Replace 期期 equal-split with long/short bias sizing and env ratio controls.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -135,6 +135,10 @@ HEDGE_PLAN_ON_PERP_TP_CLOSE_OPTIONS=false
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HEDGE_PLAN_OO_CLOSE_WINNER_ONLY=true
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# 方案C:期期页面显示「平仓模式」(到期平/全平);关则固定到期平.默认开启,页面默认选全平
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HEDGE_PLAN_OO_CLOSE_MODE_ENABLED=true
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# 期期「做多/做空」拆分口径:budget=按权利金预算(默认);sheets=先算同张数 n 再按比例拆
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HEDGE_PLAN_OO_BIAS_SPLIT_BY=budget
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# 期期「做多/做空」主腿占比(0~1,默认 0.7=7:3);做多主腿=Call,做空主腿=Put
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HEDGE_PLAN_OO_BIAS_RATIO=0.7
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# 对冲与单独期权互斥(默认 true):有对冲计划不可单独开期权;有单独期权不可启动对冲;false=可同时开
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HEDGE_PLAN_OPTIONS_MUTUAL_EXCLUSIVE=true
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# 半腿失败改手动补开(默认 true):不自动平已成腿,计划挂 partial,页面补开;开启时下方自动平强制无效
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+4
-1
@@ -96,8 +96,11 @@
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- 预算:`B = min(交易户 USDC × OKX_OPTIONS_BUDGET_BUFFER, OKX_OPTIONS_TRADE_BUDGET_USDC)`(默认 buffer=0.95).
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- 自动张数(选齐两腿后写入,可手改):
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- **同张数**(默认):最大 `n` 使 `n×(cost_A+cost_B) ≤ B`,两腿均填 `n`
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- **均分预算**:各用 `B/2` 反推张数(两腿可不同)
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- **做多 / 做空**:须一 Call 一 Put;主:次默认 **7:3**(`HEDGE_PLAN_OO_BIAS_RATIO`,可改)
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- 做多:主腿=Call;做空:主腿=Put
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- 拆分口径 `HEDGE_PLAN_OO_BIAS_SPLIT_BY`:`budget`(默认,按权利金预算拆) / `sheets`(先算同张数 `n` 再按比例拆张数)
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- 另受各自卖一深度上限约束
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- 已移除页面「均分」;后端仍兼容旧 `split_budget` 入参(预算对半)
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### 4.2 目标价
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@@ -4,6 +4,37 @@
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---
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## 2026-07-19 · 期期张数：做多/做空替代均分 + env 拆分口径
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### 修改原因
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期期「均分」与方向偏好无关；需要按 Call/Put 7:3（可配）做偏多/偏空自动张数，并可用 env 在「预算金额 / 张数」两种拆法间切换。
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### 修改的地方
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| 文件 | 改动摘要 |
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|------|----------|
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| `lib/hedge_plan/hedge_plan_calc_lib.py` | `long_bias`/`short_bias`；`budget`/`sheets` + `bias_ratio` |
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| `lib/hedge_plan/hedge_plan_register.py` | gates 下发 `oo_bias_split_by` / `oo_bias_ratio` |
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| `lib/hedge_plan/templates/hedge_plan_panel.html` | 张数段：同张数 / 做多 / 做空 |
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| `lib/common/static/hedge_plan.js` | 前端建议张数与 env 同步 |
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| `crypto_monitor_okx/.env.example` + env UI/schema | `HEDGE_PLAN_OO_BIAS_SPLIT_BY`、`HEDGE_PLAN_OO_BIAS_RATIO` |
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| `docs/系统说明.md` 等 | 同步操作与配置说明 |
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### 达成的目标
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1. 默认仍为同张数。
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2. 做多=Call 主占比、做空=Put 主占比；默认比例 0.7，口径默认预算金额。
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3. `sheets` 口径：先算同张数 `n` 再拆。
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### 交付之后的验收
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1. 期期页可见「同张数 / 做多 / 做空」，无「均分」。
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2. env 配置可改口径与比例；生产 OKX `.env` 已补齐键。
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3. 选一 Call 一 Put 后自动张数符合比例；非 C+P 时提示。
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---
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## 2026-07-17 · 修复 pip>=26 部署依赖安装失败
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### 修改原因
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@@ -83,6 +83,7 @@
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5. **无市价强平**:盘口真空时系统**不会**市价砸盘,仓位可能留到到期.
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6. **目标位只看指数**:触达后仍受买一/2×门控约束,可能「到价却平不掉」.
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7. **对冲计划腿**:期权腿退出规则见对冲方案;独立期权页平仓勿与计划状态脱节.
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8. **期期自动张数**:对冲计划页为「同张数 / 做多 / 做空」(已无均分);做多/做空按 Call·Put 比例拆,口径与比例见 env `HEDGE_PLAN_OO_BIAS_SPLIT_BY`、`HEDGE_PLAN_OO_BIAS_RATIO`.
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---
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@@ -91,3 +92,4 @@
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- [期权用法.md](./期权用法.md) — 资金兑划与页面操作
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- [期权方案.md](./期权方案.md) — env 与架构
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- [对冲计划开发方案.md](./对冲计划开发方案.md) — 永期/期期与期权腿
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- [系统说明.md](./系统说明.md) — 实例操作与门禁总手册
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+14
-2
@@ -78,16 +78,26 @@ OKX_OPTIONS_API_PASSPHRASE=...
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需已配置 `WECHAT_WEBHOOK`.
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## 6. 与永续的关系
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## 6. 与永续 / 对冲计划的关系
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| | 永续(子账户) | 期权(主账户) |
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|--|----------------|----------------|
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| API | `OKX_API_*` | `OKX_OPTIONS_API_*` |
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| 页面 | 实盘下单 / 关键位 | 期权 |
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| 页面 | 实盘下单 / 关键位 | 期权 · 对冲计划 |
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| 资金顶栏 | USDT 资金户+交易户 | 期权页单独显示 USDC 等 |
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两套资金 **不合并** 显示.
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**期期对冲张数**(对冲计划页,与单独开期权共用预算算法):
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| 模式 | 说明 |
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|------|------|
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| 同张数(默认) | 两腿同 `n`,总权利金 ≤ 预算 |
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| 做多 | Call:Put 按主腿占比(默认 7:3) |
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| 做空 | Put:Call 按主腿占比(默认 7:3) |
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拆分口径与比例见 env:`HEDGE_PLAN_OO_BIAS_SPLIT_BY`(`budget` 默认 / `sheets`)、`HEDGE_PLAN_OO_BIAS_RATIO`(默认 `0.7`)。细则见 [对冲计划开发方案.md](./对冲计划开发方案.md) §4.1、[系统说明.md](./系统说明.md)。
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## 7. 配置说明
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| 变量 | 默认 | 含义 |
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@@ -97,6 +107,8 @@ OKX_OPTIONS_API_PASSPHRASE=...
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| `OKX_OPTIONS_MAX_DTE_DAYS` | 2 | 最多选几天内到期 |
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| `OKX_OPTIONS_ITM_MAX_DIST_USD` | 30 | 轻度实值:价内不超过多少 USD |
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| `OKX_OPTIONS_PROFIT_ALERT_RATIO` | 1.0 | 浮盈/权利金 ≥ 此值推送 |
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| `HEDGE_PLAN_OO_BIAS_SPLIT_BY` | budget | 期期做多/做空:按预算或按张数拆 |
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| `HEDGE_PLAN_OO_BIAS_RATIO` | 0.7 | 期期做多/做空主腿占比 |
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## 8. 期权复盘(含对冲)
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+6
-2
@@ -122,12 +122,14 @@
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### 3.3 操作：期期
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1. 填上破 / 下破目标；指数价作参考。
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2. 张数模式：**同张数**（默认）或 **均分预算**；平仓模式：**全平**（默认）或 **到期平**（若 env 打开方案 C）。
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3. T 型报价选用两腿；可先划转 USDC。
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2. 张数模式：**同张数**（默认）、**做多**、**做空**；平仓模式：**全平**（默认）或 **到期平**（若 env 打开方案 C）。
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3. T 型报价选用两腿（做多/做空须一 Call 一 Put）；可先划转 USDC。
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4. **计算** → 情景测算 → **启动计划**。
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逻辑摘要：
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- **同张数**：最大 `n` 使两腿各 `n` 张且总权利金 ≤ 预算。
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- **做多 / 做空**：主腿与次腿按 env 比例（默认 7:3）分配；做多主腿=Call，做空主腿=Put。拆分口径由 `HEDGE_PLAN_OO_BIAS_SPLIT_BY` 决定：`budget`（默认，按权利金预算拆）或 `sheets`（先算同张数 `n` 再拆张数）。
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- 达目标价：通常只平盈利腿。
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- **全平**：盈利腿平掉后立刻尝试清另一腿（无 2× 权利金门控，失败会重试）。
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- **到期平**：残腿持有至到期再结。
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@@ -320,6 +322,8 @@ A：可能是仅提醒类型、门控未过、RR 不足、满仓/日上限，或
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| 半腿失败改手动补开 | 见 3.4 |
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| 半腿失败时自动平期权 | 手动补开开启时强制无效 |
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| 期期平仓模式（方案 C） | 页面是否出现「全平 / 到期平」 |
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| 期期做多做空拆分口径 | `budget` 预算金额（默认）/ `sheets` 张数 |
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| 期期做多做空主腿占比 | 默认 `0.7`（即 7:3） |
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含「需重启」标记的项保存后要用「保存并重启」；对冲多数开关可热更，以页面标注为准。
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@@ -29,6 +29,8 @@
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legB: null,
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market: null,
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ooSheetsMode: "same_sheets",
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ooBiasSplitBy: "budget",
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ooBiasRatio: 0.7,
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ooCloseModeEnabled: root.getAttribute("data-oo-close-mode-enabled") !== "0",
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ooCloseMode: "close_all",
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direction: "long",
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@@ -335,6 +337,20 @@
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return Math.min(out, Math.floor(d + 1e-12));
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}
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function normalizeOptCP(ot) {
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const u = String(ot || "").toUpperCase();
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if (u.indexOf("C") === 0) return "C";
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if (u.indexOf("P") === 0) return "P";
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return "";
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}
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function ooSizeModeLabel(mode) {
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if (mode === "long_bias") return "做多";
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if (mode === "short_bias") return "做空";
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if (mode === "split_budget") return "均分";
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return "同张数";
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}
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function suggestOoSheetsLocal(budget, mode) {
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const costA = unitCost(state.legA);
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const costB = unitCost(state.legB);
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@@ -344,24 +360,61 @@
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if (!(costA > 0) || !(costB > 0)) {
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return { sheetsA: 0, sheetsB: 0, premium: 0, ok: false, msg: "缺少有效卖一价,无法建议张数" };
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}
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let ratio = Number(state.ooBiasRatio);
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if (!(ratio > 0) || !(ratio < 1)) ratio = 0.7;
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const splitBy = state.ooBiasSplitBy === "sheets" ? "sheets" : "budget";
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const pair = costA + costB;
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let nSame = pair > 0 ? Math.floor(budget / pair + 1e-12) : 0;
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nSame = capByDepth(nSame, state.legA && state.legA.ask_sz);
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nSame = capByDepth(nSame, state.legB && state.legB.ask_sz);
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let nA = 0;
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let nB = 0;
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if (mode === "split_budget") {
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if (mode === "long_bias" || mode === "short_bias") {
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const aCP = normalizeOptCP(state.legA && state.legA.opt_type);
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const bCP = normalizeOptCP(state.legB && state.legB.opt_type);
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if (!((aCP === "C" && bCP === "P") || (aCP === "P" && bCP === "C"))) {
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return { sheetsA: 0, sheetsB: 0, premium: 0, ok: false, msg: "做多/做空需一腿 Call、一腿 Put" };
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}
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const callIsA = aCP === "C";
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const majorIsCall = mode === "long_bias";
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let nCall = 0;
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let nPut = 0;
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if (splitBy === "sheets") {
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if (nSame < 2) {
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return { sheetsA: 0, sheetsB: 0, premium: 0, ok: false, msg: "同张数规模不足 2,无法按比例拆分" };
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}
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let majorN = Math.round(nSame * ratio);
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majorN = Math.max(1, Math.min(majorN, nSame - 1));
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const minorN = nSame - majorN;
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nCall = majorIsCall ? majorN : minorN;
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nPut = majorIsCall ? minorN : majorN;
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} else {
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const majBudget = budget * ratio;
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const minBudget = budget * (1 - ratio);
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const costCall = callIsA ? costA : costB;
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const costPut = callIsA ? costB : costA;
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if (majorIsCall) {
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nCall = Math.floor(majBudget / costCall + 1e-12);
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nPut = Math.floor(minBudget / costPut + 1e-12);
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} else {
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nPut = Math.floor(majBudget / costPut + 1e-12);
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nCall = Math.floor(minBudget / costCall + 1e-12);
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}
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}
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nA = callIsA ? nCall : nPut;
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nB = callIsA ? nPut : nCall;
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nA = capByDepth(nA, state.legA && state.legA.ask_sz);
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nB = capByDepth(nB, state.legB && state.legB.ask_sz);
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} else if (mode === "split_budget") {
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const half = budget / 2;
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nA = Math.floor(half / costA + 1e-12);
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nB = Math.floor(half / costB + 1e-12);
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nA = capByDepth(nA, state.legA && state.legA.ask_sz);
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nB = capByDepth(nB, state.legB && state.legB.ask_sz);
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} else {
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const pair = costA + costB;
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const n = pair > 0 ? Math.floor(budget / pair + 1e-12) : 0;
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nA = n;
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nB = n;
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}
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nA = capByDepth(nA, state.legA && state.legA.ask_sz);
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nB = capByDepth(nB, state.legB && state.legB.ask_sz);
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if (mode !== "split_budget") {
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const n = Math.min(nA, nB);
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nA = n;
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nB = n;
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nA = nSame;
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nB = nSame;
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}
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const premium = costA * nA + costB * nB;
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const ok = nA >= 1 && nB >= 1;
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@@ -400,7 +453,7 @@
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const line = $("hp-oo-budget-line");
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if (!line) return;
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const b = resolveOoBudget();
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const sizeLabel = state.ooSheetsMode === "split_budget" ? "均分" : "同张数";
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const sizeLabel = ooSizeModeLabel(state.ooSheetsMode);
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const closeLabel = !state.ooCloseModeEnabled
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? ""
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: state.ooCloseMode === "hold_expiry"
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@@ -447,8 +500,15 @@
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} else if (d.oo_close_mode_default && !state._ooCloseModeTouched) {
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state.ooCloseMode = d.oo_close_mode_default === "hold_expiry" ? "hold_expiry" : "close_all";
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}
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if (d.oo_bias_split_by != null) {
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state.ooBiasSplitBy = d.oo_bias_split_by === "sheets" ? "sheets" : "budget";
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}
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if (d.oo_bias_ratio != null && Number(d.oo_bias_ratio) > 0 && Number(d.oo_bias_ratio) < 1) {
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state.ooBiasRatio = Number(d.oo_bias_ratio);
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}
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syncOoCloseModeUI();
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setGateLine(d);
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if (state.mode === "options_options") autoFillOoSheets();
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} catch (e) {
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setGateLine({ can_preview: false, can_start: false, reasons: [e.message], is_full_margin: false });
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}
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Vendored
+6
@@ -91,6 +91,8 @@ HOT_RELOAD_EXACT = frozenset({
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"HEDGE_PLAN_ON_PERP_TP_CLOSE_OPTIONS",
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"HEDGE_PLAN_OO_CLOSE_WINNER_ONLY",
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"HEDGE_PLAN_OO_CLOSE_MODE_ENABLED",
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"HEDGE_PLAN_OO_BIAS_SPLIT_BY",
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"HEDGE_PLAN_OO_BIAS_RATIO",
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"HEDGE_PLAN_OPTIONS_MUTUAL_EXCLUSIVE",
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"HEDGE_PLAN_MANUAL_COMPLETE_ON_PARTIAL",
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"MAX_ACTIVE_HEDGE_PLANS",
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@@ -121,6 +123,10 @@ SELECT_OPTIONS: dict[str, tuple[tuple[str, str], ...]] = {
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("long_only", "仅做多"),
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("short_only", "仅做空"),
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),
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"HEDGE_PLAN_OO_BIAS_SPLIT_BY": (
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("budget", "预算金额"),
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("sheets", "张数"),
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),
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}
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_SELECT_ALIASES: dict[str, dict[str, str]] = {
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Vendored
+12
@@ -146,6 +146,16 @@ _HEDGE_PLAN_SECTION: dict[str, Any] = {
|
||||
"期期平仓模式(方案C)",
|
||||
"默认 true;开启后页面可选「到期平/全平」(盈利腿平后另一腿);关闭则固定到期平",
|
||||
),
|
||||
(
|
||||
"HEDGE_PLAN_OO_BIAS_SPLIT_BY",
|
||||
"期期做多做空拆分口径",
|
||||
"默认预算金额;budget=按权利金预算按比例分两腿;sheets=先算同张数 n 再按比例拆张数",
|
||||
),
|
||||
(
|
||||
"HEDGE_PLAN_OO_BIAS_RATIO",
|
||||
"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_OPTIONS_MUTUAL_EXCLUSIVE",
|
||||
"对冲与期权互斥门控",
|
||||
@@ -177,6 +187,8 @@ _RUNTIME_ENV_DEFAULTS: dict[str, str] = {
|
||||
"HEDGE_PLAN_SHOW_PERP_OPTIONS": "true",
|
||||
"HEDGE_PLAN_SHOW_OPTIONS_OPTIONS": "true",
|
||||
"HEDGE_PLAN_OO_CLOSE_MODE_ENABLED": "true",
|
||||
"HEDGE_PLAN_OO_BIAS_SPLIT_BY": "budget",
|
||||
"HEDGE_PLAN_OO_BIAS_RATIO": "0.7",
|
||||
"HEDGE_PLAN_OPTIONS_MUTUAL_EXCLUSIVE": "true",
|
||||
"HEDGE_PLAN_MANUAL_COMPLETE_ON_PARTIAL": "true",
|
||||
}
|
||||
|
||||
@@ -150,6 +150,54 @@ def _cap_sheets_by_ask_depth(sheets: int, ask_sz: Any) -> int:
|
||||
return min(n, int(math.floor(float(depth) + 1e-12)))
|
||||
|
||||
|
||||
def _normalize_oo_sheets_mode(mode: str) -> str:
|
||||
m = (mode or "same_sheets").strip().lower()
|
||||
if m in ("long_bias", "bias_long", "long", "做多"):
|
||||
return "long_bias"
|
||||
if m in ("short_bias", "bias_short", "short", "做空"):
|
||||
return "short_bias"
|
||||
# 旧「均分」兼容:按预算 50/50(页面已移除)
|
||||
if m in ("split", "equal_budget", "split_budget", "均分"):
|
||||
return "split_budget"
|
||||
return "same_sheets"
|
||||
|
||||
|
||||
def _normalize_oo_bias_split_by(raw: Any) -> str:
|
||||
v = str(raw or "budget").strip().lower()
|
||||
if v in ("sheets", "qty", "quantity", "张数"):
|
||||
return "sheets"
|
||||
return "budget"
|
||||
|
||||
|
||||
def _clamp_oo_bias_ratio(raw: Any, default: float = 0.7) -> float:
|
||||
try:
|
||||
r = float(raw)
|
||||
except (TypeError, ValueError):
|
||||
r = float(default)
|
||||
if r <= 0 or r >= 1:
|
||||
r = float(default)
|
||||
return r
|
||||
|
||||
|
||||
def _oo_call_put_leg_index(opt_type_a: str, opt_type_b: str) -> tuple[Optional[str], Optional[str], str]:
|
||||
"""返回 (call_side, put_side, err);side 为 'a'/'b'."""
|
||||
a = (opt_type_a or "").strip().upper()
|
||||
b = (opt_type_b or "").strip().upper()
|
||||
if a.startswith("C"):
|
||||
a = "C"
|
||||
elif a.startswith("P"):
|
||||
a = "P"
|
||||
if b.startswith("C"):
|
||||
b = "C"
|
||||
elif b.startswith("P"):
|
||||
b = "P"
|
||||
if {a, b} != {"C", "P"}:
|
||||
return None, None, "做多/做空需一腿 Call、一腿 Put"
|
||||
call_side = "a" if a == "C" else "b"
|
||||
put_side = "b" if call_side == "a" else "a"
|
||||
return call_side, put_side, ""
|
||||
|
||||
|
||||
def suggest_oo_sheets(
|
||||
*,
|
||||
mode: str,
|
||||
@@ -157,63 +205,89 @@ def suggest_oo_sheets(
|
||||
ask_a: float,
|
||||
ct_mult_a: float = 0.01,
|
||||
ask_sz_a: Any = None,
|
||||
opt_type_a: str = "",
|
||||
ask_b: float,
|
||||
ct_mult_b: float = 0.01,
|
||||
ask_sz_b: Any = None,
|
||||
opt_type_b: str = "",
|
||||
bias_split_by: str = "budget",
|
||||
bias_ratio: float = 0.7,
|
||||
) -> dict[str, Any]:
|
||||
"""期期建议张数:same_sheets(同张数,默认) / split_budget(均分预算)."""
|
||||
"""期期建议张数:same_sheets / long_bias / short_bias(及旧 split_budget)."""
|
||||
import math
|
||||
|
||||
m = (mode or "same_sheets").strip().lower()
|
||||
if m in ("split", "equal_budget", "split_budget", "均分"):
|
||||
m = "split_budget"
|
||||
else:
|
||||
m = "same_sheets"
|
||||
m = _normalize_oo_sheets_mode(mode)
|
||||
split_by = _normalize_oo_bias_split_by(bias_split_by)
|
||||
ratio = _clamp_oo_bias_ratio(bias_ratio)
|
||||
budget = max(0.0, float(budget_usdc or 0.0))
|
||||
cost_a = option_unit_cost_usdc(ask=ask_a, ct_mult=ct_mult_a)
|
||||
cost_b = option_unit_cost_usdc(ask=ask_b, ct_mult=ct_mult_b)
|
||||
|
||||
def _fail(msg: str, n_a: int = 0, n_b: int = 0) -> dict[str, Any]:
|
||||
return {
|
||||
"mode": m,
|
||||
"sheets_a": n_a,
|
||||
"sheets_b": n_b,
|
||||
"cost_a": round(cost_a, 8),
|
||||
"cost_b": round(cost_b, 8),
|
||||
"premium_est": round(cost_a * n_a + cost_b * n_b, 6),
|
||||
"ok": False,
|
||||
"msg": msg,
|
||||
"bias_split_by": split_by,
|
||||
"bias_ratio": ratio,
|
||||
}
|
||||
|
||||
if budget <= 0:
|
||||
return {
|
||||
"mode": m,
|
||||
"sheets_a": 0,
|
||||
"sheets_b": 0,
|
||||
"cost_a": round(cost_a, 8),
|
||||
"cost_b": round(cost_b, 8),
|
||||
"premium_est": 0.0,
|
||||
"ok": False,
|
||||
"msg": "可用预算为 0",
|
||||
}
|
||||
return _fail("可用预算为 0")
|
||||
if cost_a <= 0 or cost_b <= 0:
|
||||
return {
|
||||
"mode": m,
|
||||
"sheets_a": 0,
|
||||
"sheets_b": 0,
|
||||
"cost_a": round(cost_a, 8),
|
||||
"cost_b": round(cost_b, 8),
|
||||
"premium_est": 0.0,
|
||||
"ok": False,
|
||||
"msg": "缺少有效卖一价,无法建议张数",
|
||||
}
|
||||
if m == "split_budget":
|
||||
return _fail("缺少有效卖一价,无法建议张数")
|
||||
|
||||
pair = cost_a + cost_b
|
||||
n_same = int(math.floor(budget / pair + 1e-12)) if pair > 0 else 0
|
||||
n_same = _cap_sheets_by_ask_depth(n_same, ask_sz_a)
|
||||
n_same = _cap_sheets_by_ask_depth(n_same, ask_sz_b)
|
||||
|
||||
if m == "same_sheets":
|
||||
n_a = n_same
|
||||
n_b = n_same
|
||||
elif m == "split_budget":
|
||||
half = budget / 2.0
|
||||
n_a = int(math.floor(half / cost_a + 1e-12))
|
||||
n_b = int(math.floor(half / cost_b + 1e-12))
|
||||
n_a = _cap_sheets_by_ask_depth(n_a, ask_sz_a)
|
||||
n_b = _cap_sheets_by_ask_depth(n_b, ask_sz_b)
|
||||
else:
|
||||
pair = cost_a + cost_b
|
||||
n = int(math.floor(budget / pair + 1e-12)) if pair > 0 else 0
|
||||
n_a = n
|
||||
n_b = n
|
||||
n_a = _cap_sheets_by_ask_depth(n_a, ask_sz_a)
|
||||
n_b = _cap_sheets_by_ask_depth(n_b, ask_sz_b)
|
||||
if m == "same_sheets":
|
||||
n = min(n_a, n_b)
|
||||
n_a = n
|
||||
n_b = n
|
||||
call_side, put_side, err = _oo_call_put_leg_index(opt_type_a, opt_type_b)
|
||||
if err:
|
||||
return _fail(err)
|
||||
major_is_call = m == "long_bias"
|
||||
if split_by == "sheets":
|
||||
if n_same < 2:
|
||||
return _fail("同张数规模不足 2,无法按比例拆分")
|
||||
major_n = int(round(n_same * ratio))
|
||||
major_n = max(1, min(major_n, n_same - 1))
|
||||
minor_n = n_same - major_n
|
||||
n_call = major_n if major_is_call else minor_n
|
||||
n_put = minor_n if major_is_call else major_n
|
||||
else:
|
||||
maj_budget = budget * ratio
|
||||
min_budget = budget * (1.0 - ratio)
|
||||
cost_call = cost_a if call_side == "a" else cost_b
|
||||
cost_put = cost_b if call_side == "a" else cost_a
|
||||
if major_is_call:
|
||||
n_call = int(math.floor(maj_budget / cost_call + 1e-12)) if cost_call > 0 else 0
|
||||
n_put = int(math.floor(min_budget / cost_put + 1e-12)) if cost_put > 0 else 0
|
||||
else:
|
||||
n_put = int(math.floor(maj_budget / cost_put + 1e-12)) if cost_put > 0 else 0
|
||||
n_call = int(math.floor(min_budget / cost_call + 1e-12)) if cost_call > 0 else 0
|
||||
n_a = n_call if call_side == "a" else n_put
|
||||
n_b = n_put if call_side == "a" else n_call
|
||||
n_a = _cap_sheets_by_ask_depth(n_a, ask_sz_a)
|
||||
n_b = _cap_sheets_by_ask_depth(n_b, ask_sz_b)
|
||||
|
||||
prem = cost_a * n_a + cost_b * n_b
|
||||
ok = n_a >= 1 and n_b >= 1
|
||||
msg = ""
|
||||
if not ok:
|
||||
msg = "预算不够开 1+1(或卖一深度不足)"
|
||||
msg = "" if ok else "预算不够开 1+1(或卖一深度不足)"
|
||||
return {
|
||||
"mode": m,
|
||||
"sheets_a": n_a,
|
||||
@@ -223,6 +297,8 @@ def suggest_oo_sheets(
|
||||
"premium_est": round(prem, 6),
|
||||
"ok": ok,
|
||||
"msg": msg,
|
||||
"bias_split_by": split_by,
|
||||
"bias_ratio": ratio,
|
||||
}
|
||||
|
||||
|
||||
|
||||
@@ -120,6 +120,18 @@ def _oo_close_mode_enabled() -> bool:
|
||||
return _env_bool("HEDGE_PLAN_OO_CLOSE_MODE_ENABLED", True)
|
||||
|
||||
|
||||
def _oo_bias_split_by() -> str:
|
||||
from lib.hedge_plan.hedge_plan_calc_lib import _normalize_oo_bias_split_by
|
||||
|
||||
return _normalize_oo_bias_split_by(os.getenv("HEDGE_PLAN_OO_BIAS_SPLIT_BY") or "budget")
|
||||
|
||||
|
||||
def _oo_bias_ratio() -> float:
|
||||
from lib.hedge_plan.hedge_plan_calc_lib import _clamp_oo_bias_ratio
|
||||
|
||||
return _clamp_oo_bias_ratio(os.getenv("HEDGE_PLAN_OO_BIAS_RATIO") or "0.7")
|
||||
|
||||
|
||||
def _normalize_oo_close_mode(raw: Any) -> str:
|
||||
"""方案C关闭时强制 hold_expiry;开启时默认 close_all."""
|
||||
if not _oo_close_mode_enabled():
|
||||
@@ -192,6 +204,8 @@ def _gates_public(cfg: dict[str, Any], plan_type: str) -> dict[str, Any]:
|
||||
g = _gates_dict(cfg, plan_type)
|
||||
g["oo_close_mode_enabled"] = _oo_close_mode_enabled()
|
||||
g["oo_close_mode_default"] = "close_all" if _oo_close_mode_enabled() else "hold_expiry"
|
||||
g["oo_bias_split_by"] = _oo_bias_split_by()
|
||||
g["oo_bias_ratio"] = _oo_bias_ratio()
|
||||
return g
|
||||
|
||||
|
||||
|
||||
@@ -135,7 +135,8 @@
|
||||
<span class="hp-oo-ctrl-lab">张数</span>
|
||||
<div class="hp-oo-seg" role="group" aria-label="自动张数">
|
||||
<button type="button" class="btn-secondary hp-oo-size-mode is-selected" data-oo-size="same_sheets" title="两腿同张数,总权利金≤预算"><span class="hp-oo-check" aria-hidden="true">✓</span>同张数</button>
|
||||
<button type="button" class="btn-secondary hp-oo-size-mode" data-oo-size="split_budget" title="预算对半拆到两腿"><span class="hp-oo-check" aria-hidden="true">✓</span>均分</button>
|
||||
<button type="button" class="btn-secondary hp-oo-size-mode" data-oo-size="long_bias" title="偏多:Call 占比更高(比例见 env)"><span class="hp-oo-check" aria-hidden="true">✓</span>做多</button>
|
||||
<button type="button" class="btn-secondary hp-oo-size-mode" data-oo-size="short_bias" title="偏空:Put 占比更高(比例见 env)"><span class="hp-oo-check" aria-hidden="true">✓</span>做空</button>
|
||||
</div>
|
||||
</div>
|
||||
<div class="hp-oo-ctrl" id="hp-oo-close-mode-row">
|
||||
@@ -300,4 +301,4 @@
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
<script src="/static/hedge_plan.js?v=22"></script>
|
||||
<script src="/static/hedge_plan.js?v=23"></script>
|
||||
|
||||
@@ -153,19 +153,57 @@ class TestHedgePlanCalc(unittest.TestCase):
|
||||
self.assertEqual(s["sheets_b"], 5)
|
||||
self.assertTrue(s["ok"])
|
||||
|
||||
def test_suggest_oo_split_budget(self):
|
||||
# cost_a=1, cost_b=2; half=5 → nA=5, nB=2
|
||||
def test_suggest_oo_long_bias_budget(self):
|
||||
# cost_call=1, cost_put=1; budget 10 → call 7U / put 3U → 7 / 3
|
||||
s = suggest_oo_sheets(
|
||||
mode="split_budget",
|
||||
mode="long_bias",
|
||||
budget_usdc=10,
|
||||
ask_a=100,
|
||||
ct_mult_a=0.01,
|
||||
ask_b=200,
|
||||
opt_type_a="C",
|
||||
ask_b=100,
|
||||
ct_mult_b=0.01,
|
||||
opt_type_b="P",
|
||||
bias_split_by="budget",
|
||||
bias_ratio=0.7,
|
||||
)
|
||||
self.assertEqual(s["mode"], "split_budget")
|
||||
self.assertEqual(s["sheets_a"], 5)
|
||||
self.assertEqual(s["sheets_b"], 2)
|
||||
self.assertEqual(s["mode"], "long_bias")
|
||||
self.assertEqual(s["sheets_a"], 7)
|
||||
self.assertEqual(s["sheets_b"], 3)
|
||||
self.assertTrue(s["ok"])
|
||||
|
||||
def test_suggest_oo_short_bias_sheets(self):
|
||||
# same n=5; short → put major 4 / call minor 1 (round 5*0.7=4)
|
||||
s = suggest_oo_sheets(
|
||||
mode="short_bias",
|
||||
budget_usdc=10,
|
||||
ask_a=100,
|
||||
ct_mult_a=0.01,
|
||||
opt_type_a="C",
|
||||
ask_b=100,
|
||||
ct_mult_b=0.01,
|
||||
opt_type_b="P",
|
||||
bias_split_by="sheets",
|
||||
bias_ratio=0.7,
|
||||
)
|
||||
self.assertEqual(s["mode"], "short_bias")
|
||||
self.assertEqual(s["sheets_a"], 1)
|
||||
self.assertEqual(s["sheets_b"], 4)
|
||||
|
||||
def test_suggest_oo_bias_requires_call_put(self):
|
||||
s = suggest_oo_sheets(
|
||||
mode="long_bias",
|
||||
budget_usdc=10,
|
||||
ask_a=100,
|
||||
ct_mult_a=0.01,
|
||||
opt_type_a="C",
|
||||
ask_b=100,
|
||||
ct_mult_b=0.01,
|
||||
opt_type_b="C",
|
||||
bias_split_by="budget",
|
||||
)
|
||||
self.assertFalse(s["ok"])
|
||||
self.assertIn("Call", s["msg"])
|
||||
|
||||
def test_suggest_oo_depth_cap(self):
|
||||
s = suggest_oo_sheets(
|
||||
|
||||
Reference in New Issue
Block a user