dekun
457838ef64
Moneyness and perp:option units are plan-only; OTM enforces leverage >=180. Co-authored-by: Cursor <cursoragent@cursor.com>
287 lines
8.6 KiB
Python
287 lines
8.6 KiB
Python
"""策略选约：剩余时长 + ATM 平值 + 期权杠杆（交易所无关）。"""
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from __future__ import annotations
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from datetime import datetime, timedelta
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from typing import Any
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from zoneinfo import ZoneInfo
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from ..exchange.types import OptionPair
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_SH = ZoneInfo("Asia/Shanghai")
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def hours_until_ms(expiry_ms: int, now: datetime | None = None) -> float:
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n = (now or datetime.now(tz=_SH)).astimezone(_SH)
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return (int(expiry_ms) - int(n.timestamp() * 1000)) / 3_600_000.0
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def hours_until_expiry(
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ymd: str,
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now: datetime | None = None,
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*,
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expiry_ms: int | None = None,
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) -> float:
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if expiry_ms is not None:
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return hours_until_ms(expiry_ms, now)
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# 兼容测试：无 ms 时按 OKX 惯例（UTC 08:00）推算
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from ..exchange.expiry import expiry_ms_from_ymd
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return hours_until_ms(expiry_ms_from_ymd(ymd), now)
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def next_session_expiry_ymd(now: datetime | None = None) -> str:
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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 pick_otm_strike(
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strikes: list[float],
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mark_px: float,
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*,
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option_side: str,
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max_offset: float,
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) -> float | None:
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"""
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虚值：Call K>S、Put K<S；取最接近标的且 |K−S|≤max_offset 的一档。
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"""
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if not strikes or mark_px <= 0:
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return None
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side = (option_side or "").strip().lower()
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spot = float(mark_px)
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cap = max(0.0, float(max_offset))
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if side == "call":
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cands = [
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float(s)
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for s in strikes
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if float(s) > spot + 1e-9 and float(s) - spot <= cap + 1e-9
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]
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elif side == "put":
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cands = [
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float(s)
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for s in strikes
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if float(s) < spot - 1e-9 and spot - float(s) <= cap + 1e-9
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]
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else:
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return None
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if not cands:
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return None
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return min(cands, key=lambda s: (abs(s - spot), s))
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def is_otm(*, option_side: str, strike: float, mark_px: float) -> bool:
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if mark_px <= 0:
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return False
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side = (option_side or "").strip().lower()
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k = float(strike)
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s = float(mark_px)
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if side == "call":
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return k > s + 1e-9
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if side == "put":
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return k < s - 1e-9
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return False
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def pick_itm_or_atm_strike(
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strikes: list[float],
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mark_px: float,
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*,
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option_side: str,
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) -> float | None:
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"""
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固定方向选约：只要实值或平值，不要虚值。
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- Call：行权价 ≤ 标的（平值/实值）
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- Put：行权价 ≥ 标的（平值/实值）
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在合格档中取最接近标的者（优先平值）。
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"""
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if not strikes or mark_px <= 0:
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return None
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side = (option_side or "").strip().lower()
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if side == "call":
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cands = [float(s) for s in strikes if float(s) <= float(mark_px) + 1e-9]
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elif side == "put":
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cands = [float(s) for s in strikes if float(s) >= float(mark_px) - 1e-9]
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else:
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return None
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if not cands:
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return None
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return min(cands, key=lambda s: (abs(s - float(mark_px)), s))
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def is_itm_or_atm(*, option_side: str, strike: float, mark_px: float) -> bool:
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"""Call: K≤S；Put: K≥S。"""
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if mark_px <= 0:
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return False
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side = (option_side or "").strip().lower()
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k = float(strike)
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s = float(mark_px)
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if side == "call":
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return k <= s + 1e-9
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if side == "put":
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return k >= s - 1e-9
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return False
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def atm_open_offset(strike: float, mark_px: float) -> float:
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"""开仓用：ATM 行权价相对标的的绝对点差。"""
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return abs(float(strike) - float(mark_px))
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def atm_allows_open(
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strike: float,
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mark_px: float,
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*,
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max_offset: float,
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enabled: bool = False,
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) -> bool:
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"""开启限制时：|strike − mark| ≤ max_offset 才允许开仓；关闭则始终允许。"""
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if not enabled:
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return True
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if mark_px <= 0 or max_offset < 0:
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return False
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return atm_open_offset(strike, mark_px) <= float(max_offset) + 1e-9
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def option_leverage(underlying_px: float, premium_ask: float) -> float | None:
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if underlying_px <= 0 or premium_ask is None or premium_ask <= 0:
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return None
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return float(underlying_px) / float(premium_ask)
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def _complete_by_expiry(
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contracts: list[dict[str, Any]],
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) -> dict[str, tuple[int, dict[float, dict[str, str]]]]:
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"""ymd -> (expiry_ms, strike -> {C|P: instId})"""
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by_exp: dict[str, dict[float, dict[str, str]]] = {}
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ms_map: dict[str, int] = {}
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for c in contracts:
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y = str(c.get("expiry_ymd") or "")
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stk = c.get("strike")
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opt = str(c.get("side") or "").upper()
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inst_id = str(c.get("inst_id") or "")
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if not y or stk is None or opt not in ("C", "P") or not inst_id:
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continue
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by_exp.setdefault(y, {}).setdefault(float(stk), {})[opt] = inst_id
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if c.get("expiry_ms") is not None:
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ms_map[y] = int(c["expiry_ms"])
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out: dict[str, tuple[int, dict[float, dict[str, str]]]] = {}
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for ymd, strikes in by_exp.items():
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complete = {s: v for s, v in strikes.items() if "C" in v and "P" in v}
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if not complete:
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continue
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if ymd in ms_map:
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ems = ms_map[ymd]
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else:
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from ..exchange.expiry import expiry_ms_from_ymd
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ems = expiry_ms_from_ymd(ymd)
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out[ymd] = (ems, complete)
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return out
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def list_eligible_expiry_ymds(
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contracts: list[dict[str, Any]],
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*,
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min_hours: float,
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now: datetime | None = None,
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) -> list[str]:
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complete = _complete_by_expiry(contracts)
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eligible = [
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ymd
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for ymd, (ems, _) in complete.items()
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if hours_until_ms(ems, now) + 1e-9 >= float(min_hours)
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]
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return sorted(eligible, key=lambda y: complete[y][0])
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def select_option_pair(
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contracts: 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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min_hours: float | None = None,
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now: datetime | None = None,
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option_side: str | None = None,
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moneyness: str | None = None,
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otm_max_offset: float | None = None,
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) -> OptionPair | None:
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"""
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选到期 + 行权价。
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option_side 为 call/put 时：按 moneyness 选档（默认实值/平值，兼容固定方向）；
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否则仍选 ATM（现有规则）。
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moneyness: itm | atm | otm（仅半自动传入 otm/atm）。
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"""
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complete = _complete_by_expiry(contracts)
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if not complete:
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return None
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if expiry_ymd:
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ymd = expiry_ymd
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if ymd not in complete:
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return None
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elif min_hours is not None:
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eligible = list_eligible_expiry_ymds(contracts, min_hours=min_hours, now=now)
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if not eligible:
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return None
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ymd = eligible[0]
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else:
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ymd = next_session_expiry_ymd(now)
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if ymd not in complete:
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eligible = list_eligible_expiry_ymds(contracts, min_hours=0, now=now)
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if not eligible:
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return None
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ymd = eligible[0]
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ems, strikes_map = complete[ymd]
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keys = list(strikes_map.keys())
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side = (option_side or "").strip().lower() or None
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mny = (moneyness or "").strip().lower() or None
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if side in ("call", "put"):
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if mny == "otm":
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strike = pick_otm_strike(
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keys,
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mark_px,
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option_side=side,
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max_offset=float(otm_max_offset or 0),
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)
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elif mny == "atm":
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strike = pick_atm_strike(keys, mark_px)
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else:
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# itm 或未指定：实值/平值（固定方向默认）
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strike = pick_itm_or_atm_strike(keys, mark_px, option_side=side)
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else:
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strike = pick_atm_strike(keys, mark_px)
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if strike is None:
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return None
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legs = strikes_map[strike]
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return OptionPair(
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expiry_ymd=ymd,
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expiry_ms=ems,
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strike=strike,
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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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def normalize_contracts(contracts_or_rows: list[dict[str, Any]]) -> list[dict[str, Any]]:
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"""若已是中性结构则原样返回；否则按 OKX 原始行解析（测试兼容）。"""
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if not contracts_or_rows:
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return []
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sample = contracts_or_rows[0]
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if "inst_id" in sample and "expiry_ymd" in sample:
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return contracts_or_rows
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from ..exchange.okx.parse import rows_to_option_contracts
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return rows_to_option_contracts(contracts_or_rows)
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