Reject OO strikes more than 1% from amplitude high/low.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-07 17:50:12 +08:00
parent 6d63c52ae0
commit 0daac05ef5
9 changed files with 124 additions and 19 deletions
@@ -88,6 +88,7 @@ class Settings(BaseSettings):
    oo_min_leverage: float = 200.0  # 期期：单腿最低杠杆
    oo_reward_ratio: float = 2.0  # 盈亏比：出场目标 = 预算 × 比
    oo_budget_cushion: float = 0.92  # 定仓预留余地（用于权利金的预算比例）
+    oo_strike_max_dev_pct: float = 1.0  # 虚值行权价相对振幅高低点最大偏离 %
    atm_open_offset_enabled: bool = False  # 开仓 ATM 偏差限制开关（默认关）
    max_atm_open_offset: float = 3.0  # 开启后：|ATM行权价−标的| 上限（点）
    # 固定方向：关=现有 ATM/比价规则；开=指定永续多/空，期权 Put/Call 且须实值或平值