Add risk-based position sizing (以损定仓) with per-open k resize.

Manual vs risk modes are exclusive; each open floors k to 1 decimal so estimated premium+fees stay within the loss budget.

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

backend/app/api/settings.py

@@ -48,6 +48,12 @@ KEYS = (
     "perp_qty_eth",
     "option_qty_eth",
     "show_manual_trade_buttons",
+    "sizing_mode",
+    "risk_loss_mode",
+    "risk_loss_pct",
+    "risk_loss_usdt",
+    "risk_capital_source",
+    "risk_manual_capital_usdt",
 )
 
 
@@ -74,6 +80,14 @@ class StrategySettingsBody(BaseModel):
     option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
     show_manual_trade_buttons: bool | None = None
     exchange: str | None = Field(default=None, pattern="^(okx|binance|bn)$")
+    sizing_mode: str | None = Field(default=None, pattern="^(manual|risk_based)$")
+    risk_loss_mode: str | None = Field(default=None, pattern="^(percent|absolute)$")
+    risk_loss_pct: float | None = Field(default=None, ge=0.01, le=100)
+    risk_loss_usdt: float | None = Field(default=None, ge=0.1, le=1_000_000)
+    risk_capital_source: str | None = Field(
+        default=None, pattern="^(trading_account|manual)$"
+    )
+    risk_manual_capital_usdt: float | None = Field(default=None, ge=1, le=100_000_000)
 
 
 def _as_bool(raw: str | None, default: bool) -> bool:
@@ -82,6 +96,15 @@ def _as_bool(raw: str | None, default: bool) -> bool:
     return str(raw).strip().lower() in ("1", "true", "yes", "on")
 
 
+def _risk_preview_safe() -> dict:
+    try:
+        from ..strategy.risk_sizing import preview_risk_sizing
+
+        return preview_risk_sizing()
+    except Exception as e:
+        return {"ok": False, "detail": f"预览失败: {e}", "risk_based": False}
+
+
 def _read_settings() -> dict:
     db = get_db()
     s = get_settings()
@@ -183,6 +206,45 @@ def _read_settings() -> dict:
         "show_manual_trade_buttons": _as_bool(
             db.get_setting("show_manual_trade_buttons", "0"), False
         ),
+        "sizing_mode": (
+            sm
+            if (
+                sm := str(db.get_setting("sizing_mode", "manual") or "manual")
+                .strip()
+                .lower()
+            )
+            in ("manual", "risk_based")
+            else "manual"
+        ),
+        "risk_loss_mode": (
+            lm
+            if (
+                lm := str(db.get_setting("risk_loss_mode", "percent") or "percent")
+                .strip()
+                .lower()
+            )
+            in ("percent", "absolute")
+            else "percent"
+        ),
+        "risk_loss_pct": float(db.get_setting("risk_loss_pct", "1") or 1),
+        "risk_loss_usdt": float(db.get_setting("risk_loss_usdt", "15") or 15),
+        "risk_capital_source": (
+            cs
+            if (
+                cs := str(
+                    db.get_setting("risk_capital_source", "trading_account")
+                    or "trading_account"
+                )
+                .strip()
+                .lower()
+            )
+            in ("trading_account", "manual")
+            else "trading_account"
+        ),
+        "risk_manual_capital_usdt": float(
+            db.get_setting("risk_manual_capital_usdt", "10000") or 10000
+        ),
+        "risk_sizing_preview": _risk_preview_safe(),
         "exchange": rt.exchange,
         "perp_inst_id": rt.perp_inst_id,
         "option_inst_family": rt.option_inst_family,
@@ -244,6 +306,59 @@ async def put_strategy_settings(
                 detail="有未平仓，无法切换永续保证金模式；请先平仓后再改",
             )
 
+    # 以损定仓 ↔ 手动仓位互斥；开启以损定仓时强制 fixed_usdt，并忽略手填名义/出场
+    sizing_mode = str(
+        data.get(
+            "sizing_mode",
+            db.get_setting("sizing_mode", "manual") or "manual",
+        )
+    ).strip().lower()
+    if sizing_mode == "risk_based":
+        data["exit_mode"] = "fixed_usdt"
+        data.pop("perp_qty_eth", None)
+        data.pop("option_qty_eth", None)
+        data.pop("net_profit_target", None)
+        loss_mode = str(
+            data.get(
+                "risk_loss_mode",
+                db.get_setting("risk_loss_mode", "percent") or "percent",
+            )
+        ).strip().lower()
+        if loss_mode == "absolute":
+            loss_u = data.get("risk_loss_usdt")
+            if loss_u is None:
+                loss_u = float(db.get_setting("risk_loss_usdt", "0") or 0)
+            if float(loss_u) <= 0:
+                raise HTTPException(
+                    status_code=400,
+                    detail="以损定仓选用亏损值时，须填写 risk_loss_usdt > 0",
+                )
+        else:
+            src = str(
+                data.get(
+                    "risk_capital_source",
+                    db.get_setting("risk_capital_source", "trading_account")
+                    or "trading_account",
+                )
+            ).strip().lower()
+            if src == "manual":
+                cap = data.get("risk_manual_capital_usdt")
+                if cap is None:
+                    cap = float(db.get_setting("risk_manual_capital_usdt", "0") or 0)
+                if float(cap) <= 0:
+                    raise HTTPException(
+                        status_code=400,
+                        detail="以损定仓选用单独本金时，须填写 risk_manual_capital_usdt > 0",
+                    )
+            pct = data.get("risk_loss_pct")
+            if pct is None:
+                pct = float(db.get_setting("risk_loss_pct", "0") or 0)
+            if float(pct) <= 0:
+                raise HTTPException(
+                    status_code=400,
+                    detail="以损定仓选用亏损幅度时，须填写 risk_loss_pct > 0",
+                )
+
     for k, v in data.items():
         if k in KEYS:
             db.set_setting(k, str(v))

backend/app/api/sim.py

@@ -96,9 +96,44 @@ async def sim_open_group(
     option_inst = (
         pick.pair.call_inst_id if option_side == "call" else pick.pair.put_inst_id
     )
+    # 强制方向时用该腿卖一估权利金；否则用选向结果
+    sizing_ask = float(
+        option_ask
+        if force in ("call", "put")
+        else pick.option_ask
+    )
 
     wkey = window_key()
     db = get_db()
+    from ..strategy.risk_sizing import apply_risk_sizing_to_ledger
+
+    rs = apply_risk_sizing_to_ledger(
+        index_px=float(pick.underlying_px),
+        option_ask=sizing_ask,
+        db=db,
+    )
+    if not rs.ok:
+        raise HTTPException(status_code=409, detail=rs.detail)
+
+    try:
+        from ..strategy.open_capacity import assess_open_capacity
+
+        cap = assess_open_capacity(db)
+        if cap.get("perp_can_open") is False or cap.get("option_can_open") is False:
+            detail = (
+                f"{cap.get('perp_label')} · {cap.get('option_label')}；"
+                f"永续需≈{cap.get('perp_need_usdt')}U/有{cap.get('perp_have_usdt')}U，"
+                f"期权需≈{cap.get('option_need_usdc')}U/有{cap.get('option_have_usdc')}U"
+            )
+            raise HTTPException(
+                status_code=409,
+                detail=f"资金不足，暂不可开新仓：{detail}",
+            )
+    except HTTPException:
+        raise
+    except Exception:
+        pass
+
     count = len(
         db.fetchall("SELECT group_id FROM groups WHERE group_id LIKE ?", (f"G-{wkey}-%",))
     )

backend/app/strategy/engine.py

@@ -716,6 +716,41 @@ class StrategyEngine:
             self._set_state(phase="open", last_error="有未平仓，禁止开下一组")
             return
 
+        self._set_state(phase="wait_signal")
+        pick = await get_session().pick_for_open_async()
+        if pick is None:
+            self._set_state(
+                last_error="无合格期权：需剩余时长、杠杆（及已开启的ATM偏差）同时满足"
+            )
+            return
+
+        # 以损定仓：每笔开仓前按指数/卖一重算 k，再写名义与出场（须在资金门前）
+        try:
+            from .risk_sizing import apply_risk_sizing_to_ledger
+
+            rs = apply_risk_sizing_to_ledger(
+                index_px=float(pick.underlying_px),
+                option_ask=float(pick.option_ask),
+                db=self.db,
+            )
+            if not rs.ok:
+                self._set_state(phase="idle", last_error=rs.detail)
+                try:
+                    from ..notify import wecom
+
+                    wecom.notify_fault(
+                        title="以损定仓失败",
+                        detail=rs.detail,
+                        dedupe_key=f"risk_sizing:{rs.detail[:80]}",
+                    )
+                except Exception:
+                    pass
+                return
+        except Exception:
+            logger.exception("risk sizing failed")
+            self._set_state(phase="idle", last_error="以损定仓计算异常，暂不开仓")
+            return
+
         try:
             cap = assess_open_capacity(self.db)
             if cap.get("perp_can_open") is False or cap.get("option_can_open") is False:
@@ -732,14 +767,6 @@ class StrategyEngine:
         except Exception:
             logger.exception("open capacity gate failed")
 
-        self._set_state(phase="wait_signal")
-        pick = await get_session().pick_for_open_async()
-        if pick is None:
-            self._set_state(
-                last_error="无合格期权：需剩余时长、杠杆（及已开启的ATM偏差）同时满足"
-            )
-            return
-
         self._set_state(phase="opening", last_error=None)
         wkey = window_key()
         count = self._count_groups_for_day(wkey)

backend/app/strategy/risk_sizing.py

@@ -0,0 +1,337 @@
+"""以损定仓：按可承受最大亏损反推标准组倍数 k（永续1 / 期权2 / 出场15）。"""
+
+from __future__ import annotations
+
+import logging
+import math
+from dataclasses import dataclass
+from typing import Any
+
+from ..config import get_settings
+from ..models.db import Database, get_db
+from ..sim.ledger import Ledger
+
+logger = logging.getLogger(__name__)
+
+# 标准组基准（k=1）
+BASE_PERP_ETH = 1.0
+BASE_OPTION_ETH = 2.0
+BASE_EXIT_USDT = 15.0
+MIN_K = 0.1
+FEE_LEG_COUNT = 3  # 永续开/平 + 期权一次
+
+
+@dataclass(frozen=True, slots=True)
+class RiskSizingResult:
+    ok: bool
+    detail: str
+    k: float | None = None
+    budget: float | None = None
+    capital_base: float | None = None
+    premium_est: float | None = None
+    fee_est: float | None = None
+    max_loss: float | None = None
+    perp_qty_eth: float | None = None
+    option_qty_eth: float | None = None
+    net_profit_target: float | None = None
+    index_px: float | None = None
+    option_ask: float | None = None
+
+
+def is_risk_based(ledger: Ledger | None = None) -> bool:
+    led = ledger or Ledger()
+    mode = (led.get_setting_str("sizing_mode", "manual") or "manual").strip().lower()
+    return mode == "risk_based"
+
+
+def floor_k_1dp(k_raw: float) -> float:
+    """一位小数向下取整，保证不超预算。"""
+    if k_raw <= 0 or not math.isfinite(k_raw):
+        return 0.0
+    return math.floor(k_raw * 10.0 + 1e-12) / 10.0
+
+
+def unit_cost(*, index_px: float, option_ask: float, fee_rate: float) -> float:
+    """k=1 时估算最大亏损 = 权利金(2ETH) + 手续费粗估。"""
+    premium_unit = float(option_ask) * BASE_OPTION_ETH
+    fee_unit = float(index_px) * float(fee_rate) * FEE_LEG_COUNT
+    return premium_unit + fee_unit
+
+
+def compute_k(
+    *,
+    budget: float,
+    index_px: float,
+    option_ask: float,
+    fee_rate: float,
+) -> RiskSizingResult:
+    if budget is None or budget <= 0 or not math.isfinite(budget):
+        return RiskSizingResult(ok=False, detail="以损定仓预算无效（须 > 0）")
+    if index_px is None or index_px <= 0 or not math.isfinite(index_px):
+        return RiskSizingResult(ok=False, detail="以损定仓缺少有效指数价")
+    if option_ask is None or option_ask <= 0 or not math.isfinite(option_ask):
+        return RiskSizingResult(ok=False, detail="以损定仓缺少有效期权卖一")
+
+    cost1 = unit_cost(index_px=index_px, option_ask=option_ask, fee_rate=fee_rate)
+    if cost1 <= 1e-12:
+        return RiskSizingResult(ok=False, detail="以损定仓单位成本无效")
+
+    k_raw = float(budget) / cost1
+    k = floor_k_1dp(k_raw)
+    if k < MIN_K - 1e-12:
+        return RiskSizingResult(
+            ok=False,
+            detail=(
+                f"以损定仓算出 k={k_raw:.4f}，向下取整后 < {MIN_K}，"
+                f"预算 {budget:.2f}U 不足以开最小仓（单位成本≈{cost1:.2f}U）"
+            ),
+            budget=float(budget),
+            k=k,
+            index_px=float(index_px),
+            option_ask=float(option_ask),
+        )
+
+    # 若浮点导致仍略超，再降一档
+    while k >= MIN_K - 1e-12:
+        prem = float(option_ask) * BASE_OPTION_ETH * k
+        fee = float(index_px) * float(fee_rate) * FEE_LEG_COUNT * k
+        mx = prem + fee
+        if mx <= float(budget) + 1e-6:
+            return RiskSizingResult(
+                ok=True,
+                detail="ok",
+                k=k,
+                budget=float(budget),
+                premium_est=prem,
+                fee_est=fee,
+                max_loss=mx,
+                perp_qty_eth=round(BASE_PERP_ETH * k, 4),
+                option_qty_eth=round(BASE_OPTION_ETH * k, 4),
+                net_profit_target=round(BASE_EXIT_USDT * k, 4),
+                index_px=float(index_px),
+                option_ask=float(option_ask),
+            )
+        k = round(k - 0.1, 1)
+
+    return RiskSizingResult(
+        ok=False,
+        detail=f"以损定仓无法在预算 {budget:.2f}U 内找到合规 k",
+        budget=float(budget),
+        index_px=float(index_px),
+        option_ask=float(option_ask),
+    )
+
+
+def resolve_capital_base(db: Database | None = None) -> tuple[float | None, str]:
+    """返回 (本金USDT口径, 说明)。"""
+    database = db or get_db()
+    ledger = Ledger(database)
+    source = (
+        ledger.get_setting_str("risk_capital_source", "trading_account") or "trading_account"
+    ).strip().lower()
+    if source in ("manual", "manual_capital", "fixed"):
+        cap = ledger.get_setting_float("risk_manual_capital_usdt", 0.0)
+        if cap <= 0:
+            return None, "单独本金未设置或 ≤ 0"
+        return float(cap), "manual"
+
+    # trading_account：交易账户 USDT + USDC（1:1 折算，与资金条交易账户一致）
+    usdt, usdc = _trading_balances(database)
+    if usdt is None and usdc is None:
+        try:
+            from ..exchange.runtime import load_runtime_settings
+
+            ex = str(load_runtime_settings().exchange or "").strip().lower()
+            if ex in ("binance", "bn") and not get_settings().is_sim:
+                return (
+                    None,
+                    "币安实盘暂未接入交易账户余额，请改用「单独本金」或「亏损值」",
+                )
+        except Exception:
+            pass
+        return None, "无法读取交易账户资金"
+    total = float(usdt or 0.0) + float(usdc or 0.0)
+    if total <= 1e-9:
+        return None, "交易账户总资金为 0"
+    return total, "trading_account"
+
+
+def resolve_budget(db: Database | None = None) -> tuple[float | None, str, float | None]:
+    """返回 (budget, detail, capital_base)。"""
+    database = db or get_db()
+    ledger = Ledger(database)
+    loss_mode = (
+        ledger.get_setting_str("risk_loss_mode", "percent") or "percent"
+    ).strip().lower()
+    if loss_mode in ("absolute", "usdt", "value", "亏损值"):
+        bud = ledger.get_setting_float("risk_loss_usdt", 0.0)
+        if bud <= 0:
+            return None, "亏损值未设置或 ≤ 0", None
+        return float(bud), "absolute", None
+
+    capital, src = resolve_capital_base(database)
+    if capital is None:
+        return None, src, None
+    pct = ledger.get_setting_float("risk_loss_pct", 1.0)
+    if pct <= 0:
+        return None, "亏损幅度须 > 0", capital
+    return float(capital) * (float(pct) / 100.0), f"percent@{src}", capital
+
+
+def _trading_balances(db: Database) -> tuple[float | None, float | None]:
+    s = get_settings()
+    if s.is_sim:
+        from ..sim.funds_wallets import SimFundsWallets
+
+        w = SimFundsWallets(db)
+        v = w.view()
+        return float(v["trading_usdt"]), float(v["trading_usdc"])
+    try:
+        from ..exchange.runtime import load_runtime_settings
+
+        ex = str(load_runtime_settings().exchange or "").strip().lower()
+        if ex in ("binance", "bn"):
+            return None, None
+        from ..live.okx_funds import OkxFundsClient
+
+        client = OkxFundsClient()
+        try:
+            bal = client.fetch_balances()
+            tu = bal.get("trading_usdt")
+            tc = bal.get("trading_usdc")
+            return (
+                float(tu) if tu is not None else None,
+                float(tc) if tc is not None else None,
+            )
+        finally:
+            client.close()
+    except Exception as e:
+        logger.warning("risk_sizing trading balance failed: %s", e)
+        return None, None
+
+
+def compute_risk_sizing(
+    *,
+    index_px: float,
+    option_ask: float,
+    db: Database | None = None,
+) -> RiskSizingResult:
+    database = db or get_db()
+    ledger = Ledger(database)
+    s = get_settings()
+    fee_rate = ledger.get_setting_float("fee_rate", s.fee_rate)
+    budget, bud_detail, capital = resolve_budget(database)
+    if budget is None:
+        return RiskSizingResult(ok=False, detail=f"以损定仓预算失败: {bud_detail}")
+    r = compute_k(
+        budget=budget,
+        index_px=index_px,
+        option_ask=option_ask,
+        fee_rate=fee_rate,
+    )
+    if not r.ok:
+        return RiskSizingResult(
+            ok=False,
+            detail=r.detail,
+            budget=budget,
+            capital_base=capital,
+            index_px=float(index_px),
+            option_ask=float(option_ask),
+            k=r.k,
+        )
+    return RiskSizingResult(
+        ok=True,
+        detail=r.detail,
+        k=r.k,
+        budget=budget,
+        capital_base=capital,
+        premium_est=r.premium_est,
+        fee_est=r.fee_est,
+        max_loss=r.max_loss,
+        perp_qty_eth=r.perp_qty_eth,
+        option_qty_eth=r.option_qty_eth,
+        net_profit_target=r.net_profit_target,
+        index_px=r.index_px,
+        option_ask=r.option_ask,
+    )
+
+
+def apply_risk_sizing_to_ledger(
+    *,
+    index_px: float,
+    option_ask: float,
+    db: Database | None = None,
+) -> RiskSizingResult:
+    """计算并写入 perp/option/exit；非以损定仓模式直接 ok 跳过。"""
+    database = db or get_db()
+    ledger = Ledger(database)
+    if not is_risk_based(ledger):
+        return RiskSizingResult(ok=True, detail="manual_sizing_skip")
+
+    r = compute_risk_sizing(index_px=index_px, option_ask=option_ask, db=database)
+    if not r.ok:
+        return r
+
+    # 以损定仓强制 fixed_usdt，保证出场 15×k
+    database.set_setting("exit_mode", "fixed_usdt")
+    database.set_setting("perp_qty_eth", str(r.perp_qty_eth))
+    database.set_setting("option_qty_eth", str(r.option_qty_eth))
+    database.set_setting("net_profit_target", str(r.net_profit_target))
+    database.set_setting("risk_last_k", str(r.k))
+    database.set_setting(
+        "risk_last_max_loss",
+        f"{r.max_loss:.6f}" if r.max_loss is not None else "",
+    )
+    logger.info(
+        "risk_sizing applied k=%.1f perp=%.4f opt=%.4f exit=%.4f max_loss=%.4f budget=%.4f",
+        r.k or 0,
+        r.perp_qty_eth or 0,
+        r.option_qty_eth or 0,
+        r.net_profit_target or 0,
+        r.max_loss or 0,
+        r.budget or 0,
+    )
+    return r
+
+
+def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
+    """设置页预览：用当前盘口粗估。"""
+    database = db or get_db()
+    ledger = Ledger(database)
+    out: dict[str, Any] = {
+        "sizing_mode": ledger.get_setting_str("sizing_mode", "manual") or "manual",
+        "risk_based": is_risk_based(ledger),
+    }
+    if not is_risk_based(ledger):
+        out["ok"] = True
+        out["detail"] = "当前为手动仓位"
+        return out
+    try:
+        from .open_capacity import _index_and_option_ask
+
+        idx, ask = _index_and_option_ask()
+    except Exception:
+        idx, ask = None, None
+    if idx is None or ask is None:
+        out["ok"] = False
+        out["detail"] = "暂无指数或期权卖一，无法预览"
+        return out
+    r = compute_risk_sizing(index_px=float(idx), option_ask=float(ask), db=database)
+    out.update(
+        {
+            "ok": r.ok,
+            "detail": r.detail,
+            "k": r.k,
+            "budget": r.budget,
+            "capital_base": r.capital_base,
+            "premium_est": r.premium_est,
+            "fee_est": r.fee_est,
+            "max_loss": r.max_loss,
+            "perp_qty_eth": r.perp_qty_eth,
+            "option_qty_eth": r.option_qty_eth,
+            "net_profit_target": r.net_profit_target,
+            "index_px": r.index_px,
+            "option_ask": r.option_ask,
+        }
+    )
+    return out

backend/tests/test_risk_sizing.py

@@ -0,0 +1,53 @@
+"""以损定仓纯函数测试。"""
+
+from __future__ import annotations
+
+from app.strategy.risk_sizing import (
+    BASE_EXIT_USDT,
+    BASE_OPTION_ETH,
+    BASE_PERP_ETH,
+    compute_k,
+    floor_k_1dp,
+    unit_cost,
+)
+
+
+def test_floor_k_1dp() -> None:
+    assert floor_k_1dp(1.29) == 1.2
+    assert floor_k_1dp(0.19) == 0.1
+    assert floor_k_1dp(0.09) == 0.0
+    assert floor_k_1dp(2.0) == 2.0
+
+
+def test_compute_k_scales_1_2_15() -> None:
+    # I=2000, A=20, fee=0.0005 → unit = 2*20 + 2000*0.0005*3 = 40 + 3 = 43
+    # budget=43 → k=1.0
+    r = compute_k(budget=43.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
+    assert r.ok
+    assert r.k == 1.0
+    assert r.perp_qty_eth == BASE_PERP_ETH
+    assert r.option_qty_eth == BASE_OPTION_ETH
+    assert r.net_profit_target == BASE_EXIT_USDT
+    assert r.max_loss is not None and r.max_loss <= 43.0 + 1e-6
+
+
+def test_compute_k_never_exceeds_budget() -> None:
+    r = compute_k(budget=50.0, index_px=1900.0, option_ask=18.5, fee_rate=0.0005)
+    assert r.ok
+    assert r.k is not None
+    assert abs(r.k * 10 - round(r.k * 10)) < 1e-9  # 一位小数
+    assert r.max_loss is not None and r.max_loss <= 50.0 + 1e-6
+    assert r.perp_qty_eth == round(1.0 * r.k, 4)
+    assert r.option_qty_eth == round(2.0 * r.k, 4)
+    assert r.net_profit_target == round(15.0 * r.k, 4)
+
+
+def test_compute_k_too_small() -> None:
+    # unit≈43, budget=2 → k_raw≪0.1
+    r = compute_k(budget=2.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
+    assert not r.ok
+    assert "最小仓" in r.detail or "k=" in r.detail
+
+
+def test_unit_cost() -> None:
+    assert abs(unit_cost(index_px=2000, option_ask=20, fee_rate=0.0005) - 43.0) < 1e-9

docs/更新说明.md

@@ -5,6 +5,20 @@
 
 ---
 
+## 2026-07-29 — 以损定仓（智能调仓）
+
+### 变更
+
+1. 设置页仓位模式二选一：**手动** / **以损定仓**；互斥手填名义与出场。  
+2. 以损定仓：亏损幅度（交易账户总资金或单独本金）或亏损值；每次开仓前按 ATM 卖一+指数粗估手续费反推 `k`（一位小数向下），写出永续 `1k` / 期权 `2k` / 出场 `15k`。  
+3. 估算最大亏损 = 权利金(`ask×2k`) + 手续费(`指数×fee_rate×3×k`)，保证 ≤ 预算。
+
+### 审计
+
+见同日推送前两轮自审（公式边界、开仓钩子、设置互斥、回归测试）。
+
+---
+
 ## 2026-07-29 — 部署：半截 .venv 必须重建（缺 activate）
 
 ### 变更

docs/策略说明.md

@@ -39,6 +39,31 @@
 
 永续杠杆默认 **3×**（可配）。永续保证金模式默认 **全仓**（可改逐仓）；期权保证金模式固定买方现金/逐仓意图。同时最多 **1 组**仓，禁止叠仓开下一组。
 
+### 2.0 仓位模式：手动 vs 以损定仓
+
+设置页二选一：
+
+| 模式 | 行为 |
+|------|------|
+| **手动** | 直接填 `perp_qty_eth` / `option_qty_eth` / `net_profit_target` |
+| **以损定仓** | 禁用手填；每次**新开仓前**按预算反推倍数 `k`（一位小数向下），写出永续 `1×k`、期权 `2×k`、出场 `15×k`（强制 `fixed_usdt`） |
+
+预算：
+
+- **亏损幅度**：`本金 × 幅度%`。本金二选一——交易账户总资金（USDT+USDC）或单独本金。  
+- **亏损值**：直接填可亏 USDT。
+
+估算最大亏损（须 ≤ 预算）：
+
+```text
+premium ≈ ATM卖一 × 2 × k
+fee     ≈ 指数 × fee_rate × 3 × k   # 永续开/平 + 期权一次
+max_loss = premium + fee
+k = floor(budget / (2A + I×fee_rate×3) × 10) / 10
+```
+
+`k < 0.1` 或盘口缺失 → 拒绝开仓。
+
 ### 2.1 开仓方向
 
 #### 默认（`fixed_direction_enabled=false`）：ATM 相对现价优先

frontend/src/api/client.ts

@@ -323,6 +323,13 @@ export type StrategySettings = {
   perp_qty_eth?: number;
   option_qty_eth?: number;
   show_manual_trade_buttons?: boolean;
+  sizing_mode?: "manual" | "risk_based";
+  risk_loss_mode?: "percent" | "absolute";
+  risk_loss_pct?: number;
+  risk_loss_usdt?: number;
+  risk_capital_source?: "trading_account" | "manual";
+  risk_manual_capital_usdt?: number;
+  risk_sizing_preview?: Record<string, unknown>;
   exchange?: string;
 };
 

frontend/src/pages/Settings.tsx

@@ -84,6 +84,19 @@ export default function SettingsPage() {
   const [perpQty, setPerpQty] = useState(1);
   const [optQty, setOptQty] = useState(2);
   const [showManualTrade, setShowManualTrade] = useState(false);
+  const [sizingMode, setSizingMode] = useState<"manual" | "risk_based">("manual");
+  const [riskLossMode, setRiskLossMode] = useState<"percent" | "absolute">(
+    "percent",
+  );
+  const [riskLossPct, setRiskLossPct] = useState(1);
+  const [riskLossUsdt, setRiskLossUsdt] = useState(15);
+  const [riskCapitalSource, setRiskCapitalSource] = useState<
+    "trading_account" | "manual"
+  >("trading_account");
+  const [riskManualCapital, setRiskManualCapital] = useState(10000);
+  const [riskPreview, setRiskPreview] = useState<Record<string, unknown> | null>(
+    null,
+  );
   const [initialEquity, setInitialEquity] = useState(10000);
   const [exchange, setExchange] = useState<"okx" | "binance">("okx");
   const [stratOk, setStratOk] = useState("");
@@ -173,6 +186,19 @@ export default function SettingsPage() {
         setPerpQty(s.perp_qty_eth ?? 1);
         setOptQty(s.option_qty_eth ?? 2);
         setShowManualTrade(s.show_manual_trade_buttons === true);
+        setSizingMode(s.sizing_mode === "risk_based" ? "risk_based" : "manual");
+        setRiskLossMode(s.risk_loss_mode === "absolute" ? "absolute" : "percent");
+        setRiskLossPct(s.risk_loss_pct ?? 1);
+        setRiskLossUsdt(s.risk_loss_usdt ?? 15);
+        setRiskCapitalSource(
+          s.risk_capital_source === "manual" ? "manual" : "trading_account",
+        );
+        setRiskManualCapital(s.risk_manual_capital_usdt ?? 10000);
+        setRiskPreview(
+          s.risk_sizing_preview && typeof s.risk_sizing_preview === "object"
+            ? s.risk_sizing_preview
+            : null,
+        );
         setInitialEquity(s.initial_equity ?? 10000);
         setExchange(s.exchange === "binance" ? "binance" : "okx");
       })
@@ -302,8 +328,7 @@ export default function SettingsPage() {
     try {
       const body: Record<string, unknown> = {
         fee_rate: fee,
-        exit_mode: exitMode,
+        exit_mode: sizingMode === "risk_based" ? "fixed_usdt" : exitMode,
-        net_profit_target: netTarget,
         premium_exit_multiple: premMult,
         rest_seconds: rest,
         live_order_interval_sec: orderInterval,
@@ -317,19 +342,40 @@ export default function SettingsPage() {
         fixed_direction_enabled: fixedDirOn,
         fixed_perp_side: fixedPerpSide,
         close_bid_mark_max_pct: closeDevPct,
-        perp_qty_eth: perpQty,
-        option_qty_eth: optQty,
         show_manual_trade_buttons: showManualTrade,
+        sizing_mode: sizingMode,
+        risk_loss_mode: riskLossMode,
+        risk_loss_pct: riskLossPct,
+        risk_loss_usdt: riskLossUsdt,
+        risk_capital_source: riskCapitalSource,
+        risk_manual_capital_usdt: riskManualCapital,
         exchange,
       };
+      // 以损定仓不提交手填名义/出场，避免禁用输入框脏值导致 422
+      if (sizingMode === "manual") {
+        body.net_profit_target = netTarget;
+        body.perp_qty_eth = perpQty;
+        body.option_qty_eth = optQty;
+      }
       // LIVE 不改模拟资金，避免误重置本地账本
       if (!isLive) {
         body.initial_equity = initialEquity;
       }
-      await apiFetch("/api/settings/strategy", {
+      const saved = await apiFetch<StrategySettings>("/api/settings/strategy", {
         method: "PUT",
         body: JSON.stringify(body),
       });
+      if (saved?.risk_sizing_preview) {
+        setRiskPreview(saved.risk_sizing_preview);
+      }
+      if (saved?.perp_qty_eth != null) setPerpQty(saved.perp_qty_eth);
+      if (saved?.option_qty_eth != null) setOptQty(saved.option_qty_eth);
+      if (saved?.net_profit_target != null) setNetTarget(saved.net_profit_target);
+      if (saved?.exit_mode) {
+        setExitMode(
+          saved.exit_mode === "premium_multiple" ? "premium_multiple" : "fixed_usdt",
+        );
+      }
       setStratOk(
         isLive
           ? "策略参数已保存（实盘模式不改模拟资金）"
@@ -583,6 +629,125 @@ export default function SettingsPage() {
                       <option value="isolated">逐仓</option>
                     </select>
                   </div>
+                  <div className="field">
+                    <label htmlFor="sizingMode">仓位模式</label>
+                    <select
+                      id="sizingMode"
+                      className="mono"
+                      value={sizingMode}
+                      onChange={(e) =>
+                        setSizingMode(
+                          e.target.value === "risk_based"
+                            ? "risk_based"
+                            : "manual",
+                        )
+                      }
+                    >
+                      <option value="manual">手动仓位（填 ETH 名义）</option>
+                      <option value="risk_based">以损定仓（按亏损预算反推）</option>
+                    </select>
+                  </div>
+                  {sizingMode === "risk_based" ? (
+                    <>
+                      <div className="field">
+                        <label htmlFor="riskLossMode">亏损约束</label>
+                        <select
+                          id="riskLossMode"
+                          className="mono"
+                          value={riskLossMode}
+                          onChange={(e) =>
+                            setRiskLossMode(
+                              e.target.value === "absolute"
+                                ? "absolute"
+                                : "percent",
+                            )
+                          }
+                        >
+                          <option value="percent">亏损幅度（占本金 %）</option>
+                          <option value="absolute">亏损值（USDT）</option>
+                        </select>
+                      </div>
+                      {riskLossMode === "percent" ? (
+                        <>
+                          <div className="field">
+                            <label htmlFor="riskCapSrc">本金来源</label>
+                            <select
+                              id="riskCapSrc"
+                              className="mono"
+                              value={riskCapitalSource}
+                              onChange={(e) =>
+                                setRiskCapitalSource(
+                                  e.target.value === "manual"
+                                    ? "manual"
+                                    : "trading_account",
+                                )
+                              }
+                            >
+                              <option value="trading_account">
+                                交易账户总资金
+                              </option>
+                              <option value="manual">单独设置本金</option>
+                            </select>
+                          </div>
+                          {riskCapitalSource === "manual" ? (
+                            <div className="field">
+                              <label htmlFor="riskManCap">单独本金（USDT）</label>
+                              <input
+                                id="riskManCap"
+                                className="mono"
+                                type="number"
+                                step="100"
+                                min="1"
+                                value={riskManualCapital}
+                                onChange={(e) =>
+                                  setRiskManualCapital(Number(e.target.value))
+                                }
+                              />
+                            </div>
+                          ) : null}
+                          <div className="field">
+                            <label htmlFor="riskPct">亏损幅度（%）</label>
+                            <input
+                              id="riskPct"
+                              className="mono"
+                              type="number"
+                              step="0.01"
+                              min="0.01"
+                              value={riskLossPct}
+                              onChange={(e) =>
+                                setRiskLossPct(Number(e.target.value))
+                              }
+                            />
+                          </div>
+                        </>
+                      ) : (
+                        <div className="field">
+                          <label htmlFor="riskUsdt">亏损值（USDT）</label>
+                          <input
+                            id="riskUsdt"
+                            className="mono"
+                            type="number"
+                            step="0.1"
+                            min="0.1"
+                            value={riskLossUsdt}
+                            onChange={(e) =>
+                              setRiskLossUsdt(Number(e.target.value))
+                            }
+                          />
+                        </div>
+                      )}
+                      <div className="field" style={{ gridColumn: "1 / -1" }}>
+                        <label>以损定仓预览（保存后刷新；开仓前再算一次）</label>
+                        <div className="mono" style={{ fontSize: 12, opacity: 0.9 }}>
+                          {riskPreview == null
+                            ? "—"
+                            : riskPreview.ok === false
+                              ? String(riskPreview.detail || "预览不可用")
+                              : `k=${String(riskPreview.k ?? "—")} · 预算=${String(riskPreview.budget ?? "—")}U · 估亏=${String(riskPreview.max_loss ?? "—")}U · 永续=${String(riskPreview.perp_qty_eth ?? "—")} · 期权=${String(riskPreview.option_qty_eth ?? "—")} · 出场=${String(riskPreview.net_profit_target ?? "—")}`}
+                        </div>
+                      </div>
+                    </>
+                  ) : null}
                   <div className="field">
                     <label htmlFor="perp">永续 ETH 数量</label>
                     <input
@@ -591,6 +756,7 @@ export default function SettingsPage() {
                       type="number"
                       step="0.01"
                       min="0.01"
+                      disabled={sizingMode === "risk_based"}
                       value={perpQty}
                       onChange={(e) => setPerpQty(Number(e.target.value))}
                     />
@@ -603,6 +769,7 @@ export default function SettingsPage() {
                       type="number"
                       step="0.01"
                       min="0.01"
+                      disabled={sizingMode === "risk_based"}
                       value={optQty}
                       onChange={(e) => setOptQty(Number(e.target.value))}
                     />
@@ -709,7 +876,10 @@ export default function SettingsPage() {
                     <select
                       id="exitMode"
                       className="mono"
-                      value={exitMode}
+                      disabled={sizingMode === "risk_based"}
+                      value={
+                        sizingMode === "risk_based" ? "fixed_usdt" : exitMode
+                      }
                       onChange={(e) =>
                         setExitMode(
                           e.target.value === "premium_multiple"
@@ -722,15 +892,19 @@ export default function SettingsPage() {
                       <option value="premium_multiple">权利金倍数</option>
                     </select>
                   </div>
-                  {exitMode === "fixed_usdt" ? (
+                  {sizingMode === "risk_based" || exitMode === "fixed_usdt" ? (
                     <div className="field">
-                      <label htmlFor="netTarget">净盈利出场目标（USDT）</label>
+                      <label htmlFor="netTarget">
+                        净盈利出场目标（USDT）
+                        {sizingMode === "risk_based" ? " · 以损定仓=15×k" : ""}
+                      </label>
                       <input
                         id="netTarget"
                         className="mono"
                         type="number"
                         step="0.1"
                         min="0.1"
+                        disabled={sizingMode === "risk_based"}
                         value={netTarget}
                         onChange={(e) => setNetTarget(Number(e.target.value))}
                       />