这是用于服务器调试交易代码的repo
"""target挂单价格的倒推计算逻辑，固定年化收益倒推""" target_annual_return = 0.24 fee = 0.0015 days = remaining_days F = future_bid_price K = strike_price S = index_price
x = call_bid_price leverage = index_price/(x - put_bid1_price) synthetic_long_price = x - put_bid1_price + K
( F / synthetic_long_price - 1) * leverage = target_annual_return/365*days target_bid_price = x - fee
F = future_ask_price x = put_bid_price leverage = index_price/(x - call_bid1_price) synthetic_short_price = call_bid1_price - x + K (synthetic_short_price / F - 1) * leverage = target_annual_return/365*days target_bid_price = x - fee
要确保记录同一对冲组合 数据结构 self.position_hedge_mgr = "option_maker_cid": { "option_maker_cid": option_maker_cid, datetime "trade_direction": trade_direction, "status": status, "expiration_date": expiration_date, strike, btc_sopt_price "option_maker":{"symbol":symbol, "filled_qty":filled_qty, "filled_avg_price":filled_avg_price, "side":side}, "option_hedge":{"symbol":symbol, "filled_qty":filled_qty, "filled_avg_price":filled_avg_price, "side":side}, "future_hedge":{"symbol":symbol, "filled_qty":filled_qty, "filled_avg_price":filled_avg_price, "side":side}, "open_spread":open_spread, "open_cost"= open_cost, "open_annual_return":open_annual_return,
}
更新逻辑 on_order -- option_maker filled/partially_filled -- 初始化 position_mgr/更新option_maker，status = need_hedge -- option_hedge filled -- 更新option_hedge -- future_hedge filled -- 更新future_hedge，status = fully_hedged
其他计算方法 status = need_hedge / fully_hedged trade_direction = long_open / short_open
实际开仓spread价差收益（btc计价） if status == fully_hedged if long_open open_spread_price = long_open_spread = future_filled_avg_price / btc_sopt_price - option_maker_filled_avg_price - option_hedge_filled_avg_price - strike / btc_sopt_price else open_spread_price = short_open_spread = option_hedge_filled_avg_price - option_maker_filled_avg_price - future_filled_avg_price / btc_sopt_price + strike / btc_sopt_price
之后风控监控current_spread_price 和 open_spread_price 有没有扩大
open_spread = (open_spread_price - fee) * filled_qty
open_cost = option_maker 花出去的权利金 - option_hedge 得到的权利金 open_annual_return = open_spread/open_cost /remain days *365
on stop要保存self.position_hedge_mgr到本地，下次重启策略加载回来
option_maker, option_hedge, future_hedge, reverse_close, option_close_maker, option_close_hedge, future_close_hedge
self.order_mgr[cid] = {
'id': "",
'cid': cid,
'symbol': signal['symbol'],
'side': 'Buy',
'price': price,
'quantity': signal['order_quantity'],
'filled': 0.0, # 初始化已成交数量
'filled_avg_price': -1.0, # 初始化成交价格
'status': 'pend', # 初始化状态
'order_type': 'option_maker', # 初始化类型
'trade_direction': signal['trade_direction'], # 初始化交易方向，这些字段只有option_maker需要
'strike_price': signal['strike_price'], # 初始化行权价，这些字段只有option_maker需要
'expiration': signal['expiration'] # 初始化到期日，这些字段只有option_maker需要
}
self.positions[symbol] = { 'symbol' = symbol, 'instrument' = future/option, 'amount' = amount, 'mark_price' = mark_price, 'usd_amount' = usd_amount, (只有future有 usd_amount = amount * mark_price，去和 position_hedge_mgr的usd amount去做对比) 'entry_price' = entry_price 'margin' = margin 'unrealized_pnl' = unrealized_pnl 'side' = side (long/short) }
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盈亏平衡点的期权平均开仓价格*做多/空btc个数 = usd敞口，用usd敞口去对冲等量usd amount的交割合约，实操上不完全相等没事，因为交割合约10usd四舍五入误差，感觉误差100usd以内没关系 盈亏平衡点bep F = X + C - P (X是strike price) 这个F就是期权平均开仓价格， 合成多头pnl = F - X - C + P 合成空头pnl = X - F + C - P pnl = 0 时，F = X + C - P
如果 C P 为btc计价： F = X + F(C - P) F = X / (1 - C + P)
期权组合的usd价格，也就是平均开仓价格 就等于bep (X是strike price) bep = X / (1 - C + P) 相当于以F usd这个价格买入/卖出价值F *合约数量usd的btc 交割合约那边得以交割合约价格卖出/买入相同usd价值的btc bep和交割合约的价差就是我们套利的价差，为什么不直接用bep？
leverage = 1/abs(C - P) synthetic long目标挂单价满足，求解C (F / bep - 1) * leverage = target_annual_return/365*days (F(1 - C + P) / X - 1) / (C - P) = R
synthetic short目标挂单价满足，求解P (bep / F - 1) * leverage = target_annual_return/365*days (X / F(1 - C + P) - 1) / (P - C) = R
交易所限频每秒最多5个请求 positions_update_check_interval =60s 60秒获取一次仓位信息 account_summary_check_interval = 2 # 账户摘要检查间隔2秒 order_state_check 10秒获取一次交易所订单信息，之后可能会增加一两次查询单个订单 最低大约1秒钟 37/60个 请求
开单限频 1秒1个单，撤单不受限