feat(hedge): replace OO breakout targets with premium profit RR

期期改用盈亏比×权利金止盈(默认2);不达标持有至到期。

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-11 10:21:47 +08:00
parent 860ebef4a7
commit 3b56e15fb1
12 changed files with 433 additions and 133 deletions
+29 -7
View File
@@ -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"
)