Show OTM option quotes in option-option mode.

Align session to amplitude Call/Put pair and replace perp/ATM market panels.

Co-authored-by: Cursor <cursoragent@cursor.com>

backend/app/exchange/types.py

@@ -43,12 +43,20 @@ class OptionPair:
     strike: float
     call_inst_id: str
     put_inst_id: str
+    put_strike: float | None = None  # 期期：Put 行权价；None=与 strike 同（ATM）
 
     def to_dict(self) -> dict[str, Any]:
+        put_k = (
+            float(self.put_strike)
+            if self.put_strike is not None
+            else float(self.strike)
+        )
         return {
             "expiry_ymd": self.expiry_ymd,
             "expiry_ms": self.expiry_ms,
             "strike": self.strike,
+            "call_strike": float(self.strike),
+            "put_strike": put_k,
             "call_inst_id": self.call_inst_id,
             "put_inst_id": self.put_inst_id,
         }

backend/app/strategy/session.py

@@ -63,6 +63,26 @@ def _held_option_inst_id() -> str | None:
         return None
 
 
+def _held_option_legs() -> tuple[str | None, str | None]:
+    """期期持仓：返回 (call_inst, put_inst)；非期期或无仓则 put 为空。"""
+    try:
+        from ..models.db import get_db
+
+        row = get_db().fetchone(
+            """SELECT status, hedge_mode, option_inst_id, option2_inst_id
+               FROM positions WHERE id=1"""
+        )
+        if not row or row["status"] not in ("open", "half_open"):
+            return None, None
+        call_id = str(row["option_inst_id"] or "").strip() or None
+        put_id = str(row["option2_inst_id"] or "").strip() or None
+        if str(row["hedge_mode"] or "").strip().lower() != "option_option":
+            return call_id, None
+        return call_id, put_id
+    except Exception:
+        return None, None
+
+
 def _as_bool_setting(raw: str | None, default: bool) -> bool:
     if raw is None or raw == "":
         return default
@@ -236,6 +256,7 @@ class StrategySession:
         self.settings = settings or get_settings()
         self.ex = exchange or get_exchange()
         self._pair: OptionPair | None = None
+        self._oo_amp: dict[str, Any] | None = None
         self._refresh_task: asyncio.Task[None] | None = None
         self._started = False
 
@@ -250,9 +271,11 @@ class StrategySession:
         ids: list[str] = [s.perp_inst_id]
         if p is not None:
             ids.extend([p.call_inst_id, p.put_inst_id])
-        held = _held_option_inst_id()
+        held, held2 = _held_option_legs()
         if held:
             ids.append(held)
+        if held2:
+            ids.append(held2)
         # 去重保序
         out: list[str] = []
         seen: set[str] = set()
@@ -309,19 +332,59 @@ class StrategySession:
 
     def align_to_held_position(self) -> OptionPair | None:
         """有活跃仓时：监控对锁定为持仓合约的到期/行权价。"""
-        held = _held_option_inst_id()
+        call_id, put_id = _held_option_legs()
+        held = call_id or _held_option_inst_id()
         if not held:
             return None
-        pair = pair_from_option_inst(held)
-        if pair is None:
-            logger.warning("cannot rebuild pair from held option %s", held)
-            return None
-        mark = self._mark_for_atm() or float(pair.strike)
+        mark = self._mark_for_atm()
         idx = None
         try:
             idx = self.ex.fetch_index(self.settings.index_inst_id)
         except Exception:
             pass
+        if put_id and call_id:
+            # 期期：双腿分别钉住
+            try:
+                from ..models.db import get_db
+
+                row = get_db().fetchone(
+                    "SELECT strike2 FROM positions WHERE id=1"
+                )
+            except Exception:
+                row = None
+            cpair = pair_from_option_inst(call_id)
+            ppair = pair_from_option_inst(put_id)
+            if cpair is None:
+                logger.warning("cannot rebuild call pair from held %s", call_id)
+                return None
+            put_strike = None
+            if row and row["strike2"] is not None:
+                put_strike = float(row["strike2"])
+            elif ppair is not None:
+                put_strike = float(ppair.strike)
+            pair = OptionPair(
+                expiry_ymd=cpair.expiry_ymd,
+                expiry_ms=cpair.expiry_ms,
+                strike=float(cpair.strike),
+                call_inst_id=call_id,
+                put_inst_id=put_id,
+                put_strike=put_strike,
+            )
+            logger.info(
+                "pin OO watch call=%s put=%s C@%.0f P@%.0f",
+                call_id,
+                put_id,
+                pair.strike,
+                float(put_strike or pair.strike),
+            )
+            return self._apply_pair(
+                pair, mark=float(mark or pair.strike), idx=idx
+            )
+        pair = pair_from_option_inst(held)
+        if pair is None:
+            logger.warning("cannot rebuild pair from held option %s", held)
+            return None
+        mark = mark or float(pair.strike)
         logger.info(
             "pin watch to held option %s strike=%.0f expiry=%s",
             held,
@@ -334,6 +397,8 @@ class StrategySession:
         # 重启/刷新时若仍有仓，绝不切到新 ATM
         if _has_open_position():
             return self.align_to_held_position()
+        if _hedge_mode() == "option_option":
+            return self.align_oo_instruments()
         s = self.settings
         idx = self.ex.fetch_index(s.index_inst_id)
         mark = self.ex.fetch_mark(s.perp_inst_id) or idx
@@ -376,6 +441,58 @@ class StrategySession:
             )
         return self._apply_pair(pair, mark=float(mark), idx=idx)
 
+    def align_oo_instruments(self) -> OptionPair | None:
+        """期期监控：按振幅高低点选虚值 Call/Put（展示用；振幅不足仍对齐候选）。"""
+        from ..exchange.candles import fetch_amplitude_hl_for_runtime
+        from .oo_selection import select_oo_pair
+
+        if _has_open_position():
+            return self.align_to_held_position()
+        s = self.settings
+        amp_pct, amp_hours, min_hours, _min_lev = _oo_settings()
+        idx = self.ex.fetch_index(s.index_inst_id)
+        mark = self.ex.fetch_mark(s.perp_inst_id) or idx
+        if mark is None or mark <= 0:
+            raise RuntimeError("无法获取标的标记/指数价格，无法选期期虚值")
+        underlying = float(mark)
+        amp = fetch_amplitude_hl_for_runtime(amp_hours)
+        if amp is None:
+            self._oo_amp = None
+            raise RuntimeError("无法获取振幅 K 线高低点")
+        self._oo_amp = {
+            "high": float(amp.high),
+            "low": float(amp.low),
+            "mid": float(amp.mid),
+            "range_pct": float(amp.range_pct),
+            "hours": float(amp_hours),
+            "min_pct": float(amp_pct),
+            "ok": float(amp.range_pct) + 1e-12 >= float(amp_pct),
+        }
+        contracts = self.ex.list_option_contracts(s.option_inst_family)
+        skip = _skip_expiry_ymds_for_next()
+        picked = select_oo_pair(
+            contracts,
+            spot=underlying,
+            high=float(amp.high),
+            low=float(amp.low),
+            min_hours=float(min_hours),
+            skip_expiry_ymds=skip,
+        )
+        if picked is None:
+            raise RuntimeError(
+                f"未找到剩余≥{min_hours}h 的虚值 Call@高/Put@低"
+            )
+        ymd, ems, ck, pk, call_inst, put_inst = picked
+        pair = OptionPair(
+            expiry_ymd=ymd,
+            expiry_ms=int(ems),
+            strike=float(ck),
+            call_inst_id=call_inst,
+            put_inst_id=put_inst,
+            put_strike=float(pk),
+        )
+        return self._apply_pair(pair, mark=underlying, idx=idx)
+
     def pick_for_open(self) -> OpenPick | None:
         if _hedge_mode() == "option_option":
             return self._pick_for_open_oo()
@@ -452,14 +569,24 @@ class StrategySession:
                 min_lev,
             )
             return None
-        # 监控用：用 Call 行权价构造假 pair（两腿不同 strike，call/put inst 正确）
+        # 监控用：Call/Put 不同行权价
         pair = OptionPair(
             expiry_ymd=ymd,
             expiry_ms=int(ems),
             strike=float(ck),
             call_inst_id=call_inst,
             put_inst_id=put_inst,
+            put_strike=float(pk),
         )
+        self._oo_amp = {
+            "high": float(amp.high),
+            "low": float(amp.low),
+            "mid": float(amp.mid),
+            "range_pct": float(amp.range_pct),
+            "hours": float(amp_hours),
+            "min_pct": float(amp_pct),
+            "ok": True,
+        }
         self._apply_pair(pair, mark=underlying, idx=idx)
         if hasattr(self.ex, "cache"):
             from ..exchange.book_cache import BookCache
@@ -655,6 +782,8 @@ class StrategySession:
         return None
 
     def atm_needs_realign(self, mark_px: float | None = None) -> bool:
+        if _hedge_mode() == "option_option":
+            return self.oo_needs_realign()
         if self._pair is None:
             return True
         min_hours, _, _, _ = _strategy_floats()
@@ -679,19 +808,78 @@ class StrategySession:
                 return True
         return abs(float(self._pair.strike) - float(mark)) >= _ATM_DRIFT_POINTS
 
+    def oo_needs_realign(self) -> bool:
+        if self._pair is None:
+            return True
+        _amp_pct, amp_hours, min_hours, _ = _oo_settings()
+        if (
+            hours_until_expiry(self._pair.expiry_ymd, expiry_ms=self._pair.expiry_ms)
+            + 1e-9
+            < min_hours
+        ):
+            return True
+        skip = _skip_expiry_ymds_for_next()
+        if str(self._pair.expiry_ymd or "") in skip:
+            return True
+        try:
+            from ..exchange.candles import fetch_amplitude_hl_for_runtime
+            from .oo_selection import select_oo_pair
+
+            mark = self._mark_for_atm()
+            if mark is None or mark <= 0:
+                return False
+            amp = fetch_amplitude_hl_for_runtime(amp_hours)
+            if amp is None:
+                return False
+            self._oo_amp = {
+                "high": float(amp.high),
+                "low": float(amp.low),
+                "mid": float(amp.mid),
+                "range_pct": float(amp.range_pct),
+                "hours": float(amp_hours),
+                "min_pct": float(_amp_pct),
+                "ok": float(amp.range_pct) + 1e-12 >= float(_amp_pct),
+            }
+            contracts = self.ex.list_option_contracts(self.settings.option_inst_family)
+            picked = select_oo_pair(
+                contracts,
+                spot=float(mark),
+                high=float(amp.high),
+                low=float(amp.low),
+                min_hours=float(min_hours),
+                skip_expiry_ymds=skip,
+            )
+            if picked is None:
+                return False
+            _ymd, _ems, _ck, _pk, call_inst, put_inst = picked
+            return (
+                call_inst != self._pair.call_inst_id
+                or put_inst != self._pair.put_inst_id
+            )
+        except Exception:
+            logger.exception("oo_needs_realign failed")
+            return False
+
     async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
         if _has_open_position():
-            # 持仓期间：钉住持仓行权价（禁止漂到新 ATM）
-            held = _held_option_inst_id()
+            # 持仓期间：钉住持仓行权价（禁止漂到新 ATM/虚值）
+            call_id, put_id = _held_option_legs()
+            held = call_id or _held_option_inst_id()
             if held and (
                 self._pair is None
                 or held not in (self._pair.call_inst_id, self._pair.put_inst_id)
+                or (
+                    put_id
+                    and put_id
+                    not in (self._pair.call_inst_id, self._pair.put_inst_id)
+                )
             ):
                 return await asyncio.to_thread(self.align_to_held_position)
             return self._pair
         if force or self.atm_needs_realign():
             logger.info(
-                "ATM realign force=%s old_strike=%s old_exp=%s",
+                "%s realign force=%s old_strike=%s old_exp=%s",
+                "OO" if _hedge_mode() == "option_option" else "ATM",
                 force,
                 self._pair.strike if self._pair else None,
                 self._pair.expiry_ymd if self._pair else None,
@@ -706,6 +894,17 @@ class StrategySession:
         d = self.ex.snapshot_dict(self.settings.perp_inst_id)
         d["exchange"] = getattr(self.ex, "name", self.settings.exchange)
         d["perp_inst_id"] = self.settings.perp_inst_id
+        hm = _hedge_mode()
+        d["hedge_mode"] = hm
+        if self._pair is not None:
+            pd = self._pair.to_dict()
+            d["pair"] = pd
+        if self._oo_amp is not None:
+            d["oo_amplitude"] = dict(self._oo_amp)
+        if hm == "option_option":
+            ac = dict(d.get("ask_compare") or {})
+            ac["bias"] = "option_option"
+            d["ask_compare"] = ac
         return d
 
     async def _refresh_loop(self) -> None:

frontend/src/api/client.ts

@@ -204,9 +204,21 @@ export type MarketSnapshot = {
   index_px: number | null;
   exchange?: string;
   perp_inst_id?: string;
+  hedge_mode?: "perp_option" | "option_option";
+  oo_amplitude?: {
+    high?: number;
+    low?: number;
+    mid?: number;
+    range_pct?: number;
+    hours?: number;
+    min_pct?: number;
+    ok?: boolean;
+  } | null;
   pair: {
     expiry_ymd: string;
     strike: number;
+    call_strike?: number;
+    put_strike?: number;
     call_inst_id: string;
     put_inst_id: string;
   } | null;

frontend/src/pages/Plan.tsx

@@ -187,6 +187,7 @@ export default function PlanPage() {
   const pos = plan?.position;
   const isOo =
     plan?.hedge_mode === "option_option" ||
+    snap?.hedge_mode === "option_option" ||
     pos?.hedge_mode === "option_option" ||
     !!pos?.option2_inst_id;
   const open = !!pos?.has_position;
@@ -851,6 +852,11 @@ export default function PlanPage() {
                   </div>
                 </div>
               </>
+            ) : isOo ? (
+              <>
+                <div className="pos-empty">Call 持仓 · 暂无</div>
+                <div className="pos-empty">Put 持仓 · 暂无</div>
+              </>
             ) : (
               <>
                 <div className="pos-empty">永续持仓 · 暂无</div>
@@ -861,43 +867,102 @@ export default function PlanPage() {
         </div>
 
         <div className="plan-market">
-          <div className="card">
-            <h3 className="plan-panel-title">永续行情</h3>
-            <div className="kv">
-              <span>买一</span>
-              <span className="mono">{fmtExPx("perp", snap?.perp?.bid)}</span>
+          {isOo ? (
+            <div className="card">
+              <h3 className="plan-panel-title">指数 / 振幅</h3>
+              <div className="kv">
+                <span>指数</span>
+                <span className="mono">{fmtExPx("index", snap?.index_px)}</span>
+              </div>
+              <div className="kv">
+                <span>
+                  高点
+                  {snap?.oo_amplitude?.hours != null
+                    ? `（${fmt(snap.oo_amplitude.hours, 0)}h）`
+                    : ""}
+                </span>
+                <span className="mono">
+                  {fmtExPx("index", snap?.oo_amplitude?.high)}
+                </span>
+              </div>
+              <div className="kv">
+                <span>低点</span>
+                <span className="mono">
+                  {fmtExPx("index", snap?.oo_amplitude?.low)}
+                </span>
+              </div>
+              <div className="kv">
+                <span>振幅</span>
+                <span className="mono">
+                  {snap?.oo_amplitude?.range_pct != null
+                    ? `${fmt(snap.oo_amplitude.range_pct, 2)}%`
+                    : "—"}
+                  {snap?.oo_amplitude?.min_pct != null
+                    ? ` · 门限≥${fmt(snap.oo_amplitude.min_pct, 1)}%`
+                    : ""}
+                  {snap?.oo_amplitude?.ok === false
+                    ? " · 不足"
+                    : snap?.oo_amplitude?.ok === true
+                      ? " · 达标"
+                      : ""}
+                </span>
+              </div>
             </div>
-            <div className="kv">
-              <span>卖一</span>
-              <span className="mono">{fmtExPx("perp", snap?.perp?.ask)}</span>
+          ) : (
+            <div className="card">
+              <h3 className="plan-panel-title">永续行情</h3>
+              <div className="kv">
+                <span>买一</span>
+                <span className="mono">{fmtExPx("perp", snap?.perp?.bid)}</span>
+              </div>
+              <div className="kv">
+                <span>卖一</span>
+                <span className="mono">{fmtExPx("perp", snap?.perp?.ask)}</span>
+              </div>
+              <div className="kv">
+                <span>市价</span>
+                <span className="mono">
+                  {fmtExPx(
+                    "perp",
+                    snap?.perp?.mark_px ??
+                      (snap?.perp?.bid != null && snap?.perp?.ask != null
+                        ? (snap.perp.bid + snap.perp.ask) / 2
+                        : null),
+                  )}
+                </span>
+              </div>
+              <div className="kv">
+                <span>指数</span>
+                <span className="mono">{fmtExPx("index", snap?.index_px)}</span>
+              </div>
             </div>
-            <div className="kv">
-              <span>市价</span>
-              <span className="mono">
-                {fmtExPx(
-                  "perp",
-                  snap?.perp?.mark_px ??
-                    (snap?.perp?.bid != null && snap?.perp?.ask != null
-                      ? (snap.perp.bid + snap.perp.ask) / 2
-                      : null),
-                )}
-              </span>
-            </div>
-            <div className="kv">
-              <span>指数</span>
-              <span className="mono">{fmtExPx("index", snap?.index_px)}</span>
-            </div>
-          </div>
+          )}
           <div className="card">
             <h3 className="plan-panel-title">
-              {open ? "持仓期权" : "期权 ATM"}
-              {snap?.pair
-                ? ` @ ${
-                    snap.pair.strike != null
-                      ? Math.round(Number(snap.pair.strike))
-                      : "—"
-                  }`
-                : ""}
+              {isOo
+                ? open
+                  ? "持仓虚值"
+                  : "期期虚值"
+                : open
+                  ? "持仓期权"
+                  : "期权 ATM"}
+              {isOo && snap?.pair
+                ? ` · C@${Math.round(
+                    Number(
+                      snap.pair.call_strike ?? snap.pair.strike ?? 0,
+                    ),
+                  )} / P@${Math.round(
+                    Number(
+                      snap.pair.put_strike ?? snap.pair.strike ?? 0,
+                    ),
+                  )}`
+                : snap?.pair
+                  ? ` @ ${
+                      snap.pair.strike != null
+                        ? Math.round(Number(snap.pair.strike))
+                        : "—"
+                    }`
+                  : ""}
             </h3>
             {(() => {
               const under =
@@ -921,17 +986,29 @@ export default function PlanPage() {
                     : open && heldSide === "put"
                       ? putLev
                       : null;
+              const callK = snap?.pair?.call_strike ?? snap?.pair?.strike;
+              const putK = snap?.pair?.put_strike ?? snap?.pair?.strike;
               return (
                 <>
                   <div className="kv">
-                    <span>Call {sideLabel}</span>
+                    <span>
+                      Call {sideLabel}
+                      {isOo && callK != null
+                        ? ` @${Math.round(Number(callK))}`
+                        : ""}
+                    </span>
                     <span className="mono">
                       {fmtTopEx("option", callPx, callSz)}
                       {!open ? ` · 杠杆 ${callLev}` : ""}
                     </span>
                   </div>
                   <div className="kv">
-                    <span>Put {sideLabel}</span>
+                    <span>
+                      Put {sideLabel}
+                      {isOo && putK != null
+                        ? ` @${Math.round(Number(putK))}`
+                        : ""}
+                    </span>
                     <span className="mono">
                       {fmtTopEx("option", putPx, putSz)}
                       {!open ? ` · 杠杆 ${putLev}` : ""}
@@ -940,7 +1017,7 @@ export default function PlanPage() {
                   <div className="kv">
                     <span>实际杠杆</span>
                     <span className="mono">
-                      {open
+                      {open && !isOo
                         ? heldLev ||
                           (heldSide
                             ? "—"
@@ -951,29 +1028,51 @@ export default function PlanPage() {
                 </>
               );
             })()}
-            <div className="kv">
-              <span>距现价</span>
-              <span className="mono">
-                {(() => {
-                  const strike = snap?.pair?.strike;
-                  const px =
-                    snap?.index_px ??
-                    (snap?.perp?.bid != null && snap?.perp?.ask != null
-                      ? (snap.perp.bid + snap.perp.ask) / 2
-                      : null);
-                  if (strike == null || px == null) return "—";
-                  const abs = Math.abs(strike - px);
-                  const sign = strike - px > 0 ? "+" : "";
-                  const delta = `${sign}${(strike - px).toFixed(0)}`;
-                  if (!plan?.atm_open_offset_enabled) {
-                    return `${delta} · 偏差限制关`;
-                  }
-                  const lim = plan?.max_atm_open_offset ?? 3;
-                  const ok = abs <= lim + 1e-9;
-                  return `${delta} · 开仓${ok ? "可" : "不可"}(|Δ|≤${lim})`;
-                })()}
-              </span>
-            </div>
+            {isOo ? (
+              <div className="kv">
+                <span>相对现价</span>
+                <span className="mono">
+                  {(() => {
+                    const px = snap?.index_px;
+                    const ck = snap?.pair?.call_strike ?? snap?.pair?.strike;
+                    const pk = snap?.pair?.put_strike;
+                    if (px == null || ck == null) return "—";
+                    const cOff = Number(ck) - Number(px);
+                    const pOff =
+                      pk != null ? Number(pk) - Number(px) : null;
+                    const fmtOff = (n: number) =>
+                      `${n > 0 ? "+" : ""}${n.toFixed(0)}`;
+                    return pOff != null
+                      ? `C ${fmtOff(cOff)} · P ${fmtOff(pOff)}`
+                      : `C ${fmtOff(cOff)}`;
+                  })()}
+                </span>
+              </div>
+            ) : (
+              <div className="kv">
+                <span>距现价</span>
+                <span className="mono">
+                  {(() => {
+                    const strike = snap?.pair?.strike;
+                    const px =
+                      snap?.index_px ??
+                      (snap?.perp?.bid != null && snap?.perp?.ask != null
+                        ? (snap.perp.bid + snap.perp.ask) / 2
+                        : null);
+                    if (strike == null || px == null) return "—";
+                    const abs = Math.abs(strike - px);
+                    const sign = strike - px > 0 ? "+" : "";
+                    const delta = `${sign}${(strike - px).toFixed(0)}`;
+                    if (!plan?.atm_open_offset_enabled) {
+                      return `${delta} · 偏差限制关`;
+                    }
+                    const lim = plan?.max_atm_open_offset ?? 3;
+                    const ok = abs <= lim + 1e-9;
+                    return `${delta} · 开仓${ok ? "可" : "不可"}(|Δ|≤${lim})`;
+                  })()}
+                </span>
+              </div>
+            )}
             <div className="kv">
               <span>到期</span>
               <span className="mono">{snap?.pair?.expiry_ymd || "—"}</span>