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

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

lib/common/static/hedge_plan.js

@@ -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

@@ -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

@@ -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

@@ -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

@@ -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

@@ -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

@@ -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},
+            "oo_sheets_mode": "same_sheets",
-            "leg_b": {"inst_id": "B", "sheets": 1},
+            "leg_a": {"inst_id": "A", "sheets": 1, "opt_type": "C"},
+            "leg_b": {"inst_id": "B", "sheets": 1, "opt_type": "P"},
         }
+        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"])
+        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

@@ -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()