77.6 实盘执行

class OptionTradingExecution:
    """
    期权交易执行器
    """

    def __init__(self, config):
        self.api = init_option_api(config)
        self.liquidity_threshold = config['liquidity_threshold']

    def check_liquidity(self, option):
        """
        检查期权流动性
        """
        # 检查买卖价差
        bid_ask_spread = option['ask'] - option['bid']
        spread_ratio = bid_ask_spread / option['mid']

        # 检查成交量
        volume = option['volume']
        open_interest = option['open_interest']

        liquidity_score = {
            'spread_ratio': spread_ratio,
            'volume': volume,
            'open_interest': open_interest
        }

        return all([
            spread_ratio < self.liquidity_threshold['spread'],
            volume > self.liquidity_threshold['volume'],
            open_interest > self.liquidity_threshold['oi']
        ]), liquidity_score

    def place_option_order(self, option, side, quantity, price=None):
        """
        下期权订单
        """
        # 检查流动性
        liquid, score = self.check_liquidity(option)
        if not liquid:
            raise ValueError(f"期权流动性不足: {score}")

        # 计算订单价格
        if price is None:
            if side == 'buy':
                price = option['ask']
            else:
                price = option['bid']

        # 下单
        order = {
            'symbol': option['symbol'],
            'side': side,
            'quantity': quantity,
            'price': price,
            'order_type': 'LIMIT'
        }

        order_id = self.api.send_order(order)
        return order_id

    def execute_hedge(self, hedge_quantity, underlying_symbol, side):
        """
        执行对冲交易
        """
        order = {
            'symbol': underlying_symbol,
            'side': side,
            'quantity': abs(hedge_quantity),
            'order_type': 'MARKET'
        }

        return self.api.send_order(order)