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

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-07 17:50:12 +08:00
parent 6d63c52ae0
commit 0daac05ef5
9 changed files with 124 additions and 19 deletions
Download Patch File Download Diff File Expand all files Collapse all files
backend/app/strategy/engine.py
+6
View File
@@ -297,6 +297,12 @@ class StrategyEngine:
)
or s.oo_reward_ratio
),
"oo_strike_max_dev_pct": float(
self.ledger.get_setting_float(
"oo_strike_max_dev_pct", s.oo_strike_max_dev_pct
)
or s.oo_strike_max_dev_pct
),
"risk_perp_unit": risk_perp_unit,
"risk_option_unit": risk_option_unit,
"risk_exit_unit": risk_exit_unit,
backend/app/strategy/oo_selection.py
+40 -8
View File
@@ -36,17 +36,42 @@ class OoPickCore:
detail: str = "ok"
def pick_otm_call_strike(strikes: list[float], *, spot: float, high: float) -> float | None:
"""虚值 Call：K > spot，优先贴近振幅高点。"""
def _within_ref_pct(strike: float, ref: float, max_dev_pct: float) -> bool:
"""|K−ref|/ref ≤ max_dev_pct%。"""
if ref <= 0 or max_dev_pct < 0:
return False
return abs(float(strike) - float(ref)) / float(ref) * 100.0 <= float(
max_dev_pct
) + 1e-12
def pick_otm_call_strike(
strikes: list[float],
*,
spot: float,
high: float,
max_dev_pct: float = 1.0,
) -> float | None:
"""虚值 Call：K > spot，贴近振幅高点，且 |K−高|/高 ≤ max_dev_pct%。"""
cands = [float(s) for s in strikes if float(s) > float(spot) + 1e-9]
if max_dev_pct >= 0 and high > 0:
cands = [s for s in cands if _within_ref_pct(s, high, max_dev_pct)]
if not cands:
return None
return min(cands, key=lambda s: (abs(s - float(high)), s))
def pick_otm_put_strike(strikes: list[float], *, spot: float, low: float) -> float | None:
"""虚值 Put：K < spot，优先贴近振幅低点。"""
def pick_otm_put_strike(
strikes: list[float],
*,
spot: float,
low: float,
max_dev_pct: float = 1.0,
) -> float | None:
"""虚值 Put：K < spot，贴近振幅低点，且 |K−低|/低 ≤ max_dev_pct%。"""
cands = [float(s) for s in strikes if float(s) < float(spot) - 1e-9]
if max_dev_pct >= 0 and low > 0:
cands = [s for s in cands if _within_ref_pct(s, low, max_dev_pct)]
if not cands:
return None
return min(cands, key=lambda s: (abs(s - float(low)), s))
@@ -61,10 +86,11 @@ def select_oo_pair(
min_hours: float,
now: datetime | None = None,
skip_expiry_ymds: set[str] | None = None,
max_dev_pct: float = 1.0,
) -> tuple[str, int, float, float, str, str] | None:
"""
返回 (expiry_ymd, expiry_ms, call_strike, put_strike, call_inst, put_inst)。
Call/Put 可不同行权价；须同到期且均为虚值。
Call/Put 可不同行权价；须同到期、均为虚值，且相对高低点偏离不超过 max_dev_pct%。
"""
if spot <= 0 or high <= 0 or low <= 0 or high < low:
return None
@@ -80,8 +106,12 @@ def select_oo_pair(
for ymd in eligible:
ems, strikes_map = complete[ymd]
strikes = list(strikes_map.keys())
ck = pick_otm_call_strike(strikes, spot=spot, high=high)
pk = pick_otm_put_strike(strikes, spot=spot, low=low)
ck = pick_otm_call_strike(
strikes, spot=spot, high=high, max_dev_pct=max_dev_pct
)
pk = pick_otm_put_strike(
strikes, spot=spot, low=low, max_dev_pct=max_dev_pct
)
if ck is None or pk is None:
continue
call_inst = strikes_map[ck].get("C")
@@ -113,8 +143,9 @@ def build_oo_pick_core(
amplitude: AmplitudeHL | None = None,
skip_expiry_ymds: set[str] | None = None,
now: datetime | None = None,
max_dev_pct: float = 1.0,
) -> OoPickCore | None:
"""完整期期选约：振幅门 + 虚值双腿 + 杠杆。"""
"""完整期期选约：振幅门 + 虚值双腿（贴高低≤max_dev%） + 杠杆。"""
amp = amplitude or fetch_amplitude_hl_for_runtime(amplitude_hours)
if amp is None:
return None
@@ -130,6 +161,7 @@ def build_oo_pick_core(
min_hours=float(min_hours),
now=now,
skip_expiry_ymds=skip_expiry_ymds,
max_dev_pct=float(max_dev_pct),
)
if picked is None:
return None
backend/app/strategy/session.py
+21 -8
View File
@@ -192,8 +192,8 @@ def _hedge_mode() -> str:
return "perp_option"
def _oo_settings() -> tuple[float, float, float, float]:
"""amplitude_pct, amplitude_hours, min_option_hours, min_leverage"""
def _oo_settings() -> tuple[float, float, float, float, float]:
"""amplitude_pct, amplitude_hours, min_option_hours, min_leverage, strike_max_dev_pct"""
s = get_settings()
try:
from ..models.db import get_db
@@ -210,6 +210,12 @@ def _oo_settings() -> tuple[float, float, float, float]:
or s.oo_min_option_hours
),
float(db.get_setting("oo_min_leverage", str(s.oo_min_leverage)) or s.oo_min_leverage),
float(
db.get_setting(
"oo_strike_max_dev_pct", str(s.oo_strike_max_dev_pct)
)
or s.oo_strike_max_dev_pct
),
)
except Exception:
return (
@@ -217,6 +223,7 @@ def _oo_settings() -> tuple[float, float, float, float]:
s.oo_amplitude_hours,
s.oo_min_option_hours,
s.oo_min_leverage,
s.oo_strike_max_dev_pct,
)
@@ -450,7 +457,7 @@ class StrategySession:
try:
from ..exchange.candles import fetch_amplitude_hl_for_runtime
amp_pct, amp_hours, _, _ = _oo_settings()
amp_pct, amp_hours, _, _, _ = _oo_settings()
amp = fetch_amplitude_hl_for_runtime(amp_hours)
if amp is None:
return self._oo_amp
@@ -477,7 +484,7 @@ class StrategySession:
if _has_open_position():
return self.align_to_held_position()
s = self.settings
amp_pct, amp_hours, min_hours, _min_lev = _oo_settings()
amp_pct, amp_hours, min_hours, _min_lev, max_dev = _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:
@@ -496,10 +503,11 @@ class StrategySession:
low=amp_low,
min_hours=float(min_hours),
skip_expiry_ymds=skip,
max_dev_pct=float(max_dev),
)
if picked is None:
raise RuntimeError(
f"未找到剩余≥{min_hours}h 的虚值 Call@高/Put@低"
f"未找到剩余≥{min_hours}h 且贴高低≤{max_dev:g}% 的虚值 Call/Put"
)
ymd, ems, ck, pk, call_inst, put_inst = picked
pair = OptionPair(
@@ -527,7 +535,7 @@ class StrategySession:
from .selection import _complete_by_expiry, option_leverage
s = self.settings
amp_pct, amp_hours, min_hours, min_lev = _oo_settings()
amp_pct, amp_hours, min_hours, min_lev, max_dev = _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:
@@ -565,9 +573,13 @@ class StrategySession:
low=float(amp.low),
min_hours=float(min_hours),
skip_expiry_ymds=skip,
max_dev_pct=float(max_dev),
)
if picked is None:
logger.info("oo: no OTM call/put pair for amplitude HL")
logger.info(
"oo: no OTM call/put within %.2f%% of amplitude HL",
max_dev,
)
return None
ymd, ems, ck, pk, call_inst, put_inst = picked
call_bids, call_asks, _ = self.ex.fetch_book(call_inst, depth=5)
@@ -840,7 +852,7 @@ class StrategySession:
def oo_needs_realign(self) -> bool:
if self._pair is None:
return True
_amp_pct, amp_hours, min_hours, _ = _oo_settings()
_amp_pct, amp_hours, min_hours, _, max_dev = _oo_settings()
if (
hours_until_expiry(self._pair.expiry_ymd, expiry_ms=self._pair.expiry_ms)
+ 1e-9
@@ -877,6 +889,7 @@ class StrategySession:
low=float(amp.low),
min_hours=float(min_hours),
skip_expiry_ymds=skip,
max_dev_pct=float(max_dev),
)
if picked is None:
return False