dekun
0ee1d8be5d
When enabled, lock perp long→buy Put or short→buy Call with ITM/ATM only; off keeps ATM/ask rules. Co-authored-by: Cursor <cursoragent@cursor.com>
301 lines
9.9 KiB
Python
301 lines
9.9 KiB
Python
from __future__ import annotations
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import sqlite3
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import threading
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import time
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from pathlib import Path
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from typing import Any
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from ..config import Settings, get_settings
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_SCHEMA = """
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CREATE TABLE IF NOT EXISTS settings (
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key TEXT PRIMARY KEY,
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value TEXT NOT NULL
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);
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CREATE TABLE IF NOT EXISTS ledger_meta (
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id INTEGER PRIMARY KEY CHECK (id = 1),
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equity REAL NOT NULL,
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available REAL NOT NULL,
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reserved REAL NOT NULL DEFAULT 0,
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updated_at_ms INTEGER NOT NULL
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);
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CREATE TABLE IF NOT EXISTS groups (
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group_id TEXT PRIMARY KEY,
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status TEXT NOT NULL,
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bias TEXT,
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option_side TEXT,
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perp_side TEXT,
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option_inst_id TEXT,
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perp_inst_id TEXT,
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strike REAL,
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expiry_ymd TEXT,
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entry_index_px REAL,
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initial_premium REAL DEFAULT 0,
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open_at_ms INTEGER,
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close_at_ms INTEGER,
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close_reason TEXT,
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realized_pnl REAL DEFAULT 0,
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fees REAL DEFAULT 0,
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slip_cost REAL DEFAULT 0,
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note TEXT,
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exec_mode TEXT,
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funding_usdt REAL,
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settle_index_px REAL
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);
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CREATE TABLE IF NOT EXISTS fills (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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group_id TEXT NOT NULL,
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leg TEXT NOT NULL,
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action TEXT NOT NULL,
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side TEXT NOT NULL,
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inst_id TEXT NOT NULL,
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qty_eth REAL NOT NULL,
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qty_contracts REAL,
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base_px REAL,
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fill_px REAL NOT NULL,
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fee REAL NOT NULL,
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slip REAL NOT NULL,
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notional REAL NOT NULL,
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ts_ms INTEGER NOT NULL,
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exec_mode TEXT,
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FOREIGN KEY(group_id) REFERENCES groups(group_id)
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);
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CREATE TABLE IF NOT EXISTS positions (
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id INTEGER PRIMARY KEY CHECK (id = 1),
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group_id TEXT,
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perp_side TEXT,
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perp_qty_eth REAL DEFAULT 0,
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perp_entry_px REAL,
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option_inst_id TEXT,
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option_side TEXT,
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option_qty_eth REAL DEFAULT 0,
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option_qty_contracts REAL DEFAULT 0,
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option_entry_px REAL,
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entry_index_px REAL,
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initial_premium REAL DEFAULT 0,
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status TEXT
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);
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CREATE TABLE IF NOT EXISTS ledger_entries (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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group_id TEXT,
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kind TEXT NOT NULL,
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amount REAL NOT NULL,
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balance_after REAL NOT NULL,
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note TEXT,
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ts_ms INTEGER NOT NULL
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);
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CREATE TABLE IF NOT EXISTS strategy_state (
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id INTEGER PRIMARY KEY CHECK (id = 1),
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running INTEGER NOT NULL DEFAULT 0,
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phase TEXT NOT NULL DEFAULT 'idle',
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rounds_done INTEGER NOT NULL DEFAULT 0,
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window_key TEXT,
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rest_until_ms INTEGER,
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last_error TEXT,
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updated_at_ms INTEGER NOT NULL
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);
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CREATE TABLE IF NOT EXISTS residual_options (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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group_id TEXT NOT NULL UNIQUE,
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option_inst_id TEXT NOT NULL,
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option_side TEXT NOT NULL,
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option_qty_eth REAL NOT NULL,
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option_qty_contracts REAL,
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option_entry_px REAL NOT NULL,
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strike REAL,
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expiry_ymd TEXT,
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expiry_ms INTEGER,
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entry_index_px REAL,
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initial_premium REAL DEFAULT 0,
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status TEXT NOT NULL DEFAULT 'pending',
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created_at_ms INTEGER NOT NULL,
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settled_at_ms INTEGER,
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settle_px REAL,
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settle_pnl REAL,
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note TEXT,
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FOREIGN KEY(group_id) REFERENCES groups(group_id)
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);
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CREATE TABLE IF NOT EXISTS funds_wallets (
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id INTEGER PRIMARY KEY CHECK (id = 1),
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funding_usdt REAL NOT NULL DEFAULT 0,
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trading_usdt REAL NOT NULL DEFAULT 0,
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options_funding_usdc REAL NOT NULL DEFAULT 0,
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options_trading_usdc REAL NOT NULL DEFAULT 0,
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options_funding_usdt REAL NOT NULL DEFAULT 0,
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options_trading_usdt REAL NOT NULL DEFAULT 0,
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updated_at_ms INTEGER NOT NULL
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);
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"""
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def default_db_path(settings: Settings | None = None) -> Path:
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s = settings or get_settings()
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if s.db_path:
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return Path(s.db_path)
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root = Path(__file__).resolve().parents[2] # backend/
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return root / "data" / "hedge.db"
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class Database:
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def __init__(self, path: Path | None = None) -> None:
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self.path = path or default_db_path()
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self.path.parent.mkdir(parents=True, exist_ok=True)
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self._lock = threading.RLock()
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self._conn = sqlite3.connect(str(self.path), check_same_thread=False)
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self._conn.row_factory = sqlite3.Row
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self._conn.execute("PRAGMA journal_mode=WAL;")
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self._conn.executescript(_SCHEMA)
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self._conn.commit()
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self._migrate_columns()
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self._ensure_seed()
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def _migrate_columns(self) -> None:
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"""幂等补列：exec_mode。"""
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with self._lock:
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for table, col, decl in (
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("groups", "exec_mode", "TEXT"),
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("groups", "funding_usdt", "REAL"),
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("groups", "settle_index_px", "REAL"),
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("fills", "exec_mode", "TEXT"),
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("fills", "fee_ccy", "TEXT"),
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):
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cols = {
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str(r[1])
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for r in self._conn.execute(f"PRAGMA table_info({table})").fetchall()
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}
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if col not in cols:
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self._conn.execute(
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f"ALTER TABLE {table} ADD COLUMN {col} {decl}"
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)
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self._conn.commit()
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def close(self) -> None:
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with self._lock:
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self._conn.close()
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def _ensure_seed(self) -> None:
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s = get_settings()
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now = int(time.time() * 1000)
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with self._lock:
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row = self._conn.execute("SELECT id FROM ledger_meta WHERE id=1").fetchone()
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if row is None:
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self._conn.execute(
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"INSERT INTO ledger_meta(id, equity, available, reserved, updated_at_ms) VALUES (1,?,?,0,?)",
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(s.initial_equity, s.initial_equity, now),
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)
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pos = self._conn.execute("SELECT id FROM positions WHERE id=1").fetchone()
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if pos is None:
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self._conn.execute(
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"INSERT INTO positions(id, status) VALUES (1, 'flat')"
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)
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st = self._conn.execute("SELECT id FROM strategy_state WHERE id=1").fetchone()
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if st is None:
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self._conn.execute(
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"INSERT INTO strategy_state(id, running, phase, rounds_done, updated_at_ms) VALUES (1,0,'idle',0,?)",
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(now,),
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)
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fw = self._conn.execute("SELECT id FROM funds_wallets WHERE id=1").fetchone()
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if fw is None:
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led = self._conn.execute(
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"SELECT equity FROM ledger_meta WHERE id=1"
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).fetchone()
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eq = float(led["equity"]) if led else float(s.initial_equity)
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self._conn.execute(
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"""INSERT INTO funds_wallets(
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id, funding_usdt, trading_usdt, options_funding_usdc, options_trading_usdc,
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options_funding_usdt, options_trading_usdt, updated_at_ms
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) VALUES (1,?,0,0,0,0,0,?)""",
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(eq, now),
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)
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defaults = {
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"fee_rate": str(s.fee_rate),
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"initial_equity": str(s.initial_equity),
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"exit_move_points": str(s.exit_move_points),
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"exit_move_pct": str(s.exit_move_pct),
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"exit_mode": str(s.exit_mode),
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"net_profit_target": str(s.net_profit_target),
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"premium_exit_multiple": str(s.premium_exit_multiple),
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"rest_seconds": str(s.rest_seconds),
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"live_order_interval_sec": str(s.live_order_interval_sec),
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"skip_weekends": str(s.skip_weekends),
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"max_rounds": str(s.max_rounds),
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"leverage": str(s.leverage),
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"min_option_hours": str(s.min_option_hours),
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"min_option_leverage": str(s.min_option_leverage),
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"atm_open_offset_enabled": str(s.atm_open_offset_enabled),
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"max_atm_open_offset": str(s.max_atm_open_offset),
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"fixed_direction_enabled": str(s.fixed_direction_enabled),
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"fixed_perp_side": str(s.fixed_perp_side),
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"close_bid_mark_max_pct": str(s.close_bid_mark_max_pct),
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"perp_qty_eth": str(s.perp_qty_eth),
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"option_qty_eth": str(s.option_qty_eth),
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"exchange": str(s.exchange),
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"perp_inst_id": str(s.perp_inst_id),
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"option_inst_family": str(s.option_inst_family),
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"index_inst_id": str(s.index_inst_id),
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"option_ct_mult_default": str(s.option_ct_mult_default),
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}
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for k, v in defaults.items():
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exists = self._conn.execute(
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"SELECT key FROM settings WHERE key=?", (k,)
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).fetchone()
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if exists is None:
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self._conn.execute(
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"INSERT INTO settings(key, value) VALUES (?,?)", (k, v)
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)
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self._conn.commit()
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def execute(self, sql: str, params: tuple[Any, ...] | list[Any] = ()) -> sqlite3.Cursor:
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with self._lock:
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cur = self._conn.execute(sql, params)
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self._conn.commit()
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return cur
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def executemany(self, sql: str, seq: list[tuple[Any, ...]]) -> None:
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with self._lock:
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self._conn.executemany(sql, seq)
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self._conn.commit()
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def fetchone(self, sql: str, params: tuple[Any, ...] | list[Any] = ()) -> sqlite3.Row | None:
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with self._lock:
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return self._conn.execute(sql, params).fetchone()
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def fetchall(self, sql: str, params: tuple[Any, ...] | list[Any] = ()) -> list[sqlite3.Row]:
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with self._lock:
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return list(self._conn.execute(sql, params).fetchall())
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def get_setting(self, key: str, default: str | None = None) -> str | None:
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row = self.fetchone("SELECT value FROM settings WHERE key=?", (key,))
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if row is None:
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return default
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return str(row["value"])
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def set_setting(self, key: str, value: str) -> None:
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self.execute(
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"INSERT INTO settings(key, value) VALUES(?,?) ON CONFLICT(key) DO UPDATE SET value=excluded.value",
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(key, value),
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)
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_db: Database | None = None
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def get_db() -> Database:
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global _db
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if _db is None:
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_db = Database()
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return _db
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def set_db(db: Database | None) -> None:
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global _db
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_db = db
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