diff --git a/backend/app/api/settings.py b/backend/app/api/settings.py
index 3a2c49b..9ea9ce7 100644
--- a/backend/app/api/settings.py
+++ b/backend/app/api/settings.py
@@ -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
),
diff --git a/backend/app/api/sim.py b/backend/app/api/sim.py
index 9655ef4..42536b2 100644
--- a/backend/app/api/sim.py
+++ b/backend/app/api/sim.py
@@ -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")
diff --git a/backend/app/config.py b/backend/app/config.py
index 32a885e..625e743 100644
--- a/backend/app/config.py
+++ b/backend/app/config.py
@@ -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
diff --git a/backend/app/market/gateway.py b/backend/app/market/gateway.py
index f4854aa..7e29b68 100644
--- a/backend/app/market/gateway.py
+++ b/backend/app/market/gateway.py
@@ -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
diff --git a/backend/app/market/instruments.py b/backend/app/market/instruments.py
index ddc5d06..91719ae 100644
--- a/backend/app/market/instruments.py
+++ b/backend/app/market/instruments.py
@@ -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)
diff --git a/backend/app/models/db.py b/backend/app/models/db.py
index cbbd91e..23fdf67 100644
--- a/backend/app/models/db.py
+++ b/backend/app/models/db.py
@@ -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),
}
diff --git a/backend/app/sim/matcher.py b/backend/app/sim/matcher.py
index 59c0dfa..c5fea9a 100644
--- a/backend/app/sim/matcher.py
+++ b/backend/app/sim/matcher.py
@@ -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"),
diff --git a/backend/app/strategy/__init__.py b/backend/app/strategy/__init__.py
index cd50b46..3821cf9 100644
--- a/backend/app/strategy/__init__.py
+++ b/backend/app/strategy/__init__.py
@@ -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}")
diff --git a/backend/app/strategy/clock.py b/backend/app/strategy/clock.py
index 3efc6e0..3e8fa3a 100644
--- a/backend/app/strategy/clock.py
+++ b/backend/app/strategy/clock.py
@@ -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:
diff --git a/backend/app/strategy/engine.py b/backend/app/strategy/engine.py
index 3743267..f73945c 100644
--- a/backend/app/strategy/engine.py
+++ b/backend/app/strategy/engine.py
@@ -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)
diff --git a/backend/app/strategy/exits.py b/backend/app/strategy/exits.py
index 68b216c..5c0b746 100644
--- a/backend/app/strategy/exits.py
+++ b/backend/app/strategy/exits.py
@@ -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, "")
diff --git a/backend/tests/test_instruments.py b/backend/tests/test_instruments.py
index 84bf880..492344a 100644
--- a/backend/tests/test_instruments.py
+++ b/backend/tests/test_instruments.py
@@ -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
diff --git a/backend/tests/test_p1_p2_rules.py b/backend/tests/test_p1_p2_rules.py
index 4abb3de..4bf8e0d 100644
--- a/backend/tests/test_p1_p2_rules.py
+++ b/backend/tests/test_p1_p2_rules.py
@@ -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"
diff --git a/frontend/src/api/client.ts b/frontend/src/api/client.ts
index 01a5daa..8b0f23d 100644
--- a/frontend/src/api/client.ts
+++ b/frontend/src/api/client.ts
@@ -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 };
diff --git a/frontend/src/pages/Plan.tsx b/frontend/src/pages/Plan.tsx
index 9f3d2ad..0cf978e 100644
--- a/frontend/src/pages/Plan.tsx
+++ b/frontend/src/pages/Plan.tsx
@@ -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 (
自动对冲计划
- 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
{err ?
{err}
: null}
@@ -142,14 +142,14 @@ export default function PlanPage() {
)}
{" "}
- · {phaseLabel} · 轮次 {plan?.rounds_done ?? 0}/{plan?.max_rounds ?? 3}
+ · {phaseLabel} · 已完成 {plan?.rounds_done ?? 0} 组
- 开仓窗
+ 选约条件
- {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
@@ -159,9 +159,10 @@ export default function PlanPage() {
- 权益
+ 权益 / 杠杆
- {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
@@ -181,9 +182,9 @@ export default function PlanPage() {
- N 点进度
+ 波动进度
- {fmt(move, 1)} / {fmt(exitN, 0)}
+ {fmt(movePct, 2)}% / {fmt(exitPct, 2)}%
{plan?.last_error ? (
@@ -217,6 +218,9 @@ export default function PlanPage() {
永续持仓
组 {pos?.group_id}
数量 {fmt(pos?.perp_qty_eth, 2)} ETH
+
+ {fmt(pos?.leverage ?? plan?.leverage, 0)}x
+
@@ -234,16 +238,16 @@ export default function PlanPage() {
- 指数
- {fmt(pos?.index_px)}
+ 保证金
+ {fmt(pos?.perp_margin)}
- 开仓指数
- {fmt(pos?.entry_index_px)}
+ 名义价值
+ {fmt(pos?.perp_notional)}
- 波动点数
- {fmt(move, 1)}
+ 波动比例
+ {fmt(movePct, 2)}%
diff --git a/frontend/src/pages/Settings.tsx b/frontend/src/pages/Settings.tsx
index 7209fb7..49e2706 100644
--- a/frontend/src/pages/Settings.tsx
+++ b/frontend/src/pages/Settings.tsx
@@ -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("/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" ? (
- 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。
{stratOk ?
{stratOk}
: null}
{err && tab === "strategy" ?
{err}
: null}