Prefer open direction from ATM vs spot (below=Call/short, above=Put/long).

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

backend/app/exchange/types.py

@@ -76,19 +76,38 @@ class MarketSnapshot:
             "ask_compare": {
                 "call_ask": self.call.ask if self.call else None,
                 "put_ask": self.put.ask if self.put else None,
-                "bias": _ask_bias(self.call, self.put),
+                "bias": _open_bias(self.pair, self.index_px, self.perp, self.call, self.put),
             },
         }
 
 
-def _ask_bias(call: Quote | None, put: Quote | None) -> str:
+def _open_bias(
-    """卖一比价仅用于选向展示；相等则 wait。"""
+    pair: OptionPair | None,
+    index_px: float | None,
+    perp: Quote | None,
+    call: Quote | None,
+    put: Quote | None,
+) -> str:
+    """与开仓 decide 一致：先按 ATM 相对现价，贴平时再卖一比价。"""
+    mark = None
+    if index_px is not None and index_px > 0:
+        mark = float(index_px)
+    elif perp and perp.mark_px and perp.mark_px > 0:
+        mark = float(perp.mark_px)
+    elif perp and perp.bid and perp.ask:
+        mark = (float(perp.bid) + float(perp.ask)) / 2
+    if pair is not None and mark is not None:
+        diff = float(pair.strike) - mark
+        if diff < -1e-9:
+            return "strike_below_spot"
+        if diff > 1e-9:
+            return "strike_above_spot"
     ca = call.ask if call else None
     pa = put.ask if put else None
     if ca is None or pa is None:
         return "unknown"
     if ca > pa:
-        return "call_ask_gt_put"  # 永续多 + 期权空（腿待拍板）
+        return "call_ask_gt_put"
     if ca < pa:
-        return "put_ask_gt_call"  # 永续空 + 期权多（腿待拍板）
+        return "put_ask_gt_call"
     return "equal"

backend/app/strategy/session.py

@@ -187,7 +187,12 @@ class StrategySession:
             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
-            sig = decide(call_ask, put_ask)
+            sig = decide(
+                call_ask,
+                put_ask,
+                strike=pair.strike,
+                mark_px=underlying,
+            )
             if sig is None:
                 continue
             opt_ask = sig.call_ask if sig.option_side == "call" else sig.put_ask

backend/app/strategy/signal.py

@@ -5,30 +5,64 @@ from dataclasses import dataclass
 
 @dataclass(slots=True)
 class Signal:
-    bias: str  # call_ask_gt_put | put_ask_gt_call
+    bias: str  # strike_below_spot | strike_above_spot | call_ask_gt_put | put_ask_gt_call
     option_side: str  # call | put
     perp_side: str  # long | short
     call_ask: float
     put_ask: float
 
 
-def decide(call_ask: float | None, put_ask: float | None) -> Signal | None:
+def decide(
+    call_ask: float | None,
+    put_ask: float | None,
+    *,
+    strike: float | None = None,
+    mark_px: float | None = None,
+) -> Signal | None:
+    """
+    开仓方向：
+    - 行权价 < 标的 → 买 Call + 永续空（ATM 偏下）
+    - 行权价 > 标的 → 买 Put + 永续多（ATM 偏上）
+    - 行权价 ≈ 标的 → 回退 Call/Put 卖一比价
+    """
     if call_ask is None or put_ask is None:
         return None
-    if call_ask > put_ask:
+    ca = float(call_ask)
+    pa = float(put_ask)
+
+    if strike is not None and mark_px is not None and float(mark_px) > 0:
+        diff = float(strike) - float(mark_px)
+        if diff < -1e-9:
+            return Signal(
+                bias="strike_below_spot",
+                option_side="call",
+                perp_side="short",
+                call_ask=ca,
+                put_ask=pa,
+            )
+        if diff > 1e-9:
+            return Signal(
+                bias="strike_above_spot",
+                option_side="put",
+                perp_side="long",
+                call_ask=ca,
+                put_ask=pa,
+            )
+
+    if ca > pa:
         return Signal(
             bias="call_ask_gt_put",
             option_side="call",
             perp_side="short",
-            call_ask=float(call_ask),
+            call_ask=ca,
-            put_ask=float(put_ask),
+            put_ask=pa,
         )
-    if put_ask > call_ask:
+    if pa > ca:
         return Signal(
             bias="put_ask_gt_call",
             option_side="put",
             perp_side="long",
-            call_ask=float(call_ask),
+            call_ask=ca,
-            put_ask=float(put_ask),
+            put_ask=pa,
         )
     return None

backend/tests/test_p1_p2_rules.py

@@ -28,6 +28,31 @@ def test_signal_equal() -> None:
     assert decide(10.0, 10.0) is None
 
 
+def test_signal_strike_below_spot_call_short() -> None:
+    # 现价 1859、ATM 1850：即使 Put 卖一更高，也走 Call+空
+    s = decide(10.0, 20.0, strike=1850, mark_px=1859)
+    assert s is not None
+    assert s.option_side == "call"
+    assert s.perp_side == "short"
+    assert s.bias == "strike_below_spot"
+
+
+def test_signal_strike_above_spot_put_long() -> None:
+    # 现价 1859、ATM 1875：即使 Call 卖一更高，也走 Put+多
+    s = decide(20.0, 10.0, strike=1875, mark_px=1859)
+    assert s is not None
+    assert s.option_side == "put"
+    assert s.perp_side == "long"
+    assert s.bias == "strike_above_spot"
+
+
+def test_signal_strike_flat_falls_back_to_ask() -> None:
+    s = decide(20.0, 15.0, strike=1860, mark_px=1860)
+    assert s is not None
+    assert s.bias == "call_ask_gt_put"
+    assert s.option_side == "call"
+
+
 def test_exit_fixed_and_premium_multiple() -> None:
     fixed = check_exits(
         net_pnl=15.0,

docs/策略说明.md

@@ -32,17 +32,19 @@
 
 永续杠杆默认 **3×**（可配）。同时最多 **1 组**仓，禁止叠仓开下一组。
 
-### 2.1 开仓方向（卖一比价）
+### 2.1 开仓方向（ATM 相对现价优先）
 
-比较同一 ATM 行权价的 **Call 卖一** 与 **Put 卖一**：
+行权价相对标的有偏离时（币安粗档常见），**先按 ATM 偏上/偏下选向**；仅当行权价与标的贴平（≈）时，才回退卖一比价。
 
-| 条件 | 期权 | 永续 |
+| 条件 | 期权 | 永续 | bias |
-|------|------|------|
+|------|------|------|------|
-| Call 卖一 > Put 卖一 | 买入 Call | 做空 |
+| ATM 行权价 **<** 标的（如 1850 vs 1859） | 买入 Call | 做空 | `strike_below_spot` |
-| Call 卖一 < Put 卖一 | 买入 Put | 做多 |
+| ATM 行权价 **>** 标的（如 1875 vs 1859） | 买入 Put | 做多 | `strike_above_spot` |
-| 相等 | 不开仓，继续等待 | — |
+| ATM ≈ 标的，且 Call 卖一 > Put 卖一 | 买入 Call | 做空 | `call_ask_gt_put` |
+| ATM ≈ 标的，且 Put 卖一 > Call 卖一 | 买入 Put | 做多 | `put_ask_gt_call` |
+| ATM ≈ 标的且卖一相等 | 不开仓，继续等待 | — | — |
 
-直觉：卖一更高的一侧往往隐含更强的短期方向/溢价偏好，买入该侧期权；永续反向以平衡部分 Delta。
+直觉：偏下行权价用 Call+空，偏上行权价用 Put+多；贴平时再按权利金溢价侧选向。
 
 ---
 
@@ -57,7 +59,7 @@
   → 选到期：剩余时长 ≥ min_option_hours（默认 12h）
   → 该到期 ATM 行权价（最接近标的）
   → |ATM − 标的| ≤ max_atm_open_offset（默认 3）否则跳过该到期
-  → Call/Put 卖一比价选方向
+  → 选向：ATM 偏下→Call+空；偏上→Put+多；贴平→卖一比价
   → 期权杠杆 = 标的价 ÷ 卖一权利金 ≥ min_option_leverage（默认 100）
   → 开永续 + 开期权（一组）
   → 锁定 initial_premium = 期权成交价 × 期权名义（不含费）

frontend/src/pages/Plan.tsx

@@ -94,9 +94,9 @@ export default function PlanPage() {
 
   const bias = snap?.ask_compare?.bias;
   const biasTag =
-    bias === "call_ask_gt_put" ? (
+    bias === "strike_below_spot" || bias === "call_ask_gt_put" ? (
       <span className="tag up">买 Call + 永续空</span>
-    ) : bias === "put_ask_gt_call" ? (
+    ) : bias === "strike_above_spot" || bias === "put_ask_gt_call" ? (
       <span className="tag down">买 Put + 永续多</span>
     ) : (
       <span className="tag">等待 / 相等</span>