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Revise strategy: TTM+ATM+leverage option pick, % exit, perp leverage/margin.

Browse Source 
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-25 08:38:03 +08:00
parent 7db4c9c8a3
commit 3957a83761
16 changed files with 532 additions and 261 deletions
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backend/app/api/settings.py
+19 -9
View File
@@ -14,10 +14,12 @@ router = APIRouter(prefix="/api/settings", tags=["settings"])
KEYS = (
"fee_rate",
"exit_move_points",
"exit_move_pct",
"rest_seconds",
"max_rounds",
"initial_equity",
"leverage",
"min_option_hours",
"min_option_leverage",
"perp_qty_eth",
"option_qty_eth",
)
@@ -25,10 +27,12 @@ KEYS = (
class StrategySettingsBody(BaseModel):
fee_rate: float | None = Field(default=None, ge=0, le=0.05)
exit_move_points: float | None = Field(default=None, ge=1, le=500)
exit_move_pct: float | None = Field(default=None, ge=0.1, le=50)
rest_seconds: int | None = Field(default=None, ge=0, le=3600)
max_rounds: int | None = Field(default=None, ge=1, le=20)
initial_equity: float | None = Field(default=None, ge=1000)
leverage: float | None = Field(default=None, ge=1, le=125)
min_option_hours: float | None = Field(default=None, ge=1, le=720)
min_option_leverage: float | None = Field(default=None, ge=1, le=10000)
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)
@@ -38,18 +42,24 @@ def _read_settings() -> dict:
s = get_settings()
return {
"fee_rate": float(db.get_setting("fee_rate", str(s.fee_rate)) or s.fee_rate),
"exit_move_points": float(
db.get_setting("exit_move_points", str(s.exit_move_points)) or s.exit_move_points
"exit_move_pct": float(
db.get_setting("exit_move_pct", str(s.exit_move_pct)) or s.exit_move_pct
),
"rest_seconds": int(
float(db.get_setting("rest_seconds", str(s.rest_seconds)) or s.rest_seconds)
),
"max_rounds": int(
float(db.get_setting("max_rounds", str(s.max_rounds)) or s.max_rounds)
),
"initial_equity": float(
db.get_setting("initial_equity", str(s.initial_equity)) or s.initial_equity
),
"leverage": float(db.get_setting("leverage", str(s.leverage)) or s.leverage),
"min_option_hours": float(
db.get_setting("min_option_hours", str(s.min_option_hours))
or s.min_option_hours
),
"min_option_leverage": float(
db.get_setting("min_option_leverage", str(s.min_option_leverage))
or s.min_option_leverage
),
"perp_qty_eth": float(
db.get_setting("perp_qty_eth", str(s.perp_qty_eth)) or s.perp_qty_eth
),
backend/app/api/sim.py
+40 -24
View File
@@ -7,10 +7,10 @@ from pydantic import BaseModel, Field
from ..market import get_gateway
from ..models.db import get_db
from ..sim.ledger import Ledger
from ..sim.matcher import Matcher
from ..strategy.clock import window_key
from ..strategy.group import next_group_id
from ..strategy.signal import decide
from .auth import require_user
router = APIRouter(prefix="/api/sim", tags=["sim"])
@@ -38,37 +38,45 @@ async def sim_open_group(
body: ManualOpenBody | None = None,
) -> dict:
gw = get_gateway()
# 开仓前按现价强制重选 ATM，避免沿用启动时的旧行权价
try:
await gw.ensure_atm_async(force=True)
except Exception as e:
raise HTTPException(status_code=503, detail=f"ATM 对齐失败: {e}") from e
snap = gw.snapshot()
if not snap.pair or not snap.call or not snap.put:
raise HTTPException(status_code=503, detail="行情未就绪")
pick = await gw.pick_for_open_async()
if pick is None:
raise HTTPException(
status_code=409,
detail="无合格期权：请检查剩余时长(≥设置小时)与杠杆(现价/卖一)",
)
force = (body.force_option_side if body else None) or None
if force in ("call", "put"):
option_side = force
perp_side = "short" if force == "call" else "long"
bias = "manual_" + force
option_ask = pick.call_ask if force == "call" else pick.put_ask
from ..config import get_settings
from ..market.instruments import option_leverage
from ..sim.ledger import Ledger as Led
s = get_settings()
min_lev = Led().get_setting_float("min_option_leverage", s.min_option_leverage)
lev = option_leverage(pick.underlying_px, option_ask)
if lev is None or lev < min_lev:
raise HTTPException(
status_code=409,
detail=f"强制方向杠杆不足: {lev or 0:.1f} < {min_lev:.0f}",
)
else:
sig = decide(snap.call.ask, snap.put.ask)
if sig is None:
raise HTTPException(status_code=409, detail="Call/Put 卖一相等，跳过")
option_side = sig.option_side
perp_side = sig.perp_side
bias = sig.bias
option_side = pick.option_side
perp_side = pick.perp_side
bias = pick.bias
option_inst = (
snap.pair.call_inst_id if option_side == "call" else snap.pair.put_inst_id
pick.pair.call_inst_id if option_side == "call" else pick.pair.put_inst_id
)
entry_idx = snap.index_px or (snap.perp.mark_px if snap.perp else None)
if entry_idx is None:
raise HTTPException(status_code=503, detail="无指数/标记价")
wkey = window_key()
db = get_db()
count = len(db.fetchall("SELECT group_id FROM groups WHERE group_id LIKE ?", (f"G-{wkey}-%",)))
count = len(
db.fetchall("SELECT group_id FROM groups WHERE group_id LIKE ?", (f"G-{wkey}-%",))
)
gid = next_group_id(count)
r = Matcher().open_group(
group_id=gid,
@@ -76,13 +84,21 @@ async def sim_open_group(
option_side=option_side,
perp_side=perp_side,
option_inst_id=option_inst,
entry_index_px=float(entry_idx),
strike=snap.pair.strike,
expiry_ymd=snap.pair.expiry_ymd,
entry_index_px=float(pick.underlying_px),
strike=pick.pair.strike,
expiry_ymd=pick.pair.expiry_ymd,
)
if not r.ok:
raise HTTPException(status_code=400, detail=r.detail)
return {"ok": True, **(r.data or {}), "detail": r.detail}
return {
"ok": True,
**(r.data or {}),
"detail": r.detail,
"option_leverage": pick.option_leverage,
"hours_left": pick.hours_left,
"expiry_ymd": pick.pair.expiry_ymd,
"strike": pick.pair.strike,
}
@router.post("/close-group")
backend/app/config.py
+8 -4
View File
@@ -38,11 +38,15 @@ class Settings(BaseSettings):
fee_rate: float = 0.0005
initial_equity: float = 100_000.0
max_rounds: int = 3
open_hhmm: str = "16:00"
stop_open_hhmm: str = "08:00"
exit_move_points: float = 30.0
max_rounds: int = 3 # 已不再强管控，仅兼容旧字段
open_hhmm: str = "16:00" # 已废弃开仓窗
stop_open_hhmm: str = "08:00" # 已废弃开仓窗
exit_move_points: float = 30.0 # 旧字段，改用 exit_move_pct
exit_move_pct: float = 2.0 # 相对开仓指数波动 % 全平
rest_seconds: int = 300
leverage: float = 3.0 # 永续杠杆
min_option_hours: float = 12.0 # 期权最小剩余小时
min_option_leverage: float = 100.0 # 现价/卖一权利金 下限
perp_qty_eth: float = 1.0
option_qty_eth: float = 2.0
option_ct_mult_default: float = 0.01
backend/app/market/gateway.py
+155 -25
View File
@@ -4,18 +4,24 @@ from __future__ import annotations
import asyncio
import logging
from dataclasses import dataclass
from typing import Any
from ..config import Settings, get_settings
from .book_cache import BookCache
from .instruments import next_session_expiry_ymd, select_option_pair
from .instruments import (
hours_until_expiry,
list_eligible_expiry_ymds,
option_leverage,
select_option_pair,
)
from .okx_rest import OkxRestClient
from .okx_ws import OkxPublicWs
from .types import MarketSnapshot, OptionPair
logger = logging.getLogger(__name__)
# 现价偏离当前行权价超过该点数则重选 ATM（ETH 期权常见步进 5）
# 展示用：现价偏离当前行权超过该点数则重选 ATM（空仓）
_ATM_DRIFT_POINTS = 5.0
@@ -29,6 +35,40 @@ def _has_open_position() -> bool:
return False
def _strategy_floats() -> tuple[float, float]:
"""(min_option_hours, min_option_leverage)"""
s = get_settings()
try:
from ..models.db import get_db
db = get_db()
hours = float(
db.get_setting("min_option_hours", str(s.min_option_hours))
or s.min_option_hours
)
lev = float(
db.get_setting("min_option_leverage", str(s.min_option_leverage))
or s.min_option_leverage
)
return hours, lev
except Exception:
return s.min_option_hours, s.min_option_leverage
@dataclass(slots=True)
class OpenPick:
pair: OptionPair
option_side: str
perp_side: str
bias: str
call_ask: float
put_ask: float
option_ask: float
option_leverage: float
hours_left: float
underlying_px: float
class MarketGateway:
def __init__(self, settings: Settings | None = None) -> None:
self.settings = settings or get_settings()
@@ -64,25 +104,13 @@ class MarketGateway:
await self.ws.stop()
self.rest.close()
def align_instruments(self) -> OptionPair | None:
"""同步：拉期权列表，选次日到期 ATM Call/Put，REST 预热盘口，切换 WS 订阅。"""
def _apply_pair(self, pair: OptionPair, *, mark: float, idx: float | None) -> OptionPair:
s = self.settings
idx = self.rest.fetch_index_ticker(s.index_inst_id)
mark = self.rest.fetch_mark_price(s.perp_inst_id) or idx
if mark is None or mark <= 0:
raise RuntimeError("无法获取 ETH 标记/指数价格，无法选 ATM")
instruments = self.rest.fetch_option_instruments(s.option_inst_family)
ymd = next_session_expiry_ymd()
pair = select_option_pair(instruments, mark_px=float(mark), expiry_ymd=ymd)
if pair is None:
raise RuntimeError(f"未找到到期 {ymd} 的 ATM Call/Put 合约 pair (family={s.option_inst_family})")
self._pair = pair
self.cache.set_pair(pair)
self.cache.set_index_px(idx)
if idx is not None:
self.cache.set_index_px(idx)
# REST 预热：永续 + Call + Put
for inst in (s.perp_inst_id, pair.call_inst_id, pair.put_inst_id):
bids, asks, ts = self.rest.fetch_books(inst, sz=5)
self.cache.upsert_book(inst, bids=bids, asks=asks, ts_ms=ts)
@@ -94,15 +122,102 @@ class MarketGateway:
self.cache.drop_except(keep)
self.ws.set_instruments([s.perp_inst_id, pair.call_inst_id, pair.put_inst_id])
logger.info(
"aligned pair expiry=%s strike=%s call=%s put=%s mark=%.2f",
"aligned pair expiry=%s strike=%s call=%s put=%s mark=%.2f hours=%.1f",
pair.expiry_ymd,
pair.strike,
pair.call_inst_id,
pair.put_inst_id,
mark,
hours_until_expiry(pair.expiry_ymd),
)
return pair
def align_instruments(self) -> OptionPair | None:
"""空仓展示：选剩余时长合格的最近到期 ATM（不校验期权杠杆）。"""
s = self.settings
idx = self.rest.fetch_index_ticker(s.index_inst_id)
mark = self.rest.fetch_mark_price(s.perp_inst_id) or idx
if mark is None or mark <= 0:
raise RuntimeError("无法获取 ETH 标记/指数价格，无法选 ATM")
min_hours, _ = _strategy_floats()
instruments = self.rest.fetch_option_instruments(s.option_inst_family)
pair = select_option_pair(
instruments, mark_px=float(mark), min_hours=min_hours
)
if pair is None:
raise RuntimeError(
f"未找到剩余≥{min_hours}h 的 ATM Call/Put (family={s.option_inst_family})"
)
return self._apply_pair(pair, mark=float(mark), idx=idx)
def pick_for_open(self) -> OpenPick | None:
"""
开仓选约：
1) 剩余时长 ≥ min_hours 的到期日（由近到远）
2) 该到期 ATM 平值
3) 卖一比价定方向后校验 现价/卖一 ≥ min_option_leverage
"""
s = self.settings
min_hours, min_lev = _strategy_floats()
idx = self.rest.fetch_index_ticker(s.index_inst_id)
mark = self.rest.fetch_mark_price(s.perp_inst_id) or idx
if mark is None or mark <= 0:
return None
underlying = float(mark)
instruments = self.rest.fetch_option_instruments(s.option_inst_family)
eligible = list_eligible_expiry_ymds(instruments, min_hours=min_hours)
if not eligible:
logger.info("no expiry with hours>=%.1f", min_hours)
return None
from ..strategy.signal import decide
for ymd in eligible:
pair = select_option_pair(
instruments, mark_px=underlying, expiry_ymd=ymd
)
if pair is None:
continue
call_bids, call_asks, _ = self.rest.fetch_books(pair.call_inst_id, sz=5)
put_bids, put_asks, _ = self.rest.fetch_books(pair.put_inst_id, sz=5)
call_ask = call_asks[0].px if call_asks else None
put_ask = put_asks[0].px if put_asks else None
sig = decide(call_ask, put_ask)
if sig is None:
continue
opt_ask = sig.call_ask if sig.option_side == "call" else sig.put_ask
lev = option_leverage(underlying, opt_ask)
hours_left = hours_until_expiry(ymd)
if lev is None or lev + 1e-9 < min_lev:
logger.info(
"skip expiry=%s strike=%.0f side=%s lev=%s need>=%.0f hours=%.1f",
ymd,
pair.strike,
sig.option_side,
f"{lev:.1f}" if lev else "n/a",
min_lev,
hours_left,
)
continue
self._apply_pair(pair, mark=underlying, idx=idx)
# 写入刚拉的盘口，避免 WS 尚未推送
self.cache.upsert_book(pair.call_inst_id, bids=call_bids, asks=call_asks)
self.cache.upsert_book(pair.put_inst_id, bids=put_bids, asks=put_asks)
return OpenPick(
pair=pair,
option_side=sig.option_side,
perp_side=sig.perp_side,
bias=sig.bias,
call_ask=float(sig.call_ask),
put_ask=float(sig.put_ask),
option_ask=float(opt_ask),
option_leverage=float(lev),
hours_left=hours_left,
underlying_px=underlying,
)
return None
async def realign_async(self) -> OptionPair | None:
old = self._pair
pair = await asyncio.to_thread(self.align_instruments)
@@ -122,6 +237,23 @@ class MarketGateway:
)
return pair
async def pick_for_open_async(self) -> OpenPick | None:
old = self._pair
pick = await asyncio.to_thread(self.pick_for_open)
if pick and (
old is None
or pick.pair.call_inst_id != old.call_inst_id
or pick.pair.put_inst_id != old.put_inst_id
):
await self.ws.resubscribe(
[
self.settings.perp_inst_id,
pick.pair.call_inst_id,
pick.pair.put_inst_id,
]
)
return pick
def _mark_for_atm(self) -> float | None:
snap = self.snapshot()
if snap.perp and snap.perp.mark_px:
@@ -133,11 +265,10 @@ class MarketGateway:
return None
def atm_needs_realign(self, mark_px: float | None = None) -> bool:
"""到期日变了，或现价已偏离当前行权价超过阈值。"""
if self._pair is None:
return True
want = next_session_expiry_ymd()
if self._pair.expiry_ymd != want:
min_hours, _ = _strategy_floats()
if hours_until_expiry(self._pair.expiry_ymd) + 1e-9 < min_hours:
return True
mark = mark_px if mark_px is not None else self._mark_for_atm()
if mark is None or mark <= 0:
@@ -145,14 +276,15 @@ class MarketGateway:
return abs(float(self._pair.strike) - float(mark)) >= _ATM_DRIFT_POINTS
async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
"""空仓时按现价对齐 ATM。有持仓时不切换，避免盯市合约被换掉。"""
"""空仓时按剩余时长+ATM 对齐。有持仓不切换。"""
if _has_open_position():
return self._pair
if force or self.atm_needs_realign():
logger.info(
"ATM realign force=%s old_strike=%s",
"ATM realign force=%s old_strike=%s old_exp=%s",
force,
self._pair.strike if self._pair else None,
self._pair.expiry_ymd if self._pair else None,
)
return await self.realign_async()
return self._pair
@@ -164,7 +296,6 @@ class MarketGateway:
return self.snapshot().to_dict()
async def _refresh_loop(self) -> None:
"""周期性刷新指数价；空仓时按到期/ATM 偏离重对齐。"""
while True:
await asyncio.sleep(30)
try:
@@ -184,7 +315,6 @@ class MarketGateway:
logger.warning("market refresh failed: %s", e)
# 进程级单例（FastAPI lifespan 注入）
_gateway: MarketGateway | None = None
backend/app/market/instruments.py
+84 -29
View File
@@ -1,4 +1,4 @@
"""合约选择：次日 16:00（上海）到期 + ATM 行权价（暂定默认，待拍板可改）。"""
"""合约选择：剩余时长过滤 + ATM 平值期权。"""
from __future__ import annotations
@@ -42,13 +42,15 @@ def expiry_ms_from_ymd(ymd: str) -> int:
return int(dt.timestamp() * 1000)
def hours_until_expiry(ymd: str, now: datetime | None = None) -> float:
"""距到期剩余小时（可为负）。"""
n = (now or datetime.now(tz=_SH)).astimezone(_SH)
left_ms = expiry_ms_from_ymd(ymd) - int(n.timestamp() * 1000)
return left_ms / 3_600_000.0
def next_session_expiry_ymd(now: datetime | None = None) -> str:
"""
业务约定：开仓选「次日 16:00」到期。
- 上海时间 >= 当日 16:00：目标到期日 = 次日
- 上海时间 < 当日 16:00：目标到期日 = 当日（当日 16:00 到期仍可用作盘口对齐/预热）
正式开仓窗从当日 16:00 起，届时「次日」即日历次日。
"""
"""兼容旧逻辑：次日/当日 16:00 到期键（展示/测试用）。"""
now_sh = (now or datetime.now(tz=_SH)).astimezone(_SH)
open_today = now_sh.replace(hour=16, minute=0, second=0, microsecond=0)
if now_sh >= open_today:
@@ -64,30 +66,19 @@ def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
return min(strikes, key=lambda s: (abs(s - mark_px), s))
def select_option_pair(
def _complete_by_expiry(
instruments: list[dict[str, Any]],
*,
mark_px: float,
expiry_ymd: str | None = None,
now: datetime | None = None,
) -> OptionPair | None:
"""
从 live 合约列表中选出：目标到期日 + ATM 同行权价 Call/Put。
行权价规则暂定 ATM（最接近标记/指数价）；待拍板后可替换。
"""
ymd = expiry_ymd or next_session_expiry_ymd(now)
by_strike: dict[float, dict[str, str]] = {}
) -> dict[str, dict[float, dict[str, str]]]:
"""expiry_ymd -> strike -> {C|P: instId}，仅完整 Call+Put。"""
by_exp: dict[str, dict[float, dict[str, str]]] = {}
for row in instruments:
if not isinstance(row, dict):
continue
state = str(row.get("state") or "live").lower()
if state and state != "live":
continue
inst_id = str(row.get("instId") or "")
y, stk, opt = parse_option_inst_id(inst_id)
if y is None or stk is None or opt is None:
exp = safe_float(row.get("expTime"))
if exp:
@@ -96,20 +87,77 @@ def select_option_pair(
stk = safe_float(row.get("stk"))
opt_raw = str(row.get("optType") or "").upper()
opt = opt_raw if opt_raw in ("C", "P") else None
if not inst_id or y != ymd or stk is None or opt not in ("C", "P"):
if not inst_id or not y or stk is None or opt not in ("C", "P"):
continue
by_strike.setdefault(float(stk), {})[opt] = inst_id
by_exp.setdefault(y, {}).setdefault(float(stk), {})[opt] = inst_id
complete = {s: v for s, v in by_strike.items() if "C" in v and "P" in v}
out: dict[str, dict[float, dict[str, str]]] = {}
for ymd, strikes in by_exp.items():
complete = {s: v for s, v in strikes.items() if "C" in v and "P" in v}
if complete:
out[ymd] = complete
return out
def list_eligible_expiry_ymds(
instruments: list[dict[str, Any]],
*,
min_hours: float,
now: datetime | None = None,
) -> list[str]:
"""剩余时间 >= min_hours 的到期日，由近到远。"""
complete = _complete_by_expiry(instruments)
eligible = [
ymd
for ymd in complete
if hours_until_expiry(ymd, now) + 1e-9 >= float(min_hours)
]
return sorted(eligible, key=lambda y: expiry_ms_from_ymd(y))
def select_option_pair(
instruments: list[dict[str, Any]],
*,
mark_px: float,
expiry_ymd: str | None = None,
min_hours: float | None = None,
now: datetime | None = None,
) -> OptionPair | None:
"""
选 ATM Call/Put。
- 若给 expiry_ymd：在该到期日选平值。
- 若给 min_hours：选「剩余时长合格」中最近到期日的平值。
- 否则回退 next_session_expiry_ymd。
"""
complete = _complete_by_expiry(instruments)
if not complete:
return None
atm = pick_atm_strike(list(complete.keys()), mark_px)
if expiry_ymd:
ymd = expiry_ymd
if ymd not in complete:
return None
elif min_hours is not None:
eligible = list_eligible_expiry_ymds(
instruments, min_hours=min_hours, now=now
)
if not eligible:
return None
ymd = eligible[0]
else:
ymd = next_session_expiry_ymd(now)
if ymd not in complete:
# 回退到最近合格到期
eligible = list_eligible_expiry_ymds(instruments, min_hours=0, now=now)
if not eligible:
return None
ymd = eligible[0]
strikes_map = complete[ymd]
atm = pick_atm_strike(list(strikes_map.keys()), mark_px)
if atm is None:
return None
legs = complete[atm]
legs = strikes_map[atm]
return OptionPair(
expiry_ymd=ymd,
expiry_ms=expiry_ms_from_ymd(ymd),
@@ -117,3 +165,10 @@ def select_option_pair(
call_inst_id=legs["C"],
put_inst_id=legs["P"],
)
def option_leverage(underlying_px: float, premium_ask: float) -> float | None:
"""现价 / 卖一权利金。"""
if underlying_px <= 0 or premium_ask is None or premium_ask <= 0:
return None
return float(underlying_px) / float(premium_ask)
backend/app/models/db.py
+4
View File
@@ -149,8 +149,12 @@ class Database:
"fee_rate": str(s.fee_rate),
"initial_equity": str(s.initial_equity),
"exit_move_points": str(s.exit_move_points),
"exit_move_pct": str(s.exit_move_pct),
"rest_seconds": str(s.rest_seconds),
"max_rounds": str(s.max_rounds),
"leverage": str(s.leverage),
"min_option_hours": str(s.min_option_hours),
"min_option_leverage": str(s.min_option_leverage),
"perp_qty_eth": str(s.perp_qty_eth),
"option_qty_eth": str(s.option_qty_eth),
}
backend/app/sim/matcher.py
+9
View File
@@ -385,6 +385,7 @@ class Matcher:
"option_upl": 0.0,
"index_px": None,
"move_points": 0.0,
"move_pct": 0.0,
"premium_gap": None,
}
gw = get_gateway()
@@ -428,8 +429,12 @@ class Matcher:
entry_idx = float(pos["entry_index_px"] or 0)
move = abs(float(index_px) - entry_idx) if index_px is not None and entry_idx else 0.0
move_pct = (move / entry_idx * 100.0) if entry_idx > 0 else 0.0
initial_premium = float(pos["initial_premium"] or 0)
premium_gap = initial_premium - perp_upl
leverage = self.ledger.get_setting_float("leverage", s.leverage)
notional = abs(perp_entry * perp_qty)
margin = notional / leverage if leverage > 0 else None
group_id = pos.get("group_id")
g = (
@@ -454,6 +459,9 @@ class Matcher:
"perp_entry_px": perp_entry,
"perp_qty_eth": perp_qty,
"perp_mark_px": float(mark) if mark is not None else None,
"perp_notional": notional,
"perp_margin": margin,
"leverage": leverage,
"option_inst_id": pos.get("option_inst_id"),
"option_entry_px": float(pos["option_entry_px"] or 0),
"option_qty_eth": float(pos["option_qty_eth"] or 0),
@@ -466,6 +474,7 @@ class Matcher:
"index_px": index_px,
"entry_index_px": entry_idx,
"move_points": move,
"move_pct": move_pct,
"initial_premium": initial_premium,
"premium_gap": premium_gap,
"status": pos.get("status"),
backend/app/strategy/__init__.py
+12 -1
View File
@@ -1,5 +1,4 @@
from .clock import can_open_new, window_key
from .engine import StrategyEngine, get_engine, set_engine
from .exits import check_exits
from .group import next_group_id
from .signal import Signal, decide
@@ -15,3 +14,15 @@ __all__ = [
"set_engine",
"window_key",
]
def __getattr__(name: str):
if name in ("StrategyEngine", "get_engine", "set_engine"):
from .engine import StrategyEngine, get_engine, set_engine
return {
"StrategyEngine": StrategyEngine,
"get_engine": get_engine,
"set_engine": set_engine,
}[name]
raise AttributeError(f"module {__name__!r} has no attribute {name!r}")
backend/app/strategy/clock.py
+6 -33
View File
@@ -1,8 +1,8 @@
"""业务窗时钟：16:00 开 → 08:00 停开；轮次与休息。"""
"""日历日分组键（开仓时间窗已取消，由期权剩余时长约束）。"""
from __future__ import annotations
from datetime import datetime, timedelta
from datetime import datetime
from zoneinfo import ZoneInfo
_SH = ZoneInfo("Asia/Shanghai")
@@ -12,28 +12,9 @@ def now_sh(now: datetime | None = None) -> datetime:
return (now or datetime.now(tz=_SH)).astimezone(_SH)
def parse_hhmm(s: str) -> tuple[int, int]:
parts = (s or "16:00").strip().split(":")
return int(parts[0]), int(parts[1]) if len(parts) > 1 else 0
def window_key(now: datetime | None = None) -> str:
"""
业务窗键：若当前 >= 当日 16:00，窗从今日 16:00 起，键=今日日期；
若 < 16:00，仍可能属于「昨日起的窗」（到今日 08:00），键=昨日。
"""
n = now_sh(now)
open_h, open_m = 16, 0
stop_h, stop_m = 8, 0
today_open = n.replace(hour=open_h, minute=open_m, second=0, microsecond=0)
today_stop = n.replace(hour=stop_h, minute=stop_m, second=0, microsecond=0)
if n >= today_open:
return n.strftime("%Y%m%d")
if n < today_stop:
# 仍在昨 16:00 开启的窗内
return (n.date() - timedelta(days=1)).strftime("%Y%m%d")
# 08:00～16:00：不在开仓窗，键用「即将开始」的今日窗
return n.strftime("%Y%m%d")
"""组号日期键：日历日 YYYYMMDD。"""
return now_sh(now).strftime("%Y%m%d")
def can_open_new(
@@ -42,16 +23,8 @@ def can_open_new(
open_hhmm: str = "16:00",
stop_hhmm: str = "08:00",
) -> bool:
n = now_sh(now)
oh, om = parse_hhmm(open_hhmm)
sh, sm = parse_hhmm(stop_hhmm)
today_open = n.replace(hour=oh, minute=om, second=0, microsecond=0)
today_stop = n.replace(hour=sh, minute=sm, second=0, microsecond=0)
if n >= today_open:
return True
if n < today_stop:
return True
return False
"""开仓窗已取消，始终允许（仍受期权剩余时长/杠杆筛选）。"""
return True
def group_date_ymd(now: datetime | None = None) -> str:
backend/app/strategy/engine.py
+48 -64
View File
@@ -1,4 +1,4 @@
"""策略状态机：选向开仓 / 盯盘平仓 / 休息 / 限轮。"""
"""策略状态机：选向开仓 / 盯盘平仓 / 休息（无开仓窗、无轮次上限）。"""
from __future__ import annotations
@@ -12,10 +12,9 @@ from ..market import get_gateway
from ..models.db import get_db
from ..sim.ledger import Ledger
from ..sim.matcher import Matcher
from .clock import can_open_new, window_key
from .clock import window_key
from .exits import check_exits
from .group import next_group_id
from .signal import decide
logger = logging.getLogger(__name__)
@@ -33,15 +32,18 @@ class StrategyEngine:
assert row is not None
upl = self.matcher.unrealized()
s = get_settings()
exit_pts = self.ledger.get_setting_float("exit_move_points", s.exit_move_points)
exit_pct = self.ledger.get_setting_float("exit_move_pct", s.exit_move_pct)
rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
max_rounds = self.ledger.get_setting_int("max_rounds", s.max_rounds)
leverage = self.ledger.get_setting_float("leverage", s.leverage)
min_hours = self.ledger.get_setting_float("min_option_hours", s.min_option_hours)
min_opt_lev = self.ledger.get_setting_float(
"min_option_leverage", s.min_option_leverage
)
rest_until = row["rest_until_ms"]
rest_left = 0
if rest_until:
rest_left = max(0, int((int(rest_until) - time.time() * 1000) / 1000))
last_error = row["last_error"]
# 清掉已修复的旧序列化错误残留
if last_error and "PriceResult" in str(last_error) and "__dict__" in str(last_error):
self._set_state(last_error=None)
last_error = None
@@ -49,13 +51,15 @@ class StrategyEngine:
"running": bool(row["running"]),
"phase": row["phase"],
"rounds_done": int(row["rounds_done"] or 0),
"max_rounds": max_rounds,
"window_key": row["window_key"],
"rest_until_ms": rest_until,
"rest_left_sec": rest_left,
"rest_seconds": rest_sec,
"exit_move_points": exit_pts,
"can_open": can_open_new(open_hhmm=s.open_hhmm, stop_hhmm=s.stop_open_hhmm),
"exit_move_pct": exit_pct,
"leverage": leverage,
"min_option_hours": min_hours,
"min_option_leverage": min_opt_lev,
"can_open": True,
"last_error": last_error,
"position": upl,
"ledger": self.ledger.snapshot(),
@@ -103,23 +107,14 @@ class StrategyEngine:
assert row is not None
rounds = int(row["rounds_done"] or 0) + 1
rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
max_rounds = self.ledger.get_setting_int("max_rounds", s.max_rounds)
rest_until = int(time.time() * 1000) + rest_sec * 1000
if rounds >= max_rounds:
self._set_state(
rounds_done=rounds,
phase="stopped",
rest_until_ms=None,
)
else:
self._set_state(
rounds_done=rounds,
phase="resting",
rest_until_ms=rest_until,
)
self._set_state(
rounds_done=rounds,
phase="resting",
rest_until_ms=rest_until,
)
def _count_groups_for_window(self, wkey: str) -> int:
# group_id like G-20260724-01 ; window_key is YYYYMMDD
def _count_groups_for_day(self, wkey: str) -> int:
rows = self.db.fetchall(
"SELECT group_id FROM groups WHERE group_id LIKE ?",
(f"G-{wkey}-%",),
@@ -135,12 +130,11 @@ class StrategyEngine:
await asyncio.sleep(1)
continue
async with self._lock:
# 空仓且 ATM 偏离现价时先重选，再跑开仓逻辑
try:
await get_gateway().ensure_atm_async(force=False)
except Exception as e:
logger.warning("ATM ensure before tick failed: %s", e)
await asyncio.to_thread(self._tick)
await self._tick_async()
except asyncio.CancelledError:
raise
except Exception as e:
@@ -148,34 +142,33 @@ class StrategyEngine:
self._set_state(last_error=str(e))
await asyncio.sleep(1)
def _tick(self) -> None:
async def _tick_async(self) -> None:
s = get_settings()
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
assert st is not None
wkey = window_key()
if st["window_key"] != wkey:
# 新业务窗重置轮次
self._set_state(window_key=wkey, rounds_done=0, phase="idle", rest_until_ms=None)
self._set_state(window_key=wkey, phase="idle")
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
assert st is not None
max_rounds = self.ledger.get_setting_int("max_rounds", s.max_rounds)
exit_pts = self.ledger.get_setting_float("exit_move_points", s.exit_move_points)
exit_pct = self.ledger.get_setting_float("exit_move_pct", s.exit_move_pct)
pos = self.matcher.current_position()
# 有仓：盯平仓
if pos.get("status") == "open":
self._set_state(phase="open", last_error=None)
upl = self.matcher.unrealized()
decision = check_exits(
perp_upl=float(upl["perp_upl"]),
initial_premium=float(upl["initial_premium"] or 0),
move_points=float(upl["move_points"] or 0),
exit_move_points=exit_pts,
move_pct=float(upl.get("move_pct") or 0),
exit_move_pct=exit_pct,
)
if decision.should_close:
self._set_state(phase="closing")
r = self.matcher.close_group(reason=decision.reason)
r = await asyncio.to_thread(
self.matcher.close_group, reason=decision.reason
)
if r.ok:
self._after_close()
elif r.liquidity_wait:
@@ -184,7 +177,6 @@ class StrategyEngine:
self._set_state(last_error=r.detail)
return
# 休息中
if st["phase"] == "resting" and st["rest_until_ms"]:
if int(time.time() * 1000) < int(st["rest_until_ms"]):
return
@@ -192,46 +184,38 @@ class StrategyEngine:
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
assert st is not None
if int(st["rounds_done"] or 0) >= max_rounds:
self._set_state(phase="stopped")
if st["phase"] in ("paused",):
return
# 旧「轮次停开」状态：自动恢复为空闲以便继续
if st["phase"] in ("stopped", "outside_window"):
self._set_state(phase="idle")
if not can_open_new(open_hhmm=s.open_hhmm, stop_hhmm=s.stop_open_hhmm):
self._set_state(phase="outside_window")
return
if st["phase"] in ("stopped", "paused"):
return
# 尝试开仓
self._set_state(phase="wait_signal")
gw = get_gateway()
snap = gw.snapshot()
if not snap.pair or not snap.call or not snap.put:
return
sig = decide(snap.call.ask, snap.put.ask)
if sig is None:
pick = await gw.pick_for_open_async()
if pick is None:
self._set_state(
last_error="无合格期权：需剩余时长与杠杆倍数同时满足"
)
return
self._set_state(phase="opening")
count = self._count_groups_for_window(wkey)
self._set_state(phase="opening", last_error=None)
count = self._count_groups_for_day(wkey)
gid = next_group_id(count)
option_inst = (
snap.pair.call_inst_id if sig.option_side == "call" else snap.pair.put_inst_id
pick.pair.call_inst_id if pick.option_side == "call" else pick.pair.put_inst_id
)
entry_idx = snap.index_px or (snap.perp.mark_px if snap.perp else None)
if entry_idx is None:
self._set_state(last_error="no index/mark for entry")
return
r = self.matcher.open_group(
entry_idx = pick.underlying_px
r = await asyncio.to_thread(
self.matcher.open_group,
group_id=gid,
bias=sig.bias,
option_side=sig.option_side,
perp_side=sig.perp_side,
bias=pick.bias,
option_side=pick.option_side,
perp_side=pick.perp_side,
option_inst_id=option_inst,
entry_index_px=float(entry_idx),
strike=snap.pair.strike,
expiry_ymd=snap.pair.expiry_ymd,
strike=pick.pair.strike,
expiry_ymd=pick.pair.expiry_ymd,
)
if r.ok:
self._set_state(phase="open", last_error=None)
backend/app/strategy/exits.py
+4 -4
View File
@@ -13,11 +13,11 @@ def check_exits(
*,
perp_upl: float,
initial_premium: float,
move_points: float,
exit_move_points: float,
move_pct: float,
exit_move_pct: float,
) -> ExitDecision:
if initial_premium > 0 and perp_upl + 1e-9 >= initial_premium:
return ExitDecision(True, "premium_cover")
if exit_move_points > 0 and move_points + 1e-9 >= exit_move_points:
return ExitDecision(True, "move_points")
if exit_move_pct > 0 and move_pct + 1e-9 >= exit_move_pct:
return ExitDecision(True, "move_pct")
return ExitDecision(False, "")
backend/tests/test_instruments.py
+26
View File
@@ -4,7 +4,10 @@ from datetime import datetime
from zoneinfo import ZoneInfo
from app.market.instruments import (
hours_until_expiry,
list_eligible_expiry_ymds,
next_session_expiry_ymd,
option_leverage,
parse_option_inst_id,
pick_atm_strike,
select_option_pair,
@@ -48,3 +51,26 @@ def test_select_option_pair_atm() -> None:
assert pair.strike == 3500
assert pair.call_inst_id.endswith("-3500-C")
assert pair.put_inst_id.endswith("-3500-P")
def test_eligible_skips_short_ttm() -> None:
# 2026-07-25 08:30 SH：当日 16:00 到期仅约 7.5h，应跳过 260725，选 260726
now = datetime(2026, 7, 25, 8, 30, tzinfo=_SH)
rows = [
{"instId": "ETH-USD_UM-260725-1850-C", "state": "live"},
{"instId": "ETH-USD_UM-260725-1850-P", "state": "live"},
{"instId": "ETH-USD_UM-260726-1850-C", "state": "live"},
{"instId": "ETH-USD_UM-260726-1850-P", "state": "live"},
]
assert hours_until_expiry("260725", now) < 12
assert hours_until_expiry("260726", now) >= 12
eligible = list_eligible_expiry_ymds(rows, min_hours=12, now=now)
assert eligible == ["260726"]
pair = select_option_pair(rows, mark_px=1853, min_hours=12, now=now)
assert pair is not None
assert pair.expiry_ymd == "260726"
def test_option_leverage() -> None:
assert abs((option_leverage(1850, 18.5) or 0) - 100) < 1e-9
assert option_leverage(1850, 0) is None
backend/tests/test_p1_p2_rules.py
+21 -19
View File
@@ -1,10 +1,11 @@
from app.strategy.signal import decide
from app.strategy.exits import check_exits
from app.sim.pricing import option_fill, perp_fill
from app.strategy.clock import can_open_new, window_key
from datetime import datetime
from zoneinfo import ZoneInfo
from app.sim.pricing import option_fill, perp_fill
from app.strategy.clock import can_open_new, window_key
from app.strategy.exits import check_exits
from app.strategy.signal import decide
_SH = ZoneInfo("Asia/Shanghai")
@@ -26,13 +27,19 @@ def test_signal_equal() -> None:
assert decide(10.0, 10.0) is None
def test_exit_premium_and_move() -> None:
assert check_exits(
perp_upl=50, initial_premium=40, move_points=1, exit_move_points=30
).reason == "premium_cover"
assert check_exits(
perp_upl=1, initial_premium=40, move_points=30, exit_move_points=30
).reason == "move_points"
def test_exit_premium_and_move_pct() -> None:
assert (
check_exits(
perp_upl=50, initial_premium=40, move_pct=0.1, exit_move_pct=2
).reason
== "premium_cover"
)
assert (
check_exits(
perp_upl=1, initial_premium=40, move_pct=2.0, exit_move_pct=2
).reason
== "move_pct"
)
def test_perp_pricing() -> None:
@@ -47,15 +54,10 @@ def test_option_open_close_pricing() -> None:
assert c.fill_px < 10
def test_window() -> None:
# 17:00 can open, window key today
def test_window_always_open() -> None:
n = datetime(2026, 7, 24, 17, 0, tzinfo=_SH)
assert can_open_new(n) is True
assert window_key(n) == "20260724"
# 10:00 cannot open
n2 = datetime(2026, 7, 24, 10, 0, tzinfo=_SH)
assert can_open_new(n2) is False
# 07:00 still previous window, can open
n3 = datetime(2026, 7, 24, 7, 0, tzinfo=_SH)
assert can_open_new(n3) is True
assert window_key(n3) == "20260723"
assert can_open_new(n2) is True
assert window_key(n2) == "20260724"
frontend/src/api/client.ts
+12 -4
View File
@@ -117,11 +117,13 @@ export type PlanState = {
running: boolean;
phase: string;
rounds_done: number;
max_rounds: number;
window_key: string | null;
rest_left_sec: number;
rest_seconds: number;
exit_move_points: number;
exit_move_pct: number;
leverage: number;
min_option_hours: number;
min_option_leverage: number;
can_open: boolean;
last_error: string | null;
position: {
@@ -133,6 +135,9 @@ export type PlanState = {
perp_entry_px?: number;
perp_qty_eth?: number;
perp_mark_px?: number | null;
perp_notional?: number;
perp_margin?: number | null;
leverage?: number;
option_inst_id?: string;
option_entry_px?: number;
option_qty_eth?: number;
@@ -145,6 +150,7 @@ export type PlanState = {
index_px?: number | null;
entry_index_px?: number;
move_points?: number;
move_pct?: number;
initial_premium?: number;
premium_gap?: number;
};
@@ -153,10 +159,12 @@ export type PlanState = {
export type StrategySettings = {
fee_rate: number;
exit_move_points: number;
exit_move_pct: number;
rest_seconds: number;
max_rounds: number;
initial_equity: number;
leverage: number;
min_option_hours: number;
min_option_leverage: number;
perp_qty_eth: number;
option_qty_eth: number;
ledger: { equity: number; available: number };
frontend/src/pages/Plan.tsx
+20 -16
View File
@@ -75,15 +75,15 @@ export default function PlanPage() {
const pos = plan?.position;
const open = !!pos?.has_position;
const exitN = plan?.exit_move_points ?? 30;
const move = pos?.move_points ?? 0;
const exitPct = plan?.exit_move_pct ?? 2;
const movePct = pos?.move_pct ?? 0;
const phaseLabel = PHASE_ZH[plan?.phase || ""] || plan?.phase || "—";
return (
<div>
<h2 style={{ marginTop: 0 }}>自动对冲计划</h2>
<p style={{ color: "var(--muted)", marginTop: -8 }}>
SIM 本地撮合 · 期权只买 · 标的波动 N 点可配
SIM 本地撮合 · 期权只买 · 剩余时长选到期 · 波动按比例全平
</p>
{err ? <div className="err">{err}</div> : null}
@@ -142,14 +142,14 @@ export default function PlanPage() {
)}
<span className="mono">
{" "}
· {phaseLabel} · 轮次 {plan?.rounds_done ?? 0}/{plan?.max_rounds ?? 3}
· {phaseLabel} · 已完成 {plan?.rounds_done ?? 0} 组
</span>
</span>
</div>
<div className="kv">
<span>开仓窗</span>
<span>选约条件</span>
<span className="mono">
{plan?.can_open ? "可开" : "禁止新开"} · 窗 {plan?.window_key || "—"}
剩余≥{fmt(plan?.min_option_hours, 0)}h · 期权杠杆≥{fmt(plan?.min_option_leverage, 0)}x
</span>
</div>
<div className="kv">
@@ -159,9 +159,10 @@ export default function PlanPage() {
</span>
</div>
<div className="kv">
<span>权益</span>
<span>权益 / 杠杆</span>
<span className="mono">
{fmt(plan?.ledger?.equity)} / 可用 {fmt(plan?.ledger?.available)}
{fmt(plan?.ledger?.equity)} / 可用 {fmt(plan?.ledger?.available)} ·{" "}
{fmt(plan?.leverage, 0)}x
</span>
</div>
<div className="kv">
@@ -181,9 +182,9 @@ export default function PlanPage() {
</span>
</div>
<div className="kv">
<span>N 点进度</span>
<span>波动进度</span>
<span className="mono">
{fmt(move, 1)} / {fmt(exitN, 0)}
{fmt(movePct, 2)}% / {fmt(exitPct, 2)}%
</span>
</div>
{plan?.last_error ? (
@@ -217,6 +218,9 @@ export default function PlanPage() {
<span className="pos-meta-item">永续持仓</span>
<span className="pos-meta-item">组 {pos?.group_id}</span>
<span className="pos-meta-item mono">数量 {fmt(pos?.perp_qty_eth, 2)} ETH</span>
<span className="pos-meta-item mono">
{fmt(pos?.leverage ?? plan?.leverage, 0)}x
</span>
</div>
<div className="pos-grid">
<div className="pos-cell">
@@ -234,16 +238,16 @@ export default function PlanPage() {
</span>
</div>
<div className="pos-cell">
<span className="pos-label">指数</span>
<span className="pos-value mono">{fmt(pos?.index_px)}</span>
<span className="pos-label">保证金</span>
<span className="pos-value mono">{fmt(pos?.perp_margin)}</span>
</div>
<div className="pos-cell">
<span className="pos-label">开仓指数</span>
<span className="pos-value mono">{fmt(pos?.entry_index_px)}</span>
<span className="pos-label">名义价值</span>
<span className="pos-value mono">{fmt(pos?.perp_notional)}</span>
</div>
<div className="pos-cell">
<span className="pos-label">波动点数</span>
<span className="pos-value mono">{fmt(move, 1)}</span>
<span className="pos-label">波动比例</span>
<span className="pos-value mono">{fmt(movePct, 2)}%</span>
</div>
</div>
</div>
frontend/src/pages/Settings.tsx
+64 -29
View File
@@ -21,9 +21,11 @@ export default function SettingsPage() {
const [loading, setLoading] = useState(false);
const [fee, setFee] = useState(0.0005);
const [exitPts, setExitPts] = useState(30);
const [exitPct, setExitPct] = useState(2);
const [rest, setRest] = useState(300);
const [maxRounds, setMaxRounds] = useState(3);
const [leverage, setLeverage] = useState(3);
const [minHours, setMinHours] = useState(12);
const [minOptLev, setMinOptLev] = useState(100);
const [perpQty, setPerpQty] = useState(1);
const [optQty, setOptQty] = useState(2);
const [stratOk, setStratOk] = useState("");
@@ -32,9 +34,11 @@ export default function SettingsPage() {
apiFetch<StrategySettings>("/api/settings/strategy")
.then((s) => {
setFee(s.fee_rate);
setExitPts(s.exit_move_points);
setExitPct(s.exit_move_pct ?? 2);
setRest(s.rest_seconds);
setMaxRounds(s.max_rounds);
setLeverage(s.leverage ?? 3);
setMinHours(s.min_option_hours ?? 12);
setMinOptLev(s.min_option_leverage ?? 100);
setPerpQty(s.perp_qty_eth ?? 1);
setOptQty(s.option_qty_eth ?? 2);
})
@@ -81,9 +85,11 @@ export default function SettingsPage() {
method: "PUT",
body: JSON.stringify({
fee_rate: fee,
exit_move_points: exitPts,
exit_move_pct: exitPct,
rest_seconds: rest,
max_rounds: maxRounds,
leverage,
min_option_hours: minHours,
min_option_leverage: minOptLev,
perp_qty_eth: perpQty,
option_qty_eth: optQty,
}),
@@ -117,11 +123,62 @@ export default function SettingsPage() {
{tab === "strategy" ? (
<div className="card">
<p style={{ color: "var(--muted)", marginTop: 0 }}>
标的波动 N 点全平、轮次休息、仓位数量、费率（滑点=1×费率）。
无开仓时间窗；期权按剩余时长选到期 → 平值 → 校验杠杆；波动按百分比全平。
</p>
{stratOk ? <div style={{ color: "var(--up)", marginBottom: 12 }}>{stratOk}</div> : null}
{err && tab === "strategy" ? <div className="err">{err}</div> : null}
<form onSubmit={onSaveStrategy}>
<h3 style={{ margin: "0 0 10px", fontSize: 14, color: "var(--muted)" }}>资金</h3>
<div className="field">
<label htmlFor="lev">永续杠杆倍数</label>
<input
id="lev"
className="mono"
type="number"
step="1"
min="1"
value={leverage}
onChange={(e) => setLeverage(Number(e.target.value))}
/>
</div>
<h3 style={{ margin: "18px 0 10px", fontSize: 14, color: "var(--muted)" }}>策略</h3>
<div className="field">
<label htmlFor="hours">期权最小剩余小时</label>
<input
id="hours"
className="mono"
type="number"
step="1"
min="1"
value={minHours}
onChange={(e) => setMinHours(Number(e.target.value))}
/>
</div>
<div className="field">
<label htmlFor="olev">期权杠杆下限（现价÷卖一权利金）</label>
<input
id="olev"
className="mono"
type="number"
step="1"
min="1"
value={minOptLev}
onChange={(e) => setMinOptLev(Number(e.target.value))}
/>
</div>
<div className="field">
<label htmlFor="exit">波动出场比例（%）</label>
<input
id="exit"
className="mono"
type="number"
step="0.1"
min="0.1"
value={exitPct}
onChange={(e) => setExitPct(Number(e.target.value))}
/>
</div>
<div className="field">
<label htmlFor="perp">永续 ETH 数量</label>
<input
@@ -146,17 +203,6 @@ export default function SettingsPage() {
onChange={(e) => setOptQty(Number(e.target.value))}
/>
</div>
<div className="field">
<label htmlFor="exit">标的波动点数（全平阈值）</label>
<input
id="exit"
className="mono"
type="number"
step="1"
value={exitPts}
onChange={(e) => setExitPts(Number(e.target.value))}
/>
</div>
<div className="field">
<label htmlFor="rest">轮间休息秒数</label>
<input
@@ -168,17 +214,6 @@ export default function SettingsPage() {
onChange={(e) => setRest(Number(e.target.value))}
/>
</div>
<div className="field">
<label htmlFor="rounds">每日最大轮次</label>
<input
id="rounds"
className="mono"
type="number"
step="1"
value={maxRounds}
onChange={(e) => setMaxRounds(Number(e.target.value))}
/>
</div>
<div className="field">
<label htmlFor="fee">手续费率</label>
<input