Show option top-of-book size and open option before perp.

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

backend/app/sim/matcher.py

@@ -107,14 +107,7 @@ class Matcher:
         ct_mult = self._ct_mult(option_inst_id)
         opt_contracts = contracts_for_eth(opt_qty, ct_mult)
 
-        pf = perp_fill(
-            side=perp_side,
-            action="open",
-            bid=float(snap.perp.bid),
-            ask=float(snap.perp.ask),
-            qty_eth=perp_qty,
-            fee_rate=fee_rate,
-        )
+        # 1) 先成交期权（吃卖一）；失败则整组不开
         of = option_fill(
             action="open",
             bid=float(oq.bid or 0),
@@ -124,18 +117,53 @@ class Matcher:
         )
         initial_premium = of.fill_px * opt_qty  # 锁定口径：成交价×名义，不含费
         premium_cost = of.notional + of.fee
-        total_debit = premium_cost + pf.fee  # 永续开仓只扣费；期权支付权利金+费
-
         try:
             self.ledger.apply_cash(
-                -total_debit,
-                kind="open_debit",
+                -premium_cost,
+                kind="open_option",
                 group_id=group_id,
-                note=f"open {group_id}",
+                note=f"open option {group_id}",
             )
         except RuntimeError as e:
             return OpenResult(ok=False, detail=str(e))
 
+        # 2) 期权确认后再市价成交永续（重新取盘口）
+        snap2 = sess.snapshot()
+        if not snap2.perp or snap2.perp.bid is None or snap2.perp.ask is None:
+            self.ledger.apply_cash(
+                premium_cost,
+                kind="open_option_rollback",
+                group_id=group_id,
+                note=f"rollback option {group_id}: perp book missing",
+            )
+            return OpenResult(
+                ok=False,
+                detail="期权已成交但永续盘口不可用，已回滚期权",
+            )
+        pf = perp_fill(
+            side=perp_side,
+            action="open",
+            bid=float(snap2.perp.bid),
+            ask=float(snap2.perp.ask),
+            qty_eth=perp_qty,
+            fee_rate=fee_rate,
+        )
+        try:
+            self.ledger.apply_cash(
+                -pf.fee,
+                kind="open_perp_fee",
+                group_id=group_id,
+                note=f"open perp {group_id}",
+            )
+        except RuntimeError as e:
+            self.ledger.apply_cash(
+                premium_cost,
+                kind="open_option_rollback",
+                group_id=group_id,
+                note=f"rollback option {group_id}: {e}",
+            )
+            return OpenResult(ok=False, detail=f"期权已成交但永续扣费失败并已回滚: {e}")
+
         now = int(time.time() * 1000)
         with self.db._lock:
             self.db._conn.execute(
@@ -160,26 +188,7 @@ class Matcher:
                     pf.slip + of.slip,
                 ),
             )
-            self.db._conn.execute(
-                """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
-                   base_px, fill_px, fee, slip, notional, ts_ms)
-                   VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
-                (
-                    group_id,
-                    "perp",
-                    "open",
-                    perp_side,
-                    s.perp_inst_id,
-                    perp_qty,
-                    None,
-                    pf.base_px,
-                    pf.fill_px,
-                    pf.fee,
-                    pf.slip,
-                    pf.notional,
-                    now,
-                ),
-            )
+            # 成交顺序：期权先、永续后（时间戳差 1ms 便于审计）
             self.db._conn.execute(
                 """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
                    base_px, fill_px, fee, slip, notional, ts_ms)
@@ -200,6 +209,26 @@ class Matcher:
                     now,
                 ),
             )
+            self.db._conn.execute(
+                """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
+                   base_px, fill_px, fee, slip, notional, ts_ms)
+                   VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+                (
+                    group_id,
+                    "perp",
+                    "open",
+                    perp_side,
+                    s.perp_inst_id,
+                    perp_qty,
+                    None,
+                    pf.base_px,
+                    pf.fill_px,
+                    pf.fee,
+                    pf.slip,
+                    pf.notional,
+                    now + 1,
+                ),
+            )
             self.db._conn.execute(
                 """UPDATE positions SET
                     group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
@@ -233,6 +262,7 @@ class Matcher:
                 "option": of.to_dict(),
                 "initial_premium": initial_premium,
                 "fees": pf.fee + of.fee,
+                "open_sequence": ["option", "perp"],
             },
         )
 

docs/策略说明.md

@@ -30,6 +30,8 @@
 | 永续 ETH-USDT-SWAP | **1 ETH** | 见下表 | 市价（吃买一/卖一 + 滑点） |
 | 期权 ETH-USD_UM | **2 ETH** 名义 | 只买不卖 | 开仓吃卖一，平仓吃买一 |
 
+**开仓顺序**：先成交期权 → 确认后再市价成交永续。永续盘口失败则回滚期权扣款，不留半边仓。
+
 永续杠杆默认 **3×**（可配）。同时最多 **1 组**仓，禁止叠仓开下一组。
 
 ### 2.1 开仓方向（ATM 相对现价优先）
@@ -61,7 +63,7 @@
   → 若开启 atm_open_offset_enabled：|ATM − 标的| ≤ max_atm_open_offset（默认 3）否则跳过
   → 选向：ATM 偏下→Call+空；偏上→Put+多；贴平→卖一比价
   → 期权杠杆 = 标的价 ÷ 卖一权利金 ≥ min_option_leverage（默认 100）
-  → 开永续 + 开期权（一组）
+  → 先开期权（吃卖一）→ 再市价开永续（一组）
   → 锁定 initial_premium = 期权成交价 × 期权名义（不含费）
 ```
 

frontend/src/pages/Plan.tsx

@@ -6,6 +6,14 @@ function fmt(n: number | null | undefined, d = 2) {
   return n.toFixed(d);
 }
 
+/** 卖一/买一 + 对应档量：8.80(12.5) / 7.20(8.0) */
+function fmtTop(px: number | null | undefined, sz: number | null | undefined) {
+  if (px == null || Number.isNaN(px)) return "—";
+  if (sz == null || Number.isNaN(sz)) return fmt(px);
+  const s = sz >= 100 ? sz.toFixed(0) : sz >= 10 ? sz.toFixed(1) : sz.toFixed(2);
+  return `${fmt(px)}(${s})`;
+}
+
 function pnlClass(n: number | null | undefined) {
   if (n == null || Number.isNaN(n) || n === 0) return "";
   return n > 0 ? "pos-pnl-profit" : "pos-pnl-loss";
@@ -398,13 +406,15 @@ export default function PlanPage() {
             <div className="kv">
               <span>Call 卖一/买一</span>
               <span className="mono">
-                {fmt(snap?.call?.ask)} / {fmt(snap?.call?.bid)}
+                {fmtTop(snap?.call?.ask, snap?.call?.ask_sz)} /{" "}
+                {fmtTop(snap?.call?.bid, snap?.call?.bid_sz)}
               </span>
             </div>
             <div className="kv">
               <span>Put 卖一/买一</span>
               <span className="mono">
-                {fmt(snap?.put?.ask)} / {fmt(snap?.put?.bid)}
+                {fmtTop(snap?.put?.ask, snap?.put?.ask_sz)} /{" "}
+                {fmtTop(snap?.put?.bid, snap?.put?.bid_sz)}
               </span>
             </div>
             <div className="kv">