目标价 上破 " +
@@ -2626,17 +2641,13 @@
if (!matchesOoMoneyFilter(state.legA) || !matchesOoMoneyFilter(state.legB)) {
throw new Error("期期两腿须为平值或虚值,不可选实值");
}
- const up = Number(($("hp-target-up") && $("hp-target-up").value) || 0);
- const down = Number(($("hp-target-down") && $("hp-target-down").value) || 0);
- if (!up || !down) throw new Error("请填写上破与下破目标价");
- if (up <= down) throw new Error("上破目标价必须大于下破目标价");
+ const rr = numInput("hp-oo-rr", 2);
+ if (!(rr > 0)) throw new Error("请填写盈亏比(相对权利金,默认2)");
body = {
plan_type: "options_options",
underlying: state.underlying,
- target_price_up: up,
- target_price_down: down,
- target_price: up,
- index_px: indexPx() || (up + down) / 2,
+ oo_profit_rr: rr,
+ index_px: indexPx() || 0,
oo_close_mode: state.ooCloseModeEnabled ? state.ooCloseMode : "hold_expiry",
oo_sheets_mode: state.ooSheetsMode || "same_sheets",
leg_a: legPayload(state.legA, ooSheets("hp-oo-sheets-a")),
diff --git a/lib/common/static/options_review.js b/lib/common/static/options_review.js
index d4d7e49..8779dc9 100644
--- a/lib/common/static/options_review.js
+++ b/lib/common/static/options_review.js
@@ -76,6 +76,8 @@
target_win_leg: "期期平盈利腿",
target_up_win_leg: "期期上破·平盈利腿",
target_down_win_leg: "期期下破·平盈利腿",
+ oo_rr_target: "期期盈亏比达标",
+ oo_rr_closing: "期期盈亏比平仓中",
oo_rest_closing: "期期全平·清残腿中",
oo_rest_closed: "期期全平·两腿已平",
orphaned_after_tp: "止盈后持有至到期",
diff --git a/lib/hedge_plan/hedge_plan_calc_lib.py b/lib/hedge_plan/hedge_plan_calc_lib.py
index e508c21..bd55a3e 100644
--- a/lib/hedge_plan/hedge_plan_calc_lib.py
+++ b/lib/hedge_plan/hedge_plan_calc_lib.py
@@ -444,6 +444,7 @@ def _hedge_ratio(opt_pnl: float, perp_pnl: float) -> Optional[float]:
def build_options_options_preview(
*,
+ profit_rr: float | None = None,
target_price: float | None = None,
target_price_up: float | None = None,
target_price_down: float | None = None,
@@ -451,7 +452,11 @@ def build_options_options_preview(
leg_a: dict[str, Any],
leg_b: dict[str, Any],
) -> dict[str, Any]:
- """期期情景:上破/下破目标价 / 到期现价 / 最大保费损耗."""
+ """期期情景:盈亏比达标 / 到期现价 / 最大保费损耗.
+
+ profit_rr=2 表示目标盈利=2×权利金;中途不达标则等到期.
+ 仍接受旧上破/下破参数仅作兼容测算.
+ """
def _leg_pnl(leg: dict[str, Any], spot: float) -> float:
return option_expiry_pnl(
@@ -463,15 +468,73 @@ def build_options_options_preview(
premium_paid=float(leg.get("premium_paid") or 0),
)
- # 兼容旧单目标:若未传上下目标则用 target_price 填两边
+ prem = float(leg_a.get("premium_paid") or 0) + float(leg_b.get("premium_paid") or 0)
+ a_flat = _leg_pnl(leg_a, index_px)
+ b_flat = _leg_pnl(leg_b, index_px)
+ flat_total = a_flat + b_flat
+
+ rr = None
+ if profit_rr not in (None, ""):
+ try:
+ rr = float(profit_rr)
+ except (TypeError, ValueError):
+ rr = None
+ if rr is not None and rr > 0:
+ target_pnl = rr * prem
+ return {
+ "plan_type": "options_options",
+ "premium_paid": round(prem, 6),
+ "oo_profit_rr": round(rr, 4),
+ "target_profit": round(target_pnl, 4),
+ "scenarios": [
+ {
+ "id": "rr_target",
+ "label": f"盈亏比×{rr:g}",
+ "spot": None,
+ "leg_a_pnl": None,
+ "leg_b_pnl": None,
+ "total": round(target_pnl, 4),
+ "note": f"两腿合计浮盈≥{rr:g}×权利金({round(prem, 4)})时全平;不达标等到期",
+ },
+ {
+ "id": "expiry_flat",
+ "label": "到期·现价(未达标)",
+ "spot": index_px,
+ "leg_a_pnl": round(a_flat, 4),
+ "leg_b_pnl": round(b_flat, 4),
+ "total": round(flat_total, 4),
+ "note": "中途未达盈亏比则持有至到期结算",
+ },
+ {
+ "id": "max_premium_loss",
+ "label": "最大保费损耗",
+ "spot": None,
+ "leg_a_pnl": round(-float(leg_a.get("premium_paid") or 0), 4),
+ "leg_b_pnl": round(-float(leg_b.get("premium_paid") or 0), 4),
+ "total": round(-prem, 4),
+ "note": "双腿权利金全部损失",
+ },
+ ],
+ "summary": {
+ "oo_profit_rr": round(rr, 4),
+ "target_profit": round(target_pnl, 4),
+ "at_target_total": round(target_pnl, 4),
+ "expiry_flat_total": round(flat_total, 4),
+ "premium_paid": round(prem, 6),
+ "expiry_is_loss": flat_total <= 0,
+ "rr_risk_premium": round(prem, 6),
+ "rr_target": round(rr, 4),
+ },
+ }
+
+ # 兼容旧上破/下破测算
up = target_price_up if target_price_up is not None else target_price
down = target_price_down if target_price_down is not None else target_price
if up is None or down is None:
- raise ValueError("缺少上破/下破目标价")
+ raise ValueError("请填写盈亏比(相对权利金,默认2)")
up_f = float(up)
down_f = float(down)
- prem = float(leg_a.get("premium_paid") or 0) + float(leg_b.get("premium_paid") or 0)
a_up = _leg_pnl(leg_a, up_f)
b_up = _leg_pnl(leg_b, up_f)
at_up = a_up + b_up
@@ -482,15 +545,10 @@ def build_options_options_preview(
at_dn = a_dn + b_dn
win_dn = "a" if a_dn >= b_dn else "b"
- a_flat = _leg_pnl(leg_a, index_px)
- b_flat = _leg_pnl(leg_b, index_px)
- flat_total = a_flat + b_flat
- expiry_loss = flat_total if flat_total <= 0 else flat_total
-
return {
"plan_type": "options_options",
"premium_paid": round(prem, 6),
- "target_price": up_f, # 兼容旧字段,取上破
+ "target_price": up_f,
"target_price_up": up_f,
"target_price_down": down_f,
"winner_at_up": win_up,
@@ -538,10 +596,9 @@ def build_options_options_preview(
"at_target_up_total": round(at_up, 4),
"at_target_down_total": round(at_dn, 4),
"at_target_total": round(at_up, 4),
- "expiry_flat_total": round(expiry_loss, 4),
+ "expiry_flat_total": round(flat_total, 4),
"premium_paid": round(prem, 6),
"expiry_is_loss": flat_total <= 0,
- # 盈亏比:盈利/全亏保费(风险=权利金全损)
"rr_risk_premium": round(prem, 6),
"rr_at_up": round(at_up / prem, 4) if prem > 0 else None,
"rr_at_down": round(at_dn / prem, 4) if prem > 0 else None,
diff --git a/lib/hedge_plan/hedge_plan_db.py b/lib/hedge_plan/hedge_plan_db.py
index 299efa6..622dec0 100644
--- a/lib/hedge_plan/hedge_plan_db.py
+++ b/lib/hedge_plan/hedge_plan_db.py
@@ -72,6 +72,8 @@ def init_hedge_plan_tables(conn: sqlite3.Connection) -> None:
)
_ensure_column(conn, "hedge_plans", "target_price_up", "REAL")
_ensure_column(conn, "hedge_plans", "target_price_down", "REAL")
+ # 期期:目标盈亏比=目标盈利/权利金(如 2=盈利 2 倍权利金);不达标则等到期
+ _ensure_column(conn, "hedge_plans", "oo_profit_rr", "REAL")
# close_all=盈利腿平后清残腿;hold_expiry=残腿持有至到期(现状)
_ensure_column(conn, "hedge_plans", "oo_close_mode", "TEXT")
# 永期「以期权为主」
@@ -272,7 +274,7 @@ def active_options_targets_by_inst(conn: sqlite3.Connection) -> dict[str, dict[s
rows = conn.execute(
"""
SELECT p.id AS plan_id, p.underlying, p.target_price_up, p.target_price_down,
- l.inst_id, l.opt_type
+ p.oo_profit_rr, l.inst_id, l.opt_type
FROM hedge_plans p
JOIN hedge_plan_legs l ON l.plan_id = p.id
WHERE p.plan_type = 'options_options'
@@ -287,10 +289,36 @@ def active_options_targets_by_inst(conn: sqlite3.Connection) -> dict[str, dict[s
for raw in rows:
row = dict(raw)
inst_id = str(row.get("inst_id") or "")
+ if not inst_id or inst_id in out:
+ continue
opt_type = str(row.get("opt_type") or "").upper()
+ rr = _sf(row.get("oo_profit_rr"))
target = row.get("target_price_up") if opt_type == "C" else row.get("target_price_down")
target_f = _sf(target)
- if not inst_id or target_f is None or target_f <= 0 or inst_id in out:
+ # 盈亏比模式无指数目标价;旧上破/下破计划仍透出 target_index 只读展示
+ if rr is not None and rr > 0:
+ out[inst_id] = {
+ "plan_id": int(row["plan_id"]),
+ "inst_id": inst_id,
+ "underlying": row.get("underlying"),
+ "opt_type": opt_type,
+ "target_index": None,
+ "oo_profit_rr": rr,
+ "plan_type": "options_options",
+ "managed_by": "hedge_plan",
+ }
+ continue
+ if target_f is None or target_f <= 0:
+ # 无目标价也标记托管,避免期权页误拆组
+ out[inst_id] = {
+ "plan_id": int(row["plan_id"]),
+ "inst_id": inst_id,
+ "underlying": row.get("underlying"),
+ "opt_type": opt_type,
+ "target_index": None,
+ "plan_type": "options_options",
+ "managed_by": "hedge_plan",
+ }
continue
out[inst_id] = {
"plan_id": int(row["plan_id"]),
diff --git a/lib/hedge_plan/hedge_plan_monitor_lib.py b/lib/hedge_plan/hedge_plan_monitor_lib.py
index 53addea..b709bc7 100644
--- a/lib/hedge_plan/hedge_plan_monitor_lib.py
+++ b/lib/hedge_plan/hedge_plan_monitor_lib.py
@@ -999,6 +999,8 @@ def _tick_oo_close_rest(
"target_up_win_leg",
"target_down_win_leg",
"oo_rest_closing",
+ "oo_rr_closing",
+ "oo_rr_target",
"",
)
if reason0 not in allowed_reasons and not (
@@ -1049,7 +1051,113 @@ def _tick_oo_close_rest(
def _tick_oo_target(
cfg: dict[str, Any], conn: Any, plan: dict[str, Any], legs: list[dict[str, Any]]
) -> Optional[dict[str, Any]]:
- """期期:触及上破或下破目标价时平盈利腿;按平仓模式处理另一腿."""
+ """期期止盈:优先盈亏比(浮盈≥rr×权利金则两腿全平);否则兼容旧上破/下破."""
+ rr = _sf(plan.get("oo_profit_rr"))
+ if rr is not None and rr > 0:
+ return _tick_oo_rr_target(cfg, conn, plan, legs, rr=float(rr))
+ return _tick_oo_price_target(cfg, conn, plan, legs)
+
+
+def _tick_oo_rr_target(
+ cfg: dict[str, Any],
+ conn: Any,
+ plan: dict[str, Any],
+ legs: list[dict[str, Any]],
+ *,
+ rr: float,
+) -> Optional[dict[str, Any]]:
+ """浮盈(买一回收−权利金)≥盈亏比×总权利金 → 两腿全平;不达标则等到期."""
+ open_legs = _oo_option_legs(legs, statuses=("open",))
+ if len(open_legs) < 1:
+ return None
+ premium = float(plan.get("premium_total") or 0)
+ if premium <= 0:
+ premium = sum(float(x.get("premium") or 0) for x in open_legs)
+ if premium <= 0:
+ return None
+ need = float(rr) * premium
+ quote_fn = cfg.get("quote_option_contract")
+ ex = cfg.get("exchange_options")
+ if not callable(quote_fn) or ex is None:
+ return None
+ idx = _index_px(cfg, str(plan.get("underlying") or "ETH"))
+ total_pnl = 0.0
+ missing_bid = 0
+ for leg in open_legs:
+ inst = str(leg.get("inst_id") or "")
+ bid = None
+ try:
+ q = quote_fn(ex, inst) if inst else {}
+ if isinstance(q, dict) and q.get("ok"):
+ bid = _sf(q.get("bid"))
+ except Exception:
+ bid = None
+ if bid is None or float(bid) <= 0:
+ missing_bid += 1
+ # 无买一时用内在价值兜底,避免短暂无盘口卡住;两腿都无买一则本轮跳过
+ total_pnl += _estimate_leg_close_pnl(leg, idx, None)
+ else:
+ total_pnl += _estimate_leg_close_pnl(leg, idx, float(bid))
+ if missing_bid >= len(open_legs):
+ return None
+ if total_pnl + 1e-9 < need:
+ return None
+
+ acted = False
+ for leg in list(open_legs):
+ close_r = _sell_option(
+ cfg, inst_id=str(leg.get("inst_id") or ""), sheets=float(leg.get("size") or 1)
+ )
+ if not close_r.get("ok"):
+ notify_hedge(
+ cfg,
+ build_hedge_alert_message(
+ title="期期盈亏比达标·平仓失败(将重试)",
+ plan_id=plan.get("id"),
+ detail=(
+ f"目标 {rr:g}×权利金={need:.4f};估算浮盈 {total_pnl:.4f}; "
+ f"{close_r.get('msg') or close_r}"
+ ),
+ ),
+ )
+ update_plan(conn, int(plan["id"]), close_reason="oo_rr_closing")
+ return {
+ "plan_id": plan["id"],
+ "msg": "盈亏比达标但平仓失败",
+ "close": close_r,
+ "retry": True,
+ "rr": rr,
+ "need": need,
+ "mtm": total_pnl,
+ }
+ bid = _sf(close_r.get("bid"))
+ est = _estimate_leg_close_pnl(leg, idx, bid)
+ pnl = _option_leg_pnl_after_close(cfg, leg, fallback=est)
+ conn.execute(
+ "UPDATE hedge_plan_legs SET status=?, close_reason=?, closed_at=?, realized_pnl=? WHERE id=?",
+ ("closed", "oo_rr_target", _now(), round(pnl, 4), leg["id"]),
+ )
+ acted = True
+
+ if not acted:
+ return None
+ legs2 = get_plan_legs(conn, int(plan["id"]))
+ still_open = _oo_option_legs(legs2, statuses=("open", "hold_to_expiry"))
+ if still_open:
+ update_plan(conn, int(plan["id"]), close_reason="oo_rr_closing")
+ return {
+ "plan_id": plan["id"],
+ "msg": "盈亏比达标·部分已平,继续重试",
+ "remaining": len(still_open),
+ "rr": rr,
+ }
+ return _finalize_oo_all_closed(cfg, conn, plan, legs2, reason="oo_rr_target")
+
+
+def _tick_oo_price_target(
+ cfg: dict[str, Any], conn: Any, plan: dict[str, Any], legs: list[dict[str, Any]]
+) -> Optional[dict[str, Any]]:
+ """旧逻辑:触及上破或下破目标价时平盈利腿;按平仓模式处理另一腿."""
idx = _index_px(cfg, str(plan.get("underlying") or "ETH"))
if idx is None:
return None
diff --git a/lib/hedge_plan/hedge_plan_notify_lib.py b/lib/hedge_plan/hedge_plan_notify_lib.py
index 2e8ce7d..aa440ae 100644
--- a/lib/hedge_plan/hedge_plan_notify_lib.py
+++ b/lib/hedge_plan/hedge_plan_notify_lib.py
@@ -46,13 +46,22 @@ def build_hedge_start_message(plan: dict[str, Any], *, legs: Optional[list[dict[
]
)
else:
- lines.extend(
- [
- f"🎯 上破:{_fmt(plan.get('target_price_up') or plan.get('target_price'))}"
- f"｜下破:{_fmt(plan.get('target_price_down') or plan.get('target_price'))}",
- f"💎 期权保费合计:{_fmt(plan.get('premium_total'), 4)} USDC",
- ]
- )
+ rr = plan.get("oo_profit_rr")
+ if rr not in (None, ""):
+ lines.extend(
+ [
+ f"🎯 盈亏比:{_fmt(rr)}×权利金(达标全平;不达标等到期)",
+ f"💎 期权保费合计:{_fmt(plan.get('premium_total'), 4)} USDC",
+ ]
+ )
+ else:
+ lines.extend(
+ [
+ f"🎯 上破:{_fmt(plan.get('target_price_up') or plan.get('target_price'))}"
+ f"｜下破:{_fmt(plan.get('target_price_down') or plan.get('target_price'))}",
+ f"💎 期权保费合计:{_fmt(plan.get('premium_total'), 4)} USDC",
+ ]
+ )
if legs:
for leg in legs:
role = leg.get("leg_role") or ""
@@ -81,6 +90,8 @@ def build_hedge_end_message(plan: dict[str, Any]) -> str:
"target_win_leg": "期期已平盈利腿(中间态)",
"target_up_win_leg": "期期上破·已平盈利腿",
"target_down_win_leg": "期期下破·已平盈利腿",
+ "oo_rr_target": "期期盈亏比达标·两腿已平",
+ "oo_rr_closing": "期期盈亏比达标·平仓中",
"oo_rest_closing": "期期全平·清残腿中",
"oo_rest_closed": "期期全平·两腿已平",
"oo_expiry_loss": "期期到期无盈利·总亏损",
@@ -153,7 +164,18 @@ def notify_plan_end(cfg: dict[str, Any], conn: Any, plan: dict[str, Any]) -> boo
"target_up_win_leg",
"target_down_win_leg",
"oo_rest_closing",
+ "oo_rr_closing",
) and (plan.get("status") or "") != "closed":
+ if "oo_rr" in str(plan.get("close_reason") or ""):
+ notify_hedge(
+ cfg,
+ build_hedge_alert_message(
+ title="期期盈亏比达标·平仓进行中",
+ plan_id=plan.get("id"),
+ detail=f"盈亏比 {_fmt(plan.get('oo_profit_rr'))}×权利金",
+ ),
+ )
+ return True
side = "上破" if "up" in str(plan.get("close_reason")) else (
"下破" if "down" in str(plan.get("close_reason")) else "目标价"
)
diff --git a/lib/hedge_plan/hedge_plan_orders_lib.py b/lib/hedge_plan/hedge_plan_orders_lib.py
index d0180d4..8e554e9 100644
--- a/lib/hedge_plan/hedge_plan_orders_lib.py
+++ b/lib/hedge_plan/hedge_plan_orders_lib.py
@@ -1146,20 +1146,31 @@ def validate_start_body(plan_type: str, body: dict[str, Any]) -> Optional[str]:
b = body.get("leg_b") or {}
if not a.get("inst_id") or not b.get("inst_id"):
return "请选用两条期权腿"
- up = body.get("target_price_up")
- down = body.get("target_price_down")
- legacy = body.get("target_price")
- if up in (None, "") and legacy not in (None, ""):
- up = legacy
- if down in (None, "") and legacy not in (None, ""):
- down = legacy
- if up in (None, "") or down in (None, ""):
- return "请填写上破与下破目标价"
- try:
- if float(up) <= float(down):
- return "上破目标价必须大于下破目标价"
- except (TypeError, ValueError):
- return "目标价无效"
+ rr_raw = body.get("oo_profit_rr")
+ if rr_raw in (None, ""):
+ rr_raw = body.get("profit_rr")
+ if rr_raw not in (None, ""):
+ try:
+ rr = float(rr_raw)
+ except (TypeError, ValueError):
+ return "盈亏比无效"
+ if rr <= 0:
+ return "盈亏比须大于 0"
+ else:
+ up = body.get("target_price_up")
+ down = body.get("target_price_down")
+ legacy = body.get("target_price")
+ if up in (None, "") and legacy not in (None, ""):
+ up = legacy
+ if down in (None, "") and legacy not in (None, ""):
+ down = legacy
+ if up in (None, "") or down in (None, ""):
+ return "请填写盈亏比(相对权利金,默认2)"
+ try:
+ if float(up) <= float(down):
+ return "上破目标价必须大于下破目标价"
+ except (TypeError, ValueError):
+ return "目标价无效"
from lib.hedge_plan.hedge_plan_moneyness_lib import (
parse_strike_from_inst,
validate_oo_legs_moneyness,
@@ -1179,11 +1190,6 @@ def validate_start_body(plan_type: str, body: dict[str, Any]) -> Optional[str]:
return {"opt_type": opt_type, "strike": strike}
index_px = body.get("index_px")
- if index_px in (None, ""):
- try:
- index_px = (float(up) + float(down)) / 2.0
- except (TypeError, ValueError):
- index_px = None
money_err = validate_oo_legs_moneyness(
_leg_for_money(a),
_leg_for_money(b),
diff --git a/lib/hedge_plan/hedge_plan_register.py b/lib/hedge_plan/hedge_plan_register.py
index 32958b3..7d32ff0 100644
--- a/lib/hedge_plan/hedge_plan_register.py
+++ b/lib/hedge_plan/hedge_plan_register.py
@@ -537,27 +537,25 @@ def _persist_oo(cfg: dict[str, Any], result: dict[str, Any], body: dict[str, Any
premium = (float(a.get("premium") or 0) if a_ok else 0.0) + (
float(b.get("premium") or 0) if b_ok else 0.0
)
+ rr_raw = body.get("oo_profit_rr")
+ if rr_raw in (None, ""):
+ rr_raw = body.get("profit_rr")
+ try:
+ oo_rr = float(rr_raw) if rr_raw not in (None, "") else 2.0
+ except (TypeError, ValueError):
+ oo_rr = 2.0
+ if oo_rr <= 0:
+ oo_rr = 2.0
plan_id = insert_plan(
conn,
{
"plan_type": "options_options",
"status": "partial" if is_partial else "active",
"underlying": str(body.get("underlying") or "ETH").upper(),
- "target_price": float(
- body.get("target_price_up")
- or body.get("target_price")
- or 0
- ),
- "target_price_up": float(
- body.get("target_price_up")
- or body.get("target_price")
- or 0
- ),
- "target_price_down": float(
- body.get("target_price_down")
- or body.get("target_price")
- or 0
- ),
+ "target_price": None,
+ "target_price_up": None,
+ "target_price_down": None,
+ "oo_profit_rr": oo_rr,
"sizing_mode_at_open": load_position_sizing_mode(),
"premium_total": premium,
"oo_close_mode": _normalize_oo_close_mode(body.get("oo_close_mode")),
@@ -1238,20 +1236,24 @@ def _preview_po(body: dict[str, Any]) -> dict[str, Any]:
def _preview_oo(body: dict[str, Any]) -> dict[str, Any]:
from lib.hedge_plan.hedge_plan_moneyness_lib import validate_oo_legs_moneyness
- up = body.get("target_price_up")
- down = body.get("target_price_down")
- legacy = body.get("target_price")
- if up in (None, "") and legacy not in (None, ""):
- up = legacy
- if down in (None, "") and legacy not in (None, ""):
- down = legacy
- if up in (None, "") or down in (None, ""):
- raise ValueError("请填写上破与下破目标价")
- up_f = float(up)
- down_f = float(down)
- if up_f <= down_f:
- raise ValueError("上破目标价必须大于下破目标价")
- index_px = float(body.get("index_px") or ((up_f + down_f) / 2))
+ rr_raw = body.get("oo_profit_rr")
+ if rr_raw in (None, ""):
+ rr_raw = body.get("profit_rr")
+ rr = None
+ if rr_raw not in (None, ""):
+ try:
+ rr = float(rr_raw)
+ except (TypeError, ValueError) as e:
+ raise ValueError("盈亏比无效") from e
+ if rr <= 0:
+ raise ValueError("盈亏比须大于 0")
+
+ index_px = body.get("index_px")
+ try:
+ index_px_f = float(index_px) if index_px not in (None, "") else 0.0
+ except (TypeError, ValueError):
+ index_px_f = 0.0
+
leg_a = body.get("leg_a") or {}
leg_b = body.get("leg_b") or {}
for name, leg in (("leg_a", leg_a), ("leg_b", leg_b)):
@@ -1265,13 +1267,38 @@ def _preview_oo(body: dict[str, Any]) -> dict[str, Any]:
)
if leg.get("premium_paid") is None:
raise ValueError(f"缺少 {name} 权利金")
- money_err = validate_oo_legs_moneyness(leg_a, leg_b, index_px=index_px)
+ money_err = validate_oo_legs_moneyness(leg_a, leg_b, index_px=index_px_f or None)
if money_err:
raise ValueError(money_err)
+
+ if rr is not None:
+ return build_options_options_preview(
+ profit_rr=rr,
+ index_px=index_px_f,
+ leg_a=leg_a,
+ leg_b=leg_b,
+ )
+
+ # 兼容旧上破/下破
+ up = body.get("target_price_up")
+ down = body.get("target_price_down")
+ legacy = body.get("target_price")
+ if up in (None, "") and legacy not in (None, ""):
+ up = legacy
+ if down in (None, "") and legacy not in (None, ""):
+ down = legacy
+ if up in (None, "") or down in (None, ""):
+ raise ValueError("请填写盈亏比(相对权利金,默认2)")
+ up_f = float(up)
+ down_f = float(down)
+ if up_f <= down_f:
+ raise ValueError("上破目标价必须大于下破目标价")
+ if index_px_f <= 0:
+ index_px_f = (up_f + down_f) / 2
return build_options_options_preview(
target_price_up=up_f,
target_price_down=down_f,
- index_px=index_px,
+ index_px=index_px_f,
leg_a=leg_a,
leg_b=leg_b,
)
diff --git a/lib/hedge_plan/templates/hedge_plan_panel.html b/lib/hedge_plan/templates/hedge_plan_panel.html
index de47b03..c0ccb21 100644
--- a/lib/hedge_plan/templates/hedge_plan_panel.html
+++ b/lib/hedge_plan/templates/hedge_plan_panel.html
@@ -213,7 +213,7 @@
账户：两腿都在期权账户。可用预算 = min(交易 USDC × 对冲缓冲 {{ '%.2f'|format(hedge_plan_budget_buffer|default(0.95)|float) }}, 单笔预算);可在 env「对冲预算缓冲比例」改。
下单：选 Call + Put 后「计算」再「启动」。启动会再拉卖一并按最新价重算张数,IOC 完全成交才算成功;资金不足可在右侧划转。
-
板块：左填上破/下破与张数模式(同张数/做多/做空);右 T 型选腿。两腿仅允许平值或虚值(禁实值)。「全平」= 盈利腿平后清另一腿;「到期平」= 另一腿持有至到期。
+
板块：左填盈亏比(相对权利金,默认 2=盈利 2 倍权利金)与张数模式(同张数/做多/做空);右 T 型选腿。两腿仅允许平值或虚值(禁实值)。中途浮盈达盈亏比→两腿全平;不达标→等到期。「全平/到期平」仅兼容旧上破下破计划残腿处理。
@@ -221,8 +221,7 @@
-
-
+
指数 —
@@ -406,4 +405,4 @@
-
+
diff --git a/lib/options/templates/options_review_panel.html b/lib/options/templates/options_review_panel.html
index f67311b..afd0aa3 100644
--- a/lib/options/templates/options_review_panel.html
+++ b/lib/options/templates/options_review_panel.html
@@ -416,4 +416,4 @@
-
+
diff --git a/tests/test_hedge_plan_calc.py b/tests/test_hedge_plan_calc.py
index b3a4836..f9769a2 100644
--- a/tests/test_hedge_plan_calc.py
+++ b/tests/test_hedge_plan_calc.py
@@ -102,8 +102,7 @@ class TestHedgePlanCalc(unittest.TestCase):
a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
b = {"opt_type": "P", "strike": 3100, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
p = build_options_options_preview(
- target_price_up=3500,
- target_price_down=3000,
+ profit_rr=2,
index_px=3200,
leg_a=a,
leg_b=b,
@@ -111,11 +110,11 @@ class TestHedgePlanCalc(unittest.TestCase):
self.assertEqual(p["summary"]["premium_paid"], 10)
self.assertTrue(p["summary"]["expiry_is_loss"])
self.assertEqual(p["summary"]["rr_risk_premium"], 10)
- self.assertIsNotNone(p["summary"]["rr_at_up"])
- self.assertAlmostEqual(p["summary"]["rr_at_up"], p["summary"]["at_target_up_total"] / 10, places=4)
- self.assertEqual(len(p["scenarios"]), 4)
- self.assertEqual(p["scenarios"][0]["id"], "target_up")
- self.assertEqual(p["scenarios"][1]["id"], "target_down")
+ self.assertEqual(p["summary"]["oo_profit_rr"], 2)
+ self.assertAlmostEqual(p["summary"]["target_profit"], 20.0, places=4)
+ self.assertEqual(len(p["scenarios"]), 3)
+ self.assertEqual(p["scenarios"][0]["id"], "rr_target")
+ self.assertEqual(p["scenarios"][1]["id"], "expiry_flat")
def test_oo_legacy_single_target_still_works(self):
a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
@@ -124,6 +123,21 @@ class TestHedgePlanCalc(unittest.TestCase):
self.assertEqual(p["target_price_up"], 3500)
self.assertEqual(p["target_price_down"], 3500)
+ def test_oo_legacy_up_down_rr_fields(self):
+ a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
+ b = {"opt_type": "P", "strike": 3100, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
+ p = build_options_options_preview(
+ target_price_up=3500,
+ target_price_down=3000,
+ index_px=3200,
+ leg_a=a,
+ leg_b=b,
+ )
+ self.assertIsNotNone(p["summary"]["rr_at_up"])
+ self.assertAlmostEqual(p["summary"]["rr_at_up"], p["summary"]["at_target_up_total"] / 10, places=4)
+ self.assertEqual(p["scenarios"][0]["id"], "target_up")
+ self.assertEqual(p["scenarios"][1]["id"], "target_down")
+
def test_perp_short_pnl(self):
self.assertEqual(
perp_pnl(direction="short", entry=100, exit_px=90, contracts=1, contract_size=1),
diff --git a/tests/test_hedge_plan_history_stats.py b/tests/test_hedge_plan_history_stats.py
index ea451b0..d56f558 100644
--- a/tests/test_hedge_plan_history_stats.py
+++ b/tests/test_hedge_plan_history_stats.py
@@ -155,6 +155,32 @@ class TestHedgeHistoryStats(unittest.TestCase):
self.assertEqual(targets["ETH-USD_UM-260719-1850-P"]["target_index"], 1800)
self.assertEqual(targets["ETH-USD_UM-260719-1890-C"]["managed_by"], "hedge_plan")
+ def test_active_options_targets_rr_mode_marks_managed(self):
+ conn = _mem()
+ pid = insert_plan(
+ conn,
+ {
+ "plan_type": "options_options",
+ "status": "active",
+ "underlying": "ETH",
+ "oo_profit_rr": 2,
+ },
+ )
+ insert_leg(
+ conn,
+ {
+ "plan_id": pid,
+ "leg_role": "option_a",
+ "inst_id": "ETH-USD_UM-260719-1890-C",
+ "opt_type": "C",
+ "status": "open",
+ },
+ )
+ targets = active_options_targets_by_inst(conn)
+ self.assertEqual(targets["ETH-USD_UM-260719-1890-C"]["managed_by"], "hedge_plan")
+ self.assertIsNone(targets["ETH-USD_UM-260719-1890-C"]["target_index"])
+ self.assertEqual(targets["ETH-USD_UM-260719-1890-C"]["oo_profit_rr"], 2.0)
+
if __name__ == "__main__":
unittest.main()