Show semi risk-based open size from ask and unit ratio.

Semi sizing uses market ask with semi units; Plan panel previews option/perp qty under the form. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-08 14:27:19 +08:00
parent 7db8b724ac
commit b09d1b0886
9 changed files with 343 additions and 44 deletions
@@ -254,6 +254,9 @@ class StrategyEngine:
            "oo_put_qty_eth": oo_put_qty,
            "sizing_mode": sizing_mode,
            "risk_based": sizing_mode == "risk_based",
+            "fee_rate": float(
+                self.ledger.get_setting_float("fee_rate", s.fee_rate) or s.fee_rate
+            ),
            "hedge_mode": (
                hm
                if (
@@ -83,10 +83,15 @@ def size_and_gate(
            led = Ledger(database)
            semi_perp = None
            semi_opt = None
+            semi_exit = None
+            semi_basis = None
            if is_semi_auto(led):
                sp = read_semi_params(led)
                semi_perp = float(sp["perp_unit"])
                semi_opt = float(sp["option_unit"])
+                semi_exit = float(sp["perp_exit_unit"])
+                # 半自动以损定仓：按盘口卖一推期权量，再按配比乘 k 得永续量
+                semi_basis = "actual"
                if not is_risk_based(led):
                    # 手动仓：半自动直接写入 永续:期权 配比名义
                    database.set_setting("perp_qty_eth", f"{semi_perp:.4f}")
@@ -97,6 +102,8 @@ def size_and_gate(
                db=database,
                perp_unit=semi_perp,
                option_unit=semi_opt,
+                exit_unit=semi_exit,
+                leverage_basis=semi_basis,
            )
            if not rs.ok:
                return OpenPrepResult(ok=False, detail=rs.detail, sizing_detail=rs.detail)
@@ -430,6 +430,8 @@ def compute_risk_sizing(
    db: Database | None = None,
    perp_unit: float | None = None,
    option_unit: float | None = None,
+    exit_unit: float | None = None,
+    leverage_basis: str | None = None,
 ) -> RiskSizingResult:
    database = db or get_db()
    ledger = Ledger(database)
@@ -440,9 +442,16 @@ def compute_risk_sizing(
        perp_u = float(perp_unit)
    if option_unit is not None and float(option_unit) > 0:
        opt_u = float(option_unit)
-    basis_raw = ledger.get_setting_str(
-        "risk_leverage_basis", s.risk_leverage_basis
-    ) or s.risk_leverage_basis
+    if exit_unit is not None and float(exit_unit) > 0:
+        exit_u = float(exit_unit)
+    basis_raw = (
+        leverage_basis
+        if leverage_basis is not None
+        else (
+            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
    )
@@ -690,6 +699,8 @@ def apply_risk_sizing_to_ledger(
    db: Database | None = None,
    perp_unit: float | None = None,
    option_unit: float | None = None,
+    exit_unit: float | None = None,
+    leverage_basis: str | None = None,
 ) -> RiskSizingResult:
    """计算并写入 perp/option/exit；非以损定仓模式直接 ok 跳过。持仓中拒绝改写。"""
    database = db or get_db()
@@ -713,6 +724,8 @@ def apply_risk_sizing_to_ledger(
        db=database,
        perp_unit=perp_unit,
        option_unit=option_unit,
+        exit_unit=exit_unit,
+        leverage_basis=leverage_basis,
    )
    if not r.ok:
        return r
@@ -793,8 +806,38 @@ def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
        out["ok"] = False
        out["detail"] = "暂无指数或期权卖一，无法预览"
        return out
-    r = compute_risk_sizing(index_px=float(idx), option_ask=float(ask), db=database)
+
+    # 半自动：用本单配比/净利基数，并以盘口卖一定仓（与开仓一致）
+    semi_perp = semi_opt = semi_exit = None
+    semi_on = False
+    try:
+        from .semi_auto import is_semi_auto, read_semi_params
+
+        if is_semi_auto(ledger):
+            sp = read_semi_params(ledger)
+            semi_on = True
+            semi_perp = float(sp["perp_unit"])
+            semi_opt = float(sp["option_unit"])
+            semi_exit = float(sp["perp_exit_unit"])
+    except Exception:
+        logger.debug("preview semi units skipped", exc_info=True)
+
+    r = compute_risk_sizing(
+        index_px=float(idx),
+        option_ask=float(ask),
+        db=database,
+        perp_unit=semi_perp,
+        option_unit=semi_opt,
+        exit_unit=semi_exit,
+        leverage_basis="actual" if semi_on else None,
+    )
    perp_u, opt_u, exit_u = read_risk_units(ledger)
+    if semi_perp is not None:
+        perp_u = float(semi_perp)
+    if semi_opt is not None:
+        opt_u = float(semi_opt)
+    if semi_exit is not None:
+        exit_u = float(semi_exit)
    mg = resolve_martingale(database, ledger=ledger)
    s = get_settings()
    exit_mode = str(
@@ -806,7 +849,10 @@ def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
    )
    exit_target = r.net_profit_target
    exit_label = "基数×k"
-    if exit_mode == "premium_multiple":
+    if semi_on:
+        exit_label = "半自动净利基数×k"
+        exit_mode = "fixed_usdt"
+    elif exit_mode == "premium_multiple":
        exit_label = f"权利金×{prem_mult:g}"
        if r.ok and r.premium_est is not None:
            exit_target = round(float(r.premium_est) * max(0.0, prem_mult), 2)
@@ -833,6 +879,7 @@ def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
            "perp_unit": perp_u,
            "option_unit": opt_u,
            "exit_unit": exit_u,
+            "semi_units": semi_on,
            "martingale": mg,
            "risk_effective_loss_pct": mg.get("effective_pct"),
        }
@@ -119,6 +119,41 @@ def test_selection_basis_yields_smaller_k_when_ask_cheap() -> None:
    assert r_act.k is not None and r_act.k > r_sel.k


+def test_compute_risk_sizing_unit_overrides(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_units.db")
+    db.set_setting("sizing_mode", "risk_based")
+    db.set_setting("risk_loss_mode", "absolute")
+    db.set_setting("risk_loss_usdt", "83")
+    db.set_setting("fee_rate", "0.0005")
+    db.set_setting("risk_leverage_basis", "selection")
+    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")
+
+    # 覆盖为单位 0.5:4、出场 5，并强制实际卖一（ask=20 → cost=80+3=83 → k=1）
+    r = compute_risk_sizing(
+        index_px=2000.0,
+        option_ask=20.0,
+        db=db,
+        perp_unit=0.5,
+        option_unit=4.0,
+        exit_unit=5.0,
+        leverage_basis="actual",
+    )
+    assert r.ok
+    assert r.leverage_basis == "actual"
+    assert r.k == 1.0
+    assert r.perp_qty_eth == 0.5
+    assert r.option_qty_eth == 4.0
+    assert r.net_profit_target == 5.0
+    db.close()
+
+
 def test_compute_risk_sizing_respects_basis(tmp_path, monkeypatch) -> None:
    monkeypatch.setenv("MODE", "SIM")
    from app.models.db import Database
@@ -46,6 +46,9 @@

 名义配比：`semi_perp_unit` : `semi_option_unit`（默认 **1:4**）；以损定仓时作单位再乘 k，手动仓直接写入名义。最短剩余小时默认 ≥30h。

+**以损定仓（半自动）**：系统设置 `sizing_mode=risk_based` 时，开仓前用**盘口卖一**估算单位成本 → 预算反推 k →  
+`期权量 = 期权单位 × k`，`永续量 = 永续单位 × k`（配比不变）。首页「半自动 · 本单」下方按当前报价档卖一实时预览开仓量。
+
 ---

 ## 3. 出场
@@ -109,5 +112,6 @@ Fleet `strategy` 透出半自动字段。监控模式列在永期开启半自动

 | 日期 | 说明 |
 |------|------|
+| 2026-08-08 | 以损定仓按卖一推期权量、配比乘 k 得永续；本单面板预览开仓量 |
 | 2026-08-08 | 行权类型 itm/atm/otm；虚值偏离可配；永续:期权配比默认 1:4 |
 | 2026-08-08 | 初版：设置开关、首页本单、中控展示、出场与停机 |
@@ -5,6 +5,16 @@

 ---

+## 2026-08-08 — 半自动以损定仓预览开仓量
+
+### 变更
+
+1. 半自动开启且以损定仓时：按**盘口卖一**推期权量，再按本单永续:期权配比 ×k 得永续量。  
+2. 首页「半自动 · 本单」下方实时显示预估开仓数量（卖一/K/k/预算）。  
+3. 预览与开仓共用半自动单位与净利基数，权利金口径强制实际卖一。  
+
+---
+
 ## 2026-08-08 — 半自动行权类型与 1:4 配比

 ### 变更
@@ -393,6 +393,7 @@ export type PlanState = {
  oo_put_qty_eth?: number;
  sizing_mode?: "manual" | "risk_based";
  risk_based?: boolean;
+  fee_rate?: number;
  ledger: { equity: number; available: number; reserved: number };
  mode?: "SIM" | "LIVE";
  sim?: boolean;
@@ -105,6 +105,126 @@ function fmtBidLiquidity(
  return `${px} / ${sz}`;
 }

+type LadderRow = {
+  strike: number;
+  offset: number;
+  tag: string;
+  ask: number | null;
+  ask_sz: number | null;
+  lev: number | null;
+  inst_id?: string | null;
+};
+
+/** 与报价表相同的候选档：ATM 1 / OTM 最近 2 / ITM 最近 2 */
+function filterSemiLadderRows(
+  all: LadderRow[],
+  moneyness: "itm" | "atm" | "otm",
+  otmOff: number,
+  view: "long" | "short",
+): LadderRow[] {
+  if (moneyness === "atm") {
+    return all.filter((r) => r.tag === "atm").slice(0, 1);
+  }
+  if (moneyness === "otm") {
+    const shown = all
+      .filter(
+        (r) => r.tag === "otm" && Math.abs(r.offset) <= Number(otmOff) + 1e-9,
+      )
+      .sort((a, b) => Math.abs(a.offset) - Math.abs(b.offset))
+      .slice(0, 2);
+    shown.sort((a, b) =>
+      view === "short" ? a.strike - b.strike : b.strike - a.strike,
+    );
+    return shown;
+  }
+  const shown = all
+    .filter((r) => r.tag === "itm")
+    .sort((a, b) => Math.abs(a.offset) - Math.abs(b.offset))
+    .slice(0, 2);
+  shown.sort((a, b) =>
+    view === "short" ? a.strike - b.strike : b.strike - a.strike,
+  );
+  return shown;
+}
+
+/** 定仓用：取最接近现价且有卖一的一档 */
+function pickSizingAskRow(rows: LadderRow[]): LadderRow | null {
+  const withAsk = rows.filter(
+    (r) => r.ask != null && Number.isFinite(r.ask) && Number(r.ask) > 0,
+  );
+  if (withAsk.length === 0) return null;
+  return [...withAsk].sort(
+    (a, b) => Math.abs(a.offset) - Math.abs(b.offset),
+  )[0];
+}
+
+function floorK1dp(kRaw: number): number {
+  if (!(kRaw > 0) || !Number.isFinite(kRaw)) return 0;
+  return Math.floor(kRaw * 10 + 1e-12) / 10;
+}
+
+/** 卖一推期权量，再按永续:期权单位配比得永续量（与后端 compute_k 一致） */
+function estimateSemiRiskQty(args: {
+  budget: number;
+  indexPx: number;
+  optionAsk: number;
+  feeRate: number;
+  perpUnit: number;
+  optionUnit: number;
+  exitUnit: number;
+}): {
+  ok: boolean;
+  detail: string;
+  k?: number;
+  perpQty?: number;
+  optionQty?: number;
+  maxLoss?: number;
+  netTarget?: number;
+} {
+  const {
+    budget,
+    indexPx,
+    optionAsk,
+    feeRate,
+    perpUnit,
+    optionUnit,
+    exitUnit,
+  } = args;
+  if (!(budget > 0) || !(indexPx > 0) || !(optionAsk > 0)) {
+    return { ok: false, detail: "缺预算/指数/卖一" };
+  }
+  if (!(perpUnit > 0) || !(optionUnit > 0) || !(exitUnit > 0)) {
+    return { ok: false, detail: "配比/净利基数须 > 0" };
+  }
+  const cost1 = optionAsk * optionUnit + indexPx * feeRate * 3;
+  if (!(cost1 > 1e-12)) return { ok: false, detail: "单位成本无效" };
+  let k = floorK1dp(budget / cost1);
+  if (k < 0.1 - 1e-12) {
+    return {
+      ok: false,
+      detail: `预算不足以开最小仓（单位成本≈${cost1.toFixed(2)}U）`,
+    };
+  }
+  while (k >= 0.1 - 1e-12) {
+    const prem = optionAsk * optionUnit * k;
+    const fee = indexPx * feeRate * 3 * k;
+    const mx = prem + fee;
+    if (mx <= budget + 1e-6) {
+      return {
+        ok: true,
+        detail: "ok",
+        k,
+        perpQty: Number((perpUnit * k).toFixed(4)),
+        optionQty: Number((optionUnit * k).toFixed(4)),
+        maxLoss: Number(mx.toFixed(2)),
+        netTarget: Number((exitUnit * k).toFixed(2)),
+      };
+    }
+    k = Math.round((k - 0.1) * 10) / 10;
+  }
+  return { ok: false, detail: "预算内无合规 k" };
+}
+
 export default function PlanPage() {
  const [snap, setSnap] = useState<MarketSnapshot | null>(null);
  const [plan, setPlan] = useState<PlanState | null>(null);
@@ -856,7 +976,7 @@ export default function PlanPage() {
            </div>
            <div className="mono meta plan-semi-summary">
              {(() => {
-                const idx = snap?.index_px;
+                const idx = snap?.index_px ?? ladder?.index_px;
                if (idx == null || !Number.isFinite(Number(idx))) {
                  return `净利目标≈${fmt(plan.semi_net_exit_target ?? semiExitU, 2)}U`;
                }
@@ -868,6 +988,104 @@ export default function PlanPage() {
                return `${fmtExPx("index", n)}→${fmtExPx("index", tgt)} · 净利≈${fmt(plan.semi_net_exit_target ?? semiExitU, 2)}U`;
              })()}
            </div>
+            <div className="mono meta plan-semi-sizing">
+              {(() => {
+                const shown = filterSemiLadderRows(
+                  ladder?.rows || [],
+                  semiMny,
+                  Number(semiOtmOff) || 25,
+                  semiView,
+                );
+                const pick = pickSizingAskRow(shown);
+                const ask = pick?.ask != null ? Number(pick.ask) : null;
+                const idx =
+                  ladder?.index_px != null
+                    ? Number(ladder.index_px)
+                    : snap?.index_px != null
+                      ? Number(snap.index_px)
+                      : null;
+                if (!riskBased) {
+                  return (
+                    <>
+                      手动仓 · 开仓 期权 {fmt(semiOptU, 2)} ETH / 永续{" "}
+                      {fmt(semiPerpU, 2)} ETH
+                      <span className="meta">
+                        {" "}
+                        （系统设置可开以损定仓）
+                      </span>
+                    </>
+                  );
+                }
+                if (riskLocked) {
+                  return (
+                    <>
+                      以损定仓(锁) · 期权{" "}
+                      {fmt(plan.option_qty_eth ?? pos?.option_qty_eth, 2)} ETH /
+                      永续 {fmt(plan.perp_qty_eth ?? pos?.perp_qty_eth, 2)} ETH
+                      {plan.risk_last_k != null
+                        ? ` · k=${fmt(plan.risk_last_k, 1)}`
+                        : ""}
+                    </>
+                  );
+                }
+                const budget = Number(plan.risk_sizing_preview?.budget);
+                const fee = Number(plan.fee_rate ?? 0.0005);
+                if (
+                  ask == null ||
+                  idx == null ||
+                  !Number.isFinite(budget) ||
+                  budget <= 0
+                ) {
+                  const prev = plan.risk_sizing_preview;
+                  if (prev?.ok && prev.option_qty_eth != null) {
+                    return (
+                      <>
+                        以损定仓 · 期权 {fmt(Number(prev.option_qty_eth), 2)} ETH
+                        / 永续 {fmt(Number(prev.perp_qty_eth), 2)} ETH
+                        {prev.k != null ? ` · k=${fmt(Number(prev.k), 1)}` : ""}
+                        {prev.budget != null
+                          ? ` · 预算${fmt(Number(prev.budget), 2)}U`
+                          : ""}
+                        <span className="meta"> · 待本单卖一</span>
+                      </>
+                    );
+                  }
+                  return (
+                    <>
+                      以损定仓 ·{" "}
+                      {prev?.ok === false
+                        ? String(prev.detail || "预览失败")
+                        : "待卖一/预算推算开仓量"}
+                    </>
+                  );
+                }
+                const est = estimateSemiRiskQty({
+                  budget,
+                  indexPx: idx,
+                  optionAsk: ask,
+                  feeRate: Number.isFinite(fee) && fee >= 0 ? fee : 0.0005,
+                  perpUnit: Number(semiPerpU) || 1,
+                  optionUnit: Number(semiOptU) || 4,
+                  exitUnit: Number(semiExitU) || 5,
+                });
+                if (!est.ok) {
+                  return <>以损定仓 · {est.detail}</>;
+                }
+                return (
+                  <>
+                    以损定仓 · 期权 {fmt(est.optionQty, 2)} ETH / 永续{" "}
+                    {fmt(est.perpQty, 2)} ETH · k={fmt(est.k, 1)} · 预算
+                    {fmt(budget, 2)}U · 卖一{fmtExPx("option", ask)}
+                    {pick != null
+                      ? ` · K${Math.round(pick.strike)}`
+                      : ""}
+                    {est.netTarget != null
+                      ? ` · 净利目标≈${fmt(est.netTarget, 2)}U`
+                      : ""}
+                  </>
+                );
+              })()}
+            </div>
            <div className="plan-semi-btns">
              <button
                className="btn ghost"
@@ -932,44 +1150,12 @@ export default function PlanPage() {
                  </thead>
                  <tbody>
                    {(() => {
-                      const all = ladder.rows || [];
-                      let shown = all;
-                      if (semiMny === "atm") {
-                        shown = all.filter((r) => r.tag === "atm").slice(0, 1);
-                      } else if (semiMny === "otm") {
-                        shown = all
-                          .filter(
-                            (r) =>
-                              r.tag === "otm" &&
-                              Math.abs(r.offset) <=
-                                Number(semiOtmOff) + 1e-9,
-                          )
-                          .sort(
-                            (a, b) =>
-                              Math.abs(a.offset) - Math.abs(b.offset),
-                          )
-                          .slice(0, 2);
-                        // Call：虚值高行权在上；Put：虚值低行权在上
-                        shown.sort((a, b) =>
-                          semiView === "short"
-                            ? a.strike - b.strike
-                            : b.strike - a.strike,
-                        );
-                      } else {
-                        // 实值：最接近现价的 2 档
-                        shown = all
-                          .filter((r) => r.tag === "itm")
-                          .sort(
-                            (a, b) =>
-                              Math.abs(a.offset) - Math.abs(b.offset),
-                          )
-                          .slice(0, 2);
-                        shown.sort((a, b) =>
-                          semiView === "short"
-                            ? a.strike - b.strike
-                            : b.strike - a.strike,
-                        );
-                      }
+                      const shown = filterSemiLadderRows(
+                        ladder.rows || [],
+                        semiMny,
+                        Number(semiOtmOff) || 25,
+                        semiView,
+                      );
                      if (shown.length === 0) {
                        return (
                          <tr>
@@ -537,6 +537,12 @@ input {
  font-size: 12px;
 }

+.plan-semi-sizing {
+  margin-top: 2px !important;
+  font-size: 12px;
+  opacity: 0.95;
+}
+
 .plan-semi-btns {
  display: flex;
  flex-wrap: wrap;