diff --git a/backend/app/api/sim.py b/backend/app/api/sim.py
index e4137b6..de1bf32 100644
--- a/backend/app/api/sim.py
+++ b/backend/app/api/sim.py
@@ -115,6 +115,13 @@ async def sim_open_group(
if not rs.ok:
raise HTTPException(status_code=409, detail=rs.detail)
+ try:
+ from ..strategy.auto_usdc import ensure_okx_trading_usdc
+
+ ensure_okx_trading_usdc(db)
+ except Exception:
+ pass
+
try:
from ..strategy.open_capacity import assess_open_capacity
diff --git a/backend/app/live/binance_executor.py b/backend/app/live/binance_executor.py
index f4821af..270aec8 100644
--- a/backend/app/live/binance_executor.py
+++ b/backend/app/live/binance_executor.py
@@ -362,6 +362,15 @@ class BinanceLiveExecutor(Matcher):
)
self.db._conn.commit()
+ try:
+ from ..strategy.exits import lock_trade_exit_target
+
+ lock_trade_exit_target(
+ self.db, group_id=group_id, initial_premium=initial_premium
+ )
+ except Exception:
+ logger.exception("lock exit target failed group=%s", group_id)
+
return OpenResult(
ok=True,
group_id=group_id,
@@ -480,6 +489,14 @@ class BinanceLiveExecutor(Matcher):
),
)
self.db._conn.commit()
+ try:
+ from ..strategy.exits import lock_trade_exit_target
+
+ lock_trade_exit_target(
+ self.db, group_id=group_id, initial_premium=initial_premium
+ )
+ except Exception:
+ logger.exception("lock exit target failed half_open group=%s", group_id)
def repair_half_open(self) -> CloseResult:
"""卖出 half_open 残留期权，清本地状态。"""
@@ -557,7 +574,8 @@ class BinanceLiveExecutor(Matcher):
"""UPDATE positions SET
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
- option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
+ option_entry_px=NULL, entry_index_px=NULL, initial_premium=0,
+ exit_target_usdt=NULL, status='flat'
WHERE id=1"""
)
self.db._conn.commit()
@@ -668,6 +686,14 @@ class BinanceLiveExecutor(Matcher):
),
)
self.db._conn.commit()
+ try:
+ from ..strategy.exits import lock_trade_exit_target
+
+ lock_trade_exit_target(
+ self.db, group_id=group_id, initial_premium=initial_premium
+ )
+ except Exception:
+ logger.exception("lock exit target failed recover group=%s", group_id)
return CloseResult(
ok=True,
detail="recover_opening: 已提升为 open",
@@ -1053,7 +1079,8 @@ class BinanceLiveExecutor(Matcher):
"""UPDATE positions SET
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
- option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
+ option_entry_px=NULL, entry_index_px=NULL, initial_premium=0,
+ exit_target_usdt=NULL, status='flat'
WHERE id=1"""
)
self.db._conn.commit()
@@ -1270,7 +1297,8 @@ class BinanceLiveExecutor(Matcher):
"""UPDATE positions SET
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
- option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
+ option_entry_px=NULL, entry_index_px=NULL, initial_premium=0,
+ exit_target_usdt=NULL, status='flat'
WHERE id=1"""
)
self.db._conn.commit()
diff --git a/backend/app/live/executor.py b/backend/app/live/executor.py
index 355502e..4994f82 100644
--- a/backend/app/live/executor.py
+++ b/backend/app/live/executor.py
@@ -380,6 +380,15 @@ class OkxLiveExecutor(Matcher):
)
self.db._conn.commit()
+ try:
+ from ..strategy.exits import lock_trade_exit_target
+
+ lock_trade_exit_target(
+ self.db, group_id=group_id, initial_premium=initial_premium
+ )
+ except Exception:
+ logger.exception("lock exit target failed group=%s", group_id)
+
return OpenResult(
ok=True,
group_id=group_id,
@@ -498,6 +507,14 @@ class OkxLiveExecutor(Matcher):
),
)
self.db._conn.commit()
+ try:
+ from ..strategy.exits import lock_trade_exit_target
+
+ lock_trade_exit_target(
+ self.db, group_id=group_id, initial_premium=initial_premium
+ )
+ except Exception:
+ logger.exception("lock exit target failed half_open group=%s", group_id)
def repair_half_open(self) -> CloseResult:
"""卖出 half_open 残留期权，清本地状态。"""
@@ -576,7 +593,8 @@ class OkxLiveExecutor(Matcher):
"""UPDATE positions SET
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
- option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
+ option_entry_px=NULL, entry_index_px=NULL, initial_premium=0,
+ exit_target_usdt=NULL, status='flat'
WHERE id=1"""
)
self.db._conn.commit()
@@ -696,6 +714,14 @@ class OkxLiveExecutor(Matcher):
),
)
self.db._conn.commit()
+ try:
+ from ..strategy.exits import lock_trade_exit_target
+
+ lock_trade_exit_target(
+ self.db, group_id=group_id, initial_premium=initial_premium
+ )
+ except Exception:
+ logger.exception("lock exit target failed recover group=%s", group_id)
return CloseResult(
ok=True,
detail="recover_opening: 已提升为 open",
@@ -1091,7 +1117,8 @@ class OkxLiveExecutor(Matcher):
"""UPDATE positions SET
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
- option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
+ option_entry_px=NULL, entry_index_px=NULL, initial_premium=0,
+ exit_target_usdt=NULL, status='flat'
WHERE id=1"""
)
self.db._conn.commit()
@@ -1293,7 +1320,8 @@ class OkxLiveExecutor(Matcher):
"""UPDATE positions SET
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
- option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
+ option_entry_px=NULL, entry_index_px=NULL, initial_premium=0,
+ exit_target_usdt=NULL, status='flat'
WHERE id=1"""
)
self.db._conn.commit()
diff --git a/backend/app/models/db.py b/backend/app/models/db.py
index 621e650..2892439 100644
--- a/backend/app/models/db.py
+++ b/backend/app/models/db.py
@@ -34,6 +34,7 @@ CREATE TABLE IF NOT EXISTS groups (
expiry_ymd TEXT,
entry_index_px REAL,
initial_premium REAL DEFAULT 0,
+ exit_target_usdt REAL,
open_at_ms INTEGER,
close_at_ms INTEGER,
close_reason TEXT,
@@ -79,6 +80,7 @@ CREATE TABLE IF NOT EXISTS positions (
option_entry_px REAL,
entry_index_px REAL,
initial_premium REAL DEFAULT 0,
+ exit_target_usdt REAL,
status TEXT
);
@@ -166,6 +168,8 @@ class Database:
("groups", "funding_usdt", "REAL"),
("groups", "settle_index_px", "REAL"),
("groups", "perp_margin_mode", "TEXT"),
+ ("groups", "exit_target_usdt", "REAL"),
+ ("positions", "exit_target_usdt", "REAL"),
("fills", "exec_mode", "TEXT"),
("fills", "fee_ccy", "TEXT"),
):
diff --git a/backend/app/sim/funds_wallets.py b/backend/app/sim/funds_wallets.py
index 108d1c0..e9db021 100644
--- a/backend/app/sim/funds_wallets.py
+++ b/backend/app/sim/funds_wallets.py
@@ -133,28 +133,38 @@ class SimFundsWallets:
direction: str,
amount: float,
rate: float = 1.0,
+ account: str = "funding",
) -> dict[str, Any]:
- """资金账户内 USDT↔USDC 兑换。"""
+ """USDT↔USDC 兑换。默认资金账户；account=trading 时在交易账户内兑（对齐 OKX 现货）。"""
amt = float(amount)
if amt <= 0:
return {"ok": False, "detail": "数量须大于 0"}
r = float(rate) if rate and rate > 0 else 1.0
d = (direction or "").strip().lower()
+ acct = (account or "funding").strip().lower()
+ if acct not in ("funding", "trading"):
+ return {"ok": False, "detail": "account 须为 funding / trading"}
snap = self.snapshot()
+ if acct == "funding":
+ usdt_key, usdc_key = "funding_usdt", "options_funding_usdc"
+ label = "资金账户"
+ else:
+ usdt_key, usdc_key = "trading_usdt", "options_trading_usdc"
+ label = "交易账户"
if d == "usdt_to_usdc":
- src = float(snap["funding_usdt"])
+ src = float(snap[usdt_key])
if amt > src + 1e-9:
- return {"ok": False, "detail": f"资金账户 USDT 不足（可用 {src:.4f}）"}
+ return {"ok": False, "detail": f"{label} USDT 不足（可用 {src:.4f}）"}
usdc = amt / r
- snap["funding_usdt"] = src - amt
- snap["options_funding_usdc"] = float(snap["options_funding_usdc"]) + usdc
+ snap[usdt_key] = src - amt
+ snap[usdc_key] = float(snap[usdc_key]) + usdc
elif d == "usdc_to_usdt":
- src = float(snap["options_funding_usdc"])
+ src = float(snap[usdc_key])
if amt > src + 1e-9:
- return {"ok": False, "detail": f"资金账户 USDC 不足（可用 {src:.4f}）"}
+ return {"ok": False, "detail": f"{label} USDC 不足（可用 {src:.4f}）"}
usdt = amt * r
- snap["options_funding_usdc"] = src - amt
- snap["funding_usdt"] = float(snap["funding_usdt"]) + usdt
+ snap[usdc_key] = src - amt
+ snap[usdt_key] = float(snap[usdt_key]) + usdt
else:
return {"ok": False, "detail": "direction 须为 usdt_to_usdc 或 usdc_to_usdt"}
self._set(**snap)
@@ -165,6 +175,7 @@ class SimFundsWallets:
"direction": d,
"amount": amt,
"rate": r,
+ "account": acct,
"wallets": self.view(),
"total_usdt_equiv": total,
}
diff --git a/backend/app/sim/matcher.py b/backend/app/sim/matcher.py
index e9b6281..1f8be67 100644
--- a/backend/app/sim/matcher.py
+++ b/backend/app/sim/matcher.py
@@ -2,6 +2,7 @@
from __future__ import annotations
+import logging
import time
from dataclasses import dataclass
from typing import Any
@@ -21,6 +22,8 @@ from .pricing import (
resolve_option_close_bid,
)
+logger = logging.getLogger(__name__)
+
# 禁止新开仓的本地仓位状态（实盘防卡）
BLOCKING_STATUSES = frozenset(
{"open", "half_open", "option_closed_perp_pending", "opening"}
@@ -332,6 +335,15 @@ class Matcher:
)
self.db._conn.commit()
+ try:
+ from ..strategy.exits import lock_trade_exit_target
+
+ lock_trade_exit_target(
+ self.db, group_id=group_id, initial_premium=initial_premium
+ )
+ except Exception:
+ logger.exception("lock exit target failed group=%s", group_id)
+
return OpenResult(
ok=True,
group_id=group_id,
@@ -585,7 +597,8 @@ class Matcher:
"""UPDATE positions SET
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
- option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
+ option_entry_px=NULL, entry_index_px=NULL, initial_premium=0,
+ exit_target_usdt=NULL, status='flat'
WHERE id=1"""
)
self.db._conn.commit()
@@ -756,7 +769,8 @@ class Matcher:
"""UPDATE positions SET
group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
option_inst_id=NULL, option_side=NULL, option_qty_eth=0, option_qty_contracts=0,
- option_entry_px=NULL, entry_index_px=NULL, initial_premium=0, status='flat'
+ option_entry_px=NULL, entry_index_px=NULL, initial_premium=0,
+ exit_target_usdt=NULL, status='flat'
WHERE id=1"""
)
self.db._conn.commit()
@@ -1098,6 +1112,11 @@ class Matcher:
"move_points": move,
"move_pct": move_pct,
"initial_premium": initial_premium,
+ "exit_target_usdt": (
+ float(pos["exit_target_usdt"])
+ if pos.get("exit_target_usdt") is not None
+ else None
+ ),
"premium_gap": premium_gap,
"status": pos.get("status"),
}
diff --git a/backend/app/strategy/auto_usdc.py b/backend/app/strategy/auto_usdc.py
new file mode 100644
index 0000000..608ce44
--- /dev/null
+++ b/backend/app/strategy/auto_usdc.py
@@ -0,0 +1,186 @@
+"""OKX 开仓前：交易账户 USDC 不足时市价 USDT→USDC（目标=期权所需×2）。
+
+仅 OKX SIM/LIVE。资金账户不参与；期权已可开则跳过。
+"""
+
+from __future__ import annotations
+
+import logging
+import math
+from typing import Any
+
+from ..config import get_settings
+from ..models.db import Database, get_db
+from .open_capacity import assess_open_capacity, invalidate_live_balance_cache
+
+logger = logging.getLogger(__name__)
+
+# 目标持仓 = 期权开仓所需 USDC × 倍数
+_TARGET_MULTIPLE = 2.0
+# 过小不兑（避免粉尘单）
+_MIN_CONVERT_USDT = 1.0
+
+
+def _is_okx(exchange: str | None = None) -> bool:
+ from ..exchange.runtime import load_runtime_settings, normalize_exchange_name
+
+ ex = exchange
+ if not ex:
+ try:
+ ex = load_runtime_settings().exchange
+ except Exception:
+ ex = get_settings().exchange
+ return normalize_exchange_name(ex) == "okx"
+
+
+def _round_down(n: float, nd: int = 2) -> float:
+ if n <= 0:
+ return 0.0
+ f = 10**nd
+ return math.floor(n * f + 1e-12) / f
+
+
+def ensure_okx_trading_usdc(
+ db: Database | None = None,
+ *,
+ cap: dict[str, Any] | None = None,
+) -> dict[str, Any]:
+ """
+ 开仓资金门前调用：
+ - 非 OKX → 跳过
+ - 期权可开（USDC≥需）→ 跳过
+ - 否则在**交易账户**市价 USDT→USDC，尽量补到 需×2（并预留永续保证金）
+ """
+ db = db or get_db()
+ out: dict[str, Any] = {
+ "ok": True,
+ "acted": False,
+ "skipped": True,
+ "detail": "skip",
+ }
+ if not _is_okx():
+ out["detail"] = "非 OKX，跳过自动兑 USDC"
+ return out
+
+ cap = cap or assess_open_capacity(db)
+ need = cap.get("option_need_usdc")
+ have = cap.get("option_have_usdc")
+ if need is None or have is None:
+ out["detail"] = "期权所需/持有未知，跳过兑换"
+ out["capacity"] = cap
+ return out
+
+ need_f = float(need)
+ have_f = float(have)
+ if need_f <= 0:
+ out["detail"] = "期权所需为 0，跳过"
+ return out
+
+ # 可开仓：不兑换（即使低于 2 倍目标）
+ if have_f + 1e-9 >= need_f:
+ out["detail"] = (
+ f"交易账户 USDC 已够开仓（有 {have_f:.2f} ≥ 需 {need_f:.2f}），不兑换"
+ )
+ out["capacity"] = cap
+ return out
+
+ target = need_f * _TARGET_MULTIPLE
+ gap_usdc = target - have_f
+ if gap_usdc <= 1e-6:
+ out["detail"] = "无需补足"
+ return out
+
+ from ..live.okx_funds import usdc_usdt_mid_rate
+
+ rate = float(usdc_usdt_mid_rate() or 1.0)
+ if rate <= 0:
+ rate = 1.0
+ # usdt_to_usdc：amount = 花费的 USDT（与 OkxFundsClient / SIM 一致）
+ want_usdt = gap_usdc * rate
+
+ perp_need = float(cap.get("perp_need_usdt") or 0)
+ trading_usdt = float(cap.get("perp_have_usdt") or 0)
+ # 预留永续保证金，避免兑光导致永续不可开
+ spendable = max(0.0, trading_usdt - max(0.0, perp_need))
+ spend_usdt = _round_down(min(want_usdt, spendable), 2)
+
+ out.update(
+ {
+ "need_usdc": round(need_f, 2),
+ "have_usdc": round(have_f, 2),
+ "target_usdc": round(target, 2),
+ "want_usdt": round(want_usdt, 2),
+ "spend_usdt": spend_usdt,
+ "rate": rate,
+ "spendable_usdt": round(spendable, 2),
+ }
+ )
+
+ if spend_usdt < _MIN_CONVERT_USDT:
+ out["ok"] = False
+ out["skipped"] = True
+ out["detail"] = (
+ f"交易账户可兑 USDT 不足（可兑 {spendable:.2f}，"
+ f"目标补约 {want_usdt:.2f}，门槛 {_MIN_CONVERT_USDT}）"
+ )
+ out["capacity"] = cap
+ return out
+
+ s = get_settings()
+ try:
+ if s.is_sim:
+ from ..sim.funds_wallets import SimFundsWallets
+
+ r = SimFundsWallets(db).convert(
+ direction="usdt_to_usdc",
+ amount=spend_usdt,
+ rate=rate,
+ account="trading",
+ )
+ else:
+ from ..live.okx_funds import OkxFundsClient
+
+ client = OkxFundsClient()
+ try:
+ r = client.spot_swap_usdt_usdc(
+ direction="usdt_to_usdc",
+ amount=spend_usdt,
+ )
+ finally:
+ client.close()
+ invalidate_live_balance_cache()
+ except Exception as e:
+ logger.exception("auto USDC convert failed")
+ out["ok"] = False
+ out["skipped"] = False
+ out["acted"] = False
+ out["detail"] = f"自动兑换异常：{e}"
+ return out
+
+ if not r.get("ok"):
+ out["ok"] = False
+ out["skipped"] = False
+ out["acted"] = False
+ out["detail"] = f"自动兑换失败：{r.get('detail') or r}"
+ out["raw"] = r
+ return out
+
+ # 兑换后重评
+ invalidate_live_balance_cache()
+ cap2 = assess_open_capacity(db)
+ out.update(
+ {
+ "ok": True,
+ "acted": True,
+ "skipped": False,
+ "detail": (
+ f"交易账户市价兑 USDC：花 {spend_usdt:.2f} USDT"
+ f"（目标持仓≈{target:.2f}=需{need_f:.2f}×{_TARGET_MULTIPLE:g}）"
+ ),
+ "capacity_before": cap,
+ "capacity_after": cap2,
+ "raw": r,
+ }
+ )
+ logger.info("auto_usdc: %s", out["detail"])
+ return out
diff --git a/backend/app/strategy/engine.py b/backend/app/strategy/engine.py
index 780feb8..be31e4b 100644
--- a/backend/app/strategy/engine.py
+++ b/backend/app/strategy/engine.py
@@ -129,8 +129,26 @@ class StrategyEngine:
risk_exit_unit = self.ledger.get_setting_float("risk_exit_unit", 15.0)
risk_last_k = self.ledger.get_setting_float("risk_last_k", 0.0)
risk_preview: dict[str, Any] | None = None
- # 以损定仓：监控页展示「下一次开仓」实时估算，避免仍显示上次手填/过期名义
- if sizing_mode == "risk_based":
+ pos_status = str(upl.get("status") or "flat")
+ trade_locked = pos_status in (
+ "open",
+ "half_open",
+ "option_closed_perp_pending",
+ "opening",
+ )
+ locked_exit = None
+ try:
+ from .exits import read_locked_exit_target
+
+ locked_exit = read_locked_exit_target(upl)
+ except Exception:
+ locked_exit = None
+ if trade_locked and locked_exit is not None:
+ # 持仓中：出场目标锁定，不再用盘口重算覆盖
+ net_target = float(locked_exit)
+ exit_amt = float(locked_exit)
+ # 以损定仓：仅空仓时用实时估算覆盖展示；持仓中保持开仓锁定名义/k/目标
+ if sizing_mode == "risk_based" and not trade_locked:
try:
from .risk_sizing import preview_risk_sizing
@@ -154,6 +172,16 @@ class StrategyEngine:
except Exception:
logger.exception("risk sizing preview for state() failed")
risk_preview = {"ok": False, "detail": "以损定仓预览失败"}
+ elif sizing_mode == "risk_based" and trade_locked:
+ risk_preview = {
+ "ok": True,
+ "locked": True,
+ "detail": "持仓中已锁定本组成交目标与名义，平仓后再自动计算",
+ "net_profit_target": net_target,
+ "k": risk_last_k if risk_last_k > 0 else None,
+ "perp_qty_eth": perp_qty,
+ "option_qty_eth": opt_qty,
+ }
rest_until = row["rest_until_ms"]
rest_left = 0
if rest_until:
@@ -199,6 +227,7 @@ class StrategyEngine:
"risk_exit_unit": risk_exit_unit,
"risk_last_k": risk_last_k if risk_last_k > 0 else None,
"risk_sizing_preview": risk_preview,
+ "risk_sizing_locked": bool(trade_locked and sizing_mode == "risk_based"),
"min_option_hours": min_hours,
"min_option_leverage": min_opt_lev,
"atm_open_offset_enabled": atm_off_on,
@@ -687,6 +716,18 @@ class StrategyEngine:
if st_pos == "open":
upl = self.matcher.unrealized()
+ from .exits import lock_trade_exit_target, read_locked_exit_target
+
+ locked_exit = read_locked_exit_target(upl)
+ if locked_exit is None and upl.get("group_id"):
+ try:
+ locked_exit = lock_trade_exit_target(
+ self.db,
+ group_id=str(upl["group_id"]),
+ initial_premium=float(upl.get("initial_premium") or 0),
+ )
+ except Exception:
+ logger.exception("backfill exit lock failed")
expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
decision = check_exits(
net_pnl=float(upl.get("net_pnl") or 0),
@@ -694,6 +735,7 @@ class StrategyEngine:
net_profit_target=net_target,
premium_exit_multiple=prem_mult,
initial_premium=float(upl.get("initial_premium") or 0),
+ locked_exit_target=locked_exit,
)
pending_close = st["phase"] in ("liquidity_wait", "closing")
if expired.should_close or decision.should_close or pending_close:
@@ -800,6 +842,14 @@ class StrategyEngine:
self._set_state(phase="idle", last_error="以损定仓计算异常，暂不开仓")
return
+ # OKX：交易账户 USDC 不够开期权时，市价 USDT→USDC（目标=所需×2）；够则跳过
+ try:
+ from .auto_usdc import ensure_okx_trading_usdc
+
+ ensure_okx_trading_usdc(self.db)
+ except Exception:
+ logger.exception("auto USDC top-up failed")
+
try:
cap = assess_open_capacity(self.db)
if cap.get("perp_can_open") is False or cap.get("option_can_open") is False:
diff --git a/backend/app/strategy/exits.py b/backend/app/strategy/exits.py
index d496efc..be5e2e8 100644
--- a/backend/app/strategy/exits.py
+++ b/backend/app/strategy/exits.py
@@ -2,6 +2,7 @@ from __future__ import annotations
import time
from dataclasses import dataclass
+from typing import Any
EXIT_MODE_FIXED = "fixed_usdt"
EXIT_MODE_PREMIUM = "premium_multiple"
@@ -29,6 +30,62 @@ def resolve_exit_target(
return float(net_profit_target), EXIT_MODE_FIXED
+def lock_trade_exit_target(
+ db: Any,
+ *,
+ group_id: str,
+ initial_premium: float,
+) -> float:
+ """
+ 开仓成交后锁定本组成交出场目标到 groups/positions。
+ 持仓期间盯盘与展示均用该值，不再跟随时价重算以损定仓/出场。
+ """
+ from ..config import get_settings
+ from ..sim.ledger import Ledger
+
+ s = get_settings()
+ ledger = Ledger(db)
+ exit_mode = ledger.get_setting_str("exit_mode", s.exit_mode) or EXIT_MODE_FIXED
+ net_target = float(
+ ledger.get_setting_float("net_profit_target", s.net_profit_target)
+ or s.net_profit_target
+ )
+ prem_mult = float(
+ ledger.get_setting_float("premium_exit_multiple", s.premium_exit_multiple)
+ or s.premium_exit_multiple
+ )
+ target, _mode = resolve_exit_target(
+ exit_mode=str(exit_mode),
+ net_profit_target=net_target,
+ premium_exit_multiple=prem_mult,
+ initial_premium=float(initial_premium or 0),
+ )
+ target = float(target)
+ db.execute(
+ "UPDATE groups SET exit_target_usdt=? WHERE group_id=?",
+ (target, group_id),
+ )
+ db.execute(
+ "UPDATE positions SET exit_target_usdt=? WHERE id=1",
+ (target,),
+ )
+ return target
+
+
+def read_locked_exit_target(pos: dict[str, Any] | None) -> float | None:
+ """持仓行上的锁定目标；无则 None（旧仓回退设置值）。"""
+ if not pos:
+ return None
+ v = pos.get("exit_target_usdt")
+ if v is None or v == "":
+ return None
+ try:
+ f = float(v)
+ except (TypeError, ValueError):
+ return None
+ return f if f > 0 else None
+
+
def check_expiry_close(
*,
expiry_ms: int | None,
@@ -50,14 +107,19 @@ def check_exits(
net_profit_target: float,
premium_exit_multiple: float,
initial_premium: float,
+ locked_exit_target: float | None = None,
) -> ExitDecision:
- """净盈利（预估全平后）≥ 所选模式目标则全平。"""
- target, mode = resolve_exit_target(
- exit_mode=exit_mode,
- net_profit_target=net_profit_target,
- premium_exit_multiple=premium_exit_multiple,
- initial_premium=initial_premium,
- )
+ """净盈利（预估全平后）≥ 所选模式目标则全平。持仓锁定目标优先。"""
+ if locked_exit_target is not None and float(locked_exit_target) > 0:
+ target = float(locked_exit_target)
+ mode = EXIT_MODE_FIXED
+ else:
+ target, mode = resolve_exit_target(
+ exit_mode=exit_mode,
+ net_profit_target=net_profit_target,
+ premium_exit_multiple=premium_exit_multiple,
+ initial_premium=initial_premium,
+ )
if target > 0 and net_pnl + 1e-9 >= target:
reason = "premium_multiple" if mode == EXIT_MODE_PREMIUM else "fixed_usdt"
return ExitDecision(True, reason, target)
diff --git a/backend/app/strategy/open_capacity.py b/backend/app/strategy/open_capacity.py
index 1c8d7d8..dc15fdb 100644
--- a/backend/app/strategy/open_capacity.py
+++ b/backend/app/strategy/open_capacity.py
@@ -20,6 +20,12 @@ _LIVE_BAL_TTL_SEC = 8.0
_notified_while_short: bool = False
+def invalidate_live_balance_cache() -> None:
+ """兑换/划转后强制下次重拉交易账户余额。"""
+ _live_bal_cache["ts"] = 0.0
+ _live_bal_cache["data"] = None
+
+
def _f(v: Any) -> float | None:
try:
if v is None or v == "":
@@ -211,7 +217,7 @@ def maybe_notify_funds_short(cap: dict[str, Any] | None = None) -> None:
f"**永续**: {cap.get('perp_label')}",
f"**期权**: {cap.get('option_label')}",
*[f"**详情**: {p}" for p in parts],
- "请从资金账户划转到交易账户后重试。",
+ "OKX 开仓前会尝试交易账户市价兑 USDC；仍不足请检查交易账户余额。",
],
)
)
diff --git a/backend/app/strategy/risk_sizing.py b/backend/app/strategy/risk_sizing.py
index 9da10d1..8040708 100644
--- a/backend/app/strategy/risk_sizing.py
+++ b/backend/app/strategy/risk_sizing.py
@@ -320,12 +320,22 @@ def apply_risk_sizing_to_ledger(
option_ask: float,
db: Database | None = None,
) -> RiskSizingResult:
- """计算并写入 perp/option/exit；非以损定仓模式直接 ok 跳过。"""
+ """计算并写入 perp/option/exit；非以损定仓模式直接 ok 跳过。持仓中拒绝改写。"""
database = db or get_db()
ledger = Ledger(database)
if not is_risk_based(ledger):
return RiskSizingResult(ok=True, detail="manual_sizing_skip")
+ # 有活跃仓：本组成场参数已锁定，禁止重算覆盖
+ pos = database.fetchone("SELECT status, group_id FROM positions WHERE id=1")
+ if pos is not None:
+ st = str(pos["status"] or "flat")
+ if st in ("open", "half_open", "option_closed_perp_pending", "opening"):
+ return RiskSizingResult(
+ ok=False,
+ detail="持仓中已锁定本组成交目标与名义，平仓后再自动计算",
+ )
+
r = compute_risk_sizing(index_px=index_px, option_ask=option_ask, db=database)
if not r.ok:
return r
diff --git a/backend/tests/test_auto_usdc.py b/backend/tests/test_auto_usdc.py
new file mode 100644
index 0000000..f5835c7
--- /dev/null
+++ b/backend/tests/test_auto_usdc.py
@@ -0,0 +1,99 @@
+"""OKX 交易账户自动兑 USDC 测试。"""
+
+from __future__ import annotations
+
+from unittest.mock import MagicMock, patch
+
+from app.strategy.auto_usdc import ensure_okx_trading_usdc
+
+
+def test_skip_when_usdc_enough() -> None:
+ cap = {
+ "option_need_usdc": 100.0,
+ "option_have_usdc": 100.0,
+ "perp_need_usdt": 50.0,
+ "perp_have_usdt": 500.0,
+ "option_can_open": True,
+ }
+ with (
+ patch("app.strategy.auto_usdc._is_okx", return_value=True),
+ patch("app.strategy.auto_usdc.assess_open_capacity", return_value=cap),
+ ):
+ r = ensure_okx_trading_usdc(db=MagicMock(), cap=cap)
+ assert r["skipped"] is True
+ assert r["acted"] is False
+ assert "已够开仓" in r["detail"]
+
+
+def test_skip_non_okx() -> None:
+ with patch("app.strategy.auto_usdc._is_okx", return_value=False):
+ r = ensure_okx_trading_usdc(db=MagicMock())
+ assert r["skipped"] is True
+ assert "非 OKX" in r["detail"]
+
+
+def test_sim_convert_to_2x_need() -> None:
+ """USDC 不足 → 交易账户兑到 需×2（预留永续保证金）。"""
+ cap = {
+ "option_need_usdc": 100.0,
+ "option_have_usdc": 20.0,
+ "perp_need_usdt": 50.0,
+ "perp_have_usdt": 500.0,
+ "option_can_open": False,
+ }
+ cap_after = {
+ **cap,
+ "option_have_usdc": 200.0,
+ "option_can_open": True,
+ "perp_have_usdt": 320.0,
+ }
+ wallets = MagicMock()
+ wallets.convert.return_value = {"ok": True, "detail": "converted"}
+
+ with (
+ patch("app.strategy.auto_usdc._is_okx", return_value=True),
+ patch("app.strategy.auto_usdc.assess_open_capacity", side_effect=[cap, cap_after]),
+ patch("app.strategy.auto_usdc.get_settings") as gs,
+ patch("app.live.okx_funds.usdc_usdt_mid_rate", return_value=1.0),
+ patch("app.sim.funds_wallets.SimFundsWallets", return_value=wallets),
+ patch("app.strategy.auto_usdc.invalidate_live_balance_cache"),
+ ):
+ gs.return_value.is_sim = True
+ r = ensure_okx_trading_usdc(db=MagicMock(), cap=cap)
+
+ assert r["acted"] is True
+ assert r["ok"] is True
+ # target=200, have=20 → gap=180 USDT
+ wallets.convert.assert_called_once()
+ kwargs = wallets.convert.call_args.kwargs
+ assert kwargs["direction"] == "usdt_to_usdc"
+ assert kwargs["account"] == "trading"
+ assert kwargs["amount"] == 180.0
+
+
+def test_reserve_perp_margin() -> None:
+ """可兑 USDT = 交易 USDT − 永续所需。"""
+ cap = {
+ "option_need_usdc": 100.0,
+ "option_have_usdc": 0.0,
+ "perp_need_usdt": 400.0,
+ "perp_have_usdt": 450.0, # 可兑仅 50
+ "option_can_open": False,
+ }
+ wallets = MagicMock()
+ wallets.convert.return_value = {"ok": True, "detail": "converted"}
+ cap_after = {**cap, "option_have_usdc": 50.0}
+
+ with (
+ patch("app.strategy.auto_usdc._is_okx", return_value=True),
+ patch("app.strategy.auto_usdc.assess_open_capacity", side_effect=[cap, cap_after]),
+ patch("app.strategy.auto_usdc.get_settings") as gs,
+ patch("app.live.okx_funds.usdc_usdt_mid_rate", return_value=1.0),
+ patch("app.sim.funds_wallets.SimFundsWallets", return_value=wallets),
+ patch("app.strategy.auto_usdc.invalidate_live_balance_cache"),
+ ):
+ gs.return_value.is_sim = True
+ r = ensure_okx_trading_usdc(db=MagicMock(), cap=cap)
+
+ assert r["acted"] is True
+ assert wallets.convert.call_args.kwargs["amount"] == 50.0
diff --git a/backend/tests/test_exit_lock.py b/backend/tests/test_exit_lock.py
new file mode 100644
index 0000000..361d55e
--- /dev/null
+++ b/backend/tests/test_exit_lock.py
@@ -0,0 +1,42 @@
+"""持仓锁定出场目标。"""
+
+from __future__ import annotations
+
+from app.strategy.exits import check_exits, resolve_exit_target
+
+
+def test_locked_target_ignores_setting_drift() -> None:
+ d = check_exits(
+ net_pnl=20.0,
+ exit_mode="fixed_usdt",
+ net_profit_target=50.0, # 设置已被改大
+ premium_exit_multiple=1.0,
+ initial_premium=10.0,
+ locked_exit_target=15.0, # 开仓锁定
+ )
+ assert d.should_close is True
+ assert d.target == 15.0
+
+
+def test_locked_target_not_yet() -> None:
+ d = check_exits(
+ net_pnl=10.0,
+ exit_mode="fixed_usdt",
+ net_profit_target=5.0,
+ premium_exit_multiple=1.0,
+ initial_premium=10.0,
+ locked_exit_target=15.0,
+ )
+ assert d.should_close is False
+ assert d.target == 15.0
+
+
+def test_resolve_premium_still_works_without_lock() -> None:
+ t, mode = resolve_exit_target(
+ exit_mode="premium_multiple",
+ net_profit_target=15.0,
+ premium_exit_multiple=2.0,
+ initial_premium=10.0,
+ )
+ assert t == 20.0
+ assert mode == "premium_multiple"
diff --git a/docs/更新说明.md b/docs/更新说明.md
index 6758460..4272994 100644
--- a/docs/更新说明.md
+++ b/docs/更新说明.md
@@ -5,6 +5,31 @@
---
+## 2026-07-30 — 持仓锁定出场目标 / 暂停以损定仓重算
+
+### 变更
+
+1. 开仓成交后将出场目标写入 `groups`/`positions.exit_target_usdt`，盯盘优先用锁定值。
+2. 持仓期间计划页不再用盘口实时以损定仓覆盖名义 / k / 目标；平仓后再自动计算。
+3. `apply_risk_sizing_to_ledger` 在有活跃仓时拒绝改写。
+
+---
+
+## 2026-07-30 — OKX 交易账户自动兑 USDC（开仓前）
+
+### 变更
+
+1. 仅 **OKX**（SIM + LIVE）：开仓前若交易账户 USDC **不够**当前期权开仓所需，则在交易账户内市价 `USDT→USDC`。
+2. 目标持仓 = 期权所需 × **2**；已够开仓则不兑换；预留永续保证金，避免兑光 USDT。
+3. 不走资金账户、不做 funding↔trading 划转；币安不生效。
+
+### 审计
+
+- 钩子：以损定仓写名义之后、资金门之前（自动 + 手动开一组）。
+- SIM `convert(account=trading)`；LIVE 沿用现货 `USDC-USDT` cash 市价单。
+
+---
+
## 2026-07-29 — 以损定仓：预览两位小数 / 比例与出场可配 / 计划页标识
### 变更
diff --git a/frontend/src/pages/Plan.tsx b/frontend/src/pages/Plan.tsx
index ae1a308..74b9526 100644
--- a/frontend/src/pages/Plan.tsx
+++ b/frontend/src/pages/Plan.tsx
@@ -147,7 +147,12 @@ export default function PlanPage() {
const exitMode = plan?.exit_mode ?? "fixed_usdt";
const riskBased =
plan?.risk_based === true || plan?.sizing_mode === "risk_based";
- const riskLiveOk = !riskBased || plan?.risk_sizing_preview?.ok === true;
+ const riskLocked =
+ open &&
+ (plan?.risk_sizing_locked === true ||
+ plan?.risk_sizing_preview?.locked === true);
+ const riskLiveOk =
+ !riskBased || riskLocked || plan?.risk_sizing_preview?.ok === true;
const displayPerpQty = riskLiveOk ? (plan?.perp_qty_eth ?? 1) : null;
const displayOptQty = riskLiveOk ? (plan?.option_qty_eth ?? 2) : null;
const exitTarget = riskLiveOk
@@ -160,7 +165,7 @@ export default function PlanPage() {
? `权利金×${fmt(plan?.premium_exit_multiple ?? 1, 2)}`
: riskBased
? exitTarget != null
- ? `固定 ${fmt(exitTarget)} U（基数${fmt(plan?.risk_exit_unit ?? 15)}）`
+ ? `${riskLocked ? "锁定 " : "固定 "}${fmt(exitTarget)} U（基数${fmt(plan?.risk_exit_unit ?? 15)}）`
: `待估算（基数${fmt(plan?.risk_exit_unit ?? 15)}）`
: `固定 ${fmt(plan?.net_profit_target ?? 15)} U`;
const riskRatioLabel = `比例${Number(plan?.risk_perp_unit ?? 1)}：${Number(plan?.risk_option_unit ?? 2)}`;
@@ -169,10 +174,14 @@ export default function PlanPage() {
"以损定仓",
riskRatioLabel,
plan?.risk_last_k != null ? `k=${fmt(plan.risk_last_k, 1)}` : null,
- plan?.risk_sizing_preview?.budget != null
- ? `预算${fmt(plan.risk_sizing_preview.budget, 2)}U`
- : null,
- plan?.risk_sizing_preview?.ok === false
+ riskLocked
+ ? exitTarget != null
+ ? `目标锁定${fmt(exitTarget, 2)}U`
+ : "目标已锁定"
+ : plan?.risk_sizing_preview?.budget != null
+ ? `预算${fmt(plan.risk_sizing_preview.budget, 2)}U`
+ : null,
+ !riskLocked && plan?.risk_sizing_preview?.ok === false
? String(plan.risk_sizing_preview.detail || "预览失败")
: null,
]
diff --git a/frontend/src/pages/Settings.tsx b/frontend/src/pages/Settings.tsx
index 2bf3f08..2c262ad 100644
--- a/frontend/src/pages/Settings.tsx
+++ b/frontend/src/pages/Settings.tsx
@@ -1474,14 +1474,18 @@ export default function SettingsPage() {
onToggle={() => setFundsRulesOpen((v) => !v)}
>
- 币种兑换：对齐 OKX 现货市价 USDC-USDT，在资金账户
- 内完成 USDT↔USDC。参考价{" "}
+ 币种兑换：对齐 OKX 现货市价 USDC-USDT，手动兑换在资金账户
+ 内完成。参考价{" "}
{usdcRate != null ? `1 USDC ≈ ${usdcRate.toFixed(4)} USDT` : "—"}。
账户划转：仅资金账户 ↔ 交易账户
（USDT/USDC）。OKX 永续与期权均在交易账户，无单独期权资金/期权交易账户。
+
+ 自动兑 USDC（仅 OKX SIM/LIVE）：开仓前若交易账户 USDC
+ 不够当前期权所需，则在交易账户内市价 USDT→USDC，目标约「所需×2」；已够开仓则不兑；并预留永续保证金。币安不生效。
+