Lock hedge-plan option selection to ITM/ATM (perp) and ATM/OTM (OO).

Server validate on preview/start, UI filters and recommend templates, plus usability/security audit doc.

Co-authored-by: Cursor <cursoragent@cursor.com>

lib/hedge_plan/hedge_plan_moneyness_lib.py

@@ -0,0 +1,285 @@
+"""对冲计划虚实值选约与校验.
+
+永期(perp_options):期权腿仅允许实值或平值(禁虚值).
+期期(options_options):两腿仅允许平值或虚值(禁实值).
+"""
+from __future__ import annotations
+
+import os
+from typing import Any, Optional
+
+
+def _env_float(name: str, default: float) -> float:
+    try:
+        return float(os.getenv(name) or default)
+    except (TypeError, ValueError):
+        return float(default)
+
+
+def itm_max_dist_usd() -> float:
+    """过深实值上限(USD).优先对冲专用,否则回退期权页."""
+    raw = (os.getenv("HEDGE_PLAN_ITM_MAX_DIST_USD") or "").strip()
+    if raw:
+        try:
+            return max(0.0, float(raw))
+        except ValueError:
+            pass
+    return max(0.0, _env_float("OKX_OPTIONS_ITM_MAX_DIST_USD", 30.0))
+
+
+def min_option_hours() -> float:
+    return max(0.0, _env_float("HEDGE_PLAN_MIN_OPTION_HOURS", 8.0))
+
+
+def min_option_leverage() -> float:
+    """指数/卖一 最低杠杆门槛;0=不启用."""
+    return max(0.0, _env_float("HEDGE_PLAN_MIN_OPTION_LEVERAGE", 0.0))
+
+
+def _sf(v: Any) -> Optional[float]:
+    if v is None or v == "":
+        return None
+    try:
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+def normalize_opt_type(opt_type: Any, inst_id: str = "") -> str:
+    o = str(opt_type or "").strip().upper()
+    if o in ("C", "CALL"):
+        return "C"
+    if o in ("P", "PUT"):
+        return "P"
+    inst = str(inst_id or "").upper()
+    if inst.endswith("-C") or inst.endswith("-CALL"):
+        return "C"
+    if inst.endswith("-P") or inst.endswith("-PUT"):
+        return "P"
+    return ""
+
+
+def classify_moneyness(*, opt_type: str, strike: float, index_px: float) -> str:
+    """itm / atm / otm / unknown.与 options_pricing_lib.option_moneyness 同口径."""
+    from lib.options.options_pricing_lib import option_moneyness
+
+    return option_moneyness(opt_type=opt_type, strike=strike, index_px=index_px)
+
+
+def is_itm_or_atm(*, opt_type: str, strike: float, index_px: float) -> bool:
+    """Call: K<=S(+atm 带);Put: K>=S.用 classify 结果含 atm/itm."""
+    m = classify_moneyness(opt_type=opt_type, strike=strike, index_px=index_px)
+    if m in ("itm", "atm"):
+        return True
+    # 几何兜底(与 eth_hedge_sim 一致),避免 atm 带边界漏判
+    o = normalize_opt_type(opt_type)
+    k = float(strike)
+    s = float(index_px)
+    if o == "C":
+        return k <= s + 1e-9
+    if o == "P":
+        return k >= s - 1e-9
+    return False
+
+
+def is_atm_or_otm(*, opt_type: str, strike: float, index_px: float) -> bool:
+    m = classify_moneyness(opt_type=opt_type, strike=strike, index_px=index_px)
+    if m in ("atm", "otm"):
+        return True
+    o = normalize_opt_type(opt_type)
+    k = float(strike)
+    s = float(index_px)
+    if o == "C":
+        return k >= s - 1e-9  # 平值带内或虚值
+    if o == "P":
+        return k <= s + 1e-9
+    return False
+
+
+def itm_depth_usd(*, opt_type: str, strike: float, index_px: float) -> float:
+    o = normalize_opt_type(opt_type)
+    k = float(strike)
+    s = float(index_px)
+    if o == "C" and k < s:
+        return s - k
+    if o == "P" and k > s:
+        return k - s
+    return 0.0
+
+
+def parse_strike_from_inst(inst_id: str) -> Optional[float]:
+    """从 OKX 合约名解析行权价: ETH-USD-260731-1800-P."""
+    parts = str(inst_id or "").strip().upper().split("-")
+    if len(parts) < 5:
+        return None
+    return _sf(parts[-2])
+
+
+def pick_itm_or_atm_contract(
+    contracts: list[dict[str, Any]],
+    *,
+    opt_type: str,
+    index_px: float,
+    itm_max_dist: Optional[float] = None,
+) -> Optional[dict[str, Any]]:
+    """在合约列表中选距标的最近的实值/平值腿."""
+    want = normalize_opt_type(opt_type)
+    if not want or index_px <= 0:
+        return None
+    max_dist = itm_max_dist if itm_max_dist is not None else itm_max_dist_usd()
+    cands: list[tuple[float, float, dict[str, Any]]] = []
+    for c in contracts or []:
+        if normalize_opt_type(c.get("opt_type"), str(c.get("inst_id") or "")) != want:
+            continue
+        k = _sf(c.get("strike"))
+        if k is None:
+            continue
+        if not is_itm_or_atm(opt_type=want, strike=k, index_px=index_px):
+            continue
+        depth = itm_depth_usd(opt_type=want, strike=k, index_px=index_px)
+        if max_dist > 0 and depth > max_dist:
+            continue
+        cands.append((abs(k - index_px), k, c))
+    if not cands:
+        return None
+    cands.sort(key=lambda x: (x[0], x[1]))
+    return cands[0][2]
+
+
+def pick_atm_or_otm_contract(
+    contracts: list[dict[str, Any]],
+    *,
+    opt_type: str,
+    index_px: float,
+    prefer: str = "atm",
+) -> Optional[dict[str, Any]]:
+    """选平值或虚值腿.prefer=atm 取距标的最近;prefer=otm 取最近虚值(不含实值)."""
+    want = normalize_opt_type(opt_type)
+    if not want or index_px <= 0:
+        return None
+    prefer_l = (prefer or "atm").strip().lower()
+    cands: list[tuple[float, float, dict[str, Any]]] = []
+    for c in contracts or []:
+        if normalize_opt_type(c.get("opt_type"), str(c.get("inst_id") or "")) != want:
+            continue
+        k = _sf(c.get("strike"))
+        if k is None:
+            continue
+        if not is_atm_or_otm(opt_type=want, strike=k, index_px=index_px):
+            continue
+        m = classify_moneyness(opt_type=want, strike=k, index_px=index_px)
+        if prefer_l == "otm" and m != "otm":
+            continue
+        if prefer_l == "atm" and m == "otm":
+            # 仍可入选,但排序靠后(先 atm)
+            cands.append((1_000_000 + abs(k - index_px), k, c))
+        else:
+            cands.append((abs(k - index_px), k, c))
+    if not cands:
+        return None
+    cands.sort(key=lambda x: (x[0], x[1]))
+    return cands[0][2]
+
+
+def recommend_oo_legs(
+    contracts: list[dict[str, Any]],
+    *,
+    index_px: float,
+    template: str = "atm_straddle",
+) -> Optional[tuple[dict[str, Any], dict[str, Any]]]:
+    """期期推荐两腿.atm_straddle=最近平值 Call+Put;double_otm=最近虚值 Call+Put."""
+    tpl = (template or "atm_straddle").strip().lower()
+    prefer = "otm" if tpl in ("double_otm", "otm_otm", "otm") else "atm"
+    call = pick_atm_or_otm_contract(
+        contracts, opt_type="C", index_px=index_px, prefer=prefer
+    )
+    put = pick_atm_or_otm_contract(
+        contracts, opt_type="P", index_px=index_px, prefer=prefer
+    )
+    if not call or not put:
+        return None
+    if str(call.get("inst_id") or "") == str(put.get("inst_id") or ""):
+        return None
+    return call, put
+
+
+def validate_po_option_moneyness(
+    *,
+    opt_type: str,
+    strike: Any,
+    index_px: Any,
+    ask: Any = None,
+    hours_to_expiry: Any = None,
+) -> Optional[str]:
+    """永期保险腿校验;返回错误文案或 None."""
+    o = normalize_opt_type(opt_type)
+    k = _sf(strike)
+    s = _sf(index_px)
+    if o not in ("C", "P"):
+        return "期权类型无效"
+    if k is None or s is None or s <= 0:
+        return "行权价或指数无效,无法校验虚实值"
+    if not is_itm_or_atm(opt_type=o, strike=k, index_px=s):
+        return "永期保险腿须为实值或平值,不可选虚值"
+    max_dist = itm_max_dist_usd()
+    depth = itm_depth_usd(opt_type=o, strike=k, index_px=s)
+    if max_dist > 0 and depth > max_dist:
+        return f"实值过深(距现价 {depth:.1f}U > {max_dist:.0f}U),请换更接近平值的档"
+    min_h = min_option_hours()
+    h = _sf(hours_to_expiry)
+    if min_h > 0 and h is not None and h < min_h:
+        return f"剩余到期约 {h:.1f}h,低于最低 {min_h:.0f}h"
+    min_lev = min_option_leverage()
+    a = _sf(ask)
+    if min_lev > 0 and a is not None and a > 0:
+        lev = s / a
+        if lev < min_lev:
+            return f"期权杠杆 S/ask≈{lev:.0f} 低于门槛 {min_lev:.0f}"
+    return None
+
+
+def validate_oo_leg_moneyness(
+    *,
+    opt_type: str,
+    strike: Any,
+    index_px: Any,
+    role: str = "腿",
+) -> Optional[str]:
+    o = normalize_opt_type(opt_type)
+    k = _sf(strike)
+    s = _sf(index_px)
+    if o not in ("C", "P"):
+        return f"{role}期权类型无效"
+    if k is None or s is None or s <= 0:
+        return f"{role}行权价或指数无效,无法校验虚实值"
+    m = classify_moneyness(opt_type=o, strike=k, index_px=s)
+    if m == "itm":
+        return f"{role}须为平值或虚值,不可选实值"
+    if not is_atm_or_otm(opt_type=o, strike=k, index_px=s):
+        return f"{role}须为平值或虚值"
+    return None
+
+
+def validate_oo_legs_moneyness(
+    leg_a: dict[str, Any],
+    leg_b: dict[str, Any],
+    *,
+    index_px: Any,
+) -> Optional[str]:
+    err = validate_oo_leg_moneyness(
+        opt_type=leg_a.get("opt_type"),
+        strike=leg_a.get("strike"),
+        index_px=index_px,
+        role="腿A",
+    )
+    if err:
+        return err
+    err = validate_oo_leg_moneyness(
+        opt_type=leg_b.get("opt_type"),
+        strike=leg_b.get("strike"),
+        index_px=index_px,
+        role="腿B",
+    )
+    if err:
+        return err
+    return None

lib/hedge_plan/hedge_plan_orders_lib.py

@@ -965,6 +965,26 @@ def validate_start_body(plan_type: str, body: dict[str, Any]) -> Optional[str]:
             return "做多须满足 止损 < 入场 < 止盈"
         if direction == "short" and not (tp < entry < sl):
             return "做空须满足 止盈 < 入场 < 止损"
+        from lib.hedge_plan.hedge_plan_moneyness_lib import (
+            parse_strike_from_inst,
+            validate_po_option_moneyness,
+        )
+
+        strike = body.get("strike")
+        if strike in (None, ""):
+            strike = parse_strike_from_inst(str(body.get("opt_inst_id") or ""))
+        index_px = body.get("index_px")
+        if index_px in (None, ""):
+            index_px = entry
+        money_err = validate_po_option_moneyness(
+            opt_type=opt_type,
+            strike=strike,
+            index_px=index_px,
+            ask=body.get("ask"),
+            hours_to_expiry=body.get("hours_to_expiry"),
+        )
+        if money_err:
+            return money_err
         return None
     if pt == "options_options":
         a = body.get("leg_a") or {}
@@ -985,6 +1005,37 @@ def validate_start_body(plan_type: str, body: dict[str, Any]) -> Optional[str]:
                 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,
+        )
+
+        def _leg_for_money(leg: dict) -> dict:
+            strike = leg.get("strike")
+            if strike in (None, ""):
+                strike = parse_strike_from_inst(str(leg.get("inst_id") or ""))
+            opt_type = leg.get("opt_type")
+            if not opt_type:
+                inst = str(leg.get("inst_id") or "").upper()
+                if inst.endswith("-C"):
+                    opt_type = "C"
+                elif inst.endswith("-P"):
+                    opt_type = "P"
+            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),
+            index_px=index_px,
+        )
+        if money_err:
+            return money_err
         return None
     return "未知计划类型"
 

lib/hedge_plan/hedge_plan_register.py

@@ -891,6 +891,8 @@ def register_hedge_plan_routes(app: Flask, cfg: dict[str, Any]) -> None:
 
 
 def _preview_po(body: dict[str, Any]) -> dict[str, Any]:
+    from lib.hedge_plan.hedge_plan_moneyness_lib import validate_po_option_moneyness
+
     direction = str(body.get("direction") or "long").lower()
     entry = float(body["entry"])
     tp = float(body["tp"])
@@ -908,6 +910,16 @@ def _preview_po(body: dict[str, Any]) -> dict[str, Any]:
             raise ValueError("缺少权利金或卖一价")
         premium = option_premium_total(ask=float(ask), sheets=sheets, ct_mult=ct_mult)
     index_px = body.get("index_px")
+    idx_for_money = float(index_px) if index_px is not None else entry
+    money_err = validate_po_option_moneyness(
+        opt_type=opt_type,
+        strike=strike,
+        index_px=idx_for_money,
+        ask=ask,
+        hours_to_expiry=body.get("hours_to_expiry"),
+    )
+    if money_err:
+        raise ValueError(money_err)
     return build_perp_options_preview(
         direction=direction,
         entry=entry,
@@ -925,6 +937,8 @@ 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")
@@ -952,6 +966,9 @@ 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)
+    if money_err:
+        raise ValueError(money_err)
     return build_options_options_preview(
         target_price_up=up_f,
         target_price_down=down_f,

lib/hedge_plan/templates/hedge_plan_panel.html

@@ -49,7 +49,7 @@
           <div class="tip-collapse-body rule-tip">
             <p><strong>账户</strong>：永续腿走<strong>合约账户</strong>(USDT);保险期权走<strong>期权账户</strong>(USDC)。两账户分开下单、资金不互通。</p>
             <p><strong>下单</strong>：先「计算」再「启动」。启动瞬间会再拉卖一并以 IOC 等完全成交;半腿失败可补开或「结束计划」(不平仓)。永期开仓需全仓计仓 + 对冲实盘门禁。</p>
-            <p><strong>板块</strong>：左填永续开仓/止盈止损与张数;右选保险腿(做多配 Put、做空配 Call)。止盈后保险腿默认可持有;止损会联动平期权。</p>
+            <p><strong>板块</strong>：左填永续开仓/止盈止损与张数;右选保险腿(做多配 Put、做空配 Call)。<strong>保险腿仅允许实值或平值</strong>(禁虚值)。止盈后保险腿默认可持有;止损会联动平期权。</p>
           </div>
         </details>
         <div class="form-row hp-uly-row">
@@ -91,9 +91,9 @@
         <h2>期权 · <span id="hp-opt-type-label">Put</span> <span class="muted hp-acct-tag" id="hp-opt-acct-tag">期权账户</span></h2>
         <div class="form-row hp-opt-toolbar hp-po-opt-toolbar">
           <select id="hp-exp-select"><option value="">选择到期日</option></select>
-          <button type="button" class="btn-secondary hp-money-btn active" data-money="all">全部</button>
-          <button type="button" class="btn-secondary hp-money-btn" data-money="itm">实值</button>
-          <button type="button" class="btn-secondary hp-money-btn" data-money="otm">虚值</button>
+          <button type="button" class="btn-secondary hp-money-btn active" data-money="itm" title="实值+平值">实值/平值</button>
+          <button type="button" class="btn-secondary hp-money-btn" data-money="atm" title="仅平值">仅平值</button>
+          <button type="button" class="btn-secondary" id="hp-recommend-opt" title="选距指数最近的实值/平值">推荐</button>
           <button type="button" class="btn-secondary" id="hp-load-chain">刷新链</button>
           <span id="hp-index-line" class="hp-po-index" aria-live="polite">指数 —</span>
         </div>
@@ -135,7 +135,7 @@
           <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。「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>
           </div>
         </details>
         <div class="form-row hp-uly-row">
@@ -185,6 +185,11 @@
         <h2>期权 T 型报价</h2>
         <div class="form-row">
           <select id="hp-oo-exp-select"><option value="">选择到期日</option></select>
+          <button type="button" class="btn-secondary hp-oo-money-btn active" data-oo-money="atm_otm" title="平值+虚值">平/虚</button>
+          <button type="button" class="btn-secondary hp-oo-money-btn" data-oo-money="atm" title="仅平值">仅平值</button>
+          <button type="button" class="btn-secondary hp-oo-money-btn" data-oo-money="otm" title="仅虚值">仅虚值</button>
+          <button type="button" class="btn-secondary" id="hp-oo-recommend-atm" title="最近平值 Call+Put">推荐跨式</button>
+          <button type="button" class="btn-secondary" id="hp-oo-recommend-otm" title="最近虚值 Call+Put">推荐双虚</button>
           <button type="button" class="btn-secondary" id="hp-oo-load-chain">刷新链</button>
         </div>
         <div class="options-strike-table-wrap options-strike-table-wrap--t">