first commit
This commit is contained in:
dekun
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"""领域口径：杠杆、时段桶、波动点数。变更需升版本。"""
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from __future__ import annotations
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from packages.domain.aggregate import (
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aggregate_leverage,
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aggregate_move_points,
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summarize_values,
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)
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from packages.domain.buckets import shanghai_bucket, shanghai_day
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from packages.domain.expiry import expiry_ms_from_ymd
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from packages.domain.leverage import LEVERAGE_FORMULA_VERSION, option_leverage
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from packages.domain.move_points import MOVE_POINTS_FORMULA_VERSION, move_points
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from packages.domain.range import resolve_range, today_shanghai
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__all__ = [
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"LEVERAGE_FORMULA_VERSION",
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"MOVE_POINTS_FORMULA_VERSION",
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"option_leverage",
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"move_points",
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"expiry_ms_from_ymd",
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"shanghai_day",
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"shanghai_bucket",
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"resolve_range",
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"today_shanghai",
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"aggregate_leverage",
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"aggregate_move_points",
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"summarize_values",
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]
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@@ -0,0 +1,342 @@
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"""杠杆按时段桶聚合。"""
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from __future__ import annotations
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import math
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from collections import defaultdict
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from typing import Any, Iterable, Sequence
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from packages.domain.buckets import shanghai_bucket
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from packages.domain.leverage import LEVERAGE_FORMULA_VERSION
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def _percentile(sorted_vals: Sequence[float], p: float) -> float | None:
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"""线性插值百分位；p in [0,100]。"""
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if not sorted_vals:
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return None
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if len(sorted_vals) == 1:
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return float(sorted_vals[0])
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p = max(0.0, min(100.0, float(p)))
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k = (len(sorted_vals) - 1) * (p / 100.0)
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f = math.floor(k)
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c = math.ceil(k)
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if f == c:
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return float(sorted_vals[int(k)])
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d0 = sorted_vals[f] * (c - k)
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d1 = sorted_vals[c] * (k - f)
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return float(d0 + d1)
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def summarize_values(values: Sequence[float], *, min_leverage: float) -> dict[str, Any]:
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if not values:
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return {
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"n": 0,
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"mean": None,
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"median": None,
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"p25": None,
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"p75": None,
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"min": None,
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"max": None,
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"pct_ge_min": None,
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}
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xs = sorted(float(v) for v in values)
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n = len(xs)
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ge = sum(1 for v in xs if v >= float(min_leverage))
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return {
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"n": n,
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"mean": sum(xs) / n,
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"median": _percentile(xs, 50),
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"p25": _percentile(xs, 25),
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"p75": _percentile(xs, 75),
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"min": xs[0],
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"max": xs[-1],
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"pct_ge_min": ge / n,
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}
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def bucket_label(bucket_start_min: int, bucket_minutes: int) -> str:
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"""如 14:00 或 14:00-14:30。"""
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h, m = divmod(int(bucket_start_min), 60)
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start = f"{h:02d}:{m:02d}"
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if bucket_minutes >= 60 and bucket_minutes % 60 == 0 and m == 0:
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return f"{h:02d}:00"
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end_min = bucket_start_min + bucket_minutes
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eh, em = divmod(end_min % (24 * 60), 60)
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return f"{start}-{eh:02d}:{em:02d}"
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def all_bucket_starts(bucket_minutes: int) -> list[int]:
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if bucket_minutes <= 0 or 1440 % bucket_minutes != 0:
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# 允许非整除：仍按步进生成到 <1440
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out = []
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t = 0
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while t < 1440:
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out.append(t)
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t += bucket_minutes
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return out
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return list(range(0, 1440, bucket_minutes))
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def aggregate_leverage(
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rows: Iterable[dict[str, Any]],
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*,
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bucket_minutes: int = 60,
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min_leverage: float = 100.0,
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side: str = "both",
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) -> list[dict[str, Any]]:
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"""
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rows: 需含 ts_ms, leverage, side。
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返回按桶排序的聚合列表（含空桶）。
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"""
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want = (side or "both").upper()
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by_bucket: dict[int, list[float]] = defaultdict(list)
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for r in rows:
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lev = r.get("leverage")
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if lev is None:
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continue
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try:
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lev_f = float(lev)
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except (TypeError, ValueError):
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continue
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if not math.isfinite(lev_f) or lev_f <= 0:
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continue
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s = str(r.get("side") or "").upper()
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if want in ("C", "P") and s != want:
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continue
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if want == "BOTH" and s not in ("C", "P"):
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continue
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b = shanghai_bucket(int(r["ts_ms"]), bucket_minutes)
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by_bucket[b].append(lev_f)
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out: list[dict[str, Any]] = []
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for b in all_bucket_starts(bucket_minutes):
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stats = summarize_values(by_bucket.get(b, []), min_leverage=min_leverage)
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out.append(
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{
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"bucket_start_min": b,
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"bucket_hour": b // 60 if bucket_minutes >= 60 else None,
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"label": bucket_label(b, bucket_minutes),
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**stats,
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}
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)
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return out
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def summarize_distribution(values: Sequence[float]) -> dict[str, Any]:
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"""通用分布摘要（无达标线）。"""
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if not values:
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return {
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"n": 0,
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"mean": None,
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"median": None,
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"p25": None,
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"p75": None,
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"min": None,
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"max": None,
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}
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xs = sorted(float(v) for v in values)
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n = len(xs)
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return {
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"n": n,
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"mean": sum(xs) / n,
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"median": _percentile(xs, 50),
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"p25": _percentile(xs, 25),
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"p75": _percentile(xs, 75),
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"min": xs[0],
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"max": xs[-1],
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}
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def aggregate_move_points(
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samples: Iterable[dict[str, Any]],
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*,
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bucket_minutes: int = 60,
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) -> list[dict[str, Any]]:
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"""
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samples: {ts_ms, move_signed, move_abs}
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桶内同时给出 signed / abs 分布。
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"""
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by_signed: dict[int, list[float]] = defaultdict(list)
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by_abs: dict[int, list[float]] = defaultdict(list)
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for s in samples:
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ts = s.get("ts_ms")
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signed = s.get("move_signed")
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if ts is None or signed is None:
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continue
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try:
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signed_f = float(signed)
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abs_f = float(s.get("move_abs", abs(signed_f)))
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except (TypeError, ValueError):
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continue
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if not math.isfinite(signed_f):
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continue
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b = shanghai_bucket(int(ts), bucket_minutes)
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by_signed[b].append(signed_f)
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by_abs[b].append(abs_f)
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out: list[dict[str, Any]] = []
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for b in all_bucket_starts(bucket_minutes):
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signed_stats = summarize_distribution(by_signed.get(b, []))
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abs_stats = summarize_distribution(by_abs.get(b, []))
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out.append(
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{
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"bucket_start_min": b,
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"bucket_hour": b // 60 if bucket_minutes >= 60 else None,
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"label": bucket_label(b, bucket_minutes),
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"n": signed_stats["n"],
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"signed": signed_stats,
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"abs": abs_stats,
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# 便捷字段（看板默认用 abs 均值）
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"mean_signed": signed_stats["mean"],
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"median_signed": signed_stats["median"],
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"mean_abs": abs_stats["mean"],
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"median_abs": abs_stats["median"],
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}
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)
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return out
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def build_move_samples(
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rows: Iterable[dict[str, Any]],
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settlements: dict[str, dict[str, Any]],
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*,
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side: str = "both",
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now_ms: int | None = None,
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) -> tuple[list[dict[str, Any]], dict[str, Any]]:
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"""
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对期权样本计算波动点数。
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返回 (settled_samples, meta)。
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meta: pending_expiry, pending_count, settled_count, pending_ymds, settled_ymds
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"""
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import time
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from packages.domain.move_points import move_points as calc_move
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now = int(now_ms if now_ms is not None else time.time() * 1000)
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want = (side or "both").upper()
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settled: list[dict[str, Any]] = []
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pending_ymds: set[str] = set()
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settled_ymds: set[str] = set()
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pending_count = 0
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settled_count = 0
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for r in rows:
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s = str(r.get("side") or "").upper()
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if want in ("C", "P") and s != want:
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continue
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if want == "BOTH" and s not in ("C", "P"):
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continue
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ymd = str(r.get("expiry_ymd") or "")
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idx = r.get("index_px")
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ts = r.get("ts_ms")
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if not ymd or idx is None or ts is None:
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continue
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settle = settlements.get(ymd)
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if settle is None or int(settle.get("settle_ts_ms") or 0) > now:
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pending_ymds.add(ymd)
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pending_count += 1
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continue
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try:
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signed = calc_move(float(settle["settle_index_px"]), float(idx))
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except (TypeError, ValueError):
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pending_ymds.add(ymd)
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pending_count += 1
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continue
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settled_ymds.add(ymd)
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settled_count += 1
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settled.append(
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{
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"ts_ms": int(ts),
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"expiry_ymd": ymd,
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"side": s,
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"index_at_t": float(idx),
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"settle_index_px": float(settle["settle_index_px"]),
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"move_signed": signed,
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"move_abs": abs(signed),
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}
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)
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meta = {
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"pending_expiry": pending_count > 0,
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"pending_count": pending_count,
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"settled_count": settled_count,
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"pending_ymds": sorted(pending_ymds),
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"settled_ymds": sorted(settled_ymds),
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}
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return settled, meta
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def move_points_stats_payload(
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rows: Iterable[dict[str, Any]],
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settlements: dict[str, dict[str, Any]],
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*,
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range_info: dict[str, Any],
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bucket_minutes: int,
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side: str,
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now_ms: int | None = None,
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) -> dict[str, Any]:
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from packages.domain.move_points import MOVE_POINTS_FORMULA_VERSION
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samples, meta = build_move_samples(
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rows, settlements, side=side, now_ms=now_ms
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)
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buckets = aggregate_move_points(samples, bucket_minutes=bucket_minutes)
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return {
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"status": "ok",
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"formula_version": MOVE_POINTS_FORMULA_VERSION,
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"move_def": "settle_index_px - index_at(t)",
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"range": range_info["range"],
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"date": range_info["anchor"],
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"start_ymd": range_info["start_ymd"],
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"end_ymd": range_info["end_ymd"],
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"days": range_info["days"],
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"month_mode": range_info.get("month_mode"),
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"side": side,
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"bucket_minutes": bucket_minutes,
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"pending_expiry": meta["pending_expiry"],
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"pending_count": meta["pending_count"],
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"settled_count": meta["settled_count"],
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"pending_ymds": meta["pending_ymds"],
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"settled_ymds": meta["settled_ymds"],
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"sample_count": meta["settled_count"],
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"buckets": buckets,
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"message": (
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"部分样本未到期或缺少结算锚点，已排除出分布"
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if meta["pending_expiry"]
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else None
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),
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}
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def leverage_stats_payload(
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rows: Iterable[dict[str, Any]],
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*,
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range_info: dict[str, Any],
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bucket_minutes: int,
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min_leverage: float,
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side: str,
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) -> dict[str, Any]:
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buckets = aggregate_leverage(
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rows,
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bucket_minutes=bucket_minutes,
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min_leverage=min_leverage,
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side=side,
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)
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total_n = sum(int(b["n"]) for b in buckets)
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return {
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"status": "ok",
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"formula_version": LEVERAGE_FORMULA_VERSION,
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"leverage_def": "index_px / ask",
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"range": range_info["range"],
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"date": range_info["anchor"],
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"start_ymd": range_info["start_ymd"],
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"end_ymd": range_info["end_ymd"],
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"days": range_info["days"],
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"month_mode": range_info.get("month_mode"),
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"side": side,
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"bucket_minutes": bucket_minutes,
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"min_leverage": min_leverage,
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"sample_count": total_n,
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"buckets": buckets,
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}
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@@ -0,0 +1,41 @@
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"""Asia/Shanghai 日切与时段桶。时间戳一律 UTC ms 入，上海出。"""
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from __future__ import annotations
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from datetime import datetime, timedelta
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from zoneinfo import ZoneInfo
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_SH = ZoneInfo("Asia/Shanghai")
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def _to_shanghai(ts_ms: int) -> datetime:
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return datetime.fromtimestamp(int(ts_ms) / 1000.0, tz=_SH)
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def shanghai_day(ts_ms: int) -> str:
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"""上海自然日 YYYY-MM-DD。"""
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return _to_shanghai(ts_ms).strftime("%Y-%m-%d")
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def shanghai_bucket(ts_ms: int, bucket_minutes: int = 60) -> int:
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"""
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日内时段桶起点（分钟，0–1439）。
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默认 60 → 0,60,120,...,1380（即小时 0–23）。
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"""
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if bucket_minutes <= 0:
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raise ValueError("bucket_minutes must be > 0")
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dt = _to_shanghai(ts_ms)
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minutes = dt.hour * 60 + dt.minute
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return (minutes // bucket_minutes) * bucket_minutes
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def shanghai_bucket_hour(ts_ms: int) -> int:
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"""0–23 小时桶。"""
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return shanghai_bucket(ts_ms, 60) // 60
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def rolling_day_start(anchor_ymd: str, days: int) -> str:
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"""锚点日（含）往前 days-1 天的起始 YYYY-MM-DD。"""
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d = datetime.strptime(anchor_ymd, "%Y-%m-%d").date()
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start = d - timedelta(days=max(0, days - 1))
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return start.strftime("%Y-%m-%d")
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@@ -0,0 +1,15 @@
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"""OKX / 欧式期权惯例：到期日当日 08:00 UTC（上海 16:00）。"""
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from __future__ import annotations
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from datetime import datetime, timezone
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def expiry_ms_from_ymd(ymd: str) -> int:
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"""YYMMDD → 到期毫秒时间戳（UTC 08:00）。"""
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ymd = (ymd or "").strip()
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if len(ymd) != 6 or not ymd.isdigit():
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raise ValueError(f"invalid expiry ymd: {ymd!r}")
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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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@@ -0,0 +1,14 @@
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"""杠杆口径 v1：杠杆 = 标的指数 ÷ 期权卖一（ask）。"""
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||||
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from __future__ import annotations
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LEVERAGE_FORMULA_VERSION = "1.0"
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def option_leverage(index_px: float, ask: float | None) -> float | None:
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"""index_px / ask；ask 无效时返回 None。"""
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if index_px is None or index_px <= 0:
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return None
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||||
if ask is None or ask <= 0:
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return None
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return float(index_px) / float(ask)
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@@ -0,0 +1,10 @@
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"""波动点数口径 v1：到期指数 − 时段代表指数。"""
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from __future__ import annotations
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||||
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MOVE_POINTS_FORMULA_VERSION = "1.0"
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||||
|
||||
|
||||
def move_points(settle_index_px: float, index_at_t: float) -> float:
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||||
"""signed 点数；绝对值由调用方取 abs。"""
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||||
return float(settle_index_px) - float(index_at_t)
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||||
@@ -0,0 +1,77 @@
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"""日/周/月时间范围解析（Asia/Shanghai）。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from datetime import date, datetime, timedelta
|
||||
from zoneinfo import ZoneInfo
|
||||
|
||||
_SH = ZoneInfo("Asia/Shanghai")
|
||||
|
||||
|
||||
def today_shanghai(now: datetime | None = None) -> str:
|
||||
n = (now or datetime.now(tz=_SH)).astimezone(_SH)
|
||||
return n.strftime("%Y-%m-%d")
|
||||
|
||||
|
||||
def parse_ymd(ymd: str) -> date:
|
||||
return datetime.strptime(ymd, "%Y-%m-%d").date()
|
||||
|
||||
|
||||
def day_bounds_ms(ymd: str) -> tuple[int, int]:
|
||||
"""上海自然日 [start_ms, end_ms)，end 为次日 00:00。"""
|
||||
d = parse_ymd(ymd)
|
||||
start = datetime(d.year, d.month, d.day, 0, 0, 0, tzinfo=_SH)
|
||||
end = start + timedelta(days=1)
|
||||
return int(start.timestamp() * 1000), int(end.timestamp() * 1000)
|
||||
|
||||
|
||||
def resolve_range(
|
||||
range_name: str,
|
||||
anchor_ymd: str | None = None,
|
||||
*,
|
||||
month_mode: str = "rolling_30",
|
||||
now: datetime | None = None,
|
||||
) -> dict:
|
||||
"""
|
||||
返回:
|
||||
anchor, start_ymd, end_ymd (含), start_ms, end_ms (半开区间), days
|
||||
"""
|
||||
anchor = anchor_ymd or today_shanghai(now)
|
||||
parse_ymd(anchor) # validate
|
||||
|
||||
name = (range_name or "day").strip().lower()
|
||||
if name == "day":
|
||||
start_ymd = end_ymd = anchor
|
||||
days = 1
|
||||
elif name == "week":
|
||||
end_ymd = anchor
|
||||
start = parse_ymd(anchor) - timedelta(days=6)
|
||||
start_ymd = start.strftime("%Y-%m-%d")
|
||||
days = 7
|
||||
elif name == "month":
|
||||
end_ymd = anchor
|
||||
mode = (month_mode or "rolling_30").strip().lower()
|
||||
if mode in ("calendar", "natural", "natural_month"):
|
||||
d = parse_ymd(anchor)
|
||||
start_ymd = d.replace(day=1).strftime("%Y-%m-%d")
|
||||
days = (parse_ymd(end_ymd) - parse_ymd(start_ymd)).days + 1
|
||||
else:
|
||||
# rolling_30
|
||||
start = parse_ymd(anchor) - timedelta(days=29)
|
||||
start_ymd = start.strftime("%Y-%m-%d")
|
||||
days = 30
|
||||
else:
|
||||
raise ValueError(f"invalid range: {range_name!r}")
|
||||
|
||||
start_ms, _ = day_bounds_ms(start_ymd)
|
||||
_, end_ms = day_bounds_ms(end_ymd)
|
||||
return {
|
||||
"range": name,
|
||||
"anchor": anchor,
|
||||
"start_ymd": start_ymd,
|
||||
"end_ymd": end_ymd,
|
||||
"start_ms": start_ms,
|
||||
"end_ms": end_ms,
|
||||
"days": days,
|
||||
"month_mode": month_mode if name == "month" else None,
|
||||
}
|
||||
Reference in New Issue
Block a user