dekun/eth_hedge_sim
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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
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backend/app/strategy/session.py
+21 -8
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@@ -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