dekun
120 lines
3.9 KiB
Python
120 lines
3.9 KiB
Python
"""合约选择：次日 16:00（上海）到期 + ATM 行权价（暂定默认，待拍板可改）。"""
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from __future__ import annotations
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import re
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from datetime import datetime, timedelta, timezone
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from typing import Any
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from zoneinfo import ZoneInfo
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from .types import OptionPair
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_SH = ZoneInfo("Asia/Shanghai")
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_DATE_RE = re.compile(r"^\d{6}$")
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def safe_float(v: Any) -> float | None:
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if v is None or v == "":
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return None
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try:
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return float(v)
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except (TypeError, ValueError):
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return None
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def parse_option_inst_id(inst_id: str) -> tuple[str | None, float | None, str | None]:
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"""ETH-USD_UM-YYMMDD-STRIKE-C → (YYMMDD, strike, C|P)."""
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parts = (inst_id or "").strip().split("-")
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if len(parts) < 5:
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return None, None, None
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ymd = parts[-3]
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strike = safe_float(parts[-2])
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opt = parts[-1].upper()
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if not _DATE_RE.fullmatch(ymd) or strike is None or opt not in ("C", "P"):
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return None, None, None
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return ymd, strike, opt
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def expiry_ms_from_ymd(ymd: str) -> int:
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"""OKX 期权到期：当日 08:00 UTC = 上海 16:00。"""
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yy, mm, dd = int(ymd[0:2]), int(ymd[2:4]), int(ymd[4:6])
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dt = datetime(2000 + yy, mm, dd, 8, 0, 0, tzinfo=timezone.utc)
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return int(dt.timestamp() * 1000)
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def next_session_expiry_ymd(now: datetime | None = None) -> str:
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"""
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业务约定：开仓选「次日 16:00」到期。
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- 上海时间 >= 当日 16:00：目标到期日 = 次日
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- 上海时间 < 当日 16:00：目标到期日 = 当日（当日 16:00 到期仍可用作盘口对齐/预热）
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正式开仓窗从当日 16:00 起，届时「次日」即日历次日。
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"""
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now_sh = (now or datetime.now(tz=_SH)).astimezone(_SH)
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open_today = now_sh.replace(hour=16, minute=0, second=0, microsecond=0)
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if now_sh >= open_today:
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target = now_sh.date() + timedelta(days=1)
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else:
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target = now_sh.date()
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return target.strftime("%y%m%d")
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def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
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if not strikes or mark_px <= 0:
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return None
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return min(strikes, key=lambda s: (abs(s - mark_px), s))
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def select_option_pair(
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instruments: list[dict[str, Any]],
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*,
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mark_px: float,
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expiry_ymd: str | None = None,
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now: datetime | None = None,
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) -> OptionPair | None:
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"""
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从 live 合约列表中选出：目标到期日 + ATM 同行权价 Call/Put。
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行权价规则暂定 ATM（最接近标记/指数价）；待拍板后可替换。
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"""
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ymd = expiry_ymd or next_session_expiry_ymd(now)
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by_strike: dict[float, dict[str, str]] = {}
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for row in instruments:
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if not isinstance(row, dict):
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continue
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state = str(row.get("state") or "live").lower()
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if state and state != "live":
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continue
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inst_id = str(row.get("instId") or "")
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y, stk, opt = parse_option_inst_id(inst_id)
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if y is None or stk is None or opt is None:
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exp = safe_float(row.get("expTime"))
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if exp:
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ms = int(exp) if exp > 10_000_000_000 else int(exp * 1000)
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y = datetime.fromtimestamp(ms / 1000, tz=timezone.utc).strftime("%y%m%d")
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stk = safe_float(row.get("stk"))
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opt_raw = str(row.get("optType") or "").upper()
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opt = opt_raw if opt_raw in ("C", "P") else None
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if not inst_id or y != ymd or stk is None or opt not in ("C", "P"):
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continue
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by_strike.setdefault(float(stk), {})[opt] = inst_id
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complete = {s: v for s, v in by_strike.items() if "C" in v and "P" in v}
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if not complete:
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return None
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atm = pick_atm_strike(list(complete.keys()), mark_px)
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if atm is None:
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return None
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legs = complete[atm]
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return OptionPair(
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expiry_ymd=ymd,
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expiry_ms=expiry_ms_from_ymd(ymd),
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strike=atm,
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call_inst_id=legs["C"],
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put_inst_id=legs["P"],
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)
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