dekun
69 lines
1.6 KiB
Python
69 lines
1.6 KiB
Python
"""成交价与手续费：滑点 = 1×f。"""
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from __future__ import annotations
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from dataclasses import asdict, dataclass
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@dataclass(slots=True)
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class PriceResult:
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base_px: float
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fill_px: float
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fee: float
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slip: float
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notional: float
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def to_dict(self) -> dict[str, float]:
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return asdict(self)
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def perp_fill(
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*,
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side: str,
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action: str,
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bid: float,
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ask: float,
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qty_eth: float,
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fee_rate: float,
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) -> PriceResult:
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"""
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side: long|short（持仓方向意图：开仓要建立的方向 / 平仓时原持仓方向）
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action: open|close
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开多/平空: 吃卖一 ×(1+f)
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开空/平多: 吃买一 ×(1-f)
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"""
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f = float(fee_rate)
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buying = (action == "open" and side == "long") or (action == "close" and side == "short")
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if buying:
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base = float(ask)
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fill = base * (1.0 + f)
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else:
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base = float(bid)
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fill = base * (1.0 - f)
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notional = abs(fill * qty_eth)
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fee = notional * f
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slip = abs(fill - base) * qty_eth
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return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
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def option_fill(
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*,
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action: str,
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bid: float,
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ask: float,
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qty_eth: float,
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fee_rate: float,
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) -> PriceResult:
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"""开仓买入吃卖一；平仓卖出吃买一。"""
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f = float(fee_rate)
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if action == "open":
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base = float(ask)
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fill = base * (1.0 + f)
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else:
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base = float(bid)
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fill = base * (1.0 - f)
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notional = abs(fill * qty_eth)
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fee = notional * f
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slip = abs(fill - base) * qty_eth
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return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=slip, notional=notional)
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