From 7db4c9c8a386ebff382d402e80bb4ebb8e18a2c5 Mon Sep 17 00:00:00 2001
From: dekun <dekun@local>
Date: Sat, 25 Jul 2026 07:52:37 +0800
Subject: [PATCH] Realign ATM to current mark before open; skip while in
 position.

Co-authored-by: Cursor <cursoragent@cursor.com>
---
 backend/app/api/sim.py         |  5 +++
 backend/app/market/gateway.py  | 60 +++++++++++++++++++++++++++++++---
 backend/app/sim/matcher.py     |  6 +++-
 backend/app/strategy/engine.py |  5 +++
 4 files changed, 70 insertions(+), 6 deletions(-)

diff --git a/backend/app/api/sim.py b/backend/app/api/sim.py
index e07860e..9655ef4 100644
--- a/backend/app/api/sim.py
+++ b/backend/app/api/sim.py
@@ -38,6 +38,11 @@ async def sim_open_group(
     body: ManualOpenBody | None = None,
 ) -> dict:
     gw = get_gateway()
+    # 开仓前按现价强制重选 ATM，避免沿用启动时的旧行权价
+    try:
+        await gw.ensure_atm_async(force=True)
+    except Exception as e:
+        raise HTTPException(status_code=503, detail=f"ATM 对齐失败: {e}") from e
     snap = gw.snapshot()
     if not snap.pair or not snap.call or not snap.put:
         raise HTTPException(status_code=503, detail="行情未就绪")
diff --git a/backend/app/market/gateway.py b/backend/app/market/gateway.py
index fca4d3b..f4854aa 100644
--- a/backend/app/market/gateway.py
+++ b/backend/app/market/gateway.py
@@ -15,6 +15,19 @@ from .types import MarketSnapshot, OptionPair
 
 logger = logging.getLogger(__name__)
 
+# 现价偏离当前行权价超过该点数则重选 ATM（ETH 期权常见步进 5）
+_ATM_DRIFT_POINTS = 5.0
+
+
+def _has_open_position() -> bool:
+    try:
+        from ..models.db import get_db
+
+        row = get_db().fetchone("SELECT status FROM positions WHERE id=1")
+        return bool(row and row["status"] == "open")
+    except Exception:
+        return False
+
 
 class MarketGateway:
     def __init__(self, settings: Settings | None = None) -> None:
@@ -109,6 +122,41 @@ class MarketGateway:
             )
         return pair
 
+    def _mark_for_atm(self) -> float | None:
+        snap = self.snapshot()
+        if snap.perp and snap.perp.mark_px:
+            return float(snap.perp.mark_px)
+        if snap.index_px:
+            return float(snap.index_px)
+        if snap.perp and snap.perp.bid and snap.perp.ask:
+            return (float(snap.perp.bid) + float(snap.perp.ask)) / 2
+        return None
+
+    def atm_needs_realign(self, mark_px: float | None = None) -> bool:
+        """到期日变了，或现价已偏离当前行权价超过阈值。"""
+        if self._pair is None:
+            return True
+        want = next_session_expiry_ymd()
+        if self._pair.expiry_ymd != want:
+            return True
+        mark = mark_px if mark_px is not None else self._mark_for_atm()
+        if mark is None or mark <= 0:
+            return False
+        return abs(float(self._pair.strike) - float(mark)) >= _ATM_DRIFT_POINTS
+
+    async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
+        """空仓时按现价对齐 ATM。有持仓时不切换，避免盯市合约被换掉。"""
+        if _has_open_position():
+            return self._pair
+        if force or self.atm_needs_realign():
+            logger.info(
+                "ATM realign force=%s old_strike=%s",
+                force,
+                self._pair.strike if self._pair else None,
+            )
+            return await self.realign_async()
+        return self._pair
+
     def snapshot(self) -> MarketSnapshot:
         return self.cache.snapshot(self.settings.perp_inst_id)
 
@@ -116,7 +164,7 @@ class MarketGateway:
         return self.snapshot().to_dict()
 
     async def _refresh_loop(self) -> None:
-        """周期性刷新指数价；跨日到期切换时重对齐。"""
+        """周期性刷新指数价；空仓时按到期/ATM 偏离重对齐。"""
         while True:
             await asyncio.sleep(30)
             try:
@@ -124,10 +172,12 @@ class MarketGateway:
                     self.rest.fetch_index_ticker, self.settings.index_inst_id
                 )
                 self.cache.set_index_px(idx)
-                want = next_session_expiry_ymd()
-                if self._pair and self._pair.expiry_ymd != want:
-                    logger.info("expiry rollover %s -> %s", self._pair.expiry_ymd, want)
-                    await self.realign_async()
+                mark = await asyncio.to_thread(
+                    self.rest.fetch_mark_price, self.settings.perp_inst_id
+                )
+                if mark:
+                    self.cache.set_mark_px(self.settings.perp_inst_id, mark)
+                await self.ensure_atm_async(force=False)
             except asyncio.CancelledError:
                 raise
             except Exception as e:
diff --git a/backend/app/sim/matcher.py b/backend/app/sim/matcher.py
index e66fe8c..59c0dfa 100644
--- a/backend/app/sim/matcher.py
+++ b/backend/app/sim/matcher.py
@@ -412,7 +412,11 @@ class Matcher:
                 perp_upl = (perp_entry - float(mark)) * perp_qty
 
         option_side = str(pos["option_side"])
-        oq = snap.call if option_side == "call" else snap.put
+        # 优先用持仓合约盘口，避免 ATM 切换后盯错合约
+        opt_inst = str(pos.get("option_inst_id") or "")
+        oq = gw.cache.get(opt_inst) if opt_inst else None
+        if oq is None:
+            oq = snap.call if option_side == "call" else snap.put
         opt_mark = None
         if oq:
             opt_mark = oq.bid or oq.mark_px
diff --git a/backend/app/strategy/engine.py b/backend/app/strategy/engine.py
index 4f66969..3743267 100644
--- a/backend/app/strategy/engine.py
+++ b/backend/app/strategy/engine.py
@@ -135,6 +135,11 @@ class StrategyEngine:
                     await asyncio.sleep(1)
                     continue
                 async with self._lock:
+                    # 空仓且 ATM 偏离现价时先重选，再跑开仓逻辑
+                    try:
+                        await get_gateway().ensure_atm_async(force=False)
+                    except Exception as e:
+                        logger.warning("ATM ensure before tick failed: %s", e)
                     await asyncio.to_thread(self._tick)
             except asyncio.CancelledError:
                 raise