dekun
158 lines
5.1 KiB
Python
158 lines
5.1 KiB
Python
"""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。"""
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from __future__ import annotations
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import re
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from dataclasses import dataclass
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from datetime import datetime
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from typing import Any
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from zoneinfo import ZoneInfo
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from packages.domain.expiry import expiry_ms_from_ymd
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_SH = ZoneInfo("Asia/Shanghai")
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_DATE_RE = re.compile(r"^\d{6}$")
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@dataclass(frozen=True)
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class OptionPair:
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expiry_ymd: str
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expiry_ms: int
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strike: float
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call_inst_id: str
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put_inst_id: str
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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 rows_to_contracts(rows: list[dict[str, Any]]) -> list[dict[str, Any]]:
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out: list[dict[str, Any]] = []
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for row in rows:
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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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exp_ms: int | None = None
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if y is None or stk is None or opt is None:
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from datetime import timezone
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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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exp_ms = ms
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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 not y or stk is None or opt not in ("C", "P"):
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continue
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if exp_ms is None:
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exp_ms = expiry_ms_from_ymd(y)
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out.append(
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{
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"inst_id": inst_id,
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"expiry_ymd": y,
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"expiry_ms": int(exp_ms),
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"strike": float(stk),
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"side": opt,
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}
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)
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return out
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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 pick_atm_strike(strikes: list[float], index_px: float) -> float | None:
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"""最接近指数的行权价（平值）。"""
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if not strikes or index_px <= 0:
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return None
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return min(strikes, key=lambda s: (abs(s - index_px), s))
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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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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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ems = ms_map.get(ymd) or expiry_ms_from_ymd(ymd)
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out[ymd] = (ems, complete)
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return out
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def select_atm_pair(
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contracts: list[dict[str, Any]],
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*,
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index_px: float,
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min_hours: float = 12.0,
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now: datetime | None = None,
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) -> OptionPair | None:
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"""
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选最近合资格到期（剩余 ≥ min_hours）+ ATM Call/Put。
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ATM = 行权价最接近指数。
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"""
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complete = _complete_by_expiry(contracts)
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if not complete or index_px <= 0:
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return None
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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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if not eligible:
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return None
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eligible.sort(key=lambda y: complete[y][0])
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ymd = eligible[0]
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ems, strikes_map = complete[ymd]
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strike = pick_atm_strike(list(strikes_map.keys()), index_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=float(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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