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

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

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)