Add HEDGE_PO_MODE instance modes with shared sim/live path.

Lock one mode per instance/subaccount, cross-asset BTC option/ETH perp sizing, combo-U exit, and ship docs/tests/audit. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-14 20:05:25 +08:00
parent ab7a2309ad
commit 5d161b4220
18 changed files with 1215 additions and 115 deletions
@@ -0,0 +1,91 @@
+#!/usr/bin/env python3
+"""审计永期实例模式配置与纯函数口径(不连交易所下单).
+
+用法:
+  python scripts/audit_hedge_po_mode.py
+  HEDGE_PO_MODE=btc_eth python scripts/audit_hedge_po_mode.py
+"""
+from __future__ import annotations
+
+import os
+import sys
+
+# 仓库根
+_ROOT = os.path.abspath(os.path.join(os.path.dirname(__file__), ".."))
+if _ROOT not in sys.path:
+    sys.path.insert(0, _ROOT)
+
+
+def main() -> int:
+    from lib.hedge_plan.hedge_po_mode_lib import (
+        apply_mode_to_start_body,
+        clamp_hedge_po_mode_on_startup,
+        combo_net_usdt,
+        public_mode_payload,
+        size_cross_notional,
+        validate_body_matches_mode,
+    )
+
+    print("=== HEDGE_PO_MODE 审计 ===")
+    summary = clamp_hedge_po_mode_on_startup()
+    payload = public_mode_payload(summary["mode"])
+    ok = True
+
+    def check(name: str, cond: bool, detail: str = "") -> None:
+        nonlocal ok
+        mark = "PASS" if cond else "FAIL"
+        if not cond:
+            ok = False
+        print(f"[{mark}] {name}" + (f" — {detail}" if detail else ""))
+
+    check("启动钳制", summary.get("ok") is True, str(summary.get("mode")))
+    check("期权/永续标的已填", bool(payload.get("option_underlying") and payload.get("perp_underlying")))
+    check("出场强制 profit", payload.get("exit_mode") == "profit")
+    check("以期权为主", payload.get("option_primary") is True)
+    check("实例规则文案", "子账户" in str(payload.get("instance_rule") or ""))
+
+    if payload.get("po_mode") == "btc_eth":
+        check("跨币期权=BTC", payload.get("option_underlying") == "BTC")
+        check("跨币永续=ETH", payload.get("perp_underlying") == "ETH")
+        k = float(payload.get("cross_notional_k") or 0)
+        check("K 在合理区间", 0.05 <= k <= 5.0, f"k={k}")
+        sz = size_cross_notional(
+            option_coin_qty=0.1,
+            option_index=100_000,
+            perp_index=2_500,
+            contract_size=0.01,
+            notional_k=k,
+        )
+        check("跨币定仓样例", bool(sz.get("ok")), str(sz.get("contracts")))
+        expect = 0.1 * 100_000 * k / 2_500 / 0.01
+        check("定仓≈名义公式", abs(float(sz["contracts"]) - expect) < 1e-6, f"{sz['contracts']} vs {expect}")
+
+    body = apply_mode_to_start_body(
+        {
+            "direction": "long",
+            "opt_inst_id": f"{payload['option_underlying']}-USD-260831-1000-C",
+            "exchange_symbol": f"{payload['perp_underlying']}/USDT:USDT",
+            "profit_target_usdt": 10,
+            "sheets": 1,
+            "contracts": 1,
+            "option_perp_ratio": payload.get("option_perp_ratio"),
+        }
+    )
+    check("body 钳制后校验通过", validate_body_matches_mode(body) is None)
+
+    # 组合 U:币*指数 + 永续U
+    fake_net = {"opt_net": 0.01, "perp_net": 5.0, "net": 5.01}
+    u = combo_net_usdt(fake_net, option_index=100_000)
+    check("组合U不混单位", u == 1005.0, f"got {u}")
+
+    if summary.get("warnings"):
+        print("--- warnings ---")
+        for w in summary["warnings"]:
+            print(" ", w)
+
+    print("===", "全部通过" if ok else "存在失败", "===")
+    return 0 if ok else 1
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())