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Anchor semi exit to strike +/- move points; side-by-side semi cards.

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Forward target is K+/-N not spot+/-N; UI shows option target and perp net lock.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-08 14:59:48 +08:00
parent 6f983ed2ab
commit 4f56eff40c
8 changed files with 162 additions and 70 deletions
Download Patch File Download Diff File Expand all files Collapse all files
backend/app/strategy/engine.py
+8 -3
View File
@@ -978,9 +978,9 @@ class StrategyEngine:
rk = 1.0
semi_d = check_semi_exits(
net_pnl=float(upl.get("net_pnl") or 0),
entry_index=(
float(upl["entry_index_px"])
if upl.get("entry_index_px") is not None
strike=(
float(upl["strike"])
if upl.get("strike") is not None
else None
),
index_px=(
@@ -992,6 +992,11 @@ class StrategyEngine:
option_move_points=float(sp["option_move_points"]),
perp_exit_unit=float(sp["perp_exit_unit"]),
risk_k=rk,
entry_index=(
float(upl["entry_index_px"])
if upl.get("entry_index_px") is not None
else None
),
)
# 复用 ExitDecision 形态
from .exits import ExitDecision
backend/app/strategy/semi_auto.py
+20 -14
View File
@@ -201,17 +201,18 @@ class SemiExitDecision:
def check_semi_exits(
*,
net_pnl: float,
entry_index: float | None,
strike: float | None,
index_px: float | None,
view_side: str,
option_move_points: float,
perp_exit_unit: float,
risk_k: float = 1.0,
entry_index: float | None = None,
) -> SemiExitDecision:
"""
顺方向：标的波动达到目标点 且 组合净利>0 → 全平。
逆方向兑现：组合净利 ≥ 永续出场基数×k → 全平。
流动性在 close_group 内再验；平仓顺序已是先期权后永续。
顺方向：指数到达「行权价 ± 波动点」且组合净利>0 → 全平。
多/Call：目标 = K + N；空/Put：目标 = K − N（N 为设置的波动点，不是现价±N）。
逆方向兑现（永续锁定净利）：组合净利 ≥ 净利基数×k → 全平。
"""
view = (view_side or "long").strip().lower()
if view not in ("long", "short"):
@@ -221,34 +222,39 @@ def check_semi_exits(
net_tgt = max(0.0, float(perp_exit_unit)) * k
net = float(net_pnl)
# 逆方向 / 对冲兑现：净利达标即可离场（不必等点位）
# 逆方向 / 永续净利锁定：达标即可离场（不必等点位）
if net_tgt > 0 and net + 1e-9 >= net_tgt:
return SemiExitDecision(
True,
REASON_PERP_NET,
f"半自动·净利≥{net_tgt:.2f}U（基数×k）",
f"半自动·永续净利锁定≥{net_tgt:.2f}U（基数×k）",
net_target=net_tgt,
)
if entry_index is None or index_px is None:
if index_px is None:
return SemiExitDecision(False, "", "缺指数")
entry = float(entry_index)
idx = float(index_px)
if entry <= 0 or idx <= 0 or move <= 0:
# 锚定行权价；无 strike 时才回退开仓指数（兼容旧仓）
anchor = None
if strike is not None and float(strike) > 0:
anchor = float(strike)
elif entry_index is not None and float(entry_index) > 0:
anchor = float(entry_index)
if anchor is None or idx <= 0 or move <= 0:
return SemiExitDecision(False, "", "点位无效")
if view == "long":
target_idx = entry + move
target_idx = anchor + move
hit = idx + 1e-9 >= target_idx
else:
target_idx = entry - move
target_idx = anchor - move
hit = idx - 1e-9 <= target_idx
if hit and net > 0:
return SemiExitDecision(
True,
REASON_POINTS,
f"半自动·标的到{target_idx:.2f}且组合净利>0",
f"半自动·指数到期权目标{target_idx:.2f}（K{anchor:g}±{move:g}）且净利>0",
target_index=target_idx,
net_target=0.0,
)
@@ -256,13 +262,13 @@ def check_semi_exits(
return SemiExitDecision(
False,
"",
f"已到点位{target_idx:.2f}但组合净利≤0（{net:.2f}），继续持有",
f"已到期权目标{target_idx:.2f}但组合净利≤0（{net:.2f}），继续持有",
target_index=target_idx,
)
return SemiExitDecision(
False,
"",
f"未到点位（目标{target_idx:.2f}）",
f"未到期权目标（K{anchor:g}→{target_idx:.2f}）",
target_index=target_idx,
net_target=net_tgt,
)
backend/tests/test_semi_auto.py
+37 -7
View File
@@ -12,10 +12,10 @@ from app.strategy.semi_auto import (
def test_semi_points_long_needs_net_positive() -> None:
# 到点但净利≤0 → 不平
# 目标 = 行权价 1800 + 50 = 1850；到点但净利≤0 → 不平
d = check_semi_exits(
net_pnl=-1.0,
entry_index=1800,
strike=1800,
index_px=1850,
view_side="long",
option_move_points=50,
@@ -27,7 +27,7 @@ def test_semi_points_long_needs_net_positive() -> None:
d2 = check_semi_exits(
net_pnl=1.0,
entry_index=1800,
strike=1800,
index_px=1850,
view_side="long",
option_move_points=50,
@@ -36,12 +36,41 @@ def test_semi_points_long_needs_net_positive() -> None:
)
assert d2.should_close is True
assert d2.reason == REASON_POINTS
assert d2.target_index == 1850.0
def test_semi_points_uses_strike_not_spot() -> None:
# 现价 1915、K1930、+50 → 目标 1980；现价未到则不平
d = check_semi_exits(
net_pnl=5.0,
strike=1930,
index_px=1915,
view_side="long",
option_move_points=50,
perp_exit_unit=5,
risk_k=1,
)
assert d.should_close is False
assert d.target_index == 1980.0
d2 = check_semi_exits(
net_pnl=5.0,
strike=1930,
index_px=1980,
view_side="long",
option_move_points=50,
perp_exit_unit=5,
risk_k=1,
)
assert d2.should_close is True
assert d2.reason == REASON_POINTS
def test_semi_points_short() -> None:
# Put：目标 = K − 50
d = check_semi_exits(
net_pnl=2.0,
entry_index=1800,
strike=1800,
index_px=1750,
view_side="short",
option_move_points=50,
@@ -50,13 +79,14 @@ def test_semi_points_short() -> None:
)
assert d.should_close is True
assert d.reason == REASON_POINTS
assert d.target_index == 1750.0
def test_semi_net_exit_with_k() -> None:
# 未到点，但净利 ≥ 5×2=10
# 未到点，但净利 ≥ 5×2=10（永续锁定）
d = check_semi_exits(
net_pnl=10.0,
entry_index=1800,
strike=1800,
index_px=1810,
view_side="long",
option_move_points=50,
@@ -71,7 +101,7 @@ def test_semi_net_exit_with_k() -> None:
def test_semi_not_yet() -> None:
d = check_semi_exits(
net_pnl=3.0,
entry_index=1800,
strike=1800,
index_px=1820,
view_side="long",
option_move_points=50,