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Support dual breakout targets for options-options hedges.

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Replace single S* with up/down targets across UI, preview, persist, monitor, and alerts so ranging breakouts can close the winner either way.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-14 14:32:06 +08:00
parent f6ef06f659
commit 8ecc70a61c
13 changed files with 233 additions and 53 deletions
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lib/hedge_plan/hedge_plan_calc_lib.py
+48 -17
View File
@@ -223,12 +223,14 @@ def _hedge_ratio(opt_pnl: float, perp_pnl: float) -> Optional[float]:
def build_options_options_preview(
*,
target_price: float,
target_price: float | None = None,
target_price_up: float | None = None,
target_price_down: float | None = None,
index_px: float,
leg_a: dict[str, Any],
leg_b: dict[str, Any],
) -> dict[str, Any]:
"""期期情景:目标价 / 到期现价 / 到期两边."""
"""期期情景:上破/下破目标价 / 到期现价 / 最大保费损耗."""
def _leg_pnl(leg: dict[str, Any], spot: float) -> float:
return option_expiry_pnl(
@@ -240,11 +242,25 @@ 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
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")
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_t = _leg_pnl(leg_a, target_price)
b_t = _leg_pnl(leg_b, target_price)
at_target = a_t + b_t
win_leg = "a" if a_t >= b_t else "b"
a_up = _leg_pnl(leg_a, up_f)
b_up = _leg_pnl(leg_b, up_f)
at_up = a_up + b_up
win_up = "a" if a_up >= b_up else "b"
a_dn = _leg_pnl(leg_a, down_f)
b_dn = _leg_pnl(leg_b, down_f)
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
@@ -253,17 +269,30 @@ def build_options_options_preview(
return {
"plan_type": "options_options",
"premium_paid": round(prem, 6),
"target_price": target_price,
"winner_at_target": win_leg,
"target_price": up_f, # 兼容旧字段,取上破
"target_price_up": up_f,
"target_price_down": down_f,
"winner_at_up": win_up,
"winner_at_down": win_dn,
"winner_at_target": win_up,
"scenarios": [
{
"id": "target",
"label": "到达目标价",
"spot": target_price,
"leg_a_pnl": round(a_t, 4),
"leg_b_pnl": round(b_t, 4),
"total": round(at_target, 4),
"note": f"盈利方≈腿{win_leg.upper()}(可平);亏损方默认到期",
"id": "target_up",
"label": "上破目标",
"spot": up_f,
"leg_a_pnl": round(a_up, 4),
"leg_b_pnl": round(b_up, 4),
"total": round(at_up, 4),
"note": f"盈利方≈腿{win_up.upper()}(可平);亏损方默认到期",
},
{
"id": "target_down",
"label": "下破目标",
"spot": down_f,
"leg_a_pnl": round(a_dn, 4),
"leg_b_pnl": round(b_dn, 4),
"total": round(at_dn, 4),
"note": f"盈利方≈腿{win_dn.upper()}(可平);亏损方默认到期",
},
{
"id": "expiry_flat",
@@ -285,9 +314,11 @@ def build_options_options_preview(
},
],
"summary": {
"at_target_total": round(at_target, 4),
"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),
"premium_paid": round(prem, 4),
"premium_paid": round(prem, 6),
"expiry_is_loss": flat_total <= 0,
},
}