Add amplitude filter as first open gate for 永期 hedge.

Reuse OO amplitude settings (default off); Plan shows index/HL when filtering. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-07 21:41:51 +08:00
parent b377956367
commit a88d708ea3
7 changed files with 320 additions and 142 deletions
@@ -0,0 +1,69 @@
+"""振幅过滤门：回看窗内 range% 须 ≤ 上限（可关）。永期开仓第一关 / 期期共用。"""
+
+from __future__ import annotations
+
+from typing import Any
+
+from ..exchange.candles import AmplitudeHL
+
+
+def evaluate_amplitude_gate(
+    *,
+    filter_enabled: bool,
+    amp: AmplitudeHL | None,
+    max_pct: float,
+    hours: float,
+) -> dict[str, Any]:
+    """
+    返回:
+      blocked: 过滤开启且未过关（无K线或超限）
+      ok: 展示用是否过关（过滤关视为 True）
+      reason: 拒开文案（未拒则为 None）
+      snapshot: 写入 session._oo_amp 的字典（amp 为 None 时仅含元数据）
+    """
+    max_p = float(max_pct)
+    hrs = float(hours)
+    filt = bool(filter_enabled)
+    if amp is None:
+        snap = {
+            "high": None,
+            "low": None,
+            "mid": None,
+            "range_pct": None,
+            "hours": hrs,
+            "max_pct": max_p,
+            "filter_enabled": filt,
+            "ok": False if filt else True,
+        }
+        if filt:
+            return {
+                "blocked": True,
+                "ok": False,
+                "reason": f"振幅未过关：无法获取近 {hrs:g}h K 线高低",
+                "snapshot": snap,
+            }
+        return {"blocked": False, "ok": True, "reason": None, "snapshot": snap}
+
+    range_pct = float(amp.range_pct)
+    over = range_pct > max_p + 1e-12
+    ok = (not filt) or (not over)
+    snap = {
+        "high": float(amp.high),
+        "low": float(amp.low),
+        "mid": float(amp.mid),
+        "range_pct": range_pct,
+        "hours": hrs,
+        "max_pct": max_p,
+        "filter_enabled": filt,
+        "ok": ok,
+    }
+    if filt and over:
+        return {
+            "blocked": True,
+            "ok": False,
+            "reason": (
+                f"振幅未过关：{hrs:g}h 内 {range_pct:.2f}% > {max_p:g}%"
+            ),
+            "snapshot": snap,
+        }
+    return {"blocked": False, "ok": ok, "reason": None, "snapshot": snap}
@@ -1047,6 +1047,14 @@ class StrategyEngine:
                )
                return
        if pick is None:
+            amp_fail = None
+            try:
+                amp_fail = get_session().amplitude_gate_fail_reason()
+            except Exception:
+                amp_fail = None
+            if amp_fail:
+                self._set_state(last_error=amp_fail)
+                return
            try:
                from .auto_usdc import preview_capacity_for_convert
                from .open_capacity import funds_gate_blocks
@@ -352,8 +352,7 @@ class StrategySession:

    def align_to_held_position(self) -> OptionPair | None:
        """有活跃仓时：监控对锁定为持仓合约的到期/行权价。"""
-        if _hedge_mode() == "option_option":
-            self.refresh_oo_amplitude()
+        self.refresh_oo_amplitude()
        call_id, put_id = _held_option_legs()
        held = call_id or _held_option_inst_id()
        if not held:
@@ -421,6 +420,8 @@ class StrategySession:
            return self.align_to_held_position()
        if _hedge_mode() == "option_option":
            return self.align_oo_instruments()
+        # 永期：刷新振幅供 Plan（过滤关也展示；开仓门禁在 pick）
+        self.refresh_oo_amplitude()
        s = self.settings
        idx = self.ex.fetch_index(s.index_inst_id)
        mark = self.ex.fetch_mark(s.perp_inst_id) or idx
@@ -464,35 +465,67 @@ class StrategySession:
        return self._apply_pair(pair, mark=float(mark), idx=idx)

    def refresh_oo_amplitude(self) -> dict[str, Any] | None:
-        """刷新振幅高低（有仓/无仓都要，否则持仓后 UI 指数/振幅会空）。"""
-        if _hedge_mode() != "option_option":
-            return None
+        """刷新振幅高低（永期/期期；有仓/无仓都要，否则 UI 指数/振幅会空）。"""
        try:
            from ..exchange.candles import fetch_amplitude_hl_for_runtime
+            from .amplitude_gate import evaluate_amplitude_gate

            amp_pct, amp_hours, _, _, _, amp_filt = _oo_settings()
            amp = fetch_amplitude_hl_for_runtime(amp_hours)
-            if amp is None:
-                return self._oo_amp
-            self._oo_amp = {
-                "high": float(amp.high),
-                "low": float(amp.low),
-                "mid": float(amp.mid),
-                "range_pct": float(amp.range_pct),
-                "hours": float(amp_hours),
-                "max_pct": float(amp_pct),
-                "filter_enabled": bool(amp_filt),
-                "ok": (
-                    True
-                    if not amp_filt
-                    else float(amp.range_pct) <= float(amp_pct) + 1e-12
-                ),
-            }
+            gate = evaluate_amplitude_gate(
+                filter_enabled=bool(amp_filt),
+                amp=amp,
+                max_pct=float(amp_pct),
+                hours=float(amp_hours),
+            )
+            self._oo_amp = dict(gate["snapshot"])
            return self._oo_amp
        except Exception:
            logger.exception("refresh_oo_amplitude failed")
            return self._oo_amp

+    def _apply_amplitude_first_gate(self) -> bool:
+        """
+        振幅过滤为开仓第一关。返回 True=可继续选约；False=拒开。
+        无论是否开启过滤都写入 _oo_amp 供 Plan 展示。
+        """
+        from ..exchange.candles import fetch_amplitude_hl_for_runtime
+        from .amplitude_gate import evaluate_amplitude_gate
+
+        amp_pct, amp_hours, _, _, _, amp_filt = _oo_settings()
+        amp = fetch_amplitude_hl_for_runtime(amp_hours)
+        gate = evaluate_amplitude_gate(
+            filter_enabled=bool(amp_filt),
+            amp=amp,
+            max_pct=float(amp_pct),
+            hours=float(amp_hours),
+        )
+        self._oo_amp = dict(gate["snapshot"])
+        if gate["blocked"]:
+            logger.info("amplitude gate blocked: %s", gate.get("reason"))
+            return False
+        return True
+
+    def amplitude_gate_fail_reason(self) -> str | None:
+        """若最近一次振幅快照显示过滤开启且未过关，返回文案。"""
+        amp = self._oo_amp
+        if not amp or not amp.get("filter_enabled"):
+            return None
+        if amp.get("ok") is True:
+            return None
+        hours = amp.get("hours")
+        range_pct = amp.get("range_pct")
+        max_pct = amp.get("max_pct")
+        if range_pct is None:
+            return f"振幅未过关：无法获取近 {hours:g}h K 线高低" if hours is not None else "振幅未过关"
+        try:
+            return (
+                f"振幅未过关：{float(hours):g}h 内 "
+                f"{float(range_pct):.2f}% > {float(max_pct):g}%"
+            )
+        except (TypeError, ValueError):
+            return "振幅未过关"
+
    def align_oo_instruments(self) -> OptionPair | None:
        """期期监控：按振幅高低点选虚值 Call/Put（展示用；振幅超限仍对齐候选）。"""
        from .oo_selection import select_oo_pair
@@ -693,6 +726,9 @@ class StrategySession:
        min_hours, min_lev, max_atm_off, atm_off_on = _strategy_floats()
        fixed_on, fixed_perp = _fixed_direction()
        opt_side_hint = _option_side_for_perp(fixed_perp) if fixed_on else None
+        # 第一关：振幅过滤（默认关；开启则回看窗振幅须 ≤ 最大%）
+        if not self._apply_amplitude_first_gate():
+            return None
        idx = self.ex.fetch_index(s.index_inst_id)
        mark = self.ex.fetch_mark(s.perp_inst_id) or idx
        if mark is None or mark <= 0:
@@ -932,9 +968,8 @@ class StrategySession:

    async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
        if _has_open_position():
-            # 持仓期间：钉住持仓行权价（禁止漂到新 ATM/虚值）；期期仍刷新振幅供 UI
-            if _hedge_mode() == "option_option":
-                await asyncio.to_thread(self.refresh_oo_amplitude)
+            # 持仓期间：钉住持仓行权价（禁止漂到新 ATM/虚值）；仍刷新振幅供 UI
+            await asyncio.to_thread(self.refresh_oo_amplitude)
            call_id, put_id = _held_option_legs()
            held = call_id or _held_option_inst_id()
            if held and (
@@ -0,0 +1,60 @@
+"""振幅过滤门：永期开仓第一关 / 与期期共用口径。"""
+
+from __future__ import annotations
+
+from app.exchange.candles import AmplitudeHL
+from app.strategy.amplitude_gate import evaluate_amplitude_gate
+
+
+def test_amplitude_gate_off_always_pass() -> None:
+    amp = AmplitudeHL(high=2060, low=1940, mid=2000, hours=12, bar_count=12)
+    # 6% 超常见上限，但过滤关 → 不拦
+    g = evaluate_amplitude_gate(
+        filter_enabled=False, amp=amp, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is False
+    assert g["ok"] is True
+    assert g["reason"] is None
+    assert g["snapshot"]["filter_enabled"] is False
+    assert g["snapshot"]["range_pct"] == amp.range_pct
+
+
+def test_amplitude_gate_on_blocks_over_max() -> None:
+    amp = AmplitudeHL(high=2060, low=1940, mid=2000, hours=12, bar_count=12)
+    assert amp.range_pct == 6.0
+    g = evaluate_amplitude_gate(
+        filter_enabled=True, amp=amp, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is True
+    assert g["ok"] is False
+    assert "振幅未过关" in (g["reason"] or "")
+    assert "6.00%" in (g["reason"] or "")
+    assert "2%" in (g["reason"] or "")
+
+
+def test_amplitude_gate_on_pass_within_max() -> None:
+    amp = AmplitudeHL(high=2010, low=1990, mid=2000, hours=12, bar_count=12)
+    assert amp.range_pct == 1.0
+    g = evaluate_amplitude_gate(
+        filter_enabled=True, amp=amp, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is False
+    assert g["ok"] is True
+    assert g["reason"] is None
+
+
+def test_amplitude_gate_on_no_candles_fail_closed() -> None:
+    g = evaluate_amplitude_gate(
+        filter_enabled=True, amp=None, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is True
+    assert g["ok"] is False
+    assert "无法获取" in (g["reason"] or "")
+
+
+def test_amplitude_gate_off_no_candles_still_ok() -> None:
+    g = evaluate_amplitude_gate(
+        filter_enabled=False, amp=None, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is False
+    assert g["ok"] is True
@@ -214,6 +214,7 @@ export type MarketSnapshot = {
    max_pct?: number;
    /** @deprecated 兼容旧字段，等同 max_pct */
    min_pct?: number;
+    filter_enabled?: boolean;
    ok?: boolean;
  } | null;
  pair: {
@@ -288,6 +288,9 @@ export default function PlanPage() {
  ]
    .filter(Boolean)
    .join(" · ");
+  const poAmpLabel = plan?.oo_amplitude_filter_enabled
+    ? `振幅≤${fmt(plan?.oo_amplitude_pct ?? 1.5, 1)}%/${fmt(plan?.oo_amplitude_hours ?? 12, 0)}h(第一关)`
+    : null;
  const exitDetail = isOo
    ? `净盈利≥预算×${fmt(ooRatio, 1)} → 只平盈利腿，亏损腿残留`
    : exitMode === "premium_multiple"
@@ -380,6 +383,7 @@ export default function PlanPage() {
                </>
              ) : (
                <>
+                  {poAmpLabel ? `${poAmpLabel} · ` : ""}
                  永续{" "}
                  {displayPerpQty != null
                    ? `${fmt(displayPerpQty, 2)} ETH`
@@ -520,6 +524,7 @@ export default function PlanPage() {
                    ooSelectLabel
                  ) : (
                    <>
+                      {poAmpLabel ? `${poAmpLabel} · ` : ""}
                      永续
                      {displayPerpQty != null
                        ? `${fmt(displayPerpQty, 2)}ETH`
@@ -1033,55 +1038,56 @@ export default function PlanPage() {
        </div>

        <div className="plan-market">
-          {isOo ? (
-            <div className="card">
-              <h3 className="plan-panel-title">指数 / 振幅</h3>
-              <div className="kv">
-                <span>指数</span>
-                <span className="mono">{fmtExPx("index", snap?.index_px)}</span>
-              </div>
-              <div className="kv">
-                <span>
-                  高点
-                  {snap?.oo_amplitude?.hours != null
-                    ? `（${fmt(snap.oo_amplitude.hours, 0)}h）`
-                    : ""}
-                </span>
-                <span className="mono">
-                  {fmtExPx("index", snap?.oo_amplitude?.high)}
-                </span>
-              </div>
-              <div className="kv">
-                <span>低点</span>
-                <span className="mono">
-                  {fmtExPx("index", snap?.oo_amplitude?.low)}
-                </span>
-              </div>
-              <div className="kv">
-                <span>振幅</span>
-                <span className="mono">
-                  {snap?.oo_amplitude?.range_pct != null
-                    ? `${fmt(snap.oo_amplitude.range_pct, 2)}%`
-                    : "—"}
-                  {(snap?.oo_amplitude?.max_pct ?? snap?.oo_amplitude?.min_pct) !=
-                  null
-                    ? ` · 上限≤${fmt(
-                        Number(
-                          snap.oo_amplitude?.max_pct ??
-                            snap.oo_amplitude?.min_pct,
-                        ),
-                        1,
-                      )}%`
-                    : ""}
-                  {snap?.oo_amplitude?.ok === false
+          <div className="card">
+            <h3 className="plan-panel-title">指数 / 振幅</h3>
+            <div className="kv">
+              <span>指数</span>
+              <span className="mono">{fmtExPx("index", snap?.index_px)}</span>
+            </div>
+            <div className="kv">
+              <span>
+                高点
+                {snap?.oo_amplitude?.hours != null
+                  ? `（${fmt(snap.oo_amplitude.hours, 0)}h）`
+                  : ""}
+              </span>
+              <span className="mono">
+                {fmtExPx("index", snap?.oo_amplitude?.high)}
+              </span>
+            </div>
+            <div className="kv">
+              <span>低点</span>
+              <span className="mono">
+                {fmtExPx("index", snap?.oo_amplitude?.low)}
+              </span>
+            </div>
+            <div className="kv">
+              <span>振幅</span>
+              <span className="mono">
+                {snap?.oo_amplitude?.range_pct != null
+                  ? `${fmt(snap.oo_amplitude.range_pct, 2)}%`
+                  : "—"}
+                {(snap?.oo_amplitude?.max_pct ?? snap?.oo_amplitude?.min_pct) !=
+                null
+                  ? ` · 上限≤${fmt(
+                      Number(
+                        snap.oo_amplitude?.max_pct ??
+                          snap.oo_amplitude?.min_pct,
+                      ),
+                      1,
+                    )}%`
+                  : ""}
+                {snap?.oo_amplitude?.filter_enabled === false
+                  ? " · 过滤关"
+                  : snap?.oo_amplitude?.ok === false
                    ? " · 超限"
                    : snap?.oo_amplitude?.ok === true
                      ? " · 可开"
                      : ""}
-                </span>
-              </div>
+              </span>
            </div>
-          ) : (
+          </div>
+          {!isOo ? (
            <div className="card">
              <h3 className="plan-panel-title">永续行情</h3>
              <div className="kv">
@@ -1104,12 +1110,8 @@ export default function PlanPage() {
                  )}
                </span>
              </div>
-              <div className="kv">
-                <span>指数</span>
-                <span className="mono">{fmtExPx("index", snap?.index_px)}</span>
-              </div>
            </div>
-          )}
+          ) : null}
          <div className="card">
            <h3 className="plan-panel-title">
              {isOo
@@ -742,67 +742,65 @@ export default function SettingsPage() {
                      <option value="option_option">期期对冲（双期权）</option>
                    </select>
                  </div>
+                  <div className="field">
+                    <label htmlFor="ooAmpFilt">振幅过滤</label>
+                    <select
+                      id="ooAmpFilt"
+                      className="mono"
+                      value={ooAmpFilterOn ? "on" : "off"}
+                      onChange={(e) =>
+                        setOoAmpFilterOn(e.target.value === "on")
+                      }
+                    >
+                      <option value="off">关闭（默认）</option>
+                      <option value="on">开启</option>
+                    </select>
+                  </div>
+                  <div className="field">
+                    <label htmlFor="ooAmpH">振幅回看（小时）</label>
+                    <input
+                      id="ooAmpH"
+                      className="mono"
+                      type="number"
+                      step="1"
+                      min="1"
+                      value={ooAmpHours}
+                      onChange={(e) =>
+                        setOoAmpHours(Number(e.target.value))
+                      }
+                    />
+                  </div>
+                  {ooAmpFilterOn ? (
+                    <div className="field">
+                      <label htmlFor="ooAmp">振幅最大（%）</label>
+                      <input
+                        id="ooAmp"
+                        className="mono"
+                        type="number"
+                        step="0.1"
+                        min="0.1"
+                        value={ooAmpPct}
+                        onChange={(e) =>
+                          setOoAmpPct(Number(e.target.value))
+                        }
+                      />
+                    </div>
+                  ) : null}
                  {isOo ? (
-                    <>
-                      <div className="field">
-                        <label htmlFor="ooAmpFilt">振幅过滤</label>
-                        <select
-                          id="ooAmpFilt"
-                          className="mono"
-                          value={ooAmpFilterOn ? "on" : "off"}
-                          onChange={(e) =>
-                            setOoAmpFilterOn(e.target.value === "on")
-                          }
-                        >
-                          <option value="off">关闭（默认）</option>
-                          <option value="on">开启</option>
-                        </select>
-                      </div>
-                      <div className="field">
-                        <label htmlFor="ooAmpH">振幅回看（小时）</label>
-                        <input
-                          id="ooAmpH"
-                          className="mono"
-                          type="number"
-                          step="1"
-                          min="1"
-                          value={ooAmpHours}
-                          onChange={(e) =>
-                            setOoAmpHours(Number(e.target.value))
-                          }
-                        />
-                      </div>
-                      {ooAmpFilterOn ? (
-                        <div className="field">
-                          <label htmlFor="ooAmp">振幅最大（%）</label>
-                          <input
-                            id="ooAmp"
-                            className="mono"
-                            type="number"
-                            step="0.1"
-                            min="0.1"
-                            value={ooAmpPct}
-                            onChange={(e) =>
-                              setOoAmpPct(Number(e.target.value))
-                            }
-                          />
-                        </div>
-                      ) : null}
-                      <div className="field">
-                        <label htmlFor="ooRR">盈亏比</label>
-                        <input
-                          id="ooRR"
-                          className="mono"
-                          type="number"
-                          step="0.1"
-                          min="0.5"
-                          value={ooRewardRatio}
-                          onChange={(e) =>
-                            setOoRewardRatio(Number(e.target.value))
-                          }
-                        />
-                      </div>
-                    </>
+                    <div className="field">
+                      <label htmlFor="ooRR">盈亏比</label>
+                      <input
+                        id="ooRR"
+                        className="mono"
+                        type="number"
+                        step="0.1"
+                        min="0.5"
+                        value={ooRewardRatio}
+                        onChange={(e) =>
+                          setOoRewardRatio(Number(e.target.value))
+                        }
+                      />
+                    </div>
                  ) : null}
                  {!isOo ? (
                    <div className="field">
@@ -1692,16 +1690,17 @@ export default function SettingsPage() {
                      对冲模式二选一：永期=永续+期权；期期=近 N
                      小时振幅高低匹配虚值 Call/Put，达标只平盈利腿。
                    </li>
+                    <li>
+                      振幅过滤：默认关闭。开启后回看窗内振幅超过「振幅最大%」则不开仓
+                      {isOo
+                        ? "；关闭时仍用回看高低点选约，但不因振幅超限拒开。"
+                        : "（永期开仓第一关，不过关不再看 ATM/杠杆等）。"}
+                    </li>
                    {isOo ? (
-                      <>
-                        <li>
-                          期期定仓：强制以损定仓 + 亏损幅度%；预算平分
-                          Call/Put，各按卖一独立定仓；出场目标 = 预算 × 盈亏比。
-                        </li>
-                        <li>
-                          振幅过滤：默认关闭。关闭时仍用「振幅回看」取高低点选约，但不因振幅超限拒开；开启后回看窗内振幅超过「振幅最大%」则不开仓。
-                        </li>
-                      </>
+                      <li>
+                        期期定仓：强制以损定仓 + 亏损幅度%；预算平分
+                        Call/Put，各按卖一独立定仓；出场目标 = 预算 × 盈亏比。
+                      </li>
                    ) : (
                      <>
                        <li>
@@ -1738,6 +1737,10 @@ export default function SettingsPage() {
                    </>
                  ) : (
                  <>
+                    <li>
+                      振幅过滤（仓位页）：开启时为开仓第一关——回看窗内振幅须 ≤
+                      最大%，不过关则不开仓。
+                    </li>
                    <li>
                      固定方向：默认关。开启后固定永续多→买 Put，或永续空→买
                      Call；期权只选实值或平值，不买虚值。关闭时仍按 ATM/卖一比价规则。