修复翻倍出场达标却不自动平:对冲异常不再整段跳过,并按买一价×全仓判定。

原先对冲表异常会直接 return 0 导致翻倍出场永不执行;可回收改为买一价×全部张数,买一深度不足时仍会触发分批平仓。

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-09-30 21:54:00 +08:00
parent a03c208a5f
commit 06f9b23f44
2 changed files with 64 additions and 1 deletions
+23 -1
View File
@@ -211,13 +211,34 @@ def _estimate_recycle(
pos: dict[str, Any], pos: dict[str, Any],
premium_paid: float | None, premium_paid: float | None,
) -> float | None: ) -> float | None:
"""翻倍出场用可回收估算.
用买一价 × 全部持仓张数(不吃深度上限):深度不够时仍应触发分批平仓;
残档/无效买一则返回 None(禁止按假买盘自动平).
"""
from lib.options.options_positions_lib import attach_close_preview from lib.options.options_positions_lib import attach_close_preview
from lib.options.options_pricing_lib import total_premium
row = dict(pos) row = dict(pos)
attach_close_preview(cfg, ex, row, premium_paid=premium_paid) attach_close_preview(cfg, ex, row, premium_paid=premium_paid)
preview = row.get("close_preview") if isinstance(row.get("close_preview"), dict) else {} preview = row.get("close_preview") if isinstance(row.get("close_preview"), dict) else {}
if preview.get("bid_invalid"): if preview.get("bid_invalid"):
return None return None
levels = preview.get("levels") or []
ct_mult = float(row.get("ct_mult") or 0.01)
sheets = int(
abs(
_safe_float(row.get("avail_pos") if row.get("avail_pos") is not None else row.get("pos"))
or 0
)
)
if levels and sheets > 0 and ct_mult > 0:
try:
px = float(levels[0].get("px") or 0)
except (TypeError, ValueError, AttributeError):
px = 0.0
if px > 0:
return round(total_premium(px, sheets * ct_mult), 8)
return _safe_float(preview.get("total_received")) return _safe_float(preview.get("total_received"))
@@ -296,7 +317,8 @@ def run_options_profit_exits(
init_hedge_plan_tables(conn) init_hedge_plan_tables(conn)
hedge_managed = active_hedge_option_inst_ids(conn) hedge_managed = active_hedge_option_inst_ids(conn)
except Exception: except Exception:
return 0 # 对冲表异常时不得整段跳过翻倍出场
hedge_managed = set()
rules = profit_exit_by_inst(conn) rules = profit_exit_by_inst(conn)
triggered = 0 triggered = 0
+41
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@@ -0,0 +1,41 @@
"""翻倍出场:买一价×全仓张数判定达标(不受买一深度截断)."""
from __future__ import annotations
import unittest
from unittest.mock import patch
from lib.options.options_profit_exit_lib import _estimate_recycle, profit_exit_hit
class ProfitExitHitTests(unittest.TestCase):
def test_hit_at_0_3_mult(self):
# 0.3倍: recycle >= paid * 1.3
self.assertTrue(profit_exit_hit(premium_paid=1.0, recycle_usdc=1.3, mult=0.3))
self.assertFalse(profit_exit_hit(premium_paid=1.0, recycle_usdc=1.29, mult=0.3))
def test_estimate_uses_full_sheets_not_depth(self):
pos = {"inst_id": "ETH-USD-260927-2700-P", "pos": 100, "ct_mult": 0.01}
preview = {
"bid_invalid": False,
"levels": [{"px": 0.2, "sheets": 10}], # 深度只够 10 张
"total_received": 0.02, # 仅深度内
}
def fake_attach(cfg, ex, row, premium_paid=None):
row["close_preview"] = preview
row["ct_mult"] = 0.01
row["pos"] = 100
return row
with patch(
"lib.options.options_positions_lib.attach_close_preview",
side_effect=fake_attach,
):
recv = _estimate_recycle({}, object(), pos, 1.0)
# 应按 100 张 × 0.01 × 0.2 = 0.2,而非深度截断的 0.02
self.assertAlmostEqual(float(recv), 0.2, places=6)
self.assertTrue(profit_exit_hit(premium_paid=0.15, recycle_usdc=float(recv), mult=0.3))
if __name__ == "__main__":
unittest.main()