权利金合计 " +
@@ -2626,17 +2634,13 @@
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") && $("hp-target-up").value) || 0);
- const down = Number(($("hp-target-down") && $("hp-target-down").value) || 0);
- if (!up || !down) throw new Error("请填写上破与下破目标价");
- if (up <= down) throw new Error("上破目标价必须大于下破目标价");
+ const rr = Number(($("hp-profit-rr") && $("hp-profit-rr").value) || 0);
+ if (!(rr > 0)) throw new Error("请填写盈亏比(须大于0,默认2)");
body = {
plan_type: "options_options",
underlying: state.underlying,
- target_price_up: up,
- target_price_down: down,
- target_price: up,
- index_px: indexPx() || (up + down) / 2,
+ profit_rr: rr,
+ index_px: indexPx() || 0,
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")),
diff --git a/lib/common/static/options_panel.js b/lib/common/static/options_panel.js
index 30e00f4..1fe04c8 100644
--- a/lib/common/static/options_panel.js
+++ b/lib/common/static/options_panel.js
@@ -1444,21 +1444,37 @@
function renderTargetDelegateRow(p) {
const inst = p.inst_id || "";
const hedgeTarget = p.hedge_plan_target || null;
- if (hedgeTarget && Number(hedgeTarget.target_index) > 0) {
- const side = (p.opt_type || hedgeTarget.opt_type || "").toUpperCase() === "P" ? "Put ≤" : "Call ≥";
- return (
- '
' +
- '对冲计划' +
- '计划 #' +
- hedgeTarget.plan_id +
- " · " +
- side +
- " " +
- fmt(hedgeTarget.target_index, 1) +
- "" +
- '进行中 · 由对冲计划监控，到位后仅平盈利腿' +
- "
"
- );
+ if (hedgeTarget) {
+ const rr = hedgeTarget.profit_rr != null ? Number(hedgeTarget.profit_rr) : null;
+ if (rr != null && rr > 0) {
+ return (
+ '
' +
+ '对冲计划' +
+ '计划 #' +
+ hedgeTarget.plan_id +
+ " · 盈亏比 " +
+ fmt(rr, 2) +
+ "" +
+ '进行中 · 达盈亏比仅平盈利腿;亏损腿残值平或到期平' +
+ "
"
+ );
+ }
+ if (Number(hedgeTarget.target_index) > 0) {
+ const side = (p.opt_type || hedgeTarget.opt_type || "").toUpperCase() === "P" ? "Put ≤" : "Call ≥";
+ return (
+ '
' +
+ '对冲计划' +
+ '计划 #' +
+ hedgeTarget.plan_id +
+ " · " +
+ side +
+ " " +
+ fmt(hedgeTarget.target_index, 1) +
+ "" +
+ '进行中 · 由对冲计划监控，到位后仅平盈利腿' +
+ "
"
+ );
+ }
}
const tgt = p.target_index != null && p.target_index !== "" ? Number(p.target_index) : null;
const armed = tgt != null && Number.isFinite(tgt) && tgt > 0;
@@ -1896,13 +1912,15 @@
});
}
const hedgeTarget = p.hedge_plan_target;
- if (hedgeTarget && hedgeTarget.target_index != null) {
+ if (hedgeTarget && (hedgeTarget.target_index != null || hedgeTarget.profit_rr != null)) {
targets.push({
inst_id: p.inst_id,
opt_type: p.opt_type || hedgeTarget.opt_type,
target_index: hedgeTarget.target_index,
+ profit_rr: hedgeTarget.profit_rr,
plan_id: hedgeTarget.plan_id,
managed_by: hedgeTarget.managed_by,
+ exit_mode: hedgeTarget.exit_mode,
});
}
return targets;
diff --git a/lib/common/static/options_review.js b/lib/common/static/options_review.js
index d4d7e49..88d2540 100644
--- a/lib/common/static/options_review.js
+++ b/lib/common/static/options_review.js
@@ -76,8 +76,9 @@
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_rest_closing: "期期全平·清残腿中",
- oo_rest_closed: "期期全平·两腿已平",
+ profit_rr_win_leg: "期期盈亏比达标·平盈利腿",
+ oo_rest_closing: "期期残值平·清亏损腿中",
+ oo_rest_closed: "期期残值平·两腿已平",
orphaned_after_tp: "止盈后持有至到期",
orphaned_option_expiry: "残腿到期",
hold_to_expiry: "持有至到期",
diff --git a/lib/hedge_plan/hedge_plan_calc_lib.py b/lib/hedge_plan/hedge_plan_calc_lib.py
index e508c21..c1aa86e 100644
--- a/lib/hedge_plan/hedge_plan_calc_lib.py
+++ b/lib/hedge_plan/hedge_plan_calc_lib.py
@@ -447,11 +447,15 @@ def build_options_options_preview(
target_price: float | None = None,
target_price_up: float | None = None,
target_price_down: float | None = None,
+ profit_rr: float | None = None,
index_px: float,
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.
+
+ 新口径优先 profit_rr(盈利金额/初始权利金);若未传则兼容旧上/下破目标价.
+ """
def _leg_pnl(leg: dict[str, Any], spot: float) -> float:
return option_expiry_pnl(
@@ -463,15 +467,109 @@ def build_options_options_preview(
premium_paid=float(leg.get("premium_paid") or 0),
)
+ prem_a = float(leg_a.get("premium_paid") or 0)
+ prem_b = float(leg_b.get("premium_paid") or 0)
+ prem = prem_a + prem_b
+ rr = float(profit_rr) if profit_rr is not None else None
+
+ # 新:盈亏比情景(不依赖指数上下破价)
+ if rr is not None and rr > 0:
+ # 盈利腿达 RR:盈利 = rr × 该腿权利金;亏损腿按全亏 / 残值20%回收两种
+ a_win = rr * prem_a
+ b_win = rr * prem_b
+ a_at_a = a_win
+ b_at_a_full = -prem_b
+ b_at_a_res = -prem_b * 0.8 # 回收 20%
+ b_at_b = b_win
+ a_at_b_full = -prem_a
+ a_at_b_res = -prem_a * 0.8
+
+ a_flat = _leg_pnl(leg_a, index_px)
+ b_flat = _leg_pnl(leg_b, index_px)
+ flat_total = a_flat + b_flat
+
+ return {
+ "plan_type": "options_options",
+ "premium_paid": round(prem, 6),
+ "profit_rr": rr,
+ "target_price": None,
+ "target_price_up": None,
+ "target_price_down": None,
+ "winner_at_up": "a",
+ "winner_at_down": "b",
+ "winner_at_target": "a",
+ "scenarios": [
+ {
+ "id": "rr_leg_a_full",
+ "label": f"腿A达盈亏比{rr:g}(亏腿全损)",
+ "spot": None,
+ "leg_a_pnl": round(a_at_a, 4),
+ "leg_b_pnl": round(b_at_a_full, 4),
+ "total": round(a_at_a + b_at_a_full, 4),
+ "note": "盈利腿按盈亏比兑现;亏损腿权利金全亏",
+ },
+ {
+ "id": "rr_leg_b_full",
+ "label": f"腿B达盈亏比{rr:g}(亏腿全损)",
+ "spot": None,
+ "leg_a_pnl": round(a_at_b_full, 4),
+ "leg_b_pnl": round(b_at_b, 4),
+ "total": round(a_at_b_full + b_at_b, 4),
+ "note": "盈利腿按盈亏比兑现;亏损腿权利金全亏",
+ },
+ {
+ "id": "rr_leg_a_residual",
+ "label": f"腿A达盈亏比{rr:g}(亏腿残值20%)",
+ "spot": None,
+ "leg_a_pnl": round(a_at_a, 4),
+ "leg_b_pnl": round(b_at_a_res, 4),
+ "total": round(a_at_a + b_at_a_res, 4),
+ "note": "亏损腿买一回收约初始权利金20%",
+ },
+ {
+ "id": "expiry_flat",
+ "label": "到期·现价",
+ "spot": index_px,
+ "leg_a_pnl": round(a_flat, 4),
+ "leg_b_pnl": round(b_flat, 4),
+ "total": round(flat_total, 4),
+ "note": "无盈利则记总亏损结束" if flat_total <= 0 else "到期仍可能有净值",
+ },
+ {
+ "id": "max_premium_loss",
+ "label": "最大保费损耗",
+ "spot": None,
+ "leg_a_pnl": round(-prem_a, 4),
+ "leg_b_pnl": round(-prem_b, 4),
+ "total": round(-prem, 4),
+ "note": "双腿权利金全部损失",
+ },
+ ],
+ "summary": {
+ "profit_rr": rr,
+ "at_rr_a_full_total": round(a_at_a + b_at_a_full, 4),
+ "at_rr_b_full_total": round(a_at_b_full + b_at_b, 4),
+ "at_rr_a_residual_total": round(a_at_a + b_at_a_res, 4),
+ "at_target_up_total": round(a_at_a + b_at_a_full, 4),
+ "at_target_down_total": round(a_at_b_full + b_at_b, 4),
+ "at_target_total": round(a_at_a + b_at_a_full, 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_at_up": round((a_at_a + b_at_a_full) / prem, 4) if prem > 0 else None,
+ "rr_at_down": round((a_at_b_full + b_at_b) / prem, 4) if prem > 0 else None,
+ },
+ }
+
# 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")
+ raise ValueError("缺少盈亏比或上破/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_up = _leg_pnl(leg_a, up_f)
b_up = _leg_pnl(leg_b, up_f)
at_up = a_up + b_up
@@ -528,8 +626,8 @@ def build_options_options_preview(
"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),
+ "leg_a_pnl": round(-prem_a, 4),
+ "leg_b_pnl": round(-prem_b, 4),
"total": round(-prem, 4),
"note": "双腿权利金全部损失",
},
diff --git a/lib/hedge_plan/hedge_plan_db.py b/lib/hedge_plan/hedge_plan_db.py
index 299efa6..687bc47 100644
--- a/lib/hedge_plan/hedge_plan_db.py
+++ b/lib/hedge_plan/hedge_plan_db.py
@@ -72,7 +72,9 @@ 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")
- # close_all=盈利腿平后清残腿;hold_expiry=残腿持有至到期(现状)
+ # 期期出场:盈利金额/初始权利金(默认2);有值则走盈亏比监控,旧单仍用上/下破价
+ _ensure_column(conn, "hedge_plans", "profit_rr", "REAL")
+ # close_all=残值平(权利金≤初始20%且有买一);hold_expiry=残腿持有至到期
_ensure_column(conn, "hedge_plans", "oo_close_mode", "TEXT")
# 永期「以期权为主」
_ensure_column(conn, "hedge_plans", "option_primary", "INTEGER")
@@ -264,7 +266,7 @@ def attach_legs_to_plans(conn: sqlite3.Connection, plans: list[dict[str, Any]])
def active_options_targets_by_inst(conn: sqlite3.Connection) -> dict[str, dict[str, Any]]:
- """返回由进行中「期期对冲」托管的期权目标位，仅供期权页只读展示。
+ """返回由进行中「期期对冲」托管的期权目标，仅供期权页只读展示。
这些目标由 hedge_plan_monitor_lib 执行，绝不能写入 options_target_monitors，
否则两套监控会同时尝试平掉同一条期权腿。
@@ -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.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'
@@ -288,9 +290,24 @@ def active_options_targets_by_inst(conn: sqlite3.Connection) -> dict[str, dict[s
row = dict(raw)
inst_id = str(row.get("inst_id") or "")
opt_type = str(row.get("opt_type") or "").upper()
+ if not inst_id or inst_id in out:
+ continue
+ profit_rr = _sf(row.get("profit_rr"))
+ if profit_rr is not None and profit_rr > 0:
+ out[inst_id] = {
+ "plan_id": int(row["plan_id"]),
+ "inst_id": inst_id,
+ "underlying": row.get("underlying"),
+ "opt_type": opt_type,
+ "profit_rr": profit_rr,
+ "target_index": None,
+ "exit_mode": "profit_rr",
+ "managed_by": "hedge_plan",
+ }
+ continue
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:
+ if target_f is None or target_f <= 0:
continue
out[inst_id] = {
"plan_id": int(row["plan_id"]),
diff --git a/lib/hedge_plan/hedge_plan_monitor_lib.py b/lib/hedge_plan/hedge_plan_monitor_lib.py
index 53addea..a2f4356 100644
--- a/lib/hedge_plan/hedge_plan_monitor_lib.py
+++ b/lib/hedge_plan/hedge_plan_monitor_lib.py
@@ -173,11 +173,11 @@ def _notify_end_reload(cfg: dict[str, Any], conn: Any, plan_id: int) -> None:
def resolve_oo_rest_close_mode(plan: dict[str, Any]) -> str:
- """盈利腿平后另一腿:close_all(全平) / hold_expiry(到期平).
+ """盈利腿平后另一腿:close_all(残值平) / hold_expiry(到期平).
- 方案C关闭 → 强制到期平
- 计划未写 oo_close_mode(旧单) → 到期平,避免误清残腿
- - 新开仓默认写入 close_all
+ - 新开仓默认写入 close_all(残值平:权利金≤初始20%且有买一)
"""
if not _env_bool("HEDGE_PLAN_OO_CLOSE_MODE_ENABLED", True):
return "hold_expiry"
@@ -190,6 +190,12 @@ def resolve_oo_rest_close_mode(plan: dict[str, Any]) -> str:
return "close_all"
+# 期期亏损腿残值平:当前买一回收 ≤ 初始权利金 × 该比例
+OO_LOSS_LEG_RESIDUAL_RATIO = 0.20
+# 期期默认盈亏比:盈利金额 / 初始权利金
+OO_DEFAULT_PROFIT_RR = 2.0
+
+
def _oo_option_legs(legs: list[dict[str, Any]], *, statuses: tuple[str, ...]) -> list[dict[str, Any]]:
out = []
for x in legs:
@@ -200,6 +206,48 @@ def _oo_option_legs(legs: list[dict[str, Any]], *, statuses: tuple[str, ...]) ->
return out
+def _oo_quote_bid(cfg: dict[str, Any], inst_id: str) -> tuple[Optional[float], Optional[float]]:
+ quote_fn = cfg.get("quote_option_contract")
+ ex_opt = cfg.get("exchange_options")
+ if not callable(quote_fn) or ex_opt is None or not inst_id:
+ return None, None
+ try:
+ q = quote_fn(ex_opt, inst_id)
+ if not q.get("ok"):
+ return None, None
+ return _sf(q.get("bid")), _sf(q.get("bid_sz"))
+ except Exception:
+ return None, None
+
+
+def _oo_leg_mark_value(leg: dict[str, Any], bid: Optional[float]) -> Optional[float]:
+ """买一可回收金额(USDC)= bid × 张数 × ct_mult."""
+ b = _sf(bid)
+ if b is None or b < 0:
+ return None
+ sheets = float(leg.get("size") or 1)
+ ct = float(leg.get("ct_mult") or 0.01)
+ return float(b) * sheets * ct
+
+
+def _oo_leg_profit_rr(leg: dict[str, Any], bid: Optional[float]) -> Optional[float]:
+ """盈亏比 = 盈利金额 / 初始权利金;盈利金额 = 买一回收 − 初始权利金."""
+ premium = float(leg.get("premium") or 0)
+ if premium <= 0:
+ return None
+ value = _oo_leg_mark_value(leg, bid)
+ if value is None:
+ return None
+ return (value - premium) / premium
+
+
+def _oo_resolve_profit_rr(plan: dict[str, Any]) -> Optional[float]:
+ rr = _sf(plan.get("profit_rr"))
+ if rr is not None and rr > 0:
+ return rr
+ return None
+
+
def _finalize_oo_all_closed(
cfg: dict[str, Any], conn: Any, plan: dict[str, Any], legs: list[dict[str, Any]], *, reason: str
) -> dict[str, Any]:
@@ -985,7 +1033,12 @@ def _estimate_leg_close_pnl(leg: dict[str, Any], idx: Optional[float], bid: Opti
def _tick_oo_close_rest(
cfg: dict[str, Any], conn: Any, plan: dict[str, Any], legs: list[dict[str, Any]]
) -> Optional[dict[str, Any]]:
- """盈利腿已平后:全平模式清残腿(无2×门控,买一失败则下轮重试)."""
+ """盈利腿已平后:残值平模式清亏损腿.
+
+ 条件:买一回收 ≤ 初始权利金×20%,且买一有流动性;失败或未达条件则下轮重试.
+ """
+ from lib.hedge_plan.hedge_plan_option_primary_lib import option_bid_liquidity_ok
+
if resolve_oo_rest_close_mode(plan) != "close_all":
return None
open_legs = _oo_option_legs(legs, statuses=("open",))
@@ -998,6 +1051,7 @@ def _tick_oo_close_rest(
"target_win_leg",
"target_up_win_leg",
"target_down_win_leg",
+ "profit_rr_win_leg",
"oo_rest_closing",
"",
)
@@ -1008,23 +1062,45 @@ def _tick_oo_close_rest(
idx = _index_px(cfg, str(plan.get("underlying") or "ETH"))
acted = False
+ waiting = 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)
- )
+ inst_id = str(leg.get("inst_id") or "")
+ sheets = float(leg.get("size") or 1)
+ premium = float(leg.get("premium") or 0)
+ bid, bid_sz = _oo_quote_bid(cfg, inst_id)
+ value = _oo_leg_mark_value(leg, bid)
+ # 残值门槛:当前买一回收须 ≤ 初始权利金的 20%
+ if premium > 0:
+ if value is None:
+ waiting = True
+ continue
+ if value > premium * OO_LOSS_LEG_RESIDUAL_RATIO + 1e-12:
+ waiting = True
+ continue
+ liq_ok, liq_msg = option_bid_liquidity_ok(bid, bid_sz, need_sheets=sheets)
+ if not liq_ok:
+ waiting = True
+ update_plan(conn, int(plan["id"]), close_reason="oo_rest_closing")
+ return {
+ "plan_id": plan["id"],
+ "msg": "残值平等待买一流动性",
+ "detail": liq_msg,
+ "waiting": True,
+ }
+ close_r = _sell_option(cfg, inst_id=inst_id, sheets=sheets)
if not close_r.get("ok"):
notify_hedge(
cfg,
build_hedge_alert_message(
- title="期期全平·残腿平仓失败(将重试)",
+ title="期期残值平·亏损腿平仓失败(将重试)",
plan_id=plan.get("id"),
detail=str(close_r.get("msg") or close_r),
),
)
update_plan(conn, int(plan["id"]), close_reason="oo_rest_closing")
return {"plan_id": plan["id"], "msg": "残腿平仓失败", "close": close_r, "retry": True}
- bid = _sf(close_r.get("bid"))
- est = _estimate_leg_close_pnl(leg, idx, bid)
+ bid_fill = _sf(close_r.get("bid")) or bid
+ est = _estimate_leg_close_pnl(leg, idx, bid_fill)
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=?",
@@ -1035,6 +1111,9 @@ def _tick_oo_close_rest(
acted = True
if not acted:
+ if waiting:
+ update_plan(conn, int(plan["id"]), close_reason="oo_rest_closing")
+ return {"plan_id": plan["id"], "msg": "残值平等待权利金≤20%", "waiting": True}
return None
legs2 = get_plan_legs(conn, int(plan["id"]))
still_open = _oo_option_legs(legs2, statuses=("open", "hold_to_expiry"))
@@ -1046,10 +1125,118 @@ def _tick_oo_close_rest(
)
+def _after_oo_winner_closed(
+ cfg: dict[str, Any],
+ conn: Any,
+ plan: dict[str, Any],
+ open_legs: list[dict[str, Any]],
+ best: dict[str, Any],
+ *,
+ reason: str,
+ extra: Optional[dict[str, Any]] = None,
+) -> dict[str, Any]:
+ """盈利腿已平后:残值平同轮尝试 / 到期平标记 hold_to_expiry."""
+ rest_mode = resolve_oo_rest_close_mode(plan)
+ update_plan(conn, int(plan["id"]), close_reason=reason)
+ mid = dict(plan)
+ mid["close_reason"] = reason
+ mid["status"] = "active"
+ mid["oo_close_mode"] = rest_mode
+ notify_plan_end(cfg, conn, mid)
+
+ out: dict[str, Any] = {
+ "plan_id": plan["id"],
+ "close_reason": reason,
+ "closed_leg": best.get("id"),
+ "oo_close_mode": rest_mode,
+ }
+ if extra:
+ out.update(extra)
+
+ if rest_mode == "close_all":
+ legs2 = get_plan_legs(conn, int(plan["id"]))
+ rest = _tick_oo_close_rest(cfg, conn, mid, legs2)
+ if rest:
+ out["rest"] = rest
+ return out
+
+ for leg in open_legs:
+ if int(leg.get("id") or 0) == int(best.get("id") or 0):
+ continue
+ conn.execute(
+ "UPDATE hedge_plan_legs SET status=? WHERE id=?",
+ ("hold_to_expiry", leg["id"]),
+ )
+ return out
+
+
+def _tick_oo_profit_rr(
+ cfg: dict[str, Any], conn: Any, plan: dict[str, Any], legs: list[dict[str, Any]], *, rr_target: float
+) -> Optional[dict[str, Any]]:
+ """期期:任一开仓腿盈亏比(盈利金额/初始权利金)达目标 → 平盈利腿."""
+ if not _env_bool("HEDGE_PLAN_OO_CLOSE_WINNER_ONLY", True):
+ return None
+ open_legs = _oo_option_legs(legs, statuses=("open",))
+ if len(open_legs) < 2:
+ return None
+
+ ranked: list[tuple[float, float, dict[str, Any]]] = []
+ for leg in open_legs:
+ bid, _bid_sz = _oo_quote_bid(cfg, str(leg.get("inst_id") or ""))
+ rr = _oo_leg_profit_rr(leg, bid)
+ if rr is None:
+ continue
+ value = _oo_leg_mark_value(leg, bid) or 0.0
+ premium = float(leg.get("premium") or 0)
+ pnl = value - premium
+ ranked.append((rr, pnl, leg))
+ if not ranked:
+ return None
+ ranked.sort(key=lambda x: x[0], reverse=True)
+ best_rr, best_pnl, best = ranked[0]
+ if best_rr + 1e-12 < float(rr_target) or best_pnl <= 0:
+ return None
+
+ close_r = _sell_option(
+ cfg, inst_id=str(best.get("inst_id") or ""), sheets=float(best.get("size") or 1)
+ )
+ if not close_r.get("ok"):
+ notify_hedge(
+ cfg,
+ build_hedge_alert_message(
+ title="期期平盈利腿失败",
+ plan_id=plan.get("id"),
+ detail=str(close_r.get("msg") or close_r),
+ ),
+ )
+ return {"plan_id": plan["id"], "msg": "平盈利腿失败", "close": close_r}
+
+ reason = "profit_rr_win_leg"
+ closed_pnl = _option_leg_pnl_after_close(cfg, best, fallback=float(best_pnl))
+ conn.execute(
+ "UPDATE hedge_plan_legs SET status=?, close_reason=?, closed_at=?, realized_pnl=? WHERE id=?",
+ ("closed", reason, _now(), closed_pnl, best["id"]),
+ )
+ idx = _index_px(cfg, str(plan.get("underlying") or "ETH"))
+ return _after_oo_winner_closed(
+ cfg,
+ conn,
+ plan,
+ open_legs,
+ best,
+ reason=reason,
+ extra={"profit_rr": best_rr, "rr_target": float(rr_target), "index": idx},
+ )
+
+
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:优先按盈亏比平盈利腿;旧单无 profit_rr 时回退上/下破目标价."""
+ rr_target = _oo_resolve_profit_rr(plan)
+ if rr_target is not None:
+ return _tick_oo_profit_rr(cfg, conn, plan, legs, rr_target=rr_target)
+
idx = _index_px(cfg, str(plan.get("underlying") or "ETH"))
if idx is None:
return None
@@ -1065,10 +1252,8 @@ def _tick_oo_target(
return None
hit_side: Optional[str] = None
- # 上破:现价接近或超过上破目标
if up is not None and idx >= up * 0.998:
hit_side = "up"
- # 下破:现价接近或低于下破目标
elif down is not None and idx <= down * 1.002:
hit_side = "down"
if not hit_side:
@@ -1102,52 +1287,20 @@ def _tick_oo_target(
)
return {"plan_id": plan["id"], "msg": "平盈利腿失败", "close": close_r}
reason = "target_up_win_leg" if hit_side == "up" else "target_down_win_leg"
- # 选腿用内在估算;落库优先交易所已实现盈亏
closed_pnl = _option_leg_pnl_after_close(cfg, best, fallback=float(best_pnl))
conn.execute(
"UPDATE hedge_plan_legs SET status=?, close_reason=?, closed_at=?, realized_pnl=? WHERE id=?",
("closed", reason, _now(), closed_pnl, best["id"]),
)
- rest_mode = resolve_oo_rest_close_mode(plan)
- update_plan(conn, int(plan["id"]), close_reason=reason)
- mid = dict(plan)
- mid["close_reason"] = reason
- mid["status"] = "active"
- mid["oo_close_mode"] = rest_mode
- notify_plan_end(cfg, conn, mid)
-
- # 全平:同轮尝试清残腿;失败则下轮 _tick_oo_close_rest 重试
- if rest_mode == "close_all":
- legs2 = get_plan_legs(conn, int(plan["id"]))
- rest = _tick_oo_close_rest(cfg, conn, mid, legs2)
- out = {
- "plan_id": plan["id"],
- "close_reason": reason,
- "hit_side": hit_side,
- "closed_leg": best.get("id"),
- "index": idx,
- "oo_close_mode": rest_mode,
- }
- if rest:
- out["rest"] = rest
- return out
-
- # 到期平:显式标记残腿 hold_to_expiry
- for leg in open_legs:
- if int(leg.get("id") or 0) == int(best.get("id") or 0):
- continue
- conn.execute(
- "UPDATE hedge_plan_legs SET status=? WHERE id=?",
- ("hold_to_expiry", leg["id"]),
- )
- return {
- "plan_id": plan["id"],
- "close_reason": reason,
- "hit_side": hit_side,
- "closed_leg": best.get("id"),
- "index": idx,
- "oo_close_mode": rest_mode,
- }
+ return _after_oo_winner_closed(
+ cfg,
+ conn,
+ plan,
+ open_legs,
+ best,
+ reason=reason,
+ extra={"hit_side": hit_side, "index": idx},
+ )
def _tick_oo_expiry(
diff --git a/lib/hedge_plan/hedge_plan_notify_lib.py b/lib/hedge_plan/hedge_plan_notify_lib.py
index 2e8ce7d..beefde5 100644
--- a/lib/hedge_plan/hedge_plan_notify_lib.py
+++ b/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(
- [
- 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",
- ]
- )
+ rr = plan.get("profit_rr")
+ if rr not in (None, ""):
+ lines.extend(
+ [
+ f"🎯 盈亏比:{_fmt(rr)} (盈利金额/初始权利金)",
+ 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 ""
@@ -81,8 +90,9 @@ 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_rest_closing": "期期全平·清残腿中",
- "oo_rest_closed": "期期全平·两腿已平",
+ "profit_rr_win_leg": "期期盈亏比达标·已平盈利腿",
+ "oo_rest_closing": "期期残值平·清亏损腿中",
+ "oo_rest_closed": "期期残值平·两腿已平",
"oo_expiry_loss": "期期到期无盈利·总亏损",
"oo_expiry_win": "期期到期仍盈利",
"expiry": "到期收口",
@@ -152,25 +162,37 @@ def notify_plan_end(cfg: dict[str, Any], conn: Any, plan: dict[str, Any]) -> boo
"target_win_leg",
"target_up_win_leg",
"target_down_win_leg",
+ "profit_rr_win_leg",
"oo_rest_closing",
) and (plan.get("status") or "") != "closed":
- 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"
- )
+ cr = str(plan.get("close_reason") or "")
+ if "profit_rr" in cr:
+ side = "盈亏比达标"
+ elif "up" in cr:
+ side = "上破"
+ elif "down" in cr:
+ side = "下破"
+ else:
+ side = "目标"
mode = (plan.get("oo_close_mode") or "").strip().lower()
- if mode in ("close_all", "全平"):
- rest_txt = "另一腿将全平(买一清残腿,无2×门控,失败重试)"
+ if mode in ("close_all", "全平", "残值平"):
+ rest_txt = "另一腿残值平(权利金≤初始20%且有买一,失败重试)"
else:
rest_txt = "另一腿到期平(持有至到期结算)"
+ rr = plan.get("profit_rr")
+ if rr not in (None, ""):
+ detail = f"盈亏比 {_fmt(rr)} (盈利金额/初始权利金)"
+ else:
+ detail = (
+ 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'))}"
+ )
notify_hedge(
cfg,
build_hedge_alert_message(
title=f"期期{side}已平盈利腿 · {rest_txt}",
plan_id=plan.get("id"),
- detail=(
- 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'))}"
- ),
+ detail=detail,
),
)
return True
diff --git a/lib/hedge_plan/hedge_plan_orders_lib.py b/lib/hedge_plan/hedge_plan_orders_lib.py
index d0180d4..f25b590 100644
--- a/lib/hedge_plan/hedge_plan_orders_lib.py
+++ b/lib/hedge_plan/hedge_plan_orders_lib.py
@@ -1146,20 +1146,30 @@ 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")
- 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, ""):
- return "请填写上破与下破目标价"
- 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"
+ rr_raw = body.get("profit_rr")
+ if rr_raw not in (None, ""):
+ try:
+ rr = float(rr_raw)
+ except (TypeError, ValueError):
+ return "盈亏比无效"
+ if rr <= 0:
+ return "盈亏比须大于0"
+ else:
+ # 兼容旧上/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, ""):
+ return "请填写盈亏比"
+ 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 +1189,6 @@ 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),
diff --git a/lib/hedge_plan/hedge_plan_register.py b/lib/hedge_plan/hedge_plan_register.py
index 32958b3..4557a98 100644
--- a/lib/hedge_plan/hedge_plan_register.py
+++ b/lib/hedge_plan/hedge_plan_register.py
@@ -537,27 +537,36 @@ 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("profit_rr")
+ try:
+ profit_rr = float(rr_raw) if rr_raw not in (None, "") else 2.0
+ except (TypeError, ValueError):
+ profit_rr = 2.0
+ if profit_rr <= 0:
+ profit_rr = 2.0
+ # 旧字段兼容:不再要求上/下破;有传则原样落库
+ def _opt_float(key: str, *alts: str) -> float | None:
+ for k in (key, *alts):
+ v = body.get(k)
+ if v not in (None, ""):
+ try:
+ return float(v)
+ except (TypeError, ValueError):
+ continue
+ return None
+
+ up_f = _opt_float("target_price_up", "target_price")
+ down_f = _opt_float("target_price_down", "target_price")
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(
- body.get("target_price_up")
- or body.get("target_price")
- or 0
- ),
- "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
- ),
+ "target_price": up_f,
+ "target_price_up": up_f,
+ "target_price_down": down_f,
+ "profit_rr": profit_rr,
"sizing_mode_at_open": load_position_sizing_mode(),
"premium_total": premium,
"oo_close_mode": _normalize_oo_close_mode(body.get("oo_close_mode")),
@@ -1238,6 +1247,12 @@ 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
+ rr_raw = body.get("profit_rr")
+ profit_rr = None
+ if rr_raw not in (None, ""):
+ profit_rr = float(rr_raw)
+ if profit_rr <= 0:
+ raise ValueError("盈亏比须大于0")
up = body.get("target_price_up")
down = body.get("target_price_down")
legacy = body.get("target_price")
@@ -1245,13 +1260,19 @@ def _preview_oo(body: dict[str, Any]) -> dict[str, Any]:
up = legacy
if down in (None, "") and legacy not in (None, ""):
down = legacy
- if up in (None, "") or down in (None, ""):
- raise ValueError("请填写上破与下破目标价")
- up_f = float(up)
- down_f = float(down)
- if up_f <= down_f:
+ if profit_rr is None and (up in (None, "") or down in (None, "")):
+ raise ValueError("请填写盈亏比")
+ up_f = float(up) if up not in (None, "") else None
+ down_f = float(down) if down not in (None, "") else None
+ if profit_rr is None and up_f is not None and down_f is not None and up_f <= down_f:
raise ValueError("上破目标价必须大于下破目标价")
- index_px = float(body.get("index_px") or ((up_f + down_f) / 2))
+ index_px = body.get("index_px")
+ if index_px in (None, ""):
+ if up_f is not None and down_f is not None:
+ index_px = (up_f + down_f) / 2
+ else:
+ raise ValueError("缺少指数价格")
+ index_px = float(index_px)
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)):
@@ -1269,6 +1290,7 @@ def _preview_oo(body: dict[str, Any]) -> dict[str, Any]:
if money_err:
raise ValueError(money_err)
return build_options_options_preview(
+ profit_rr=profit_rr,
target_price_up=up_f,
target_price_down=down_f,
index_px=index_px,
diff --git a/lib/hedge_plan/templates/hedge_plan_panel.html b/lib/hedge_plan/templates/hedge_plan_panel.html
index de47b03..e025caf 100644
--- a/lib/hedge_plan/templates/hedge_plan_panel.html
+++ b/lib/hedge_plan/templates/hedge_plan_panel.html
@@ -213,7 +213,7 @@
账户：两腿都在期权账户。可用预算 = min(交易 USDC × 对冲缓冲 {{ '%.2f'|format(hedge_plan_budget_buffer|default(0.95)|float) }}, 单笔预算);可在 env「对冲预算缓冲比例」改。
下单：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。
-
板块：左填上破/下破与张数模式(同张数/做多/做空);右 T 型选腿。两腿仅允许平值或虚值(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。
+
板块：左填盈亏比(盈利金额÷初始权利金,默认2)与张数模式(同张数/做多/做空);右 T 型选腿。两腿仅允许平值或虚值(禁实值)。出场:盈利腿达盈亏比即平;亏损腿「残值平」=权利金跌至初始20%且有买一时平,「到期平」=持有至到期。
@@ -221,8 +221,7 @@
-
-
+
指数 —
@@ -237,7 +236,7 @@
diff --git a/lib/options/options_review_db.py b/lib/options/options_review_db.py
index 7123a1d..f0db635 100644
--- a/lib/options/options_review_db.py
+++ b/lib/options/options_review_db.py
@@ -129,6 +129,7 @@ def init_options_review_tables(conn: sqlite3.Connection) -> None:
_ensure_column(conn, "options_review_trades", "excluded_as_hedge_leg", "INTEGER DEFAULT 0")
_ensure_column(conn, "options_review_trades", "target_price_up", "REAL")
_ensure_column(conn, "options_review_trades", "target_price_down", "REAL")
+ _ensure_column(conn, "options_review_trades", "profit_rr", "REAL")
def _ensure_column(conn: sqlite3.Connection, table: str, col: str, typedef: str) -> None:
diff --git a/lib/options/options_review_lib.py b/lib/options/options_review_lib.py
index 3353d6d..a57d88a 100644
--- a/lib/options/options_review_lib.py
+++ b/lib/options/options_review_lib.py
@@ -450,6 +450,7 @@ def upsert_hedge_plan_row(
"target_price": _safe_float(plan.get("target_price")),
"target_price_up": _safe_float(plan.get("target_price_up")),
"target_price_down": _safe_float(plan.get("target_price_down")),
+ "profit_rr": _safe_float(plan.get("profit_rr")),
"legs_json": _legs_json_from_plan(legs),
}
existing = conn.execute(
diff --git a/manual_trading_hub/static/app.js b/manual_trading_hub/static/app.js
index 450dfba..62db67e 100644
--- a/manual_trading_hub/static/app.js
+++ b/manual_trading_hub/static/app.js
@@ -3930,11 +3930,17 @@
function renderOptionsTargetCell(target) {
if (!target) return "
— | ";
- const side = String(target.opt_type || "").toUpperCase() === "P" ? "Put≤" : "Call≥";
- const px = target.target_index != null ? fmt(target.target_index, 1) : "—";
if (target.managed_by === "hedge_plan") {
+ const rr = target.profit_rr != null ? Number(target.profit_rr) : null;
+ if (rr != null && rr > 0) {
+ return `
对冲#${esc(target.plan_id)} 盈亏比 ${esc(fmt(rr, 2))} | `;
+ }
+ const side = String(target.opt_type || "").toUpperCase() === "P" ? "Put≤" : "Call≥";
+ const px = target.target_index != null ? fmt(target.target_index, 1) : "—";
return `
对冲#${esc(target.plan_id)} ${esc(side)} ${esc(px)} | `;
}
+ const side = String(target.opt_type || "").toUpperCase() === "P" ? "Put≤" : "Call≥";
+ const px = target.target_index != null ? fmt(target.target_index, 1) : "—";
return `
${esc(side)} ${esc(px)} | `;
}
diff --git a/tests/test_hedge_plan_calc.py b/tests/test_hedge_plan_calc.py
index b3a4836..73943ea 100644
--- a/tests/test_hedge_plan_calc.py
+++ b/tests/test_hedge_plan_calc.py
@@ -102,20 +102,18 @@ 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,
- target_price_down=3000,
+ profit_rr=2,
index_px=3200,
leg_a=a,
leg_b=b,
)
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.assertAlmostEqual(p["summary"]["rr_at_up"], p["summary"]["at_target_up_total"] / 10, places=4)
- self.assertEqual(len(p["scenarios"]), 4)
- self.assertEqual(p["scenarios"][0]["id"], "target_up")
- self.assertEqual(p["scenarios"][1]["id"], "target_down")
+ self.assertEqual(p["summary"]["profit_rr"], 2)
+ self.assertEqual(p["summary"]["at_rr_a_full_total"], 5) # 2*5 - 5
+ self.assertEqual(len(p["scenarios"]), 5)
+ self.assertEqual(p["scenarios"][0]["id"], "rr_leg_a_full")
+ self.assertEqual(p["scenarios"][1]["id"], "rr_leg_b_full")
def test_oo_legacy_single_target_still_works(self):
a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
diff --git a/tests/test_hedge_plan_history_stats.py b/tests/test_hedge_plan_history_stats.py
index ea451b0..e16dae4 100644
--- a/tests/test_hedge_plan_history_stats.py
+++ b/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_profit_rr(self):
+ conn = _mem()
+ pid = insert_plan(
+ conn,
+ {
+ "plan_type": "options_options",
+ "status": "active",
+ "underlying": "ETH",
+ "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"]["profit_rr"], 2)
+ self.assertEqual(targets["ETH-USD_UM-260719-1890-C"]["exit_mode"], "profit_rr")
+ self.assertIsNone(targets["ETH-USD_UM-260719-1890-C"]["target_index"])
+
if __name__ == "__main__":
unittest.main()
diff --git a/tests/test_hedge_plan_moneyness.py b/tests/test_hedge_plan_moneyness.py
index 49b7e24..8c3599f 100644
--- a/tests/test_hedge_plan_moneyness.py
+++ b/tests/test_hedge_plan_moneyness.py
@@ -104,8 +104,7 @@ class TestHedgeMoneyness(unittest.TestCase):
err = validate_start_body(
"options_options",
{
- "target_price_up": 1900,
- "target_price_down": 1700,
+ "profit_rr": 2,
"index_px": 1800,
"leg_a": {"inst_id": "ETH-USD-260731-1700-C", "opt_type": "C", "strike": 1700},
"leg_b": {"inst_id": "ETH-USD-260731-1900-P", "opt_type": "P", "strike": 1900},
diff --git a/tests/test_hedge_plan_orders.py b/tests/test_hedge_plan_orders.py
index 6a8d875..b9c7384 100644
--- a/tests/test_hedge_plan_orders.py
+++ b/tests/test_hedge_plan_orders.py
@@ -169,9 +169,7 @@ class TestHedgePlanOrderPath(unittest.TestCase):
"budget_buffer": 0.95,
}
body = {
- "target_price": 1900,
- "target_price_up": 1950,
- "target_price_down": 1750,
+ "profit_rr": 2,
"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"},