Add fixed-direction switch for perp/option open side.

When enabled, lock perp long→buy Put or short→buy Call with ITM/ATM only; off keeps ATM/ask rules. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-29 19:18:12 +08:00
parent 55109e82d3
commit 0ee1d8be5d
16 changed files with 427 additions and 46 deletions
@@ -41,6 +41,8 @@ KEYS = (
    "min_option_leverage",
    "atm_open_offset_enabled",
    "max_atm_open_offset",
+    "fixed_direction_enabled",
+    "fixed_perp_side",
    "close_bid_mark_max_pct",
    "perp_qty_eth",
    "option_qty_eth",
@@ -63,6 +65,8 @@ class StrategySettingsBody(BaseModel):
    min_option_leverage: float | None = Field(default=None, ge=1, le=10000)
    atm_open_offset_enabled: bool | None = None
    max_atm_open_offset: float | None = Field(default=None, ge=0, le=100)
+    fixed_direction_enabled: bool | None = None
+    fixed_perp_side: str | None = Field(default=None, pattern="^(long|short)$")
    close_bid_mark_max_pct: float | None = Field(default=None, ge=1, le=100)
    perp_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
    option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
@@ -131,6 +135,25 @@ def _read_settings() -> dict:
            db.get_setting("max_atm_open_offset", str(s.max_atm_open_offset))
            or s.max_atm_open_offset
        ),
+        "fixed_direction_enabled": _as_bool(
+            db.get_setting(
+                "fixed_direction_enabled", str(s.fixed_direction_enabled)
+            ),
+            s.fixed_direction_enabled,
+        ),
+        "fixed_perp_side": (
+            side
+            if (
+                side := str(
+                    db.get_setting("fixed_perp_side", s.fixed_perp_side)
+                    or s.fixed_perp_side
+                )
+                .strip()
+                .lower()
+            )
+            in ("long", "short")
+            else "long"
+        ),
        "close_bid_mark_max_pct": float(
            db.get_setting("close_bid_mark_max_pct", str(s.close_bid_mark_max_pct))
            or s.close_bid_mark_max_pct
@@ -72,6 +72,9 @@ class Settings(BaseSettings):
    min_option_leverage: float = 100.0  # 现价/卖一权利金 下限
    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
+    fixed_direction_enabled: bool = False
+    fixed_perp_side: str = "long"  # long|short；long→买Put，short→买Call
    close_bid_mark_max_pct: float = 30.0  # 平仓：买一相对标记最大偏差%
    perp_qty_eth: float = 1.0
    option_qty_eth: float = 2.0
@@ -88,7 +88,26 @@ def _open_bias(
    call: Quote | None,
    put: Quote | None,
 ) -> str:
-    """与开仓 decide 一致：先按 ATM 相对现价，贴平时再卖一比价。"""
+    """与开仓 decide 一致；固定方向开启时显示 fixed_*。"""
+    try:
+        from ..config import get_settings
+        from ..models.db import get_db
+
+        s = get_settings()
+        db = get_db()
+        raw = db.get_setting(
+            "fixed_direction_enabled", str(s.fixed_direction_enabled)
+        )
+        on = str(raw or "").strip().lower() in ("1", "true", "yes", "on")
+        if on:
+            side = str(
+                db.get_setting("fixed_perp_side", s.fixed_perp_side)
+                or s.fixed_perp_side
+                or "long"
+            ).strip().lower()
+            return "fixed_long_put" if side == "long" else "fixed_short_call"
+    except Exception:
+        pass
    mark = None
    if index_px is not None and index_px > 0:
        mark = float(index_px)
@@ -40,6 +40,7 @@ def select_option_pair(
    expiry_ymd: str | None = None,
    min_hours: float | None = None,
    now=None,
+    option_side: str | None = None,
 ) -> OptionPair | None:
    contracts = normalize_contracts(instruments)
    return _select_pair(
@@ -48,6 +49,7 @@ def select_option_pair(
        expiry_ymd=expiry_ymd,
        min_hours=min_hours,
        now=now,
+        option_side=option_side,
    )


@@ -232,6 +232,8 @@ class Database:
                "min_option_leverage": str(s.min_option_leverage),
                "atm_open_offset_enabled": str(s.atm_open_offset_enabled),
                "max_atm_open_offset": str(s.max_atm_open_offset),
+                "fixed_direction_enabled": str(s.fixed_direction_enabled),
+                "fixed_perp_side": str(s.fixed_perp_side),
                "close_bid_mark_max_pct": str(s.close_bid_mark_max_pct),
                "perp_qty_eth": str(s.perp_qty_eth),
                "option_qty_eth": str(s.option_qty_eth),
@@ -93,6 +93,16 @@ class StrategyEngine:
        max_atm_off = self.ledger.get_setting_float(
            "max_atm_open_offset", s.max_atm_open_offset
        )
+        fixed_dir_on = self.ledger.get_setting_bool(
+            "fixed_direction_enabled", s.fixed_direction_enabled
+        )
+        fixed_perp = str(
+            self.ledger.get_setting_str("fixed_perp_side", s.fixed_perp_side)
+            or s.fixed_perp_side
+            or "long"
+        ).strip().lower()
+        if fixed_perp not in ("long", "short"):
+            fixed_perp = "long"
        perp_qty = self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
        opt_qty = self.ledger.get_setting_float("option_qty_eth", s.option_qty_eth)
        rest_until = row["rest_until_ms"]
@@ -136,6 +146,8 @@ class StrategyEngine:
            "min_option_leverage": min_opt_lev,
            "atm_open_offset_enabled": atm_off_on,
            "max_atm_open_offset": max_atm_off,
+            "fixed_direction_enabled": fixed_dir_on,
+            "fixed_perp_side": fixed_perp,
            "can_open": allow_open,
            "open_capacity": open_cap,
            "last_error": last_error,
@@ -46,6 +46,46 @@ def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
    return min(strikes, key=lambda s: (abs(s - mark_px), s))


+def pick_itm_or_atm_strike(
+    strikes: list[float],
+    mark_px: float,
+    *,
+    option_side: str,
+) -> float | None:
+    """
+    固定方向选约：只要实值或平值，不要虚值。
+    - Call：行权价 ≤ 标的（平值/实值）
+    - Put：行权价 ≥ 标的（平值/实值）
+    在合格档中取最接近标的者（优先平值）。
+    """
+    if not strikes or mark_px <= 0:
+        return None
+    side = (option_side or "").strip().lower()
+    if side == "call":
+        cands = [float(s) for s in strikes if float(s) <= float(mark_px) + 1e-9]
+    elif side == "put":
+        cands = [float(s) for s in strikes if float(s) >= float(mark_px) - 1e-9]
+    else:
+        return None
+    if not cands:
+        return None
+    return min(cands, key=lambda s: (abs(s - float(mark_px)), s))
+
+
+def is_itm_or_atm(*, option_side: str, strike: float, mark_px: float) -> bool:
+    """Call: K≤S；Put: K≥S。"""
+    if mark_px <= 0:
+        return False
+    side = (option_side or "").strip().lower()
+    k = float(strike)
+    s = float(mark_px)
+    if side == "call":
+        return k <= s + 1e-9
+    if side == "put":
+        return k >= s - 1e-9
+    return False
+
+
 def atm_open_offset(strike: float, mark_px: float) -> float:
    """开仓用：ATM 行权价相对标的的绝对点差。"""
    return abs(float(strike) - float(mark_px))
@@ -125,7 +165,13 @@ def select_option_pair(
    expiry_ymd: str | None = None,
    min_hours: float | None = None,
    now: datetime | None = None,
+    option_side: str | None = None,
 ) -> OptionPair | None:
+    """
+    选到期 + 行权价。
+    option_side 为 call/put 时：按实值/平值选档（固定方向模式）；
+    否则仍选 ATM（现有规则）。
+    """
    complete = _complete_by_expiry(contracts)
    if not complete:
        return None
@@ -148,14 +194,20 @@ def select_option_pair(
            ymd = eligible[0]

    ems, strikes_map = complete[ymd]
-    atm = pick_atm_strike(list(strikes_map.keys()), mark_px)
-    if atm is None:
+    side = (option_side or "").strip().lower() or None
+    if side in ("call", "put"):
+        strike = pick_itm_or_atm_strike(
+            list(strikes_map.keys()), mark_px, option_side=side
+        )
+    else:
+        strike = pick_atm_strike(list(strikes_map.keys()), mark_px)
+    if strike is None:
        return None
-    legs = strikes_map[atm]
+    legs = strikes_map[strike]
    return OptionPair(
        expiry_ymd=ymd,
        expiry_ms=ems,
-        strike=atm,
+        strike=strike,
        call_inst_id=legs["C"],
        put_inst_id=legs["P"],
    )
@@ -16,6 +16,7 @@ from .selection import (
    atm_allows_open,
    atm_open_offset,
    hours_until_expiry,
+    is_itm_or_atm,
    list_eligible_expiry_ymds,
    option_leverage,
    select_option_pair,
@@ -101,6 +102,36 @@ def _strategy_floats() -> tuple[float, float, float, bool]:
        )


+def _fixed_direction() -> tuple[bool, str]:
+    """(enabled, perp_side long|short)。默认关。"""
+    s = get_settings()
+    try:
+        from ..models.db import get_db
+
+        db = get_db()
+        enabled = _as_bool_setting(
+            db.get_setting(
+                "fixed_direction_enabled", str(s.fixed_direction_enabled)
+            ),
+            s.fixed_direction_enabled,
+        )
+        side = str(
+            db.get_setting("fixed_perp_side", s.fixed_perp_side) or s.fixed_perp_side
+        ).strip().lower()
+        if side not in ("long", "short"):
+            side = "long"
+        return enabled, side
+    except Exception:
+        side = str(s.fixed_perp_side or "long").strip().lower()
+        if side not in ("long", "short"):
+            side = "long"
+        return bool(s.fixed_direction_enabled), side
+
+
+def _option_side_for_perp(perp_side: str) -> str:
+    return "put" if (perp_side or "").strip().lower() == "long" else "call"
+
+
@dataclass(slots=True)
 class OpenPick:
    pair: OptionPair
@@ -230,19 +261,29 @@ class StrategySession:
        if mark is None or mark <= 0:
            raise RuntimeError("无法获取标的标记/指数价格，无法选 ATM")
        min_hours, _, _, _ = _strategy_floats()
+        fixed_on, fixed_perp = _fixed_direction()
+        opt_side = _option_side_for_perp(fixed_perp) if fixed_on else None
        contracts = self.ex.list_option_contracts(s.option_inst_family)
-        pair = select_option_pair(contracts, mark_px=float(mark), min_hours=min_hours)
+        pair = select_option_pair(
+            contracts,
+            mark_px=float(mark),
+            min_hours=min_hours,
+            option_side=opt_side,
+        )
        if pair is None:
+            kind = f"实值/平值 {opt_side}" if opt_side else "ATM"
            raise RuntimeError(
-                f"未找到剩余≥{min_hours}h 的 ATM Call/Put (family={s.option_inst_family})"
+                f"未找到剩余≥{min_hours}h 的 {kind} Call/Put (family={s.option_inst_family})"
            )
        return self._apply_pair(pair, mark=float(mark), idx=idx)

    def pick_for_open(self) -> OpenPick | None:
-        from .signal import decide
+        from .signal import decide, decide_fixed

        s = self.settings
        min_hours, min_lev, max_atm_off, atm_off_on = _strategy_floats()
+        fixed_on, fixed_perp = _fixed_direction()
+        opt_side_hint = _option_side_for_perp(fixed_perp) if fixed_on else None
        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:
@@ -255,24 +296,44 @@ class StrategySession:
            return None

        for ymd in eligible:
-            pair = select_option_pair(contracts, mark_px=underlying, expiry_ymd=ymd)
+            pair = select_option_pair(
+                contracts,
+                mark_px=underlying,
+                expiry_ymd=ymd,
+                option_side=opt_side_hint,
+            )
            if pair is None:
                continue
-            offset = atm_open_offset(pair.strike, underlying)
-            if not atm_allows_open(
-                pair.strike,
-                underlying,
-                max_offset=max_atm_off,
-                enabled=atm_off_on,
-            ):
-                logger.info(
-                    "skip expiry=%s strike=%.0f atm_offset=%.1f > max=%.1f",
-                    ymd,
+            if fixed_on:
+                if not is_itm_or_atm(
+                    option_side=opt_side_hint or "",
+                    strike=pair.strike,
+                    mark_px=underlying,
+                ):
+                    logger.info(
+                        "skip expiry=%s strike=%.0f not ITM/ATM for %s mark=%.2f",
+                        ymd,
+                        pair.strike,
+                        opt_side_hint,
+                        underlying,
+                    )
+                    continue
+            else:
+                offset = atm_open_offset(pair.strike, underlying)
+                if not atm_allows_open(
                    pair.strike,
-                    offset,
-                    max_atm_off,
-                )
-                continue
+                    underlying,
+                    max_offset=max_atm_off,
+                    enabled=atm_off_on,
+                ):
+                    logger.info(
+                        "skip expiry=%s strike=%.0f atm_offset=%.1f > max=%.1f",
+                        ymd,
+                        pair.strike,
+                        offset,
+                        max_atm_off,
+                    )
+                    continue
            call_bids, call_asks, _ = self.ex.fetch_book(pair.call_inst_id, depth=5)
            put_bids, put_asks, _ = self.ex.fetch_book(pair.put_inst_id, depth=5)
            call_ask = call_asks[0].px if call_asks else None
@@ -284,12 +345,15 @@ class StrategySession:
            if put_ask is None:
                pq = self.ex.quote(pair.put_inst_id)
                put_ask = pq.ask if pq else None
-            sig = decide(
-                call_ask,
-                put_ask,
-                strike=pair.strike,
-                mark_px=underlying,
-            )
+            if fixed_on:
+                sig = decide_fixed(call_ask, put_ask, perp_side=fixed_perp)
+            else:
+                sig = decide(
+                    call_ask,
+                    put_ask,
+                    strike=pair.strike,
+                    mark_px=underlying,
+                )
            if sig is None:
                continue
            opt_ask = sig.call_ask if sig.option_side == "call" else sig.put_ask
@@ -376,6 +440,13 @@ class StrategySession:
        mark = mark_px if mark_px is not None else self._mark_for_atm()
        if mark is None or mark <= 0:
            return False
+        fixed_on, fixed_perp = _fixed_direction()
+        if fixed_on:
+            opt = _option_side_for_perp(fixed_perp)
+            if not is_itm_or_atm(
+                option_side=opt, strike=float(self._pair.strike), mark_px=float(mark)
+            ):
+                return True
        return abs(float(self._pair.strike) - float(mark)) >= _ATM_DRIFT_POINTS

    async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
@@ -66,3 +66,38 @@ def decide(
            put_ask=pa,
        )
    return None
+
+
+def decide_fixed(
+    call_ask: float | None,
+    put_ask: float | None,
+    *,
+    perp_side: str,
+) -> Signal | None:
+    """
+    固定方向：
+    - 永续多 → 买 Put
+    - 永续空 → 买 Call
+    """
+    if call_ask is None or put_ask is None:
+        return None
+    side = (perp_side or "").strip().lower()
+    ca = float(call_ask)
+    pa = float(put_ask)
+    if side == "long":
+        return Signal(
+            bias="fixed_long_put",
+            option_side="put",
+            perp_side="long",
+            call_ask=ca,
+            put_ask=pa,
+        )
+    if side == "short":
+        return Signal(
+            bias="fixed_short_call",
+            option_side="call",
+            perp_side="short",
+            call_ask=ca,
+            put_ask=pa,
+        )
+    return None