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Preflight options position limit for dual-leg OO hedges.

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Reject OO start when max active is under 2 free slots so limit=1 cannot open a half straddle.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-30 08:17:17 +08:00
parent 94c65cbd6e
commit f9c2a63cbc
5 changed files with 94 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crypto_monitor_okx/.env.example
+1 -1
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@@ -111,7 +111,7 @@ OKX_OPTIONS_API_PASSPHRASE=
OKX_OPTIONS_ACCOUNT_LABEL=主账户·期权
OKX_OPTIONS_TRADE_BUDGET_USDC=10
OKX_OPTIONS_BUDGET_BUFFER=0.95
# 期权同时持仓上限(笔,按交易所合约笔数);0=不限制;同合约加仓不占新笔数;热更
# 期权同时持仓上限(笔,按交易所合约笔数);0=不限制;期期需≥2(或 0);同合约加仓不占新笔数;热更
OKX_OPTIONS_MAX_ACTIVE_POSITIONS=0
OKX_OPTIONS_DEFAULT_UNDERLY=ETH
# 期权链仅显示卖一深度≥1张的合约(估算卖一/无深度不显示);false 则显示全部
lib/env/env_ui_manifest.py
Vendored
+1 -1
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@@ -133,7 +133,7 @@ _OPTIONS_SECTION: dict[str, Any] = {
(
"OKX_OPTIONS_MAX_ACTIVE_POSITIONS",
"期权持仓上限(笔)",
"默认 0=不限制;按交易所当前期权合约笔数计数,达上限禁止新开买(同合约加仓仍允许)",
"默认 0=不限制;按交易所期权合约笔数计数.期期对冲一次需 2 笔,上限设 1 时无法开期期(须≥2 或 0).同合约加仓不占新笔数.",
),
("OKX_OPTIONS_DEFAULT_UNDERLY", "默认标的", "如 ETH"),
(
lib/hedge_plan/hedge_plan_orders_lib.py
+19 -2
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@@ -690,7 +690,24 @@ def execute_options_options_start(
results: list[dict[str, Any]] = []
leg_a = body.get("leg_a") or {}
leg_b = body.get("leg_b") or {}
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)
inst_a = str(leg_a.get("inst_id") or "")
inst_b = str(leg_b.get("inst_id") or "")
from lib.options.options_position_limit_lib import option_position_limit_block_msg
pos_limit_msg = option_position_limit_block_msg(
cfg.get("exchange_options"),
opening_inst_ids=[inst_a, inst_b],
fetch_positions=cfg.get("fetch_option_positions"),
)
if pos_limit_msg:
return {
"ok": False,
"msg": pos_limit_msg,
"path": path,
"results": [],
"refresh": refresh,
}
a_res = _buy_option(cfg, inst_id=inst_a, 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 {
@@ -700,7 +717,7 @@ def execute_options_options_start(
"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)
b_res = _buy_option(cfg, inst_id=inst_b, 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"):
if not dry_run and partial_auto_close_enabled():
lib/options/options_position_limit_lib.py
+43 -6
View File
@@ -2,7 +2,7 @@
from __future__ import annotations
import os
from typing import Any, Optional
from typing import Any, Optional, Sequence
def options_max_active_positions() -> int:
@@ -41,17 +41,36 @@ def _inst_already_open(rows: list[dict[str, Any]], inst_id: str) -> bool:
return False
def _normalize_inst_ids(
opening_inst_id: str = "",
opening_inst_ids: Optional[Sequence[str]] = None,
) -> list[str]:
out: list[str] = []
seen: set[str] = set()
for raw in list(opening_inst_ids or []) + ([opening_inst_id] if opening_inst_id else []):
iid = str(raw or "").strip()
if not iid or iid in seen:
continue
seen.add(iid)
out.append(iid)
return out
def option_position_limit_block_msg(
ex: Any,
*,
opening_inst_id: str = "",
opening_inst_ids: Optional[Sequence[str]] = None,
new_positions: Optional[int] = None,
max_active: Optional[int] = None,
fetch_positions=None,
) -> Optional[str]:
"""若禁止新开买期权则返回中文原因,否则 None.
- max_active<=0:不限制
- 加仓已有合约(opening_inst_id 已在持仓中):不占新笔数,放行
- opening_inst_ids:本次要开的合约;已在持仓中的不占新笔数
- new_positions:显式指定还需新占几笔(默认按 opening_inst_ids 推算)
- 期期两腿应一次传入两个 inst_id,在开仓前预检,避免上限=1 时开出半边仓
- 拉持仓失败:拒绝开仓(避免绕过上限)
"""
mx = options_max_active_positions() if max_active is None else int(max_active)
@@ -69,8 +88,26 @@ def option_position_limit_block_msg(
if rows is None:
return f"无法获取期权持仓,暂不可开仓(上限 {mx} 笔)"
active = count_live_option_positions(rows)
if _inst_already_open(rows, opening_inst_id):
ids = _normalize_inst_ids(opening_inst_id, opening_inst_ids)
if new_positions is None:
if ids:
already = sum(1 for i in ids if _inst_already_open(rows, i))
need = max(0, len(ids) - already)
else:
need = 1
else:
need = max(0, int(new_positions))
if need <= 1 and len(ids) == 1 and _inst_already_open(rows, ids[0]):
return None
if need <= 0:
return None
if active >= mx:
return f"期权持仓已达上限({active}/{mx}),请先平仓后再开"
return None
if active + need <= mx:
return None
if need >= 2:
return (
f"期期对冲需新开 {need} 笔期权,当前已有 {active} 笔、上限 {mx};"
f"请将 OKX_OPTIONS_MAX_ACTIVE_POSITIONS 设为 0(不限制)或不小于 {active + need},或先平仓"
)
return f"期权持仓已达上限({active}/{mx}),请先平仓后再开"
tests/test_options_position_limit.py
+30
View File
@@ -56,6 +56,36 @@ class OptionsPositionLimitTests(unittest.TestCase):
)
self.assertIsNone(msg)
def test_oo_needs_two_slots_when_max_one(self):
msg = option_position_limit_block_msg(
object(),
opening_inst_ids=["ETH-C", "ETH-P"],
max_active=1,
fetch_positions=lambda _ex: [],
)
self.assertIsNotNone(msg)
self.assertIn("期期", msg or "")
def test_oo_ok_when_max_two_empty(self):
msg = option_position_limit_block_msg(
object(),
opening_inst_ids=["ETH-C", "ETH-P"],
max_active=2,
fetch_positions=lambda _ex: [],
)
self.assertIsNone(msg)
def test_oo_block_when_one_slot_left(self):
rows = [{"instId": "OTHER", "pos": "1"}]
msg = option_position_limit_block_msg(
object(),
opening_inst_ids=["ETH-C", "ETH-P"],
max_active=2,
fetch_positions=lambda _ex: rows,
)
self.assertIsNotNone(msg)
self.assertIn("期期", msg or "")
def test_fail_closed_when_fetch_none(self):
msg = option_position_limit_block_msg(
object(),