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probably-decentralized/src/Decentralized.Domain/Perps.cs
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using System;
using Newtonsoft.Json;
using System.Collections.Generic;
using System.Linq;
namespace Decentralized.Domain
{
/// <summary>永续合约的一个净仓位。Size 是标的数量,Margin 是保证金(CRC,信用点等值),Taint / Basis 是存入时带来的污点与成本。</summary>
public sealed class PerpPosition
{
public string Product;
public bool Long;
public double Size, Entry, Margin, Basis;
/// <summary>旧存档(数据版本 5 之前)保证金带的污点额:读档迁移时挪到 1 号钱包,之后为 0(Poinbase 没有污点)。</summary>
[JsonProperty("Taint")] public double LegacyTaint;
public double Notional(double price) => Size * price;
public double Pnl(double price) => (Long ? 1 : -1) * Size * (price - Entry);
public double Equity(double price) => Margin + Pnl(price);
public double Leverage => Margin > 0 ? Size * Entry / Margin : 0;
/// <summary>强平价:权益跌到名义价值的维持比例时。</summary>
public double LiqPrice => Long
? Math.Max(0, (Size * Entry - Margin) / (Size * (1 - Tuning.PerpMaint)))
: (Margin + Size * Entry) / (Size * (1 + Tuning.PerpMaint));
}
public enum PerpResult { Ok, Banned, Debt, Leverage, Size, Funds, Opposite, NoPosition, Margin, Thin, Single }
/// <summary>夜间发生的事:强平、自动减仓、催收没收、核销。</summary>
public sealed class PerpEvent
{
public string Kind; // liq / adl / seize / writeoff / interest / wipe
public string Product;
public bool Long;
public double Amount; // 损失、减记、或欠款(信用点);wipe 是全网爆仓的名义价值(含玩家)
public int Count; // wipe:爆仓人数(含玩家)
public double Move; // wipe:标记价的涨跌幅
}
/// <summary>
/// Poinbase 永续合约(PSC-PERP、SPARK-PERP):保证金用 Poinbase 账户里的 CRC,一个品种一个净仓位。
/// 标记价是当日均价,强平只在夜间检查(白天插针不触发)。强平后的剩余权益进保险基金,权益为负先由基金垫付,
/// 基金不够的缺口记成玩家的欠款。NPC 仓位随行情爆仓:大部分正常爆仓,剩余保证金进基金;行情越快穿仓越多,缺口由基金垫付。
/// 基金见底时盈利的仓位被自动减仓(盈利打折)。
/// 欠款每天计息,每晚先用账户里的 CRC 还;逾期没还清由接入层没收物品抵债,剩下的核销并拉黑永续账户一段时间。
/// </summary>
public sealed class PerpBook
{
public List<PerpPosition> Positions = new List<PerpPosition>();
public double InsuranceFund = Tuning.PerpFund0;
public double Debt;
public int DebtSince = -1, BannedUntil = -1;
public Dictionary<string, List<double>> Marks = new Dictionary<string, List<double>>();
public Dictionary<string, double> Funding = new Dictionary<string, double>();
/// <summary>资金费系数(费率 = 系数 × 标记价偏离 7 日均价的比例)。默认取配置,模拟里用来校准。</summary>
public double FundCoef = Tuning.PerpFundCoef;
/// <summary>成交深度倍数(滑点 = 名义价值 / (倍数 × 永续深度)),模拟里用来校准。</summary>
public double DepthMult = Tuning.PerpDepthMult;
/// <summary>成交价:买入(开多、平空)往上滑,卖出往下滑,滑点随名义价值占永续深度的比例增大,封顶 50%。</summary>
public double Exec(double price, double notional, bool buy, int day)
{
double slip = Math.Min(0.5, notional / (DepthMult * Tuning.PerpDepth(day)));
return price * (1 + (buy ? slip : -slip));
}
public static readonly string[] Products = { "PSC", "SPARK" };
public static int MaxLeverage(string product) => product == "SPARK" ? Tuning.PerpSparkLev : Tuning.PerpPscLev;
public static double MaxNotional(string product) => product == "SPARK" ? Tuning.PerpSparkCap : Tuning.PerpPscCap;
public PerpPosition Of(string product) => Positions.Find(p => p.Product == product);
public bool Banned(int day) => day <= BannedUntil;
public double Rate(string product) => Funding.TryGetValue(product, out var r) ? r : 0;
private static double Share(Wallet acct, double amount, Func<string, double> price)
{
double total = acct.Value(price);
return total > 0 ? Math.Min(1, amount * price(Assets.CRC) / total) : 0;
}
/// <summary>开仓(同一时间只有一个仓位,已有仓位时只能 <see cref="AddMargin"/>):保证金 + 手续费从账户的 CRC 里扣,污点与成本按保证金的价值比例随保证金进仓位。</summary>
public PerpResult Open(Wallet acct, string product, bool isLong, double margin, int leverage, double price, int day, Func<string, double> pr)
{
if (Banned(day)) return PerpResult.Banned;
if (Debt > 1e-9) return PerpResult.Debt;
if (leverage < 1 || leverage > MaxLeverage(product)) return PerpResult.Leverage;
if (margin <= 0 || price <= 0) return PerpResult.Margin;
var pos = Of(product);
if (pos != null && pos.Long != isLong) return PerpResult.Opposite;
if (Positions.Count > 0) return PerpResult.Single; // 只支持逐仓、一个仓位:有仓位后只能追加保证金
double notional = margin * leverage, fee = notional * Tuning.PerpFee;
double spot = price;
price = Exec(price, notional, isLong, day);
if ((pos?.Notional(price) ?? 0) + notional > MaxNotional(product) + 1e-9) return PerpResult.Size;
if (acct.Avail(Assets.CRC) + 1e-9 < margin + fee) return PerpResult.Funds;
// 滑点太大:按现价算权益已经低于强平线(再留一点余地),开了就是被强平
double sizeNew = notional / price, sizeAll = (pos?.Size ?? 0) + sizeNew;
double entryAll = ((pos?.Size ?? 0) * (pos?.Entry ?? 0) + sizeNew * price) / sizeAll;
double eq0 = (pos?.Margin ?? 0) + margin + (isLong ? 1 : -1) * sizeAll * (spot - entryAll);
if (eq0 < (Tuning.PerpMaint + Tuning.PerpOpenBuffer) * sizeAll * spot) return PerpResult.Thin;
double share = Share(acct, margin, pr);
double basis = acct.Basis * share;
acct.Add(Assets.CRC, -(margin + fee)); acct.Basis -= basis;
InsuranceFund += fee * Tuning.PerpFeeToFund;
if (pos == null) Positions.Add(pos = new PerpPosition { Product = product, Long = isLong, Entry = price });
double size = notional / price;
pos.Entry = (pos.Size * pos.Entry + size * price) / (pos.Size + size);
pos.Size += size; pos.Margin += margin; pos.Basis += basis;
return PerpResult.Ok;
}
/// <summary>追加保证金(不收手续费),把强平价推远。</summary>
public PerpResult AddMargin(Wallet acct, string product, double amount, Func<string, double> pr)
{
var pos = Of(product);
if (pos == null) return PerpResult.NoPosition;
if (amount <= 0) return PerpResult.Margin;
if (acct.Avail(Assets.CRC) + 1e-9 < amount) return PerpResult.Funds;
double share = Share(acct, amount, pr);
double basis = acct.Basis * share;
acct.Add(Assets.CRC, -amount); acct.Basis -= basis;
pos.Margin += amount; pos.Basis += basis;
return PerpResult.Ok;
}
/// <summary>平仓(按白天的现价):权益减手续费回到账户,成本按剩下的比例退回。权益不够付时缺口按穿仓处理。返回回到账户的 CRC。</summary>
public double Close(Wallet acct, string product, double price, int day, out double deficit)
{
deficit = 0;
var pos = Of(product);
if (pos == null) return 0;
Positions.Remove(pos);
price = Exec(price, pos.Notional(price), !pos.Long, day);
double fee = pos.Notional(price) * Tuning.PerpFee;
double payout = pos.Equity(price) - fee;
InsuranceFund += Math.Min(fee, Math.Max(0, pos.Equity(price))) * Tuning.PerpFeeToFund;
if (payout < 0) { deficit = -payout; Cover(deficit, day); return 0; }
Return(acct, pos, payout);
return payout;
}
private void Return(Wallet acct, PerpPosition pos, double payout)
{
double keep = pos.Margin > 0 ? Math.Min(1, payout / pos.Margin) : 0;
acct.Add(Assets.CRC, payout); acct.Basis += pos.Basis * keep;
}
/// <summary>穿仓缺口:保险基金先垫,不够的记成欠款。</summary>
private double Cover(double deficit, int day)
{
double take = Math.Min(InsuranceFund, deficit);
InsuranceFund -= take;
double rest = deficit - take;
if (rest > 1e-9) { Debt += rest; if (DebtSince < 0) DebtSince = day; }
return rest;
}
/// <summary>
/// NPC 仓位在一晚涨跌幅 move 下对保险基金的净流入(可为负),以及爆仓的名义价值。oi 是亏损一侧的持仓。
/// 爆仓量 = oi × min(1, move / PerpNpcLiqScale);其中穿仓的比例随涨跌幅升高,正常爆仓交出剩余保证金,穿仓的缺口由基金垫付。
/// </summary>
public static double NpcFlow(double move, double oi, out double liquidated)
{
move = Math.Abs(move);
liquidated = oi * Math.Min(1, move / Tuning.PerpNpcLiqScale);
double bank = Math.Min(Tuning.PerpNpcBankMax, Tuning.PerpNpcBankBase + Tuning.PerpNpcBankSlope * Math.Max(0, move - Tuning.PerpNpcBankFree));
return liquidated * ((1 - bank) * Tuning.PerpNpcLeft - bank * move * Tuning.PerpNpcGap);
}
/// <summary>NPC 在某个品种上单边的持仓(信用点名义价值)。</summary>
public static double NpcOi(string product, int day) => Tuning.PerpNpcOi * Tuning.PoolDepth(day) * (product == "SPARK" ? Tuning.SparkDepthShare : 1);
/// <summary>
/// 夜间结算。marks:各品种今天的标记价(日均价)。顺序:资金费 → NPC 爆仓与穿仓进出基金 → 强平 → 基金见底时自动减仓盈利仓位 →
/// 欠款计息并用账户 CRC 偿还 → 逾期的触发没收。标记价涨跌达到 <see cref="Tuning.PerpNewsMove"/> 的品种另记一条 wipe(全网爆仓,含玩家)。
/// </summary>
public List<PerpEvent> Night(int day, IDictionary<string, double> marks, Wallet acct, Func<string, double> pr)
{
var evs = new List<PerpEvent>();
var wipes = new Dictionary<string, PerpEvent>();
bool adl = false;
foreach (var kv in marks)
{
string product = kv.Key; double mark = kv.Value;
if (!Marks.TryGetValue(product, out var hist)) Marks[product] = hist = new List<double>();
double prev = hist.Count > 0 ? hist[hist.Count - 1] : mark;
double rate = 0;
if (hist.Count >= 3) rate = Math.Max(-Tuning.PerpFundCap, Math.Min(Tuning.PerpFundCap, FundCoef * (mark / hist.Average() - 1)));
Funding[product] = rate;
hist.Add(mark); if (hist.Count > 7) hist.RemoveAt(0);
var pos = Of(product);
if (pos != null) pos.Margin -= (pos.Long ? 1 : -1) * rate * pos.Notional(mark);
double ret = prev > 0 ? mark / prev - 1 : 0;
InsuranceFund += NpcFlow(ret, NpcOi(product, day), out double liq);
if (Math.Abs(ret) >= Tuning.PerpNewsMove)
wipes[product] = new PerpEvent { Kind = "wipe", Product = product, Long = ret < 0, Amount = liq, Count = (int)Math.Round(liq / Tuning.PerpNpcAvgPos), Move = ret };
}
if (InsuranceFund < 0) { InsuranceFund = 0; adl = true; }
foreach (var pos in Positions.ToList())
{
if (!marks.TryGetValue(pos.Product, out var mark)) continue;
double eq = pos.Equity(mark), notional = pos.Notional(mark);
if (eq >= Tuning.PerpMaint * notional) continue;
Positions.Remove(pos);
double rem = eq - Tuning.PerpLiqFee * notional;
if (rem >= 0) InsuranceFund += rem; else Cover(-rem, day);
evs.Add(new PerpEvent { Kind = "liq", Product = pos.Product, Long = pos.Long, Amount = pos.Margin });
if (wipes.TryGetValue(pos.Product, out var wp) && wp.Long == pos.Long) { wp.Amount += notional; wp.Count++; }
}
evs.AddRange(wipes.Values);
if (adl)
foreach (var pos in Positions.ToList())
{
if (!marks.TryGetValue(pos.Product, out var mark) || pos.Pnl(mark) <= 0) continue;
double pnl = pos.Pnl(mark), cut = pnl * Tuning.PerpAdlHaircut;
Positions.Remove(pos);
Return(acct, pos, pos.Margin + pnl - cut);
evs.Add(new PerpEvent { Kind = "adl", Product = pos.Product, Long = pos.Long, Amount = cut });
}
if (Debt > 1e-9)
{
double interest = Debt * Tuning.PerpDebtInterest;
Debt += interest;
double repay = Math.Min(Debt, acct.Avail(Assets.CRC));
if (repay > 1e-9)
{
double share = Share(acct, repay, pr);
double basis = acct.Basis * share;
acct.Add(Assets.CRC, -repay); acct.Basis -= basis;
Debt -= repay;
evs.Add(new PerpEvent { Kind = "repaid", Amount = repay });
}
if (Debt < 1e-6) { Debt = 0; DebtSince = -1; }
else
{
evs.Add(new PerpEvent { Kind = "interest", Amount = Debt });
if (day - DebtSince >= Tuning.PerpDebtDays) evs.Add(new PerpEvent { Kind = "seize", Amount = Debt });
}
}
return evs;
}
/// <summary>没收物品抵债之后:抵掉的价值从欠款里扣,还剩的核销并拉黑永续账户。返回核销的数额。</summary>
public double ApplySeizure(double value, int day)
{
Debt -= value;
double writtenOff = Math.Max(0, Debt);
if (writtenOff > 0.5) BannedUntil = day + Tuning.PerpBanDays;
Debt = 0; DebtSince = -1;
return writtenOff;
}
}
}