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/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: