dekun
69 lines
1.8 KiB
Python
69 lines
1.8 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass
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@dataclass(slots=True)
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class Signal:
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bias: str # strike_below_spot | strike_above_spot | call_ask_gt_put | put_ask_gt_call
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option_side: str # call | put
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perp_side: str # long | short
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call_ask: float
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put_ask: float
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def decide(
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call_ask: float | None,
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put_ask: float | None,
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*,
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strike: float | None = None,
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mark_px: float | None = None,
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) -> Signal | None:
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"""
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开仓方向：
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- 行权价 < 标的 → 买 Call + 永续空（ATM 偏下）
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- 行权价 > 标的 → 买 Put + 永续多（ATM 偏上）
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- 行权价 ≈ 标的 → 回退 Call/Put 卖一比价
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"""
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if call_ask is None or put_ask is None:
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return None
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ca = float(call_ask)
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pa = float(put_ask)
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if strike is not None and mark_px is not None and float(mark_px) > 0:
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diff = float(strike) - float(mark_px)
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if diff < -1e-9:
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return Signal(
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bias="strike_below_spot",
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option_side="call",
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perp_side="short",
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call_ask=ca,
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put_ask=pa,
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)
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if diff > 1e-9:
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return Signal(
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bias="strike_above_spot",
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option_side="put",
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perp_side="long",
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call_ask=ca,
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put_ask=pa,
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)
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if ca > pa:
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return Signal(
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bias="call_ask_gt_put",
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option_side="call",
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perp_side="short",
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call_ask=ca,
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put_ask=pa,
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)
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if pa > ca:
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return Signal(
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bias="put_ask_gt_call",
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option_side="put",
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perp_side="long",
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call_ask=ca,
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put_ask=pa,
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)
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return None
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