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Hedge start: re-quote ask and resize OO sheets; add HEDGE_PLAN_BUDGET_BUFFER.

Browse Source 
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-20 10:09:32 +08:00
parent a43cb35d9a
commit 5b346a5760
8 changed files with 382 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/common/static/hedge_plan.js
+13 -3
View File
@@ -487,9 +487,9 @@
else if (b.msg) parts.push(b.msg);
line.textContent = parts.join(" · ");
line.title =
"预算=min(交易×" +
"对冲预算=min(交易×" +
fmt(b.buf, 2) +
", 单笔)" +
", 单笔) · 缓冲 HEDGE_PLAN_BUDGET_BUFFER" +
(b.tradingCap != null ? " · 交易×缓冲 " + fmt(b.tradingCap, 2) : "") +
(b.tradeCap != null ? " · 单笔 " + fmt(b.tradeCap, 2) : "");
line.classList.toggle("hp-oo-budget-warn", !!(extra && extra.msg) || !b.ok);
@@ -1692,6 +1692,7 @@
target_price_down: down,
target_price: up,
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")),
leg_b: legPayload(state.legB, ooSheets("hp-oo-sheets-b")),
};
@@ -1731,19 +1732,28 @@
});
setGateLine(d.gates);
closePreviewModal();
const refreshHint =
d.refresh && d.refresh.msg ? "\n" + String(d.refresh.msg) : "";
if (d.partial) {
alert(
(d.msg || "半腿失败,已挂待补") +
(d.plan_id ? "\n计划 #" + d.plan_id : "") +
refreshHint +
"\n请到「进行中的计划」补开缺失腿"
);
state.tab = "active";
syncTabUI();
void loadActivePlans();
} else {
alert("计划已启动 #" + (d.plan_id || "") + (d.dry_run ? " (dry_run)" : ""));
alert(
"计划已启动 #" +
(d.plan_id || "") +
(d.dry_run ? " (dry_run)" : "") +
refreshHint
);
}
void loadGates();
if (isOo) void loadChain();
} catch (e) {
alert(e.message || String(e));
syncPreviewStartBtn();
lib/env/env_schema.py
Vendored
+1
View File
@@ -94,6 +94,7 @@ HOT_RELOAD_EXACT = frozenset({
"HEDGE_PLAN_OO_CLOSE_MODE_ENABLED",
"HEDGE_PLAN_OO_BIAS_SPLIT_BY",
"HEDGE_PLAN_OO_BIAS_RATIO",
"HEDGE_PLAN_BUDGET_BUFFER",
"HEDGE_PLAN_OPTIONS_MUTUAL_EXCLUSIVE",
"HEDGE_PLAN_MANUAL_COMPLETE_ON_PARTIAL",
"MAX_ACTIVE_HEDGE_PLANS",
lib/env/env_ui_manifest.py
Vendored
+6
View File
@@ -165,6 +165,11 @@ _HEDGE_PLAN_SECTION: dict[str, Any] = {
"期期做多做空主腿占比",
"默认 0.7(即 7:3);做多主腿=Call,做空主腿=Put;须在 0~1 之间",
),
(
"HEDGE_PLAN_BUDGET_BUFFER",
"对冲预算缓冲比例",
"默认 0.95;仅对冲计划(期期可用预算=交易户×本比例);与期权页 OKX_OPTIONS_BUDGET_BUFFER 独立",
),
(
"HEDGE_PLAN_OPTIONS_MUTUAL_EXCLUSIVE",
"对冲与期权互斥门控",
@@ -199,6 +204,7 @@ _RUNTIME_ENV_DEFAULTS: dict[str, str] = {
"HEDGE_PLAN_OO_CLOSE_MODE_ENABLED": "true",
"HEDGE_PLAN_OO_BIAS_SPLIT_BY": "budget",
"HEDGE_PLAN_OO_BIAS_RATIO": "0.7",
"HEDGE_PLAN_BUDGET_BUFFER": "0.95",
"HEDGE_PLAN_OPTIONS_MUTUAL_EXCLUSIVE": "true",
"HEDGE_PLAN_MANUAL_COMPLETE_ON_PARTIAL": "true",
}
lib/hedge_plan/hedge_plan_orders_lib.py
+215 -2
View File
@@ -350,6 +350,201 @@ def _park_partial(
return out
def _hedge_budget_buffer(cfg: dict[str, Any] | None = None) -> float:
"""对冲专用预算缓冲;默认 0.95.与 OKX_OPTIONS_BUDGET_BUFFER 独立."""
raw = None
if cfg is not None:
raw = cfg.get("budget_buffer")
if raw is None or raw == "":
raw = os.getenv("HEDGE_PLAN_BUDGET_BUFFER") or "0.95"
try:
buf = float(raw)
except (TypeError, ValueError):
buf = 0.95
if buf <= 0:
buf = 0.95
if buf > 1:
buf = 1.0
return float(buf)
def _oo_bias_settings(cfg: dict[str, Any] | None = None) -> tuple[str, float]:
from lib.hedge_plan.hedge_plan_calc_lib import _clamp_oo_bias_ratio, _normalize_oo_bias_split_by
split = None
ratio = None
if cfg is not None:
split = cfg.get("oo_bias_split_by")
ratio = cfg.get("oo_bias_ratio")
if split in (None, ""):
split = os.getenv("HEDGE_PLAN_OO_BIAS_SPLIT_BY") or "budget"
if ratio in (None, ""):
ratio = os.getenv("HEDGE_PLAN_OO_BIAS_RATIO") or "0.7"
return _normalize_oo_bias_split_by(split), _clamp_oo_bias_ratio(ratio)
def refresh_oo_sizing_before_start(cfg: dict[str, Any], body: dict[str, Any]) -> dict[str, Any]:
"""启动前再拉两腿卖一,按对冲预算缓冲重算张数;就地写回 body.leg_*.
方案 A:成交价与张数均基于点击启动瞬间的最新卖一/余额.
"""
from lib.exchange.okx_options_lib import fetch_options_trading_usdc, option_buy_liquidity_ok
from lib.hedge_plan.hedge_plan_calc_lib import resolve_oo_budget_usdc, suggest_oo_sheets
leg_a = dict(body.get("leg_a") or {})
leg_b = dict(body.get("leg_b") or {})
inst_a = str(leg_a.get("inst_id") or "").strip()
inst_b = str(leg_b.get("inst_id") or "").strip()
if not inst_a or not inst_b:
return {"ok": False, "msg": "缺少期权合约"}
quote_fn = cfg.get("quote_option_contract")
ex = cfg.get("exchange_options")
if not callable(quote_fn) or ex is None:
return {"ok": False, "msg": "期权报价能力未就绪"}
qa = quote_fn(ex, inst_a)
if not qa.get("ok"):
return {"ok": False, "msg": qa.get("msg") or "腿A报价失败", "quote_a": qa}
qb = quote_fn(ex, inst_b)
if not qb.get("ok"):
return {"ok": False, "msg": qb.get("msg") or "腿B报价失败", "quote_b": qb}
for tag, q in (("A", qa), ("B", qb)):
can_open, block_msg = option_buy_liquidity_ok(q.get("ask"), q.get("ask_sz"))
if not can_open:
return {
"ok": False,
"msg": f"腿{tag}: {block_msg or '暂无卖一深度,无法买入'}",
"quote_a": qa,
"quote_b": qb,
}
trading = fetch_options_trading_usdc(ex)
buf = _hedge_budget_buffer(cfg)
budget_info = resolve_oo_budget_usdc(
trading_usdc=trading,
trade_budget_usdc=cfg.get("trade_budget_usdc"),
buffer_ratio=buf,
)
if not budget_info.get("ok"):
return {
"ok": False,
"msg": budget_info.get("msg") or "可用预算不足",
"budget": budget_info,
"quote_a": qa,
"quote_b": qb,
}
mode = str(body.get("oo_sheets_mode") or "same_sheets")
split_by, bias_ratio = _oo_bias_settings(cfg)
opt_a = str(
leg_a.get("opt_type")
or (qa.get("meta") or {}).get("optType")
or qa.get("opt_type")
or ""
)
opt_b = str(
leg_b.get("opt_type")
or (qb.get("meta") or {}).get("optType")
or qb.get("opt_type")
or ""
)
sug = suggest_oo_sheets(
mode=mode,
budget_usdc=float(budget_info["budget_usdc"]),
ask_a=float(qa["ask"]),
ct_mult_a=float(qa.get("ct_mult") or leg_a.get("ct_mult") or 0.01),
ask_sz_a=qa.get("ask_sz"),
opt_type_a=opt_a,
ask_b=float(qb["ask"]),
ct_mult_b=float(qb.get("ct_mult") or leg_b.get("ct_mult") or 0.01),
ask_sz_b=qb.get("ask_sz"),
opt_type_b=opt_b,
bias_split_by=split_by,
bias_ratio=bias_ratio,
)
if not sug.get("ok"):
return {
"ok": False,
"msg": sug.get("msg") or "按最新卖一无法建议张数",
"sizing": sug,
"budget": budget_info,
"quote_a": qa,
"quote_b": qb,
}
prev_a = leg_a.get("sheets")
prev_b = leg_b.get("sheets")
leg_a["sheets"] = int(sug["sheets_a"])
leg_a["ask"] = float(qa["ask"])
leg_a["ask_sz"] = qa.get("ask_sz")
leg_a["ct_mult"] = float(qa.get("ct_mult") or leg_a.get("ct_mult") or 0.01)
if opt_a:
leg_a["opt_type"] = opt_a
leg_b["sheets"] = int(sug["sheets_b"])
leg_b["ask"] = float(qb["ask"])
leg_b["ask_sz"] = qb.get("ask_sz")
leg_b["ct_mult"] = float(qb.get("ct_mult") or leg_b.get("ct_mult") or 0.01)
if opt_b:
leg_b["opt_type"] = opt_b
body["leg_a"] = leg_a
body["leg_b"] = leg_b
return {
"ok": True,
"buffer_ratio": buf,
"budget": budget_info,
"sizing": sug,
"quote_a": qa,
"quote_b": qb,
"prev_sheets_a": prev_a,
"prev_sheets_b": prev_b,
"sheets_a": int(sug["sheets_a"]),
"sheets_b": int(sug["sheets_b"]),
"ask_a": float(qa["ask"]),
"ask_b": float(qb["ask"]),
"premium_est": sug.get("premium_est"),
"msg": (
f"已按最新卖一重算: A {sug['sheets_a']}张@{qa['ask']} + "
f"B {sug['sheets_b']}张@{qb['ask']} · 预估 {sug.get('premium_est')}U"
),
}
def refresh_po_option_quote_before_start(cfg: dict[str, Any], body: dict[str, Any]) -> dict[str, Any]:
"""永期启动前再拉保险腿卖一(张数沿用页面值,不按预算重算)."""
from lib.exchange.okx_options_lib import option_buy_liquidity_ok
inst = str(body.get("opt_inst_id") or "").strip()
if not inst:
return {"ok": False, "msg": "缺少期权合约"}
quote_fn = cfg.get("quote_option_contract")
ex = cfg.get("exchange_options")
if not callable(quote_fn) or ex is None:
return {"ok": False, "msg": "期权报价能力未就绪"}
q = quote_fn(ex, inst)
if not q.get("ok"):
return {"ok": False, "msg": q.get("msg") or "期权报价失败", "quote": q}
can_open, block_msg = option_buy_liquidity_ok(q.get("ask"), q.get("ask_sz"))
if not can_open:
return {
"ok": False,
"msg": block_msg or "暂无卖一深度,无法买入",
"quote": q,
}
body["ask"] = float(q["ask"])
body["ask_sz"] = q.get("ask_sz")
if q.get("ct_mult") is not None:
body["ct_mult"] = float(q.get("ct_mult") or 0.01)
return {
"ok": True,
"ask": float(q["ask"]),
"ask_sz": q.get("ask_sz"),
"sheets": body.get("sheets"),
"quote": q,
"msg": f"已按最新卖一: {body.get('sheets')}张@{q['ask']}",
}
def execute_perp_options_start(
cfg: dict[str, Any],
body: dict[str, Any],
@@ -357,6 +552,9 @@ def execute_perp_options_start(
dry_run: bool = False,
persist: Optional[Callable[..., Any]] = None,
) -> dict[str, Any]:
refresh = refresh_po_option_quote_before_start(cfg, body)
if not refresh.get("ok"):
return {"ok": False, "msg": refresh.get("msg") or "启动前刷新卖一失败", "refresh": refresh}
path = build_po_path_plan(body)
results: list[dict[str, Any]] = []
opt_res: Optional[dict[str, Any]] = None
@@ -461,6 +659,7 @@ def execute_perp_options_start(
"results": results,
"option": opt_res,
"perp": perp_res,
"refresh": refresh,
"opened_at": _now(),
}
if persist and not dry_run:
@@ -475,6 +674,9 @@ def execute_options_options_start(
dry_run: bool = False,
persist: Optional[Callable[..., Any]] = None,
) -> dict[str, Any]:
refresh = refresh_oo_sizing_before_start(cfg, body)
if not refresh.get("ok"):
return {"ok": False, "msg": refresh.get("msg") or "启动前刷新卖一/张数失败", "refresh": refresh}
path = build_oo_path_plan(body)
results: list[dict[str, Any]] = []
leg_a = body.get("leg_a") or {}
@@ -482,7 +684,13 @@ def execute_options_options_start(
a_res = _buy_option(cfg, inst_id=str(leg_a.get("inst_id") or ""), sheets=float(leg_a.get("sheets") or 1), dry_run=dry_run)
results.append({"step": "options_buy_limit", "leg": "a", **a_res})
if not a_res.get("ok"):
return {"ok": False, "msg": a_res.get("msg") or "腿A开仓失败", "path": path, "results": results}
return {
"ok": False,
"msg": a_res.get("msg") or "腿A开仓失败",
"path": path,
"results": results,
"refresh": refresh,
}
b_res = _buy_option(cfg, inst_id=str(leg_b.get("inst_id") or ""), sheets=float(leg_b.get("sheets") or 1), dry_run=dry_run)
results.append({"step": "options_buy_limit", "leg": "b", **b_res})
if not b_res.get("ok"):
@@ -497,9 +705,10 @@ def execute_options_options_start(
"path": path,
"results": results,
"partial": True,
"refresh": refresh,
}
if not dry_run and manual_complete_on_partial() and persist:
return _park_partial(
out_p = _park_partial(
cfg,
plan_type="options_options",
body=body,
@@ -512,6 +721,8 @@ def execute_options_options_start(
leg_a=a_res,
leg_b=None,
)
out_p["refresh"] = refresh
return out_p
msg = b_res.get("msg") or "腿B开仓失败"
if not dry_run:
_notify_partial(cfg, "options_options", msg, results)
@@ -521,6 +732,7 @@ def execute_options_options_start(
"path": path,
"results": results,
"partial": True,
"refresh": refresh,
}
out = {
"ok": True,
@@ -530,6 +742,7 @@ def execute_options_options_start(
"results": results,
"leg_a": a_res,
"leg_b": b_res,
"refresh": refresh,
"opened_at": _now(),
}
if persist and not dry_run:
lib/hedge_plan/hedge_plan_register.py
+4 -1
View File
@@ -98,7 +98,10 @@ def _build_cfg(app_module: Any) -> dict[str, Any]:
"perp_account_label": (os.getenv("OKX_ACCOUNT_LABEL") or "合约账户").strip(),
"options_account_label": (os.getenv("OKX_OPTIONS_ACCOUNT_LABEL") or "期权账户").strip(),
"trade_budget_usdc": float(os.getenv("OKX_OPTIONS_TRADE_BUDGET_USDC") or "10"),
"budget_buffer": float(os.getenv("OKX_OPTIONS_BUDGET_BUFFER") or "0.95"),
# 对冲专用缓冲;与期权页 OKX_OPTIONS_BUDGET_BUFFER 独立
"budget_buffer": float(os.getenv("HEDGE_PLAN_BUDGET_BUFFER") or "0.95"),
"oo_bias_split_by": _oo_bias_split_by(),
"oo_bias_ratio": _oo_bias_ratio(),
"live_trading": _env_bool("LIVE_TRADING_ENABLED", False),
"send_wechat": getattr(app_module, "send_wechat_msg", None),
}
lib/hedge_plan/templates/hedge_plan_panel.html
+1 -1
View File
@@ -301,4 +301,4 @@
</div>
</div>
</div>
<script src="/static/hedge_plan.js?v=28"></script>
<script src="/static/hedge_plan.js?v=29"></script>
tests/test_hedge_plan_orders.py
+17 -7
View File
@@ -133,15 +133,15 @@ class TestHedgePlanOrderPath(unittest.TestCase):
def test_dry_run_oo(self):
quote = MagicMock(
return_value={
side_effect=lambda _ex, inst_id: {
"ok": True,
"ask": 10,
"ask_sz": 5,
"ask_sz": 50,
"can_open": True,
"ct_mult": 0.01,
"tick_sz": "0.1",
"strike": 1800,
"meta": {"optType": "C"},
"meta": {"optType": "C" if inst_id == "A" else "P"},
}
)
cfg = {
@@ -149,17 +149,27 @@ class TestHedgePlanOrderPath(unittest.TestCase):
"quote_option_contract": quote,
"place_option_limit_order": MagicMock(),
"td_mode_for_option_buy": lambda x: "isolated",
"trade_budget_usdc": 10,
"budget_buffer": 0.95,
}
body = {
"target_price": 1900,
"target_price_up": 1950,
"target_price_down": 1750,
"leg_a": {"inst_id": "A", "sheets": 1},
"leg_b": {"inst_id": "B", "sheets": 1},
"oo_sheets_mode": "same_sheets",
"leg_a": {"inst_id": "A", "sheets": 1, "opt_type": "C"},
"leg_b": {"inst_id": "B", "sheets": 1, "opt_type": "P"},
}
out = execute_options_options_start(cfg, body, dry_run=True)
self.assertTrue(out["ok"])
from unittest import mock
with mock.patch(
"lib.exchange.okx_options_lib.fetch_options_trading_usdc",
return_value=100.0,
):
out = execute_options_options_start(cfg, body, dry_run=True)
self.assertTrue(out["ok"], out)
self.assertEqual(len(out["results"]), 2)
self.assertTrue(out.get("refresh", {}).get("ok"))
def test_buy_rejects_without_ask_depth(self):
from lib.hedge_plan.hedge_plan_orders_lib import _buy_option
tests/test_hedge_start_refresh.py
+125
View File
@@ -0,0 +1,125 @@
"""对冲启动:再拉卖一 + 对冲专用预算缓冲重算张数."""
from __future__ import annotations
import os
import unittest
from unittest import mock
from unittest.mock import MagicMock
from lib.hedge_plan.hedge_plan_orders_lib import (
_hedge_budget_buffer,
execute_options_options_start,
refresh_oo_sizing_before_start,
refresh_po_option_quote_before_start,
)
class TestHedgeStartRefresh(unittest.TestCase):
def test_hedge_budget_buffer_independent(self):
with mock.patch.dict(
os.environ,
{
"HEDGE_PLAN_BUDGET_BUFFER": "0.9",
"OKX_OPTIONS_BUDGET_BUFFER": "0.5",
},
):
self.assertAlmostEqual(_hedge_budget_buffer(None), 0.9)
self.assertAlmostEqual(_hedge_budget_buffer({"budget_buffer": 0.88}), 0.88)
def test_refresh_oo_resizes_from_fresh_ask(self):
def quote(_ex, inst_id):
if inst_id == "A":
return {
"ok": True,
"ask": 20,
"ask_sz": 100,
"ct_mult": 0.01,
"meta": {"optType": "C"},
}
return {
"ok": True,
"ask": 20,
"ask_sz": 100,
"ct_mult": 0.01,
"meta": {"optType": "P"},
}
cfg = {
"exchange_options": object(),
"quote_option_contract": quote,
"trade_budget_usdc": 10,
"budget_buffer": 0.95,
}
body = {
"oo_sheets_mode": "same_sheets",
"leg_a": {"inst_id": "A", "sheets": 1, "opt_type": "C"},
"leg_b": {"inst_id": "B", "sheets": 1, "opt_type": "P"},
}
# unit cost = 20*0.01=0.2 each → pair 0.4; budget min(100*0.95,10)=10 → n=25
with mock.patch(
"lib.exchange.okx_options_lib.fetch_options_trading_usdc",
return_value=100.0,
):
out = refresh_oo_sizing_before_start(cfg, body)
self.assertTrue(out.get("ok"), out)
self.assertEqual(body["leg_a"]["sheets"], 25)
self.assertEqual(body["leg_b"]["sheets"], 25)
self.assertEqual(body["leg_a"]["ask"], 20)
self.assertEqual(out["sheets_a"], 25)
def test_execute_oo_start_uses_refreshed_sheets(self):
quote = MagicMock(
side_effect=lambda _ex, inst_id: {
"ok": True,
"ask": 10,
"ask_sz": 50,
"ct_mult": 0.01,
"tick_sz": "0.1",
"meta": {"optType": "C" if inst_id == "A" else "P"},
}
)
cfg = {
"exchange_options": object(),
"quote_option_contract": quote,
"place_option_limit_order": MagicMock(),
"td_mode_for_option_buy": lambda x: "isolated",
"trade_budget_usdc": 4,
"budget_buffer": 0.95,
}
body = {
"oo_sheets_mode": "same_sheets",
"leg_a": {"inst_id": "A", "sheets": 1, "opt_type": "C"},
"leg_b": {"inst_id": "B", "sheets": 1, "opt_type": "P"},
}
# cost 0.1+0.1=0.2; budget 4 → 20 sheets each
with mock.patch(
"lib.exchange.okx_options_lib.fetch_options_trading_usdc",
return_value=100.0,
):
out = execute_options_options_start(cfg, body, dry_run=True)
self.assertTrue(out["ok"], out)
self.assertEqual(body["leg_a"]["sheets"], 20)
self.assertEqual(out["results"][0]["sheets"], 20)
self.assertIn("refresh", out)
self.assertTrue(out["refresh"]["ok"])
def test_refresh_po_keeps_sheets(self):
quote = MagicMock(
return_value={
"ok": True,
"ask": 12.5,
"ask_sz": 8,
"ct_mult": 0.01,
"meta": {"optType": "P"},
}
)
cfg = {"exchange_options": object(), "quote_option_contract": quote}
body = {"opt_inst_id": "X", "sheets": 3}
out = refresh_po_option_quote_before_start(cfg, body)
self.assertTrue(out["ok"])
self.assertEqual(body["ask"], 12.5)
self.assertEqual(body["sheets"], 3)
if __name__ == "__main__":
unittest.main()