Try all OTM strikes in offset when nearest fails leverage.

Closest Call@1920 at 152x no longer blocks 1930/1940 that already clear 200x.

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

backend/app/strategy/selection.py

@@ -46,18 +46,19 @@ def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
     return min(strikes, key=lambda s: (abs(s - mark_px), s))
 
 
-def pick_otm_strike(
+def list_otm_strikes(
     strikes: list[float],
     mark_px: float,
     *,
     option_side: str,
     max_offset: float,
-) -> float | None:
+) -> list[float]:
     """
-    虚值：Call K>S、Put K<S；取最接近标的且 |K−S|≤max_offset 的一档。
+    虚值候选：Call K>S、Put K<S 且 |K−S|≤max_offset；
+    按靠近标的优先排序（近→远）。
     """
     if not strikes or mark_px <= 0:
-        return None
+        return []
     side = (option_side or "").strip().lower()
     spot = float(mark_px)
     cap = max(0.0, float(max_offset))
@@ -74,10 +75,25 @@ def pick_otm_strike(
             if float(s) < spot - 1e-9 and spot - float(s) <= cap + 1e-9
         ]
     else:
-        return None
-    if not cands:
-        return None
-    return min(cands, key=lambda s: (abs(s - spot), s))
+        return []
+    return sorted(cands, key=lambda s: (abs(s - spot), s))
+
+
+def pick_otm_strike(
+    strikes: list[float],
+    mark_px: float,
+    *,
+    option_side: str,
+    max_offset: float,
+) -> float | None:
+    """虚值：取最接近标的且 |K−S|≤max_offset 的一档。"""
+    cands = list_otm_strikes(
+        strikes,
+        mark_px,
+        option_side=option_side,
+        max_offset=max_offset,
+    )
+    return cands[0] if cands else None
 
 
 def is_otm(*, option_side: str, strike: float, mark_px: float) -> bool:

backend/app/strategy/session.py

@@ -778,39 +778,12 @@ class StrategySession:
             if not first_skip:
                 first_skip = msg
 
-        for ymd in eligible:
-            if ymd in skip_expiries:
-                _note_skip(f"{ymd} 有残余期权（跳过该到期）")
-                logger.info(
-                    "skip expiry=%s: residual pending (semi=%s)",
-                    ymd,
-                    semi_on,
-                )
-                continue
-            pair = select_option_pair(
-                contracts,
-                mark_px=underlying,
-                expiry_ymd=ymd,
-                option_side=opt_side_hint,
-                moneyness=semi_mny if semi_on else None,
-                otm_max_offset=semi_otm_off if semi_on else None,
-            )
-            if pair is None:
-                if semi_on and semi_mny == "otm":
-                    _note_skip(
-                        f"{ymd} 无{opt_side_hint or '?'}虚值"
-                        f"（偏离≤{float(semi_otm_off or 0):g}）"
-                    )
-                    logger.info(
-                        "skip expiry=%s no OTM within offset=%.1f for %s mark=%.2f",
-                        ymd,
-                        float(semi_otm_off or 0),
-                        opt_side_hint,
-                        underlying,
-                    )
-                else:
-                    _note_skip(f"{ymd} 无合格行权价")
-                continue
+        from .selection import _complete_by_expiry, list_otm_strikes
+
+        complete = _complete_by_expiry(contracts)
+
+        def _try_pair(pair: OptionPair) -> OpenPick | None:
+            """验盘口/方向/杠杆；不合格记 skip 并返回 None（调用方换下一档）。"""
             if fixed_on:
                 from .selection import is_otm
 
@@ -822,7 +795,7 @@ class StrategySession:
                         mark_px=underlying,
                     ):
                         _note_skip(f"{ymd} K{pair.strike:g} 非虚值")
-                        continue
+                        return None
                     if (
                         atm_open_offset(pair.strike, underlying)
                         > float(semi_otm_off or 0) + 1e-9
@@ -831,9 +804,8 @@ class StrategySession:
                             f"{ymd} K{pair.strike:g} 偏离>"
                             f"{float(semi_otm_off or 0):g}"
                         )
-                        continue
+                        return None
                 elif semi_on and semi_mny == "atm":
-                    # 平值：须为该到期最接近标的的档
                     pass
                 elif not is_itm_or_atm(
                     option_side=side,
@@ -848,7 +820,7 @@ class StrategySession:
                         opt_side_hint,
                         underlying,
                     )
-                    continue
+                    return None
             else:
                 offset = atm_open_offset(pair.strike, underlying)
                 if not atm_allows_open(
@@ -865,12 +837,11 @@ class StrategySession:
                         offset,
                         max_atm_off,
                     )
-                    continue
+                    return None
             call_bids, call_asks, _ = self.ex.fetch_book(pair.call_inst_id, depth=5)
             put_bids, put_asks, _ = self.ex.fetch_book(pair.put_inst_id, depth=5)
             call_ask = call_asks[0].px if call_asks else None
             put_ask = put_asks[0].px if put_asks else None
-            # REST 被限流时回退 WS/缓存盘口
             if call_ask is None:
                 cq = self.ex.quote(pair.call_inst_id)
                 call_ask = cq.ask if cq else None
@@ -891,7 +862,7 @@ class StrategySession:
                     "Put" if opt_side_hint == "put" else "Call/Put"
                 )
                 _note_skip(f"{ymd} K{pair.strike:g} 缺{need}卖一")
-                continue
+                return None
             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, expiry_ms=pair.expiry_ms)
@@ -909,12 +880,10 @@ class StrategySession:
                     min_lev,
                     hours_left,
                 )
-                continue
+                return None
             self._apply_pair(pair, mark=underlying, idx=idx)
-            # warm_and_subscribe 已写盘口；再覆盖刚拉的 ask 侧
             from ..exchange.book_cache import BookCache
 
-            # 直接通过 exchange quote path：再 upsert
             if hasattr(self.ex, "cache"):
                 cache: BookCache = self.ex.cache  # type: ignore[attr-defined]
                 cache.upsert_book(pair.call_inst_id, bids=call_bids, asks=call_asks)
@@ -933,6 +902,72 @@ class StrategySession:
                 underlying_px=underlying,
                 hedge_mode="perp_option",
             )
+
+        for ymd in eligible:
+            if ymd in skip_expiries:
+                _note_skip(f"{ymd} 有残余期权（跳过该到期）")
+                logger.info(
+                    "skip expiry=%s: residual pending (semi=%s)",
+                    ymd,
+                    semi_on,
+                )
+                continue
+
+            # 半自动虚值：同到期内由近到远试偏离内各档，近档杠杆不够再试 1930/1940
+            if semi_on and semi_mny == "otm" and opt_side_hint in ("call", "put"):
+                if ymd not in complete:
+                    _note_skip(f"{ymd} 无完整对")
+                    continue
+                ems, strikes_map = complete[ymd]
+                otm_ks = list_otm_strikes(
+                    list(strikes_map.keys()),
+                    underlying,
+                    option_side=str(opt_side_hint),
+                    max_offset=float(semi_otm_off or 0),
+                )
+                if not otm_ks:
+                    _note_skip(
+                        f"{ymd} 无{opt_side_hint}虚值"
+                        f"（偏离≤{float(semi_otm_off or 0):g}）"
+                    )
+                    logger.info(
+                        "skip expiry=%s no OTM within offset=%.1f for %s mark=%.2f",
+                        ymd,
+                        float(semi_otm_off or 0),
+                        opt_side_hint,
+                        underlying,
+                    )
+                    continue
+                for k in otm_ks:
+                    legs = strikes_map.get(float(k)) or strikes_map.get(k)
+                    if not legs or "C" not in legs or "P" not in legs:
+                        continue
+                    pair = OptionPair(
+                        expiry_ymd=ymd,
+                        expiry_ms=ems,
+                        strike=float(k),
+                        call_inst_id=legs["C"],
+                        put_inst_id=legs["P"],
+                    )
+                    picked = _try_pair(pair)
+                    if picked is not None:
+                        return picked
+                continue
+
+            pair = select_option_pair(
+                contracts,
+                mark_px=underlying,
+                expiry_ymd=ymd,
+                option_side=opt_side_hint,
+                moneyness=semi_mny if semi_on else None,
+                otm_max_offset=semi_otm_off if semi_on else None,
+            )
+            if pair is None:
+                _note_skip(f"{ymd} 无合格行权价")
+                continue
+            picked = _try_pair(pair)
+            if picked is not None:
+                return picked
         # 报最近到期（列表最前）的原因，避免只显示远月 261225 造成误会
         why = first_skip or last_skip
         if why:

backend/tests/test_semi_auto.py

@@ -2,7 +2,7 @@
 
 from __future__ import annotations
 
-from app.strategy.selection import pick_otm_strike
+from app.strategy.selection import list_otm_strikes, pick_otm_strike
 from app.strategy.semi_auto import (
     REASON_PERP_NET,
     REASON_POINTS,
@@ -98,3 +98,10 @@ def test_pick_otm_within_offset() -> None:
     # Put 虚值
     k2 = pick_otm_strike(strikes, 1830, option_side="put", max_offset=30)
     assert k2 == 1825.0
+
+
+def test_list_otm_strikes_near_to_far() -> None:
+    # 现价 1917 → Call 虚值 1920/1930/1940（偏离≤25），近→远
+    strikes = [1910.0, 1920.0, 1930.0, 1940.0, 1950.0]
+    ks = list_otm_strikes(strikes, 1917.0, option_side="call", max_offset=25)
+    assert ks == [1920.0, 1930.0, 1940.0]