Allow risk-based 永期 exits via premium multiple as well as base×k.
Settings UI picks 基数 or 权利金×n; sizing preview and control monitor follow. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -524,10 +524,14 @@ async def put_strategy_settings(
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)
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).strip().lower()
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if sizing_mode == "risk_based":
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data["exit_mode"] = "fixed_usdt"
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# 永期以损：允许 exit_mode=fixed_usdt（基数×k）或 premium_multiple（权利金×倍）
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# 期期仍强制 fixed（目标由预算×盈亏比写入）
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if hedge_mode == "option_option":
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data["exit_mode"] = "fixed_usdt"
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data.pop("perp_qty_eth", None)
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data.pop("option_qty_eth", None)
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data.pop("net_profit_target", None)
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if str(data.get("exit_mode") or db.get_setting("exit_mode", "") or "").strip().lower() != "premium_multiple":
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data.pop("net_profit_target", None)
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loss_mode = str(
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data.get(
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"risk_loss_mode",
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@@ -703,26 +703,42 @@ def apply_risk_sizing_to_ledger(
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if not r.ok:
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return r
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# 以损定仓强制 fixed_usdt；出场 = exit_unit × k
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database.set_setting("exit_mode", "fixed_usdt")
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exit_mode = str(
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ledger.get_setting_str("exit_mode", "fixed_usdt") or "fixed_usdt"
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).strip().lower()
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s = get_settings()
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prem_mult = float(
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ledger.get_setting_float("premium_exit_multiple", s.premium_exit_multiple)
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or s.premium_exit_multiple
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)
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database.set_setting("perp_qty_eth", str(r.perp_qty_eth))
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database.set_setting("option_qty_eth", str(r.option_qty_eth))
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database.set_setting("net_profit_target", str(r.net_profit_target))
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database.set_setting("risk_last_k", str(r.k))
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database.set_setting(
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"risk_last_max_loss",
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f"{r.max_loss:.2f}" if r.max_loss is not None else "",
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)
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if exit_mode == "premium_multiple":
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database.set_setting("exit_mode", "premium_multiple")
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# 预估展示用：估权利金×倍数；开仓后以真实 initial_premium 锁定
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est = float(r.premium_est or 0) * max(0.0, prem_mult)
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if est > 0:
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database.set_setting("net_profit_target", f"{est:.4f}")
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exit_log = f"prem×{prem_mult:g}≈{est:.2f}"
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else:
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database.set_setting("exit_mode", "fixed_usdt")
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database.set_setting("net_profit_target", str(r.net_profit_target))
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exit_log = f"{r.net_profit_target or 0:.4f}"
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logger.info(
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"risk_sizing applied k=%.1f basis=%s sizing_ask=%.4f actual_ask=%.4f "
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"perp=%.4f opt=%.4f exit=%.4f max_loss=%.4f budget=%.4f",
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"perp=%.4f opt=%.4f exit=%s max_loss=%.4f budget=%.4f",
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r.k or 0,
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r.leverage_basis or "?",
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r.option_ask or 0,
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r.actual_option_ask or 0,
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r.perp_qty_eth or 0,
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r.option_qty_eth or 0,
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r.net_profit_target or 0,
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exit_log,
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r.max_loss or 0,
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r.budget or 0,
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)
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@@ -766,6 +782,20 @@ def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
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r = compute_risk_sizing(index_px=float(idx), option_ask=float(ask), db=database)
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perp_u, opt_u, exit_u = read_risk_units(ledger)
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mg = resolve_martingale(database, ledger=ledger)
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s = get_settings()
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exit_mode = str(
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ledger.get_setting_str("exit_mode", s.exit_mode) or s.exit_mode
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).strip().lower()
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prem_mult = float(
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ledger.get_setting_float("premium_exit_multiple", s.premium_exit_multiple)
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or s.premium_exit_multiple
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)
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exit_target = r.net_profit_target
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exit_label = "基数×k"
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if exit_mode == "premium_multiple":
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exit_label = f"权利金×{prem_mult:g}"
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if r.ok and r.premium_est is not None:
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exit_target = round(float(r.premium_est) * max(0.0, prem_mult), 2)
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out.update(
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{
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"ok": r.ok,
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@@ -778,7 +808,10 @@ def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
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"max_loss": r.max_loss,
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"perp_qty_eth": r.perp_qty_eth,
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"option_qty_eth": r.option_qty_eth,
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"net_profit_target": r.net_profit_target,
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"net_profit_target": exit_target,
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"exit_mode": exit_mode if exit_mode in ("fixed_usdt", "premium_multiple") else "fixed_usdt",
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"premium_exit_multiple": prem_mult,
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"exit_label": exit_label,
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"index_px": r.index_px,
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"option_ask": r.option_ask,
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"actual_option_ask": r.actual_option_ask,
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@@ -208,10 +208,13 @@ function riskLines(strat: Record<string, unknown>): RiskLines {
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const minH = Number(
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strat.oo_min_option_hours ?? strat.min_option_hours,
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);
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const ampFilt = strat.oo_amplitude_filter_enabled === true;
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const amp =
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Number.isFinite(ampN) && Number.isFinite(ampH)
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? `≤${fmt(ampN, ampN % 1 === 0 ? 0 : 1)}%·${fmt(ampH, 0)}h`
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: "≤—";
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? ampFilt
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? `≤${fmt(ampN, ampN % 1 === 0 ? 0 : 1)}%·${fmt(ampH, 0)}h`
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: `${fmt(ampH, 0)}h`
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: "—";
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const callQ =
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strat.risk_sizing_preview &&
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typeof strat.risk_sizing_preview === "object" &&
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@@ -246,13 +249,15 @@ function riskLines(strat: Record<string, unknown>): RiskLines {
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isOo: true,
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sizing: riskBased ? "以损定仓(A)" : "手动开仓(B)",
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sizingShort: riskBased ? "A" : "B",
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lossPct: Number.isFinite(ampN)
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lossPct: ampFilt && Number.isFinite(ampN)
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? `≤${fmt(ampN, ampN % 1 === 0 ? 0 : 1)}%`
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: null,
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exit,
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openRatio,
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riskOrOpen: `${amp}/${openRatio}/${minHours}`,
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riskOrOpenTitle: "振幅上限·回看 / Call:Put 数量 / 最短剩余(h)",
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riskOrOpenTitle: ampFilt
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? "振幅上限·回看 / Call:Put 数量 / 最短剩余(h)"
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: "振幅回看 / Call:Put 数量 / 最短剩余(h)",
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minHours,
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leverage,
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leverageTitle: "期期单腿最低杠杆",
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@@ -261,7 +266,12 @@ function riskLines(strat: Record<string, unknown>): RiskLines {
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const exitMode = String(strat.exit_mode || "fixed_usdt");
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let exit: string;
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if (riskBased) {
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if (riskBased && exitMode === "premium_multiple") {
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exit =
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strat.premium_exit_multiple != null
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? `权利金×${fmt(strat.premium_exit_multiple, 2)}`
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: "权利金×—";
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} else if (riskBased) {
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exit =
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strat.risk_exit_unit != null && Number.isFinite(Number(strat.risk_exit_unit))
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? `基数${unitLabel(strat.risk_exit_unit)}`
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@@ -216,7 +216,11 @@ export default function PlanPage() {
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}${fmt(ooRatio, 1)}）`
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: `净盈≥预算×${fmt(ooRatio, 1)}（达标只平盈利腿）`
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: exitMode === "premium_multiple"
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? `权利金×${fmt(plan?.premium_exit_multiple ?? 1, 2)}`
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? riskBased
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? exitTarget != null
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? `${riskLocked ? "锁定 " : ""}净盈≥${fmt(exitTarget)} U（权利金×${fmt(plan?.premium_exit_multiple ?? 1, 2)}）`
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: `权利金×${fmt(plan?.premium_exit_multiple ?? 1, 2)}（开仓后锁定）`
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: `权利金×${fmt(plan?.premium_exit_multiple ?? 1, 2)}`
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: riskBased
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? exitTarget != null
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? `${riskLocked ? "锁定 " : "固定 "}${fmt(exitTarget)} U（基数${fmt(plan?.risk_exit_unit ?? 15)}）`
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@@ -376,8 +376,7 @@ export default function SettingsPage() {
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try {
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const body: Record<string, unknown> = {
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fee_rate: fee,
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exit_mode:
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oo || sizingMode === "risk_based" ? "fixed_usdt" : exitMode,
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exit_mode: oo ? "fixed_usdt" : exitMode,
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premium_exit_multiple: premMult,
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rest_seconds: rest,
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live_order_interval_sec: orderInterval,
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@@ -1029,10 +1028,23 @@ export default function SettingsPage() {
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pk != null
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? Number((riskOptUnit * pk).toFixed(4))
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: riskPreview.option_qty_eth;
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const premEst = Number(riskPreview.premium_est);
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const exit =
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pk != null
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? Number((riskExitUnit * pk).toFixed(2))
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: riskPreview.net_profit_target;
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exitMode === "premium_multiple"
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? Number.isFinite(premEst)
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? Number(
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(
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premEst * Number(premMult || 1)
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).toFixed(2),
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)
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: riskPreview.net_profit_target
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: pk != null
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? Number((riskExitUnit * pk).toFixed(2))
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: riskPreview.net_profit_target;
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const exitDisp =
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exitMode === "premium_multiple"
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? `权利金×${Number(premMult || 1)}≈${exit ?? "—"}`
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: String(exit ?? "—");
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const budS = Number.isFinite(bud)
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? bud.toFixed(2)
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: "—";
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@@ -1076,7 +1088,7 @@ export default function SettingsPage() {
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} · Put≈${
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riskPreview.put_qty_eth ?? "—"
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} · 出场=预算×${ooRewardRatio}${mgS}`
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: `k=${pk ?? "—"} · 预算=${budS}U · 估亏=${mxS}U · 永续=${perp ?? "—"} · 期权=${opt ?? "—"} · 出场=${exit ?? "—"}${basisS}${mgS}`;
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: `k=${pk ?? "—"} · 预算=${budS}U · 估亏=${mxS}U · 永续=${perp ?? "—"} · 期权=${opt ?? "—"} · 出场=${exitDisp}${basisS}${mgS}`;
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})()}
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</div>
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</div>
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@@ -1120,9 +1132,72 @@ export default function SettingsPage() {
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}}
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/>
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</div>
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<div className="field">
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<label htmlFor="riskExitKind">出场资金</label>
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<select
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id="riskExitKind"
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className="mono"
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value={
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exitMode === "premium_multiple"
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? "premium_multiple"
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: "fixed_usdt"
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}
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onChange={(e) =>
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setExitMode(
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e.target.value === "premium_multiple"
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? "premium_multiple"
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: "fixed_usdt",
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)
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}
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>
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<option value="fixed_usdt">基数（×k）</option>
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<option value="premium_multiple">权利金倍数</option>
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</select>
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</div>
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{exitMode === "premium_multiple" ? (
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<div className="field">
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<label htmlFor="riskPremMult">
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盈利权利金倍数
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</label>
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<select
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id="riskPremMultQuick"
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className="mono"
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value={
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[1, 1.5, 2, 3].some(
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(x) => Math.abs(x - Number(premMult)) < 1e-9,
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)
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? String(Number(premMult))
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: "custom"
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}
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onChange={(e) => {
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if (e.target.value === "custom") return;
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setPremMult(Number(e.target.value));
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}}
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>
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<option value="1">1 倍权利金</option>
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<option value="1.5">1.5 倍权利金</option>
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<option value="2">2 倍权利金</option>
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<option value="3">3 倍权利金</option>
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<option value="custom">自定义</option>
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</select>
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<input
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id="riskPremMult"
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className="mono"
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style={{ marginTop: 6 }}
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type="number"
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step="0.1"
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min="0.1"
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value={premMult}
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onChange={(e) =>
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setPremMult(Number(e.target.value))
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}
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/>
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</div>
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) : (
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<>
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<div className="field">
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<label htmlFor="riskExitU">
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出场资金（k=1；改后按比例联动）
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出场基数（k=1；改后按比例联动）
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</label>
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<input
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id="riskExitU"
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@@ -1178,6 +1253,8 @@ export default function SettingsPage() {
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}}
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/>
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</div>
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</>
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)}
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</>
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) : null}
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</>
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@@ -1399,10 +1476,7 @@ export default function SettingsPage() {
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<select
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id="exitMode"
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className="mono"
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disabled={sizingMode === "risk_based"}
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value={
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sizingMode === "risk_based" ? "fixed_usdt" : exitMode
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}
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value={exitMode}
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onChange={(e) =>
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setExitMode(
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e.target.value === "premium_multiple"
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@@ -1411,15 +1485,19 @@ export default function SettingsPage() {
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)
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}
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>
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<option value="fixed_usdt">固定净盈利（USDT）</option>
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<option value="fixed_usdt">
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{sizingMode === "risk_based"
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? "基数（×k）"
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: "固定净盈利（USDT）"}
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</option>
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<option value="premium_multiple">权利金倍数</option>
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</select>
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</div>
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{sizingMode === "risk_based" || exitMode === "fixed_usdt" ? (
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{exitMode === "fixed_usdt" ? (
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<div className="field">
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<label htmlFor="netTarget">
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{sizingMode === "risk_based"
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? "出场资金（k=1 基数）"
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? "出场基数（k=1）"
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: "净盈利出场目标（USDT）"}
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</label>
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<input
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@@ -1635,6 +1713,10 @@ export default function SettingsPage() {
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k，权利金再便宜也不放大仓位；实际杠杆按盘口卖一定仓，便宜时
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k 会变大。
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</li>
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<li>
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出场资金：可选「基数×k」或「权利金倍数」（如盈利 1
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倍/2 倍权利金）；开仓后按真实权利金锁定目标。
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</li>
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</>
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)}
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<li>
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Block a user