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>

lib/common/static/hedge_plan.js

@@ -1165,14 +1165,9 @@
     fillExpSelect($("hp-oo-exp-select"), d);
     renderListStrikes();
     renderTStrikes();
-    if (d.index_px) {
+    // 期期盈亏比默认 2,不再用指数自动填上破/下破
-      const idx = Number(d.index_px);
+    if ($("hp-oo-rr") && !$("hp-oo-rr").value) {
-      if ($("hp-target-up") && !$("hp-target-up").value) {
+      $("hp-oo-rr").value = "2";
-        $("hp-target-up").value = String(Math.round(idx * 1.03));
-      }
-      if ($("hp-target-down") && !$("hp-target-down").value) {
-        $("hp-target-down").value = String(Math.round(idx * 0.97));
-      }
     }
   }
 
@@ -1581,8 +1576,7 @@
     if ($("hp-contracts")) $("hp-contracts").value = "";
     if ($("hp-tp")) $("hp-tp").value = "";
     if ($("hp-sl")) $("hp-sl").value = "";
-    if ($("hp-target-up")) $("hp-target-up").value = "";
+    if ($("hp-oo-rr")) $("hp-oo-rr").value = "2";
-    if ($("hp-target-down")) $("hp-target-down").value = "";
     if ($("hp-sel-inst")) $("hp-sel-inst").textContent = "—";
     if ($("hp-premium-line")) $("hp-premium-line").textContent = "";
     if ($("hp-oo-sheets-a")) {
@@ -1618,16 +1612,12 @@
         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") && $("hp-target-up").value) || 0);
+        const rr = numInput("hp-oo-rr", 2);
-        const down = Number(($("hp-target-down") && $("hp-target-down").value) || 0);
+        if (!(rr > 0)) throw new Error("请填写盈亏比(相对权利金,默认2)");
-        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");
         body = {
           plan_type: "options_options",
-          target_price_up: up,
+          oo_profit_rr: rr,
-          target_price_down: down,
+          index_px: indexPx() || 0,
-          target_price: up,
-          index_px: indexPx() || (up + down) / 2,
           leg_a: legPayload(state.legA, ooSheets("hp-oo-sheets-a")),
           leg_b: legPayload(state.legB, ooSheets("hp-oo-sheets-b")),
         };
@@ -1719,28 +1709,44 @@
             fmt(s.premium_paid) +
             (s.hedge_ratio_at_sl != null ? " · 止损对冲率 " + fmt(s.hedge_ratio_at_sl) + "%" : "");
         } else {
-          const upTot = s.at_target_up_total != null ? s.at_target_up_total : s.at_target_total;
+          const rr = s.oo_profit_rr != null ? s.oo_profit_rr : s.rr_target;
-          const dnTot = s.at_target_down_total;
+          const tgt = s.target_profit != null ? s.target_profit : s.at_target_total;
-          let rrLine = "";
+          if (rr != null) {
-          if (s.rr_at_up != null || s.rr_at_down != null) {
+            summary.innerHTML =
-            rrLine =
+              "盈亏比 ×" +
-              " · 盈亏比 上破 " +
+              fmt(rr, 2) +
-              fmtRr(s.rr_at_up) +
+              " · 目标盈利 " +
-              (dnTot != null ? " / 下破 " + fmtRr(s.rr_at_down) : "") +
+              fmtPnlHtml(tgt) +
-              '<span class="muted">（亏=全额保费 ' +
+              " · 到期现价 " +
-              fmt(s.rr_risk_premium != null ? s.rr_risk_premium : s.premium_paid) +
+              fmtPnlHtml(s.expiry_flat_total) +
-              "）</span>";
+              " · 保费 " +
+              fmt(s.premium_paid) +
+              '<span class="muted">（达标全平;不达标等到期）</span>' +
+              (s.expiry_is_loss ? " · 到期现价情景为亏" : "");
+          } else {
+            const upTot = s.at_target_up_total != null ? s.at_target_up_total : s.at_target_total;
+            const dnTot = s.at_target_down_total;
+            let rrLine = "";
+            if (s.rr_at_up != null || s.rr_at_down != null) {
+              rrLine =
+                " · 盈亏比 上破 " +
+                fmtRr(s.rr_at_up) +
+                (dnTot != null ? " / 下破 " + fmtRr(s.rr_at_down) : "") +
+                '<span class="muted">（亏=全额保费 ' +
+                fmt(s.rr_risk_premium != null ? s.rr_risk_premium : s.premium_paid) +
+                "）</span>";
+            }
+            summary.innerHTML =
+              "上破 " +
+              fmtPnlHtml(upTot) +
+              (dnTot != null ? " · 下破 " + fmtPnlHtml(dnTot) : "") +
+              " · 到期现价 " +
+              fmtPnlHtml(s.expiry_flat_total) +
+              " · 保费 " +
+              fmt(s.premium_paid) +
+              rrLine +
+              (s.expiry_is_loss ? " · 到期无盈利(记总亏损)" : "");
           }
-          summary.innerHTML =
-            "上破 " +
-            fmtPnlHtml(upTot) +
-            (dnTot != null ? " · 下破 " + fmtPnlHtml(dnTot) : "") +
-            " · 到期现价 " +
-            fmtPnlHtml(s.expiry_flat_total) +
-            " · 保费 " +
-            fmt(s.premium_paid) +
-            rrLine +
-            (s.expiry_is_loss ? " · 到期无盈利(记总亏损)" : "");
         }
       }
       if (!tbody) return;
@@ -2057,8 +2063,7 @@
       "hp-tp",
       "hp-sl",
       "hp-sheets",
-      "hp-target-up",
+      "hp-oo-rr",
-      "hp-target-down",
     ]);
     if ($("hp-preview-btn"))
       $("hp-preview-btn").addEventListener("click", function () {
@@ -2171,6 +2176,9 @@
     if (p.plan_type === "perp_options") {
       return "止盈 " + fmt(p.tp) + " · 止损 " + fmt(p.sl);
     }
+    if (p.oo_profit_rr != null && Number(p.oo_profit_rr) > 0) {
+      return "盈亏比 ×" + fmt(p.oo_profit_rr, 2) + "（达标全平）";
+    }
     return "上破 " + fmt(p.target_price_up || p.target_price) + " · 下破 " + fmt(p.target_price_down || p.target_price);
   }
 
@@ -2330,6 +2338,8 @@
       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",
@@ -2404,6 +2414,11 @@
           "x · 张数 " +
           fmt(p.perp_size, 4) +
           "</div>";
+      } else if (p.oo_profit_rr != null && Number(p.oo_profit_rr) > 0) {
+        html +=
+          "<div><span class=\"muted\">盈亏比</span> ×" +
+          fmt(p.oo_profit_rr, 2) +
+          "（浮盈达标全平;不达标等到期）</div>";
       } else {
         html +=
           "<div><span class=\"muted\">目标价</span> 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") && $("hp-target-up").value) || 0);
+        const rr = numInput("hp-oo-rr", 2);
-        const down = Number(($("hp-target-down") && $("hp-target-down").value) || 0);
+        if (!(rr > 0)) throw new Error("请填写盈亏比(相对权利金,默认2)");
-        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");
         body = {
           plan_type: "options_options",
           underlying: state.underlying,
-          target_price_up: up,
+          oo_profit_rr: rr,
-          target_price_down: down,
+          index_px: indexPx() || 0,
-          target_price: up,
-          index_px: indexPx() || (up + down) / 2,
           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")),

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",

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,

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"]),

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

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(
+        rr = plan.get("oo_profit_rr")
-            [
+        if rr not in (None, ""):
-                f"🎯 上破:{_fmt(plan.get('target_price_up') or plan.get('target_price'))}"
+            lines.extend(
-                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",
+                    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"
         )

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")
+        rr_raw = body.get("oo_profit_rr")
-        down = body.get("target_price_down")
+        if rr_raw in (None, ""):
-        legacy = body.get("target_price")
+            rr_raw = body.get("profit_rr")
-        if up in (None, "") and legacy not in (None, ""):
+        if rr_raw not in (None, ""):
-            up = legacy
+            try:
-        if down in (None, "") and legacy not in (None, ""):
+                rr = float(rr_raw)
-            down = legacy
+            except (TypeError, ValueError):
-        if up in (None, "") or down in (None, ""):
+                return "盈亏比无效"
-            return "请填写上破与下破目标价"
+            if rr <= 0:
-        try:
+                return "盈亏比须大于 0"
-            if float(up) <= float(down):
+        else:
-                return "上破目标价必须大于下破目标价"
+            up = body.get("target_price_up")
-        except (TypeError, ValueError):
+            down = body.get("target_price_down")
-            return "目标价无效"
+            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),

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(
+                "target_price": None,
-                    body.get("target_price_up")
+                "target_price_up": None,
-                    or body.get("target_price")
+                "target_price_down": None,
-                    or 0
+                "oo_profit_rr": oo_rr,
-                ),
-                "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
-                ),
                 "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")
+    rr_raw = body.get("oo_profit_rr")
-    down = body.get("target_price_down")
+    if rr_raw in (None, ""):
-    legacy = body.get("target_price")
+        rr_raw = body.get("profit_rr")
-    if up in (None, "") and legacy not in (None, ""):
+    rr = None
-        up = legacy
+    if rr_raw not in (None, ""):
-    if down in (None, "") and legacy not in (None, ""):
+        try:
-        down = legacy
+            rr = float(rr_raw)
-    if up in (None, "") or down in (None, ""):
+        except (TypeError, ValueError) as e:
-        raise ValueError("请填写上破与下破目标价")
+            raise ValueError("盈亏比无效") from e
-    up_f = float(up)
+        if rr <= 0:
-    down_f = float(down)
+            raise ValueError("盈亏比须大于 0")
-    if up_f <= down_f:
+
-        raise ValueError("上破目标价必须大于下破目标价")
+    index_px = body.get("index_px")
-    index_px = float(body.get("index_px") or ((up_f + down_f) / 2))
+    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,
     )

lib/hedge_plan/templates/hedge_plan_panel.html

@@ -213,7 +213,7 @@
           <div class="tip-collapse-body rule-tip">
             <p><strong>账户</strong>：两腿都在<strong>期权账户</strong>。可用预算 = min(交易 USDC × 对冲缓冲 <strong id="hp-oo-buf-ratio">{{ '%.2f'|format(hedge_plan_budget_buffer|default(0.95)|float) }}</strong>, 单笔预算);可在 env「对冲预算缓冲比例」改。</p>
             <p><strong>下单</strong>：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。</p>
-            <p><strong>板块</strong>：左填上破/下破与张数模式(同张数/做多/做空);右 T 型选腿。<strong>两腿仅允许平值或虚值</strong>(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。</p>
+            <p><strong>板块</strong>：左填<strong>盈亏比</strong>(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。<strong>两腿仅允许平值或虚值</strong>(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。</p>
           </div>
         </details>
         <div class="form-row hp-uly-row">
@@ -221,8 +221,7 @@
           <button type="button" class="btn-secondary hp-uly-btn-oo" data-uly="BTC">BTC</button>
         </div>
         <div class="form-row hp-target-row hp-oo-target-row">
-          <label>上破目标 <input type="number" step="any" id="hp-target-up" placeholder="向上突破" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" /></label>
+          <label title="目标盈利 = 盈亏比 × 两腿权利金合计;例 2=赚满 2 倍权利金后全平">盈亏比 <input type="number" step="0.1" min="0.1" id="hp-oo-rr" value="2" placeholder="默认2" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" /></label>
-          <label>下破目标 <input type="number" step="any" id="hp-target-down" placeholder="向下突破" autocomplete="off" inputmode="decimal" data-lpignore="true" data-1p-ignore="true" data-form-type="other" /></label>
           <span id="hp-oo-index" class="hp-oo-index" aria-live="polite">指数 —</span>
         </div>
         <div class="hp-oo-controls">
@@ -406,4 +405,4 @@
     </div>
   </div>
 </div>
-<script src="/static/hedge_plan.js?v=46"></script>
+<script src="/static/hedge_plan.js?v=47"></script>

lib/options/templates/options_review_panel.html

@@ -416,4 +416,4 @@
     </section>
 </div>
 
-<script src="/static/options_review.js?v=23"></script>
+<script src="/static/options_review.js?v=24"></script>

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,
+            profit_rr=2,
-            target_price_down=3000,
             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.assertEqual(p["summary"]["oo_profit_rr"], 2)
-        self.assertAlmostEqual(p["summary"]["rr_at_up"], p["summary"]["at_target_up_total"] / 10, places=4)
+        self.assertAlmostEqual(p["summary"]["target_profit"], 20.0, places=4)
-        self.assertEqual(len(p["scenarios"]), 4)
+        self.assertEqual(len(p["scenarios"]), 3)
-        self.assertEqual(p["scenarios"][0]["id"], "target_up")
+        self.assertEqual(p["scenarios"][0]["id"], "rr_target")
-        self.assertEqual(p["scenarios"][1]["id"], "target_down")
+        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),

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()