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

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

backend/app/api/settings.py

@@ -71,6 +71,7 @@ KEYS = (
     "oo_min_leverage",
     "oo_reward_ratio",
     "oo_budget_cushion",
+    "oo_strike_max_dev_pct",
 )
 
 
@@ -126,6 +127,7 @@ class StrategySettingsBody(BaseModel):
     oo_min_leverage: float | None = Field(default=None, ge=1, le=10000)
     oo_reward_ratio: float | None = Field(default=None, ge=0.5, le=20)
     oo_budget_cushion: float | None = Field(default=None, ge=0.5, le=1.0)
+    oo_strike_max_dev_pct: float | None = Field(default=None, ge=0.1, le=10)
 
 
 def _as_bool(raw: str | None, default: bool) -> bool:
@@ -379,6 +381,12 @@ def _read_settings() -> dict:
             db.get_setting("oo_budget_cushion", str(s.oo_budget_cushion))
             or s.oo_budget_cushion
         ),
+        "oo_strike_max_dev_pct": float(
+            db.get_setting(
+                "oo_strike_max_dev_pct", str(s.oo_strike_max_dev_pct)
+            )
+            or s.oo_strike_max_dev_pct
+        ),
         "risk_sizing_preview": _risk_preview_safe(),
         "exchange": rt.exchange,
         "perp_inst_id": rt.perp_inst_id,
@@ -472,6 +480,7 @@ async def put_strategy_settings(
             "oo_min_leverage",
             "oo_reward_ratio",
             "oo_budget_cushion",
+            "oo_strike_max_dev_pct",
         )
         hit = [k for k in locked_keys if k in data]
         if hit:

backend/app/config.py

@@ -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

backend/app/strategy/engine.py

@@ -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

@@ -36,17 +36,42 @@ class OoPickCore:
     detail: str = "ok"
 
 
-def pick_otm_call_strike(strikes: list[float], *, spot: float, high: float) -> float | None:
+def _within_ref_pct(strike: float, ref: float, max_dev_pct: float) -> bool:
-    """虚值 Call：K > spot，优先贴近振幅高点。"""
+    """|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:
+def pick_otm_put_strike(
-    """虚值 Put：K < spot，优先贴近振幅低点。"""
+    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)
+        ck = pick_otm_call_strike(
-        pk = pick_otm_put_strike(strikes, spot=spot, low=low)
+            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

@@ -192,8 +192,8 @@ def _hedge_mode() -> str:
     return "perp_option"
 
 
-def _oo_settings() -> tuple[float, float, float, float]:
+def _oo_settings() -> tuple[float, float, float, float, float]:
-    """amplitude_pct, amplitude_hours, min_option_hours, min_leverage"""
+    """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

backend/tests/test_oo_selection_sizing.py

@@ -17,6 +17,23 @@ def test_otm_strikes_near_amplitude() -> None:
     assert pick_otm_put_strike(strikes, spot=1950, low=1860) == 1850.0
 
 
+def test_otm_strikes_reject_beyond_1pct() -> None:
+    # 高点 2000，最近虚值 Call 仅 2100（偏离 5%）→ 拒绝
+    strikes = [1900.0, 1950.0, 2100.0]
+    assert pick_otm_call_strike(strikes, spot=1950, high=2000, max_dev_pct=1.0) is None
+    # 低点 1900，最近虚值 Put 仅 1800（偏离 ~5.3%）→ 拒绝
+    assert (
+        pick_otm_put_strike(
+            [1800.0, 1950.0, 2000.0], spot=1950, low=1900, max_dev_pct=1.0
+        )
+        is None
+    )
+    # 高点 2095，Call 2100 偏离约 0.24% → 通过
+    assert (
+        pick_otm_call_strike(strikes, spot=1950, high=2095, max_dev_pct=1.0) == 2100.0
+    )
+
+
 def test_select_oo_pair_same_expiry(tmp_path=None) -> None:
     contracts = []
     for k in (1900, 2000, 2100):
@@ -36,6 +53,7 @@ def test_select_oo_pair_same_expiry(tmp_path=None) -> None:
         high=2105.0,
         low=1890.0,
         min_hours=1.0,
+        max_dev_pct=1.0,
     )
     assert picked is not None
     ymd, _ems, ck, pk, call_i, put_i = picked
@@ -114,7 +132,7 @@ def test_amplitude_max_gate() -> None:
     from app.strategy.oo_selection import build_oo_pick_core
 
     contracts = []
-    for k in (1900, 2000, 2100):
+    for k in (1900, 1975, 2000, 2025, 2100):
         for side, letter in (("call", "C"), ("put", "P")):
             contracts.append(
                 {
@@ -141,7 +159,7 @@ def test_amplitude_max_gate() -> None:
         )
         is None
     )
-    # 3% ≤ 上限 3.5% → 可过振幅门（杠杆/卖一足够）
+    # 3% ≤ 上限 3.5%，且 2025/1975 贴高低 ≤1% → 通过
     ok = build_oo_pick_core(
         contracts=contracts,
         spot=2000,
@@ -152,5 +170,8 @@ def test_amplitude_max_gate() -> None:
         amplitude_hours=12,
         amplitude_pct=3.5,
         amplitude=amp,
+        max_dev_pct=1.0,
     )
     assert ok is not None
+    assert ok.call.strike == 2025.0
+    assert ok.put.strike == 1975.0

frontend/src/api/client.ts

@@ -373,6 +373,7 @@ export type PlanState = {
   oo_min_option_hours?: number;
   oo_min_leverage?: number;
   oo_reward_ratio?: number;
+  oo_strike_max_dev_pct?: number;
   oo_put_qty_eth?: number;
   sizing_mode?: "manual" | "risk_based";
   risk_based?: boolean;
@@ -428,6 +429,8 @@ export type StrategySettings = {
   oo_min_leverage?: number;
   oo_reward_ratio?: number;
   oo_budget_cushion?: number;
+  oo_strike_max_dev_pct?: number;
+  oo_strike_max_dev_pct?: number;
   exchange?: string;
 };
 

frontend/src/pages/Plan.tsx

@@ -265,6 +265,7 @@ export default function PlanPage() {
       : "ATM偏差关";
   const ooSelectLabel = [
     `振幅≤${fmt(plan?.oo_amplitude_pct ?? 1.5, 1)}%/${fmt(plan?.oo_amplitude_hours ?? 12, 0)}h`,
+    `贴高低≤${fmt(plan?.oo_strike_max_dev_pct ?? 1, 1)}%`,
     "虚值Call@高·Put@低",
     `剩余≥${fmt(plan?.oo_min_option_hours ?? 24, 0)}h`,
     `杠杆≥${fmt(plan?.oo_min_leverage ?? 200, 0)}x`,

frontend/src/pages/Settings.tsx

@@ -115,6 +115,7 @@ export default function SettingsPage() {
   const [ooAmpHours, setOoAmpHours] = useState(12);
   const [ooMinHours, setOoMinHours] = useState(24);
   const [ooMinLev, setOoMinLev] = useState(200);
+  const [ooStrikeDev, setOoStrikeDev] = useState(1);
   const [ooRewardRatio, setOoRewardRatio] = useState(2);
   const [riskPreview, setRiskPreview] = useState<Record<string, unknown> | null>(
     null,
@@ -236,6 +237,7 @@ export default function SettingsPage() {
         setOoAmpHours(s.oo_amplitude_hours ?? 12);
         setOoMinHours(s.oo_min_option_hours ?? 24);
         setOoMinLev(s.oo_min_leverage ?? 200);
+        setOoStrikeDev(s.oo_strike_max_dev_pct ?? 1);
         setOoRewardRatio(s.oo_reward_ratio ?? 2);
         setRiskPreview(
           s.risk_sizing_preview && typeof s.risk_sizing_preview === "object"
@@ -412,6 +414,7 @@ export default function SettingsPage() {
         oo_amplitude_hours: ooAmpHours,
         oo_min_option_hours: ooMinHours,
         oo_min_leverage: ooMinLev,
+        oo_strike_max_dev_pct: ooStrikeDev,
         oo_reward_ratio: ooRewardRatio,
         exchange,
       };
@@ -1281,8 +1284,24 @@ export default function SettingsPage() {
                           value={ooMinLev}
                           onChange={(e) => setOoMinLev(Number(e.target.value))}
                         />
+                      </div>
+                      <div className="field">
+                        <label htmlFor="ooStrikeDev">贴高低最大偏离（%）</label>
+                        <input
+                          id="ooStrikeDev"
+                          className="mono"
+                          type="number"
+                          step="0.1"
+                          min="0.1"
+                          max="10"
+                          value={ooStrikeDev}
+                          onChange={(e) =>
+                            setOoStrikeDev(Number(e.target.value))
+                          }
+                        />
                         <p className="hint" style={{ margin: "0.35rem 0 0" }}>
-                          期期：同到期虚值 Call 贴高点、Put 贴低点；不使用 ATM/固定方向。
+                          虚值 Call/Put 行权价相对振幅高/低点 |K−HL|/HL
+                          不超过该比例（默认 1%）。
                         </p>
                       </div>
                     </>