dekun/eth_hedge_sim
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Move settings hints into rules; add OO amplitude filter toggle default off.

Browse Source 
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-07 17:58:50 +08:00
parent 0daac05ef5
commit ab612df818
10 changed files with 201 additions and 118 deletions
Download Patch File Download Diff File Expand all files Collapse all files
backend/app/api/fleet.py
+13
View File
@@ -322,6 +322,19 @@ async def fleet_status(_tok: Annotated[str, Depends(require_fleet_token)]) -> di
"oo_amplitude_hours": _pick(
"oo_amplitude_hours", float(settings.oo_amplitude_hours)
),
"oo_amplitude_filter_enabled": (
str(
st.get("oo_amplitude_filter_enabled")
if "oo_amplitude_filter_enabled" in st
else db.get_setting(
"oo_amplitude_filter_enabled",
str(settings.oo_amplitude_filter_enabled),
)
)
.strip()
.lower()
in ("1", "true", "yes", "on")
),
"oo_min_option_hours": _pick(
"oo_min_option_hours", float(settings.oo_min_option_hours)
),
backend/app/api/settings.py
+10
View File
@@ -67,6 +67,7 @@ KEYS = (
"hedge_mode",
"oo_amplitude_pct",
"oo_amplitude_hours",
"oo_amplitude_filter_enabled",
"oo_min_option_hours",
"oo_min_leverage",
"oo_reward_ratio",
@@ -123,6 +124,7 @@ class StrategySettingsBody(BaseModel):
)
oo_amplitude_pct: float | None = Field(default=None, ge=0.1, le=50)
oo_amplitude_hours: float | None = Field(default=None, ge=1, le=168)
oo_amplitude_filter_enabled: bool | None = None
oo_min_option_hours: float | None = Field(default=None, ge=1, le=720)
oo_min_leverage: float | None = Field(default=None, ge=1, le=10000)
oo_reward_ratio: float | None = Field(default=None, ge=0.5, le=20)
@@ -365,6 +367,13 @@ def _read_settings() -> dict:
db.get_setting("oo_amplitude_hours", str(s.oo_amplitude_hours))
or s.oo_amplitude_hours
),
"oo_amplitude_filter_enabled": _as_bool(
db.get_setting(
"oo_amplitude_filter_enabled",
str(s.oo_amplitude_filter_enabled),
),
s.oo_amplitude_filter_enabled,
),
"oo_min_option_hours": float(
db.get_setting("oo_min_option_hours", str(s.oo_min_option_hours))
or s.oo_min_option_hours
@@ -476,6 +485,7 @@ async def put_strategy_settings(
"hedge_mode",
"oo_amplitude_pct",
"oo_amplitude_hours",
"oo_amplitude_filter_enabled",
"oo_min_option_hours",
"oo_min_leverage",
"oo_reward_ratio",
backend/app/config.py
+3 -2
View File
@@ -82,8 +82,9 @@ class Settings(BaseSettings):
martingale_max_doubles: int = 3 # 最多翻倍次数（如 2→4→8→16 为 3 次）
# 对冲模式：perp_option=永期（默认）| option_option=期期
hedge_mode: str = "perp_option"
oo_amplitude_pct: float = 1.5 # 振幅最大 %（回看窗内高低；超过则不开）
oo_amplitude_hours: float = 12.0 # 振幅回看小时
oo_amplitude_pct: float = 1.5 # 振幅最大 %（过滤开启时：超过则不开）
oo_amplitude_hours: float = 12.0 # 振幅回看小时（选约高低点；过滤关也用）
oo_amplitude_filter_enabled: bool = False # 振幅过滤开关（默认关）
oo_min_option_hours: float = 24.0 # 期期：最短剩余到期小时
oo_min_leverage: float = 200.0 # 期期：单腿最低杠杆
oo_reward_ratio: float = 2.0 # 盈亏比：出场目标 = 预算 × 比
backend/app/strategy/engine.py
+10
View File
@@ -279,6 +279,16 @@ class StrategyEngine:
)
or s.oo_amplitude_hours
),
"oo_amplitude_filter_enabled": str(
self.ledger.get_setting_str(
"oo_amplitude_filter_enabled",
str(s.oo_amplitude_filter_enabled),
)
or s.oo_amplitude_filter_enabled
)
.strip()
.lower()
in ("1", "true", "yes", "on"),
"oo_min_option_hours": float(
self.ledger.get_setting_float(
"oo_min_option_hours", s.oo_min_option_hours
backend/app/strategy/oo_selection.py
+3 -2
View File
@@ -144,12 +144,13 @@ def build_oo_pick_core(
skip_expiry_ymds: set[str] | None = None,
now: datetime | None = None,
max_dev_pct: float = 1.0,
amplitude_filter_enabled: bool = True,
) -> OoPickCore | None:
"""完整期期选约：振幅门 + 虚值双腿（贴高低≤max_dev%） + 杠杆。"""
"""完整期期选约：振幅门（可关）+ 虚值双腿（贴高低≤max_dev%） + 杠杆。"""
amp = amplitude or fetch_amplitude_hl_for_runtime(amplitude_hours)
if amp is None:
return None
if float(amp.range_pct) > float(amplitude_pct) + 1e-12:
if amplitude_filter_enabled and float(amp.range_pct) > float(amplitude_pct) + 1e-12:
return None
if spot <= 0:
spot = float(amp.mid)
backend/app/strategy/session.py
+38 -10
View File
@@ -192,13 +192,24 @@ def _hedge_mode() -> str:
return "perp_option"
def _oo_settings() -> tuple[float, float, float, float, float]:
"""amplitude_pct, amplitude_hours, min_option_hours, min_leverage, strike_max_dev_pct"""
def _oo_settings() -> tuple[float, float, float, float, float, bool]:
"""amplitude_pct, amplitude_hours, min_option_hours, min_leverage, strike_max_dev_pct, amp_filter_on"""
s = get_settings()
try:
from ..models.db import get_db
db = get_db()
filt_raw = db.get_setting(
"oo_amplitude_filter_enabled", str(s.oo_amplitude_filter_enabled)
)
filt_on = str(filt_raw or "").strip().lower() in (
"1",
"true",
"yes",
"on",
)
if filt_raw is None or filt_raw == "":
filt_on = bool(s.oo_amplitude_filter_enabled)
return (
float(db.get_setting("oo_amplitude_pct", str(s.oo_amplitude_pct)) or s.oo_amplitude_pct),
float(
@@ -216,6 +227,7 @@ def _oo_settings() -> tuple[float, float, float, float, float]:
)
or s.oo_strike_max_dev_pct
),
filt_on,
)
except Exception:
return (
@@ -224,6 +236,7 @@ def _oo_settings() -> tuple[float, float, float, float, float]:
s.oo_min_option_hours,
s.oo_min_leverage,
s.oo_strike_max_dev_pct,
bool(s.oo_amplitude_filter_enabled),
)
@@ -457,7 +470,7 @@ class StrategySession:
try:
from ..exchange.candles import fetch_amplitude_hl_for_runtime
amp_pct, amp_hours, _, _, _ = _oo_settings()
amp_pct, amp_hours, _, _, _, amp_filt = _oo_settings()
amp = fetch_amplitude_hl_for_runtime(amp_hours)
if amp is None:
return self._oo_amp
@@ -468,7 +481,12 @@ class StrategySession:
"range_pct": float(amp.range_pct),
"hours": float(amp_hours),
"max_pct": float(amp_pct),
"ok": float(amp.range_pct) <= float(amp_pct) + 1e-12,
"filter_enabled": bool(amp_filt),
"ok": (
True
if not amp_filt
else float(amp.range_pct) <= float(amp_pct) + 1e-12
),
}
return self._oo_amp
except Exception:
@@ -484,7 +502,7 @@ class StrategySession:
if _has_open_position():
return self.align_to_held_position()
s = self.settings
amp_pct, amp_hours, min_hours, _min_lev, max_dev = _oo_settings()
amp_pct, amp_hours, min_hours, _min_lev, max_dev, _amp_filt = _oo_settings()
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:
@@ -535,7 +553,7 @@ class StrategySession:
from .selection import _complete_by_expiry, option_leverage
s = self.settings
amp_pct, amp_hours, min_hours, min_lev, max_dev = _oo_settings()
amp_pct, amp_hours, min_hours, min_lev, max_dev, amp_filt = _oo_settings()
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:
@@ -553,9 +571,14 @@ class StrategySession:
"range_pct": float(amp.range_pct),
"hours": float(amp_hours),
"max_pct": float(amp_pct),
"ok": float(amp.range_pct) <= float(amp_pct) + 1e-12,
"filter_enabled": bool(amp_filt),
"ok": (
True
if not amp_filt
else float(amp.range_pct) <= float(amp_pct) + 1e-12
),
}
if float(amp.range_pct) > float(amp_pct) + 1e-12:
if amp_filt and float(amp.range_pct) > float(amp_pct) + 1e-12:
logger.info(
"oo: amplitude %.3f%% > max %.3f%% (H=%.2f L=%.2f)",
amp.range_pct,
@@ -852,7 +875,7 @@ class StrategySession:
def oo_needs_realign(self) -> bool:
if self._pair is None:
return True
_amp_pct, amp_hours, min_hours, _, max_dev = _oo_settings()
_amp_pct, amp_hours, min_hours, _, max_dev, amp_filt = _oo_settings()
if (
hours_until_expiry(self._pair.expiry_ymd, expiry_ms=self._pair.expiry_ms)
+ 1e-9
@@ -879,7 +902,12 @@ class StrategySession:
"range_pct": float(amp.range_pct),
"hours": float(amp_hours),
"max_pct": float(_amp_pct),
"ok": float(amp.range_pct) <= float(_amp_pct) + 1e-12,
"filter_enabled": bool(amp_filt),
"ok": (
True
if not amp_filt
else float(amp.range_pct) <= float(_amp_pct) + 1e-12
),
}
contracts = self.ex.list_option_contracts(self.settings.option_inst_family)
picked = select_oo_pair(
backend/tests/test_oo_selection_sizing.py
+15
View File
@@ -175,3 +175,18 @@ def test_amplitude_max_gate() -> None:
assert ok is not None
assert ok.call.strike == 2025.0
assert ok.put.strike == 1975.0
# 过滤关闭：振幅 3% 超过 1.5% 上限也可过
ok_off = build_oo_pick_core(
contracts=contracts,
spot=2000,
call_ask=5,
put_ask=5,
min_hours=1,
min_leverage=1,
amplitude_hours=12,
amplitude_pct=1.5,
amplitude=amp,
max_dev_pct=1.0,
amplitude_filter_enabled=False,
)
assert ok_off is not None