Estimate semi forward PnL from strike intrinsic on move points.
Replace misleading exit-unit label with option/perp point-move preview vs selected K. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+2
-1
@@ -64,7 +64,8 @@
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- 流动性不足：进入 `liquidity_wait`；回落未达标则取消挂起。
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- 半自动平仓**禁止**远虚「只平永续、期权归档」；顺序仍为**先期权后永续**。
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首页预览「指数 → 到点」用**当前指数**示意；真实触发达标用**开仓指数**。
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首页预览「指数 → 到点」用**当前指数**示意；真实触发达标用**开仓指数**。
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「波动点」旁的**顺向预估**按选定行权价的内在价值变化 + 永续点位粗算（不含 IV/时间价值）；与「净利基数×k」逆向兑现目标分开显示。
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---
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@@ -5,6 +5,15 @@
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---
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## 2026-08-08 — 半自动波动点顺向预估盈利
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### 变更
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1. 「波动点」下方按标的顺向 N 点 + 行权价内在价值变化粗估组合盈利（期权腿/永续腿分列）。
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2. 与「净利基数×k」逆向兑现目标分开显示，不再把基数目标误标为顺向净利。
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---
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## 2026-08-08 — 半自动以损定仓预览开仓量
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### 变更
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+175
-12
@@ -225,6 +225,68 @@ function estimateSemiRiskQty(args: {
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return { ok: false, detail: "预算内无合规 k" };
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}
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/**
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* 标的顺向波动 move 点后的组合盈亏粗估（期权用内在价值变化，永续按点位）。
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* 多=Call+永续空；空=Put+永续多。不含权利金时间价值/IV。
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*/
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function estimateSemiMoveProfit(args: {
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view: "long" | "short";
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indexPx: number;
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strike: number;
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movePoints: number;
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optionQty: number;
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perpQty: number;
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feeRate?: number;
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}): {
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ok: boolean;
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detail: string;
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targetPx?: number;
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optionPnl?: number;
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perpPnl?: number;
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feesEst?: number;
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netEst?: number;
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} {
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const {
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view,
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indexPx,
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strike,
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movePoints,
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optionQty,
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perpQty,
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feeRate = 0,
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} = args;
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const S = Number(indexPx);
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const K = Number(strike);
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const move = Number(movePoints);
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const oq = Number(optionQty);
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const pq = Number(perpQty);
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if (!(S > 0) || !(K > 0) || !(move > 0) || !(oq > 0) || !(pq > 0)) {
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return { ok: false, detail: "缺指数/行权价/数量" };
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}
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const tgt = view === "long" ? S + move : S - move;
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const callIntr = (px: number) => Math.max(0, px - K);
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const putIntr = (px: number) => Math.max(0, K - px);
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const dIntr =
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view === "long"
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? callIntr(tgt) - callIntr(S)
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: putIntr(tgt) - putIntr(S);
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// 多：空永续随涨亏；空：多永续随跌亏 → 均为 -move×qty
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const optionPnl = dIntr * oq;
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const perpPnl = -move * pq;
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const fees =
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feeRate > 0 ? S * feeRate * 3 * Math.max(oq, pq) /* 粗估开平 */ : 0;
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const net = optionPnl + perpPnl - fees;
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return {
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ok: true,
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detail: "ok",
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targetPx: tgt,
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optionPnl: Number(optionPnl.toFixed(2)),
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perpPnl: Number(perpPnl.toFixed(2)),
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feesEst: Number(fees.toFixed(2)),
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netEst: Number(net.toFixed(2)),
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};
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}
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export default function PlanPage() {
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const [snap, setSnap] = useState<MarketSnapshot | null>(null);
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const [plan, setPlan] = useState<PlanState | null>(null);
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@@ -817,7 +879,8 @@ export default function PlanPage() {
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<li>人工定方向、行权类型、永续:期权配比与出场 →「授权开下一单」后机器盯选约/开/平。</li>
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<li>平仓后停在等待授权，不自动连开；与全自动循环无关。</li>
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<li>虚值：偏离 ≤ 设定点数；杠杆门 ≥180（默认 200）。实值/平值用本单最低杠杆。</li>
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<li>顺向：开仓指数 ± 波动点数，且组合净利 > 0 → 双腿全平（先期权后永续）。</li>
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<li>波动点：标的相对当前价顺向波动 N 点（多涨/空跌）；下方按行权价内在价值变化 + 永续点位粗估盈利。</li>
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<li>顺向出场：开仓指数 ± 波动点，且组合净利 > 0 → 双腿全平（先期权后永续）。</li>
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<li>逆向兑现：组合净利 ≥ 净利基数 × k → 全平。</li>
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<li>以损定仓时配比为单位再乘 k；手动仓按配比直接开。</li>
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</ul>
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@@ -910,7 +973,7 @@ export default function PlanPage() {
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/>
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</div>
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<div className="field">
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<label htmlFor="semiMove">波动点</label>
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<label htmlFor="semiMove">波动点(预估)</label>
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<input
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id="semiMove"
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className="mono"
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@@ -976,16 +1039,116 @@ export default function PlanPage() {
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</div>
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<div className="mono meta plan-semi-summary">
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{(() => {
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const idx = snap?.index_px ?? ladder?.index_px;
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if (idx == null || !Number.isFinite(Number(idx))) {
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return `净利目标≈${fmt(plan.semi_net_exit_target ?? semiExitU, 2)}U`;
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const shown = filterSemiLadderRows(
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ladder?.rows || [],
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semiMny,
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Number(semiOtmOff) || 25,
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semiView,
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);
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const pick = pickSizingAskRow(shown);
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const idx =
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ladder?.index_px != null
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? Number(ladder.index_px)
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: snap?.index_px != null
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? Number(snap.index_px)
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: null;
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const strike =
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pick?.strike != null
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? Number(pick.strike)
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: ladder?.atm_strike != null
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? Number(ladder.atm_strike)
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: null;
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const ask = pick?.ask != null ? Number(pick.ask) : null;
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const fee = Number(plan.fee_rate ?? 0.0005);
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const feeOk = Number.isFinite(fee) && fee >= 0 ? fee : 0.0005;
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let optQty = Number(semiOptU) || 4;
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let perpQty = Number(semiPerpU) || 1;
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if (riskLocked) {
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optQty = Number(
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plan.option_qty_eth ?? pos?.option_qty_eth ?? optQty,
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);
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perpQty = Number(
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plan.perp_qty_eth ?? pos?.perp_qty_eth ?? perpQty,
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);
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} else if (riskBased) {
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const budget = Number(plan.risk_sizing_preview?.budget);
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if (
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ask != null &&
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idx != null &&
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Number.isFinite(budget) &&
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budget > 0
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) {
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const est = estimateSemiRiskQty({
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budget,
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indexPx: idx,
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optionAsk: ask,
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feeRate: feeOk,
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perpUnit: Number(semiPerpU) || 1,
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optionUnit: Number(semiOptU) || 4,
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exitUnit: Number(semiExitU) || 5,
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});
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if (est.ok && est.optionQty != null && est.perpQty != null) {
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optQty = est.optionQty;
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perpQty = est.perpQty;
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}
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} else {
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const prev = plan.risk_sizing_preview;
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if (prev?.ok && prev.option_qty_eth != null) {
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optQty = Number(prev.option_qty_eth);
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perpQty = Number(prev.perp_qty_eth ?? perpQty);
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}
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}
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}
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const n = Number(idx);
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const tgt =
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semiView === "long"
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? n + Number(semiMove)
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: n - Number(semiMove);
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return `${fmtExPx("index", n)}→${fmtExPx("index", tgt)} · 净利≈${fmt(plan.semi_net_exit_target ?? semiExitU, 2)}U`;
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const reverseTgt = Number(
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plan.semi_net_exit_target ??
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(riskBased
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? Number(semiExitU) *
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Number(
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plan.risk_last_k ??
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plan.risk_sizing_preview?.k ??
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1,
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)
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: semiExitU),
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);
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if (idx == null || !Number.isFinite(idx)) {
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return `逆向兑现≥${fmt(reverseTgt, 2)}U`;
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}
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if (strike == null || !Number.isFinite(strike)) {
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const tgt =
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semiView === "long"
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? idx + Number(semiMove)
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: idx - Number(semiMove);
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return `${fmtExPx("index", idx)}→${fmtExPx("index", tgt)} · 待行权价估盈利 · 逆向≥${fmt(reverseTgt, 2)}U`;
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}
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const prof = estimateSemiMoveProfit({
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view: semiView,
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indexPx: idx,
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strike,
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movePoints: Number(semiMove) || 50,
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optionQty: optQty,
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perpQty: perpQty,
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feeRate: 0, // 预估展示用内在+永续点位；手续费另计
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});
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if (!prof.ok) {
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return prof.detail;
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}
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return (
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<>
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{fmtExPx("index", idx)}→{fmtExPx("index", prof.targetPx!)} ·
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K{Math.round(strike)} · 顺向预估≈{fmt(prof.netEst, 2)}U
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<span className="meta">
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{" "}
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(期权{fmt(prof.optionPnl, 1)}/永续
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{fmt(prof.perpPnl, 1)} · 内在粗估)
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</span>
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{" · "}
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逆向≥{fmt(reverseTgt, 2)}U
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</>
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);
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})()}
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</div>
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<div className="mono meta plan-semi-sizing">
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@@ -1080,7 +1243,7 @@ export default function PlanPage() {
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? ` · K${Math.round(pick.strike)}`
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: ""}
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{est.netTarget != null
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? ` · 净利目标≈${fmt(est.netTarget, 2)}U`
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? ` · 逆向目标≈${fmt(est.netTarget, 2)}U`
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: ""}
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</>
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);
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