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Replace 期期 equal-split with long/short bias sizing and env ratio controls.

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-19 15:25:10 +08:00
parent bc797cb1db
commit e3cd2a75de
13 changed files with 330 additions and 67 deletions
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tests/test_hedge_plan_calc.py
+45 -7
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@@ -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(