Add risk leverage basis option: actual ask vs selection leverage.

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

backend/app/api/settings.py

@@ -50,6 +50,7 @@ KEYS = (
     "option_qty_eth",
     "show_manual_trade_buttons",
     "sizing_mode",
+    "risk_leverage_basis",
     "risk_loss_mode",
     "risk_loss_pct",
     "risk_loss_usdt",
@@ -86,6 +87,9 @@ class StrategySettingsBody(BaseModel):
     show_manual_trade_buttons: bool | None = None
     exchange: str | None = Field(default=None, pattern="^(okx|binance|bn)$")
     sizing_mode: str | None = Field(default=None, pattern="^(manual|risk_based)$")
+    risk_leverage_basis: str | None = Field(
+        default=None, pattern="^(actual|selection)$"
+    )
     risk_loss_mode: str | None = Field(default=None, pattern="^(percent|absolute)$")
     risk_loss_pct: float | None = Field(default=None, ge=0.01, le=100)
     risk_loss_usdt: float | None = Field(default=None, ge=0.1, le=1_000_000)
@@ -228,6 +232,23 @@ def _read_settings() -> dict:
             in ("manual", "risk_based")
             else "manual"
         ),
+        "risk_leverage_basis": (
+            rb
+            if (
+                rb := str(
+                    db.get_setting(
+                        "risk_leverage_basis",
+                        str(s.risk_leverage_basis),
+                    )
+                    or s.risk_leverage_basis
+                    or "selection"
+                )
+                .strip()
+                .lower()
+            )
+            in ("actual", "selection")
+            else "selection"
+        ),
         "risk_loss_mode": (
             lm
             if (

backend/app/config.py

@@ -74,6 +74,8 @@ class Settings(BaseSettings):
     perp_margin_mode: str = "cross"
     min_option_hours: float = 12.0  # 期权最小剩余小时
     min_option_leverage: float = 100.0  # 现价/卖一权利金 下限
+    # 以损定仓权利金口径：actual=盘口卖一；selection=指数/选约杠杆（控节奏，默认）
+    risk_leverage_basis: str = "selection"
     atm_open_offset_enabled: bool = False  # 开仓 ATM 偏差限制开关（默认关）
     max_atm_open_offset: float = 3.0  # 开启后：|ATM行权价−标的| 上限（点）
     # 固定方向：关=现有 ATM/比价规则；开=指定永续多/空，期权 Put/Call 且须实值或平值

backend/app/models/db.py

@@ -238,6 +238,7 @@ class Database:
                 "perp_margin_mode": str(s.perp_margin_mode),
                 "min_option_hours": str(s.min_option_hours),
                 "min_option_leverage": str(s.min_option_leverage),
+                "risk_leverage_basis": str(s.risk_leverage_basis),
                 "atm_open_offset_enabled": str(s.atm_open_offset_enabled),
                 "max_atm_open_offset": str(s.max_atm_open_offset),
                 "fixed_direction_enabled": str(s.fixed_direction_enabled),

backend/app/strategy/risk_sizing.py

@@ -55,12 +55,44 @@ class RiskSizingResult:
     option_qty_eth: float | None = None
     net_profit_target: float | None = None
     index_px: float | None = None
-    option_ask: float | None = None
+    option_ask: float | None = None  # 定仓用权利金（可能为选约杠杆隐含）
+    actual_option_ask: float | None = None  # 盘口真实卖一
+    leverage_basis: str | None = None  # actual | selection
     perp_unit: float | None = None
     option_unit: float | None = None
     exit_unit: float | None = None
 
 
+def normalize_risk_leverage_basis(raw: str | None, default: str = "selection") -> str:
+    v = (raw or default or "selection").strip().lower()
+    if v in ("selection", "min_option_leverage", "select", "选约", "选约杠杆"):
+        return "selection"
+    if v in ("actual", "market", "ask", "实际", "实际杠杆"):
+        return "actual"
+    return "selection" if default == "selection" else "actual"
+
+
+def resolve_sizing_option_ask(
+    *,
+    index_px: float,
+    option_ask: float,
+    leverage_basis: str,
+    min_option_leverage: float,
+) -> tuple[float, str]:
+    """
+    返回 (定仓用卖一, 口径 actual|selection)。
+    selection：隐含卖一 = 指数 / 选约杠杆；actual：用盘口卖一。
+    """
+    basis = normalize_risk_leverage_basis(leverage_basis, "selection")
+    if basis == "selection":
+        lev = float(min_option_leverage)
+        if lev > 1e-12 and math.isfinite(lev) and index_px > 0:
+            return float(index_px) / lev, "selection"
+        # 选约杠杆无效时退回实际卖一，避免拒单
+        return float(option_ask), "actual"
+    return float(option_ask), "actual"
+
+
 def is_risk_based(ledger: Ledger | None = None) -> bool:
     led = ledger or Ledger()
     mode = (led.get_setting_str("sizing_mode", "manual") or "manual").strip().lower()
@@ -269,13 +301,31 @@ def compute_risk_sizing(
     s = get_settings()
     fee_rate = ledger.get_setting_float("fee_rate", s.fee_rate)
     perp_u, opt_u, exit_u = read_risk_units(ledger)
+    basis_raw = ledger.get_setting_str(
+        "risk_leverage_basis", s.risk_leverage_basis
+    ) or s.risk_leverage_basis
+    min_opt_lev = ledger.get_setting_float(
+        "min_option_leverage", s.min_option_leverage
+    )
+    sizing_ask, basis = resolve_sizing_option_ask(
+        index_px=float(index_px),
+        option_ask=float(option_ask),
+        leverage_basis=str(basis_raw),
+        min_option_leverage=float(min_opt_lev),
+    )
     budget, bud_detail, capital = resolve_budget(database)
     if budget is None:
-        return RiskSizingResult(ok=False, detail=f"以损定仓预算失败: {bud_detail}")
+        return RiskSizingResult(
+            ok=False,
+            detail=f"以损定仓预算失败: {bud_detail}",
+            leverage_basis=basis,
+            actual_option_ask=_round2(float(option_ask)),
+            option_ask=_round2(float(sizing_ask)),
+        )
     r = compute_k(
         budget=budget,
         index_px=index_px,
-        option_ask=option_ask,
+        option_ask=sizing_ask,
         fee_rate=fee_rate,
         perp_unit=perp_u,
         option_unit=opt_u,
@@ -288,7 +338,9 @@ def compute_risk_sizing(
             budget=_round2(budget),
             capital_base=_round2(capital) if capital is not None else None,
             index_px=float(index_px),
-            option_ask=float(option_ask),
+            option_ask=_round2(float(sizing_ask)),
+            actual_option_ask=_round2(float(option_ask)),
+            leverage_basis=basis,
             k=r.k,
             perp_unit=perp_u,
             option_unit=opt_u,
@@ -307,7 +359,9 @@ def compute_risk_sizing(
         option_qty_eth=r.option_qty_eth,
         net_profit_target=r.net_profit_target,
         index_px=r.index_px,
-        option_ask=r.option_ask,
+        option_ask=_round2(float(sizing_ask)),
+        actual_option_ask=_round2(float(option_ask)),
+        leverage_basis=basis,
         perp_unit=perp_u,
         option_unit=opt_u,
         exit_unit=exit_u,
@@ -351,8 +405,12 @@ def apply_risk_sizing_to_ledger(
         f"{r.max_loss:.2f}" if r.max_loss is not None else "",
     )
     logger.info(
-        "risk_sizing applied k=%.1f perp=%.4f opt=%.4f exit=%.4f max_loss=%.4f budget=%.4f",
+        "risk_sizing applied k=%.1f basis=%s sizing_ask=%.4f actual_ask=%.4f "
+        "perp=%.4f opt=%.4f exit=%.4f max_loss=%.4f budget=%.4f",
         r.k or 0,
+        r.leverage_basis or "?",
+        r.option_ask or 0,
+        r.actual_option_ask or 0,
         r.perp_qty_eth or 0,
         r.option_qty_eth or 0,
         r.net_profit_target or 0,
@@ -401,6 +459,8 @@ def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
             "net_profit_target": r.net_profit_target,
             "index_px": r.index_px,
             "option_ask": r.option_ask,
+            "actual_option_ask": r.actual_option_ask,
+            "leverage_basis": r.leverage_basis,
             "perp_unit": perp_u,
             "option_unit": opt_u,
             "exit_unit": exit_u,

backend/tests/test_risk_sizing.py

@@ -8,6 +8,8 @@ from app.strategy.risk_sizing import (
     BASE_PERP_ETH,
     compute_k,
     floor_k_1dp,
+    normalize_risk_leverage_basis,
+    resolve_sizing_option_ask,
     unit_cost,
 )
 
@@ -78,3 +80,72 @@ def test_compute_k_too_small() -> None:
 
 def test_unit_cost() -> None:
     assert abs(unit_cost(index_px=2000, option_ask=20, fee_rate=0.0005) - 43.0) < 1e-9
+
+
+def test_normalize_risk_leverage_basis() -> None:
+    assert normalize_risk_leverage_basis("actual") == "actual"
+    assert normalize_risk_leverage_basis("selection") == "selection"
+    assert normalize_risk_leverage_basis("min_option_leverage") == "selection"
+    assert normalize_risk_leverage_basis("weird", default="selection") == "selection"
+
+
+def test_resolve_sizing_ask_selection_vs_actual() -> None:
+    # 指数 2000、选约杠杆 100 → 隐含卖一 20；实际卖一更便宜 10
+    sel_ask, basis = resolve_sizing_option_ask(
+        index_px=2000.0,
+        option_ask=10.0,
+        leverage_basis="selection",
+        min_option_leverage=100.0,
+    )
+    assert basis == "selection"
+    assert abs(sel_ask - 20.0) < 1e-9
+
+    act_ask, basis2 = resolve_sizing_option_ask(
+        index_px=2000.0,
+        option_ask=10.0,
+        leverage_basis="actual",
+        min_option_leverage=100.0,
+    )
+    assert basis2 == "actual"
+    assert abs(act_ask - 10.0) < 1e-9
+
+
+def test_selection_basis_yields_smaller_k_when_ask_cheap() -> None:
+    # 预算 43：选约隐含 ask=20 → k=1；若用实际 ask=10 → 单位成本更小 → k 更大
+    r_sel = compute_k(budget=43.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
+    r_act = compute_k(budget=43.0, index_px=2000.0, option_ask=10.0, fee_rate=0.0005)
+    assert r_sel.ok and r_act.ok
+    assert r_sel.k == 1.0
+    assert r_act.k is not None and r_act.k > r_sel.k
+
+
+def test_compute_risk_sizing_respects_basis(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.models.db import Database
+    from app.strategy.risk_sizing import compute_risk_sizing
+
+    db = Database(tmp_path / "risk_basis.db")
+    db.set_setting("sizing_mode", "risk_based")
+    db.set_setting("risk_loss_mode", "absolute")
+    db.set_setting("risk_loss_usdt", "43")
+    db.set_setting("fee_rate", "0.0005")
+    db.set_setting("min_option_leverage", "100")
+    db.set_setting("risk_perp_unit", "1")
+    db.set_setting("risk_option_unit", "2")
+    db.set_setting("risk_exit_unit", "15")
+
+    db.set_setting("risk_leverage_basis", "selection")
+    r1 = compute_risk_sizing(index_px=2000.0, option_ask=10.0, db=db)
+    assert r1.ok
+    assert r1.leverage_basis == "selection"
+    assert r1.k == 1.0
+    assert r1.actual_option_ask == 10.0
+    assert r1.option_ask == 20.0
+
+    db.set_setting("risk_leverage_basis", "actual")
+    r2 = compute_risk_sizing(index_px=2000.0, option_ask=10.0, db=db)
+    assert r2.ok
+    assert r2.leverage_basis == "actual"
+    assert r2.k is not None and r2.k > 1.0
+    assert r2.option_ask == 10.0
+    db.close()

frontend/src/api/client.ts

@@ -331,6 +331,7 @@ export type StrategySettings = {
   option_qty_eth?: number;
   show_manual_trade_buttons?: boolean;
   sizing_mode?: "manual" | "risk_based";
+  risk_leverage_basis?: "actual" | "selection";
   risk_loss_mode?: "percent" | "absolute";
   risk_loss_pct?: number;
   risk_loss_usdt?: number;

frontend/src/pages/Settings.tsx

@@ -89,6 +89,9 @@ export default function SettingsPage() {
   const [optQty, setOptQty] = useState(2);
   const [showManualTrade, setShowManualTrade] = useState(false);
   const [sizingMode, setSizingMode] = useState<"manual" | "risk_based">("manual");
+  const [riskLeverageBasis, setRiskLeverageBasis] = useState<
+    "actual" | "selection"
+  >("selection");
   const [riskLossMode, setRiskLossMode] = useState<"percent" | "absolute">(
     "percent",
   );
@@ -197,6 +200,9 @@ export default function SettingsPage() {
         setOptQty(s.option_qty_eth ?? 2);
         setShowManualTrade(s.show_manual_trade_buttons === true);
         setSizingMode(s.sizing_mode === "risk_based" ? "risk_based" : "manual");
+        setRiskLeverageBasis(
+          s.risk_leverage_basis === "actual" ? "actual" : "selection",
+        );
         setRiskLossMode(s.risk_loss_mode === "absolute" ? "absolute" : "percent");
         setRiskLossPct(s.risk_loss_pct ?? 1);
         setRiskLossUsdt(s.risk_loss_usdt ?? 15);
@@ -358,6 +364,7 @@ export default function SettingsPage() {
         close_bid_mark_max_pct: closeDevPct,
         show_manual_trade_buttons: showManualTrade,
         sizing_mode: sizingMode,
+        risk_leverage_basis: riskLeverageBasis,
         risk_loss_mode: riskLossMode,
         risk_loss_pct: riskLossPct,
         risk_loss_usdt: riskLossUsdt,
@@ -679,6 +686,30 @@ export default function SettingsPage() {
                   </div>
                   {sizingMode === "risk_based" ? (
                     <>
+                      <div className="field">
+                        <label htmlFor="riskLevBasis">节奏杠杆（定仓口径）</label>
+                        <select
+                          id="riskLevBasis"
+                          className="mono"
+                          value={riskLeverageBasis}
+                          onChange={(e) =>
+                            setRiskLeverageBasis(
+                              e.target.value === "actual"
+                                ? "actual"
+                                : "selection",
+                            )
+                          }
+                        >
+                          <option value="selection">
+                            选约杠杆（推荐控节奏）
+                          </option>
+                          <option value="actual">实际杠杆（盘口卖一）</option>
+                        </select>
+                        <p className="hint" style={{ margin: "0.35rem 0 0" }}>
+                          选约杠杆：按「指数÷期权杠杆≥」估权利金算 k，权利金再便宜也不放大仓位。
+                          实际杠杆：按盘口卖一定仓，便宜时 k 会变大。
+                        </p>
+                      </div>
                       <div className="field">
                         <label htmlFor="riskLossMode">亏损约束</label>
                         <select
@@ -794,7 +825,14 @@ export default function SettingsPage() {
                               ? bud.toFixed(2)
                               : "—";
                             const mxS = Number.isFinite(mx) ? mx.toFixed(2) : "—";
-                            return `k=${pk ?? "—"} · 预算=${budS}U · 估亏=${mxS}U · 永续=${perp ?? "—"} · 期权=${opt ?? "—"} · 出场=${exit ?? "—"}`;
+                            const basis =
+                              riskPreview.leverage_basis === "actual"
+                                ? "实际杠杆"
+                                : riskPreview.leverage_basis === "selection"
+                                  ? "选约杠杆"
+                                  : "";
+                            const basisS = basis ? ` · ${basis}` : "";
+                            return `k=${pk ?? "—"} · 预算=${budS}U · 估亏=${mxS}U · 永续=${perp ?? "—"} · 期权=${opt ?? "—"} · 出场=${exit ?? "—"}${basisS}`;
                           })()}
                         </div>
                       </div>