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}