity_wait=True,
|
||
)
|
||
return CloseResult(ok=True, detail="residual_manual_closed", data=booked)
|
||
|
||
def _book_residual_market_close(
|
||
self,
|
||
row: dict[str, Any],
|
||
*,
|
||
fill_px: float,
|
||
fee: float,
|
||
notional: float,
|
||
slip: float,
|
||
now_ms: int,
|
||
note: str,
|
||
exec_mode: str | None = None,
|
||
filled_contracts: float | None = None,
|
||
remaining_contracts: float | None = None,
|
||
close_reason: str = "residual_premium_close",
|
||
) -> dict[str, Any] | None:
|
||
"""买一卖出残留后的入账（与 pending 状态同事务）。支持部分成交扣减数量。"""
|
||
group_id = str(row["group_id"])
|
||
option_inst_id = str(row["option_inst_id"])
|
||
ct_mult = self._ct_mult(option_inst_id)
|
||
local_c = float(row.get("option_qty_contracts") or 0)
|
||
local_eth = float(row.get("option_qty_eth") or 0)
|
||
zero_fill_ok = (
|
||
filled_contracts is not None
|
||
and float(filled_contracts) <= 1e-12
|
||
and remaining_contracts is not None
|
||
and float(remaining_contracts) <= 1e-12
|
||
)
|
||
if filled_contracts is not None and float(filled_contracts) > 0:
|
||
fill_c = float(filled_contracts)
|
||
fill_eth = eth_from_contracts(fill_c, ct_mult)
|
||
elif zero_fill_ok:
|
||
fill_c = 0.0
|
||
fill_eth = 0.0
|
||
else:
|
||
fill_eth = local_eth
|
||
fill_c = local_c if local_c > 0 else contracts_for_eth(fill_eth, ct_mult)
|
||
if fill_eth <= 0 and not zero_fill_ok:
|
||
return None
|
||
fill_notional = (
|
||
float(notional)
|
||
if float(notional) > 0
|
||
else float(fill_px) * fill_eth
|
||
)
|
||
opt_entry = float(row["option_entry_px"])
|
||
opt_pnl = (float(fill_px) - opt_entry) * fill_eth if fill_eth > 0 else 0.0
|
||
opt_cash = fill_notional - float(fee)
|
||
allow_neg = not get_settings().is_sim
|
||
|
||
if remaining_contracts is not None:
|
||
rem_c = max(0.0, float(remaining_contracts))
|
||
else:
|
||
rem_c = max(0.0, local_c - fill_c) if local_c > 0 else 0.0
|
||
rem_eth = eth_from_contracts(rem_c, ct_mult) if rem_c > 0 else 0.0
|
||
fully_done = rem_c <= 1e-8
|
||
|
||
with self.db._lock:
|
||
pending = self.db._conn.execute(
|
||
"SELECT * FROM residual_options WHERE group_id=? AND status='pending'",
|
||
(group_id,),
|
||
).fetchone()
|
||
if pending is None:
|
||
logger.warning(
|
||
"residual book skip %s: not pending (already settled?)", group_id
|
||
)
|
||
return None
|
||
|
||
if abs(opt_cash) > 1e-12:
|
||
self.ledger.apply_cash(
|
||
opt_cash,
|
||
kind="close_option",
|
||
group_id=group_id,
|
||
note=note,
|
||
allow_negative=allow_neg,
|
||
commit=False,
|
||
)
|
||
if get_settings().is_sim:
|
||
try:
|
||
from .funds_wallets import SimFundsWallets
|
||
|
||
SimFundsWallets(self.db).mirror_cash(
|
||
float(opt_cash), kind="close_option"
|
||
)
|
||
except Exception:
|
||
pass
|
||
|
||
if fill_eth > 1e-12 or float(fee) > 1e-12:
|
||
fill_cols = (
|
||
"group_id, leg, action, side, inst_id, qty_eth, qty_contracts, "
|
||
"base_px, fill_px, fee, slip, notional, ts_ms"
|
||
)
|
||
fill_vals: list[Any] = [
|
||
group_id,
|
||
"option",
|
||
"close",
|
||
"flat",
|
||
option_inst_id,
|
||
fill_eth,
|
||
fill_c,
|
||
float(fill_px),
|
||
float(fill_px),
|
||
float(fee),
|
||
float(slip),
|
||
fill_notional,
|
||
now_ms,
|
||
]
|
||
if exec_mode:
|
||
fill_cols += ", exec_mode"
|
||
fill_vals.append(exec_mode)
|
||
self.db._conn.execute(
|
||
f"""INSERT INTO fills({fill_cols})
|
||
VALUES ({",".join("?" for _ in fill_vals)})""",
|
||
tuple(fill_vals),
|
||
)
|
||
fills = self.db._conn.execute(
|
||
"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
|
||
).fetchall()
|
||
from ..sim.pnl import summarize_fills_pnl
|
||
|
||
summary = summarize_fills_pnl(list(fills))
|
||
net = summary.get("net_pnl")
|
||
if net is None:
|
||
net = opt_pnl - float(fee)
|
||
g = self.db._conn.execute(
|
||
"SELECT fees, slip_cost FROM groups WHERE group_id=?", (group_id,)
|
||
).fetchone()
|
||
fees = float(g["fees"] or 0) + float(fee) if g else float(fee)
|
||
slip_total = float(g["slip_cost"] or 0) + float(slip) if g else float(slip)
|
||
|
||
if fully_done:
|
||
cur = self.db._conn.execute(
|
||
"""UPDATE residual_options SET status=?, settled_at_ms=?, settle_px=?, settle_pnl=?, note=?
|
||
WHERE group_id=? AND status='pending'""",
|
||
(
|
||
"settled",
|
||
now_ms,
|
||
float(fill_px),
|
||
opt_pnl,
|
||
note,
|
||
group_id,
|
||
),
|
||
)
|
||
if cur.rowcount != 1:
|
||
self.db._conn.rollback()
|
||
logger.warning("residual settle race %s", group_id)
|
||
return None
|
||
self.db._conn.execute(
|
||
"""UPDATE groups SET status=?, close_at_ms=COALESCE(close_at_ms, ?),
|
||
close_reason=?, realized_pnl=?, fees=?, slip_cost=?
|
||
WHERE group_id=?""",
|
||
(
|
||
"closed",
|
||
now_ms,
|
||
close_reason,
|
||
float(net),
|
||
fees,
|
||
slip_total,
|
||
group_id,
|
||
),
|
||
)
|
||
else:
|
||
# 按初始权利金比例缩减门槛基准，避免部分成交后永远达不到原 20%
|
||
init_prem = float(pending["initial_premium"] or 0)
|
||
if local_eth > 1e-12 and rem_eth > 0:
|
||
init_prem = init_prem * (rem_eth / local_eth)
|
||
cur = self.db._conn.execute(
|
||
"""UPDATE residual_options SET
|
||
option_qty_eth=?, option_qty_contracts=?, initial_premium=?, note=?
|
||
WHERE group_id=? AND status='pending'""",
|
||
(
|
||
rem_eth,
|
||
rem_c,
|
||
init_prem,
|
||
f"{note}; partial rem_c={rem_c}",
|
||
group_id,
|
||
),
|
||
)
|
||
if cur.rowcount != 1:
|
||
self.db._conn.rollback()
|
||
return None
|
||
self.db._conn.execute(
|
||
"""UPDATE groups SET realized_pnl=?, fees=?, slip_cost=? WHERE group_id=?""",
|
||
(float(net), fees, slip_total, group_id),
|
||
)
|
||
self.db._conn.commit()
|
||
|
||
return {
|
||
"group_id": group_id,
|
||
"option_pnl": opt_pnl,
|
||
"settle_px": float(fill_px),
|
||
"net_pnl": float(net),
|
||
"reason": close_reason,
|
||
"current_premium": float(fill_px) * fill_eth,
|
||
"initial_premium": float(row.get("initial_premium") or 0),
|
||
"filled_contracts": fill_c,
|
||
"remaining_contracts": rem_c,
|
||
"fully_done": fully_done,
|
||
}
|
||
|
||
def try_close_one_residual(
|
||
self, row: dict[str, Any], *, skip_premium_ratio: bool = False
|
||
) -> dict[str, Any] | None:
|
||
"""SIM：流动性通过则吃买一平残留；自动路径另要求权利金比例。"""
|
||
require_ratio = not skip_premium_ratio
|
||
skip, close_bid, oq = self._evaluate_residual_premium_close(
|
||
row, require_premium_ratio=require_ratio
|
||
)
|
||
if skip or close_bid is None or oq is None:
|
||
if skip:
|
||
logger.debug(
|
||
"residual close skip %s: %s",
|
||
row.get("group_id"),
|
||
skip,
|
||
)
|
||
return None
|
||
option_inst_id = str(row.get("option_inst_id") or "")
|
||
oq2 = self._quote_held_option(option_inst_id) or oq
|
||
bid2 = float(oq2.bid) if oq2.bid is not None else float(close_bid)
|
||
skip2 = self._residual_bid_gate(
|
||
row, bid=bid2, oq=oq2, require_premium_ratio=require_ratio
|
||
)
|
||
if skip2:
|
||
logger.debug(
|
||
"residual close recheck skip %s: %s",
|
||
row.get("group_id"),
|
||
skip2,
|
||
)
|
||
return None
|
||
of = option_fill(
|
||
action="close",
|
||
bid=float(bid2),
|
||
ask=float(oq2.ask or bid2),
|
||
qty_eth=float(row["option_qty_eth"]),
|
||
fee_rate=self._fee_rate(),
|
||
)
|
||
now_ms = int(time.time() * 1000)
|
||
note = (
|
||
f"residual manual close at bid px={bid2}"
|
||
if skip_premium_ratio
|
||
else f"residual mid-close at bid px={bid2}"
|
||
)
|
||
return self._book_residual_market_close(
|
||
row,
|
||
fill_px=of.fill_px,
|
||
fee=of.fee,
|
||
notional=of.notional,
|
||
slip=of.slip,
|
||
now_ms=now_ms,
|
||
note=note,
|
||
filled_contracts=float(row.get("option_qty_contracts") or 0) or None,
|
||
remaining_contracts=0.0,
|
||
close_reason=(
|
||
"residual_manual_close"
|
||
if skip_premium_ratio
|
||
else "residual_premium_close"
|
||
),
|
||
)
|
||
|
||
def try_close_pending_residuals(self) -> list[dict[str, Any]]:
|
||
"""巡检全部 pending 残留，尝试权利金回收平仓。"""
|
||
out: list[dict[str, Any]] = []
|
||
for row in self.list_residual_options(pending_only=True):
|
||
try:
|
||
r = self.try_close_one_residual(row)
|
||
except Exception:
|
||
logger.exception(
|
||
"try_close_one_residual failed group=%s", row.get("group_id")
|
||
)
|
||
continue
|
||
if r:
|
||
out.append(r)
|
||
return out
|
||
|
||
def settle_due_residuals(self, *, now_ms: int | None = None) -> list[dict[str, Any]]:
|
||
"""到期结算所有 pending 残留期权（不扫描进活跃组平仓）。"""
|
||
now = int(now_ms if now_ms is not None else time.time() * 1000)
|
||
pending = self.db.fetchall(
|
||
"SELECT * FROM residual_options WHERE status='pending' ORDER BY id ASC"
|
||
)
|
||
out: list[dict[str, Any]] = []
|
||
for row in pending:
|
||
ems = row["expiry_ms"]
|
||
if ems is None:
|
||
ymd = row["expiry_ymd"]
|
||
if ymd:
|
||
try:
|
||
from ..exchange.expiry import expiry_ms_from_ymd
|
||
|
||
ems = int(expiry_ms_from_ymd(str(ymd)))
|
||
except Exception:
|
||
continue
|
||
else:
|
||
continue
|
||
if now < int(ems):
|
||
continue
|
||
r = self._settle_one_residual(dict(row), now_ms=now)
|
||
if r:
|
||
out.append(r)
|
||
return out
|
||
|
||
def settle_all_residuals_now(self) -> list[dict[str, Any]]:
|
||
"""紧急：立即按内在价值结算全部残留（不等到期）。"""
|
||
pending = self.db.fetchall(
|
||
"SELECT * FROM residual_options WHERE status='pending' ORDER BY id ASC"
|
||
)
|
||
now = int(time.time() * 1000)
|
||
out: list[dict[str, Any]] = []
|
||
for row in pending:
|
||
r = self._settle_one_residual(dict(row), now_ms=now, force=True)
|
||
if r:
|
||
out.append(r)
|
||
return out
|
||
|
||
def _try_exchange_flatten_residual(
|
||
self, row: dict[str, Any], *, force: bool = False
|
||
) -> dict[str, Any] | None:
|
||
"""LIVE 覆盖：尽量在交易所卖掉残留。成功返回 fill 字段字典。"""
|
||
return None
|
||
|
||
def _settle_one_residual(
|
||
self, row: dict[str, Any], *, now_ms: int, force: bool = False
|
||
) -> dict[str, Any] | None:
|
||
group_id = str(row["group_id"])
|
||
# LIVE：优先交易所卖出再入账
|
||
ex_fill = self._try_exchange_flatten_residual(row, force=force)
|
||
if ex_fill is not None:
|
||
booked = self._book_residual_market_close(
|
||
row,
|
||
fill_px=float(ex_fill["fill_px"]),
|
||
fee=float(ex_fill.get("fee") or 0),
|
||
notional=float(ex_fill["notional"]),
|
||
slip=float(ex_fill.get("slip") or 0),
|
||
now_ms=now_ms,
|
||
note=str(ex_fill.get("note") or "residual exchange settle"),
|
||
exec_mode=ex_fill.get("exec_mode"),
|
||
filled_contracts=ex_fill.get("filled_contracts"),
|
||
remaining_contracts=float(ex_fill.get("remaining_contracts") or 0),
|
||
close_reason=str(
|
||
ex_fill.get("close_reason")
|
||
or ("emergency" if force else "expiry")
|
||
),
|
||
)
|
||
if booked is not None:
|
||
booked["forced"] = force
|
||
return booked
|
||
|
||
sess = get_session()
|
||
snap = sess.snapshot()
|
||
spot = self._close_spot_px(snap)
|
||
strike = row["strike"]
|
||
if strike is None or spot is None:
|
||
logger.warning("residual settle skip %s: no strike/spot", group_id)
|
||
return None
|
||
fee_rate = self._fee_rate()
|
||
intrinsic = option_intrinsic(
|
||
option_side=str(row["option_side"]),
|
||
strike=float(strike),
|
||
spot=float(spot),
|
||
)
|
||
of = option_expiry_settle(
|
||
intrinsic=float(intrinsic),
|
||
qty_eth=float(row["option_qty_eth"]),
|
||
fee_rate=fee_rate,
|
||
)
|
||
return self._book_residual_market_close(
|
||
row,
|
||
fill_px=of.fill_px,
|
||
fee=of.fee,
|
||
notional=of.notional,
|
||
slip=of.slip,
|
||
now_ms=now_ms,
|
||
note=f"residual option expiry settle{' force' if force else ''}",
|
||
filled_contracts=float(row.get("option_qty_contracts") or 0) or None,
|
||
remaining_contracts=0.0,
|
||
close_reason="expiry" if not force else "emergency",
|
||
)
|
||
|
||
def _quote_held_option(self, option_inst_id: str):
|
||
"""只取持仓合约盘口；缺失时 REST 补一次，绝不借用 ATM 对。"""
|
||
if not option_inst_id:
|
||
return None
|
||
ex = get_exchange()
|
||
oq = ex.quote(option_inst_id)
|
||
if oq is not None and (oq.bid is not None or oq.ask is not None or oq.mark_px is not None):
|
||
return oq
|
||
try:
|
||
bids, asks, ts = ex.fetch_book(option_inst_id, depth=5)
|
||
cache = getattr(ex, "cache", None)
|
||
if cache is not None and (bids or asks):
|
||
cache.upsert_book(option_inst_id, bids=bids, asks=asks, ts_ms=ts)
|
||
try:
|
||
mp = ex.fetch_mark(option_inst_id)
|
||
if mp:
|
||
cache.set_mark_px(option_inst_id, mp)
|
||
except Exception:
|
||
pass
|
||
return ex.quote(option_inst_id)
|
||
except Exception:
|
||
return ex.quote(option_inst_id)
|
||
|
||
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,
|
||
"option2_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,
|
||
}
|
||
if str(pos.get("hedge_mode") or "") == "option_option" or pos.get(
|
||
"option2_inst_id"
|
||
):
|
||
return self._unrealized_oo(pos)
|
||
return self._unrealized_perp(pos)
|
||
|
||
def _unrealized_oo(self, pos: dict[str, Any]) -> dict[str, Any]:
|
||
sess = get_session()
|
||
snap = sess.snapshot()
|
||
fee_rate = self._fee_rate()
|
||
index_px = snap.index_px
|
||
if index_px is None and snap.perp:
|
||
index_px = snap.perp.mark_px
|
||
qty = float(pos.get("option_qty_eth") or 0)
|
||
qty2 = float(pos.get("option2_qty_eth") or qty)
|
||
prem1 = float(pos.get("initial_premium") or 0)
|
||
prem2 = float(pos.get("initial_premium2") or 0)
|
||
call_id = str(pos.get("option_inst_id") or "")
|
||
put_id = str(pos.get("option2_inst_id") or "")
|
||
oq1 = self._quote_held_option(call_id) if call_id else None
|
||
oq2 = self._quote_held_option(put_id) if put_id else None
|
||
option_upl = 0.0
|
||
option2_upl = 0.0
|
||
fees = 0.0
|
||
if oq1 and oq1.bid is not None and qty > 0:
|
||
bid = float(oq1.bid)
|
||
of = option_fill(
|
||
action="close",
|
||
bid=bid,
|
||
ask=float(oq1.ask or bid),
|
||
qty_eth=qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
fees += of.fee
|
||
option_upl = bid * qty - prem1
|
||
if oq2 and oq2.bid is not None and qty2 > 0:
|
||
bid = float(oq2.bid)
|
||
of = option_fill(
|
||
action="close",
|
||
bid=bid,
|
||
ask=float(oq2.ask or bid),
|
||
qty_eth=qty2,
|
||
fee_rate=fee_rate,
|
||
)
|
||
fees += of.fee
|
||
option2_upl = bid * qty2 - prem2
|
||
g = None
|
||
gid = pos.get("group_id")
|
||
if gid:
|
||
g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (gid,))
|
||
paid = float(g["fees"] or 0) if g else 0.0
|
||
net = option_upl + option2_upl - paid - fees
|
||
entry_idx = float(pos.get("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
|
||
return {
|
||
"has_position": True,
|
||
"hedge_mode": "option_option",
|
||
"group_id": gid,
|
||
"status": "open",
|
||
"perp_upl": 0.0,
|
||
"option_upl": option_upl,
|
||
"option2_upl": option2_upl,
|
||
"net_pnl": net,
|
||
"fees_paid": paid,
|
||
"est_close_fees": fees,
|
||
"index_px": float(index_px) if index_px is not None else None,
|
||
"entry_index_px": entry_idx,
|
||
"move_points": move,
|
||
"move_pct": move_pct,
|
||
"initial_premium": prem1 + prem2,
|
||
"option_inst_id": call_id,
|
||
"option2_inst_id": put_id,
|
||
"option_side": "call",
|
||
"option2_side": "put",
|
||
"option_qty_eth": qty,
|
||
"option2_qty_eth": qty2,
|
||
"option_entry_px": float(pos.get("option_entry_px") or 0),
|
||
"option2_entry_px": float(pos.get("option2_entry_px") or 0),
|
||
"strike": float(g["strike"]) if g and g["strike"] is not None else None,
|
||
"strike2": float(pos.get("strike2") or 0) or None,
|
||
"expiry_ymd": g["expiry_ymd"] if g else None,
|
||
"open_at_ms": int(g["open_at_ms"]) if g and g["open_at_ms"] else None,
|
||
"perp_side": None,
|
||
"perp_qty_eth": 0.0,
|
||
"premium_gap": None,
|
||
}
|
||
|
||
def _unrealized_perp(self, pos: dict[str, Any]) -> dict[str, Any]:
|
||
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 = self._quote_held_option(opt_inst)
|
||
initial_premium = float(pos["initial_premium"] or 0)
|
||
option_upl = 0.0
|
||
est_opt_close_fee = 0.0
|
||
opt_mark = None
|
||
opt_bid_sz = None
|
||
if oq and oq.bid is not None:
|
||
bid = float(oq.bid)
|
||
of = option_fill(
|
||
action="close",
|
||
bid=bid,
|
||
ask=float(oq.ask or bid),
|
||
qty_eth=opt_qty,
|
||
fee_rate=fee_rate,
|
||
)
|
||
est_opt_close_fee = of.fee
|
||
opt_mark = bid
|
||
opt_bid_sz = float(oq.bid_sz) if oq.bid_sz is not None else None
|
||
# 浮盈亏：买一×数量 − 初始权利金（对齐可市价卖出）
|
||
option_upl = bid * opt_qty - initial_premium
|
||
elif oq:
|
||
opt_mark = oq.bid or oq.mark_px
|
||
opt_bid_sz = float(oq.bid_sz) if oq.bid_sz is not None else None
|
||
if opt_mark is not None:
|
||
option_upl = float(opt_mark) * opt_qty - initial_premium
|
||
|
||
book_close_fees = est_perp_close_fee + est_opt_close_fee
|
||
|
||
entry_idx = float(pos["entry_index_px"] or 0)
|
||
move = abs(float(index_px) - entry_idx) if index_px is not None and entry_idx else 0.0
|
||
move_pct = (move / entry_idx * 100.0) if entry_idx > 0 else 0.0
|
||
premium_gap = initial_premium - perp_upl
|
||
leverage = self.ledger.get_setting_float("leverage", s.leverage)
|
||
notional = abs(perp_entry * perp_qty)
|
||
margin = notional / leverage if leverage > 0 else None
|
||
from ..strategy.selection import option_leverage as _opt_lev
|
||
|
||
opt_lev = _opt_lev(entry_idx, opt_entry) if entry_idx > 0 and opt_entry > 0 else None
|
||
if opt_lev is not None:
|
||
opt_lev = round(float(opt_lev), 1)
|
||
|
||
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
|
||
open_at_ms = int(g["open_at_ms"]) if g and g["open_at_ms"] else None
|
||
open_fees = abs(float(g["fees"] or 0)) if g else 0.0
|
||
# 净盈利：浮盈 − 入场手续费×2（离场费按入场估算）；无入场费时退回盘口估平仓费
|
||
if open_fees > 1e-12:
|
||
est_close_fees = open_fees
|
||
net_pnl = perp_upl + option_upl - open_fees * 2.0
|
||
else:
|
||
est_close_fees = book_close_fees
|
||
net_pnl = perp_upl + option_upl - est_close_fees
|
||
expiry_ms = None
|
||
if expiry_ymd and len(expiry_ymd) == 6:
|
||
try:
|
||
from ..exchange.expiry import expiry_ms_from_ymd
|
||
|
||
expiry_ms = expiry_ms_from_ymd(expiry_ymd)
|
||
except Exception:
|
||
expiry_ms = None
|
||
perp_inst_id = (
|
||
str(g["perp_inst_id"])
|
||
if g and g["perp_inst_id"]
|
||
else s.perp_inst_id
|
||
)
|
||
|
||
return {
|
||
"has_position": True,
|
||
"group_id": group_id,
|
||
"open_at_ms": open_at_ms,
|
||
"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,
|
||
"option_bid_sz": float(opt_bid_sz) if opt_bid_sz is not None else None,
|
||
"option_leverage": float(opt_lev) if opt_lev is not None else None,
|
||
"strike": strike,
|
||
"expiry_ymd": expiry_ymd,
|
||
"expiry_ms": expiry_ms,
|
||
"perp_upl": perp_upl,
|
||
"option_upl": option_upl,
|
||
"fees_paid": open_fees,
|
||
"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,
|
||
"exit_target_usdt": (
|
||
float(pos["exit_target_usdt"])
|
||
if pos.get("exit_target_usdt") is not None
|
||
else None
|
||
),
|
||
"premium_gap": premium_gap,
|
||
"status": pos.get("status"),
|
||
}
|