first commit

2026-08-01 10:33:19 +08:00
commit d9a34d4f20
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+"""ATM / 合资格到期选择。规则：最接近指数的行权价；最近剩余时长 ≥ min_hours 的到期。"""
+
+from __future__ import annotations
+
+import re
+from dataclasses import dataclass
+from datetime import datetime
+from typing import Any
+from zoneinfo import ZoneInfo
+
+from packages.domain.expiry import expiry_ms_from_ymd
+
+_SH = ZoneInfo("Asia/Shanghai")
+_DATE_RE = re.compile(r"^\d{6}$")
+
+
+@dataclass(frozen=True)
+class OptionPair:
+    expiry_ymd: str
+    expiry_ms: int
+    strike: float
+    call_inst_id: str
+    put_inst_id: str
+
+
+def safe_float(v: Any) -> float | None:
+    if v is None or v == "":
+        return None
+    try:
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+def parse_option_inst_id(inst_id: str) -> tuple[str | None, float | None, str | None]:
+    """ETH-USD_UM-YYMMDD-STRIKE-C → (YYMMDD, strike, C|P)."""
+    parts = (inst_id or "").strip().split("-")
+    if len(parts) < 5:
+        return None, None, None
+    ymd = parts[-3]
+    strike = safe_float(parts[-2])
+    opt = parts[-1].upper()
+    if not _DATE_RE.fullmatch(ymd) or strike is None or opt not in ("C", "P"):
+        return None, None, None
+    return ymd, strike, opt
+
+
+def rows_to_contracts(rows: list[dict[str, Any]]) -> list[dict[str, Any]]:
+    out: list[dict[str, Any]] = []
+    for row in rows:
+        if not isinstance(row, dict):
+            continue
+        state = str(row.get("state") or "live").lower()
+        if state and state != "live":
+            continue
+        inst_id = str(row.get("instId") or "")
+        y, stk, opt = parse_option_inst_id(inst_id)
+        exp_ms: int | None = None
+        if y is None or stk is None or opt is None:
+            from datetime import timezone
+
+            exp = safe_float(row.get("expTime"))
+            if exp:
+                ms = int(exp) if exp > 10_000_000_000 else int(exp * 1000)
+                y = datetime.fromtimestamp(ms / 1000, tz=timezone.utc).strftime("%y%m%d")
+                exp_ms = ms
+            stk = safe_float(row.get("stk"))
+            opt_raw = str(row.get("optType") or "").upper()
+            opt = opt_raw if opt_raw in ("C", "P") else None
+        if not inst_id or not y or stk is None or opt not in ("C", "P"):
+            continue
+        if exp_ms is None:
+            exp_ms = expiry_ms_from_ymd(y)
+        out.append(
+            {
+                "inst_id": inst_id,
+                "expiry_ymd": y,
+                "expiry_ms": int(exp_ms),
+                "strike": float(stk),
+                "side": opt,
+            }
+        )
+    return out
+
+
+def hours_until_ms(expiry_ms: int, now: datetime | None = None) -> float:
+    n = (now or datetime.now(tz=_SH)).astimezone(_SH)
+    return (int(expiry_ms) - int(n.timestamp() * 1000)) / 3_600_000.0
+
+
+def pick_atm_strike(strikes: list[float], index_px: float) -> float | None:
+    """最接近指数的行权价（平值）。"""
+    if not strikes or index_px <= 0:
+        return None
+    return min(strikes, key=lambda s: (abs(s - index_px), s))
+
+
+def _complete_by_expiry(
+    contracts: list[dict[str, Any]],
+) -> dict[str, tuple[int, dict[float, dict[str, str]]]]:
+    by_exp: dict[str, dict[float, dict[str, str]]] = {}
+    ms_map: dict[str, int] = {}
+    for c in contracts:
+        y = str(c.get("expiry_ymd") or "")
+        stk = c.get("strike")
+        opt = str(c.get("side") or "").upper()
+        inst_id = str(c.get("inst_id") or "")
+        if not y or stk is None or opt not in ("C", "P") or not inst_id:
+            continue
+        by_exp.setdefault(y, {}).setdefault(float(stk), {})[opt] = inst_id
+        if c.get("expiry_ms") is not None:
+            ms_map[y] = int(c["expiry_ms"])
+    out: dict[str, tuple[int, dict[float, dict[str, str]]]] = {}
+    for ymd, strikes in by_exp.items():
+        complete = {s: v for s, v in strikes.items() if "C" in v and "P" in v}
+        if not complete:
+            continue
+        ems = ms_map.get(ymd) or expiry_ms_from_ymd(ymd)
+        out[ymd] = (ems, complete)
+    return out
+
+
+def select_atm_pair(
+    contracts: list[dict[str, Any]],
+    *,
+    index_px: float,
+    min_hours: float = 12.0,
+    now: datetime | None = None,
+) -> OptionPair | None:
+    """
+    选最近合资格到期（剩余 ≥ min_hours）+ ATM Call/Put。
+    ATM = 行权价最接近指数。
+    """
+    complete = _complete_by_expiry(contracts)
+    if not complete or index_px <= 0:
+        return None
+    eligible = [
+        ymd
+        for ymd, (ems, _) in complete.items()
+        if hours_until_ms(ems, now) + 1e-9 >= float(min_hours)
+    ]
+    if not eligible:
+        return None
+    eligible.sort(key=lambda y: complete[y][0])
+    ymd = eligible[0]
+    ems, strikes_map = complete[ymd]
+    strike = pick_atm_strike(list(strikes_map.keys()), index_px)
+    if strike is None:
+        return None
+    legs = strikes_map[strike]
+    return OptionPair(
+        expiry_ymd=ymd,
+        expiry_ms=ems,
+        strike=float(strike),
+        call_inst_id=legs["C"],
+        put_inst_id=legs["P"],
+    )