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

Co-authored-by: Cursor <cursoragent@cursor.com>

backend/app/strategy/oo_selection.py

@@ -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