diff --git a/.env.example b/.env.example
index b65affa..738cace 100644
--- a/.env.example
+++ b/.env.example
@@ -36,6 +36,9 @@ LEVERAGE=3
MIN_OPTION_HOURS=12
MIN_OPTION_LEVERAGE=100
EXIT_MOVE_PCT=2
+EXIT_MODE=fixed_usdt
+NET_PROFIT_TARGET=15
+PREMIUM_EXIT_MULTIPLE=1
CLOSE_BID_MARK_MAX_PCT=30
REST_SECONDS=300
PERP_QTY_ETH=1
diff --git a/backend/app/api/settings.py b/backend/app/api/settings.py
index 87570eb..c6d1fd3 100644
--- a/backend/app/api/settings.py
+++ b/backend/app/api/settings.py
@@ -15,6 +15,9 @@ router = APIRouter(prefix="/api/settings", tags=["settings"])
KEYS = (
"fee_rate",
"exit_move_pct",
+ "exit_mode",
+ "net_profit_target",
+ "premium_exit_multiple",
"rest_seconds",
"initial_equity",
"leverage",
@@ -29,6 +32,9 @@ KEYS = (
class StrategySettingsBody(BaseModel):
fee_rate: float | None = Field(default=None, ge=0, le=0.05)
exit_move_pct: float | None = Field(default=None, ge=0.1, le=50)
+ exit_mode: str | None = Field(default=None, pattern="^(fixed_usdt|premium_multiple)$")
+ net_profit_target: float | None = Field(default=None, ge=0.1, le=1_000_000)
+ premium_exit_multiple: float | None = Field(default=None, ge=0.1, le=100)
rest_seconds: int | None = Field(default=None, ge=0, le=3600)
initial_equity: float | None = Field(default=None, ge=1000)
leverage: float | None = Field(default=None, ge=1, le=125)
@@ -42,11 +48,23 @@ class StrategySettingsBody(BaseModel):
def _read_settings() -> dict:
db = get_db()
s = get_settings()
+ mode = str(db.get_setting("exit_mode", s.exit_mode) or s.exit_mode)
+ if mode not in ("fixed_usdt", "premium_multiple"):
+ mode = "fixed_usdt"
return {
"fee_rate": float(db.get_setting("fee_rate", str(s.fee_rate)) or s.fee_rate),
"exit_move_pct": float(
db.get_setting("exit_move_pct", str(s.exit_move_pct)) or s.exit_move_pct
),
+ "exit_mode": mode,
+ "net_profit_target": float(
+ db.get_setting("net_profit_target", str(s.net_profit_target))
+ or s.net_profit_target
+ ),
+ "premium_exit_multiple": float(
+ db.get_setting("premium_exit_multiple", str(s.premium_exit_multiple))
+ or s.premium_exit_multiple
+ ),
"rest_seconds": int(
float(db.get_setting("rest_seconds", str(s.rest_seconds)) or s.rest_seconds)
),
diff --git a/backend/app/config.py b/backend/app/config.py
index ab64219..2e6e878 100644
--- a/backend/app/config.py
+++ b/backend/app/config.py
@@ -42,8 +42,11 @@ class Settings(BaseSettings):
max_rounds: int = 3 # 已不再强管控，仅兼容旧字段
open_hhmm: str = "16:00" # 已废弃开仓窗
stop_open_hhmm: str = "08:00" # 已废弃开仓窗
- exit_move_points: float = 30.0 # 旧字段，改用 exit_move_pct
- exit_move_pct: float = 2.0 # 相对开仓指数波动 % 全平
+ exit_move_points: float = 30.0 # 旧字段，已废弃
+ exit_move_pct: float = 2.0 # 旧字段，已废弃（改用净盈利出场）
+ exit_mode: str = "fixed_usdt" # fixed_usdt | premium_multiple
+ net_profit_target: float = 15.0 # fixed_usdt：净盈利 ≥ 该值（USDT）
+ premium_exit_multiple: float = 1.0 # premium_multiple：净盈利 ≥ 权利金×倍数
rest_seconds: int = 300
leverage: float = 3.0 # 永续杠杆
min_option_hours: float = 12.0 # 期权最小剩余小时
diff --git a/backend/app/models/db.py b/backend/app/models/db.py
index 9a7a10d..b8e49d5 100644
--- a/backend/app/models/db.py
+++ b/backend/app/models/db.py
@@ -150,6 +150,9 @@ class Database:
"initial_equity": str(s.initial_equity),
"exit_move_points": str(s.exit_move_points),
"exit_move_pct": str(s.exit_move_pct),
+ "exit_mode": str(s.exit_mode),
+ "net_profit_target": str(s.net_profit_target),
+ "premium_exit_multiple": str(s.premium_exit_multiple),
"rest_seconds": str(s.rest_seconds),
"max_rounds": str(s.max_rounds),
"leverage": str(s.leverage),
diff --git a/backend/app/sim/ledger.py b/backend/app/sim/ledger.py
index 5d9c259..add5111 100644
--- a/backend/app/sim/ledger.py
+++ b/backend/app/sim/ledger.py
@@ -59,3 +59,9 @@ class Ledger:
def get_setting_int(self, key: str, default: int) -> int:
return int(self.get_setting_float(key, float(default)))
+
+ def get_setting_str(self, key: str, default: str) -> str:
+ v = self.db.get_setting(key)
+ if v is None or v == "":
+ return default
+ return str(v)
diff --git a/backend/app/sim/matcher.py b/backend/app/sim/matcher.py
index 4491e69..3650293 100644
--- a/backend/app/sim/matcher.py
+++ b/backend/app/sim/matcher.py
@@ -412,6 +412,8 @@ class Matcher:
"has_position": False,
"perp_upl": 0.0,
"option_upl": 0.0,
+ "net_pnl": 0.0,
+ "est_close_fees": 0.0,
"index_px": None,
"move_points": 0.0,
"move_pct": 0.0,
@@ -420,41 +422,73 @@ class Matcher:
sess = get_session()
snap = sess.snapshot()
s = get_settings()
+ fee_rate = self._fee_rate()
index_px = snap.index_px
if index_px is None and snap.perp:
index_px = snap.perp.mark_px
perp_side = str(pos["perp_side"])
perp_entry = float(pos["perp_entry_px"])
perp_qty = float(pos["perp_qty_eth"])
- mark = None
- if snap.perp:
- # 浮盈用对手方可平价粗估
- if perp_side == "long":
- mark = snap.perp.bid
- else:
- mark = snap.perp.ask
- mark = mark or snap.perp.mark_px
+ opt_qty = float(pos["option_qty_eth"] or 0)
+ opt_entry = float(pos["option_entry_px"] or 0)
+
+ # 与平仓一致：用对手价估算可平盈亏 + 手续费
perp_upl = 0.0
- if mark is not None:
+ est_perp_close_fee = 0.0
+ mark = None
+ if snap.perp and snap.perp.bid is not None and snap.perp.ask is not None:
+ pf = perp_fill(
+ side=perp_side,
+ action="close",
+ bid=float(snap.perp.bid),
+ ask=float(snap.perp.ask),
+ qty_eth=perp_qty,
+ fee_rate=fee_rate,
+ )
if perp_side == "long":
- perp_upl = (float(mark) - perp_entry) * perp_qty
+ perp_upl = (pf.fill_px - perp_entry) * perp_qty
else:
- perp_upl = (perp_entry - float(mark)) * perp_qty
+ perp_upl = (perp_entry - pf.fill_px) * perp_qty
+ est_perp_close_fee = pf.fee
+ mark = pf.fill_px
+ elif snap.perp:
+ if perp_side == "long":
+ mark = snap.perp.bid or snap.perp.mark_px
+ else:
+ mark = snap.perp.ask or snap.perp.mark_px
+ if mark is not None:
+ if perp_side == "long":
+ perp_upl = (float(mark) - perp_entry) * perp_qty
+ else:
+ perp_upl = (perp_entry - float(mark)) * perp_qty
option_side = str(pos["option_side"])
- # 优先用持仓合约盘口，避免 ATM 切换后盯错合约
opt_inst = str(pos.get("option_inst_id") or "")
oq = get_exchange().quote(opt_inst) if opt_inst else None
if oq is None:
oq = snap.call if option_side == "call" else snap.put
- opt_mark = None
- if oq:
- opt_mark = oq.bid or oq.mark_px
option_upl = 0.0
- if opt_mark is not None:
- option_upl = (float(opt_mark) - float(pos["option_entry_px"])) * float(
- pos["option_qty_eth"]
+ est_opt_close_fee = 0.0
+ opt_mark = None
+ if oq and oq.bid is not None:
+ of = option_fill(
+ action="close",
+ bid=float(oq.bid),
+ ask=float(oq.ask or oq.bid),
+ qty_eth=opt_qty,
+ fee_rate=fee_rate,
)
+ option_upl = (of.fill_px - opt_entry) * opt_qty
+ est_opt_close_fee = of.fee
+ opt_mark = of.fill_px
+ elif oq:
+ opt_mark = oq.bid or oq.mark_px
+ if opt_mark is not None:
+ option_upl = (float(opt_mark) - opt_entry) * opt_qty
+
+ est_close_fees = est_perp_close_fee + est_opt_close_fee
+ # 净盈利口径与平仓结算一致：双腿盈亏 − 预估平仓手续费
+ net_pnl = perp_upl + option_upl - est_close_fees
entry_idx = float(pos["entry_index_px"] or 0)
move = abs(float(index_px) - entry_idx) if index_px is not None and entry_idx else 0.0
@@ -492,14 +526,16 @@ class Matcher:
"perp_margin": margin,
"leverage": leverage,
"option_inst_id": pos.get("option_inst_id"),
- "option_entry_px": float(pos["option_entry_px"] or 0),
- "option_qty_eth": float(pos["option_qty_eth"] or 0),
+ "option_entry_px": opt_entry,
+ "option_qty_eth": opt_qty,
"option_qty_contracts": float(pos["option_qty_contracts"] or 0),
"option_mark_px": float(opt_mark) if opt_mark is not None else None,
"strike": strike,
"expiry_ymd": expiry_ymd,
"perp_upl": perp_upl,
"option_upl": option_upl,
+ "est_close_fees": est_close_fees,
+ "net_pnl": net_pnl,
"index_px": index_px,
"entry_index_px": entry_idx,
"move_points": move,
diff --git a/backend/app/strategy/engine.py b/backend/app/strategy/engine.py
index 1cbaa31..51d3a65 100644
--- a/backend/app/strategy/engine.py
+++ b/backend/app/strategy/engine.py
@@ -13,7 +13,7 @@ from ..models.db import get_db
from ..sim.ledger import Ledger
from ..sim.matcher import Matcher
from .clock import window_key
-from .exits import check_exits
+from .exits import check_exits, resolve_exit_target
from .group import next_group_id
logger = logging.getLogger(__name__)
@@ -32,7 +32,19 @@ class StrategyEngine:
assert row is not None
upl = self.matcher.unrealized()
s = get_settings()
- exit_pct = self.ledger.get_setting_float("exit_move_pct", s.exit_move_pct)
+ exit_mode = self.ledger.get_setting_str("exit_mode", s.exit_mode)
+ net_target = self.ledger.get_setting_float(
+ "net_profit_target", s.net_profit_target
+ )
+ prem_mult = self.ledger.get_setting_float(
+ "premium_exit_multiple", s.premium_exit_multiple
+ )
+ exit_amt, _ = resolve_exit_target(
+ exit_mode=exit_mode,
+ net_profit_target=net_target,
+ premium_exit_multiple=prem_mult,
+ initial_premium=float(upl.get("initial_premium") or 0),
+ )
rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
leverage = self.ledger.get_setting_float("leverage", s.leverage)
min_hours = self.ledger.get_setting_float("min_option_hours", s.min_option_hours)
@@ -55,7 +67,10 @@ class StrategyEngine:
"rest_until_ms": rest_until,
"rest_left_sec": rest_left,
"rest_seconds": rest_sec,
- "exit_move_pct": exit_pct,
+ "exit_mode": exit_mode,
+ "net_profit_target": net_target,
+ "premium_exit_multiple": prem_mult,
+ "exit_target_usdt": exit_amt,
"leverage": leverage,
"min_option_hours": min_hours,
"min_option_leverage": min_opt_lev,
@@ -153,17 +168,24 @@ class StrategyEngine:
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
assert st is not None
- exit_pct = self.ledger.get_setting_float("exit_move_pct", s.exit_move_pct)
+ exit_mode = self.ledger.get_setting_str("exit_mode", s.exit_mode)
+ net_target = self.ledger.get_setting_float(
+ "net_profit_target", s.net_profit_target
+ )
+ prem_mult = self.ledger.get_setting_float(
+ "premium_exit_multiple", s.premium_exit_multiple
+ )
pos = self.matcher.current_position()
# 有未平仓：只盯平仓，绝不开下一组
if pos.get("status") == "open":
upl = self.matcher.unrealized()
decision = check_exits(
- perp_upl=float(upl["perp_upl"]),
- initial_premium=float(upl["initial_premium"] or 0),
- move_pct=float(upl.get("move_pct") or 0),
- exit_move_pct=exit_pct,
+ net_pnl=float(upl.get("net_pnl") or 0),
+ exit_mode=exit_mode,
+ net_profit_target=net_target,
+ premium_exit_multiple=prem_mult,
+ initial_premium=float(upl.get("initial_premium") or 0),
)
pending_close = st["phase"] in ("liquidity_wait", "closing")
if decision.should_close or pending_close:
diff --git a/backend/app/strategy/exits.py b/backend/app/strategy/exits.py
index 5c0b746..a9e21d6 100644
--- a/backend/app/strategy/exits.py
+++ b/backend/app/strategy/exits.py
@@ -2,22 +2,48 @@ from __future__ import annotations
from dataclasses import dataclass
+EXIT_MODE_FIXED = "fixed_usdt"
+EXIT_MODE_PREMIUM = "premium_multiple"
+
@dataclass(slots=True)
class ExitDecision:
should_close: bool
reason: str = ""
+ target: float = 0.0
+
+
+def resolve_exit_target(
+ *,
+ exit_mode: str,
+ net_profit_target: float,
+ premium_exit_multiple: float,
+ initial_premium: float,
+) -> tuple[float, str]:
+ """返回 (出场目标金额 USDT, 模式标记)。"""
+ mode = (exit_mode or EXIT_MODE_FIXED).strip().lower()
+ if mode == EXIT_MODE_PREMIUM:
+ mult = max(0.0, float(premium_exit_multiple))
+ return float(initial_premium) * mult, EXIT_MODE_PREMIUM
+ return float(net_profit_target), EXIT_MODE_FIXED
def check_exits(
*,
- perp_upl: float,
+ net_pnl: float,
+ exit_mode: str,
+ net_profit_target: float,
+ premium_exit_multiple: float,
initial_premium: float,
- move_pct: float,
- exit_move_pct: float,
) -> ExitDecision:
- if initial_premium > 0 and perp_upl + 1e-9 >= initial_premium:
- return ExitDecision(True, "premium_cover")
- if exit_move_pct > 0 and move_pct + 1e-9 >= exit_move_pct:
- return ExitDecision(True, "move_pct")
- return ExitDecision(False, "")
+ """净盈利（预估全平后）≥ 所选模式目标则全平。"""
+ target, mode = resolve_exit_target(
+ exit_mode=exit_mode,
+ net_profit_target=net_profit_target,
+ premium_exit_multiple=premium_exit_multiple,
+ initial_premium=initial_premium,
+ )
+ if target > 0 and net_pnl + 1e-9 >= target:
+ reason = "premium_multiple" if mode == EXIT_MODE_PREMIUM else "fixed_usdt"
+ return ExitDecision(True, reason, target)
+ return ExitDecision(False, "", target)
diff --git a/backend/tests/test_p1_p2_rules.py b/backend/tests/test_p1_p2_rules.py
index 590066f..0bdb66c 100644
--- a/backend/tests/test_p1_p2_rules.py
+++ b/backend/tests/test_p1_p2_rules.py
@@ -28,19 +28,47 @@ def test_signal_equal() -> None:
assert decide(10.0, 10.0) is None
-def test_exit_premium_and_move_pct() -> None:
+def test_exit_fixed_and_premium_multiple() -> None:
+ fixed = check_exits(
+ net_pnl=15.0,
+ exit_mode="fixed_usdt",
+ net_profit_target=15,
+ premium_exit_multiple=1,
+ initial_premium=40,
+ )
+ assert fixed.reason == "fixed_usdt"
+ assert fixed.target == 15
+
assert (
check_exits(
- perp_upl=50, initial_premium=40, move_pct=0.1, exit_move_pct=2
- ).reason
- == "premium_cover"
+ net_pnl=14.9,
+ exit_mode="fixed_usdt",
+ net_profit_target=15,
+ premium_exit_multiple=1,
+ initial_premium=40,
+ ).should_close
+ is False
)
- assert (
- check_exits(
- perp_upl=1, initial_premium=40, move_pct=2.0, exit_move_pct=2
- ).reason
- == "move_pct"
+
+ prem = check_exits(
+ net_pnl=40.0,
+ exit_mode="premium_multiple",
+ net_profit_target=15,
+ premium_exit_multiple=1,
+ initial_premium=40,
)
+ assert prem.reason == "premium_multiple"
+ assert prem.target == 40
+
+ half = check_exits(
+ net_pnl=20.0,
+ exit_mode="premium_multiple",
+ net_profit_target=15,
+ premium_exit_multiple=0.5,
+ initial_premium=40,
+ )
+ assert half.should_close is True
+ assert half.target == 20
def test_perp_pricing() -> None:
diff --git a/frontend/src/api/client.ts b/frontend/src/api/client.ts
index 0952d34..2208680 100644
--- a/frontend/src/api/client.ts
+++ b/frontend/src/api/client.ts
@@ -120,7 +120,11 @@ export type PlanState = {
window_key: string | null;
rest_left_sec: number;
rest_seconds: number;
- exit_move_pct: number;
+ exit_move_pct?: number;
+ exit_mode: "fixed_usdt" | "premium_multiple";
+ net_profit_target: number;
+ premium_exit_multiple: number;
+ exit_target_usdt: number;
leverage: number;
min_option_hours: number;
min_option_leverage: number;
@@ -147,6 +151,8 @@ export type PlanState = {
expiry_ymd?: string | null;
perp_upl?: number;
option_upl?: number;
+ est_close_fees?: number;
+ net_pnl?: number;
index_px?: number | null;
entry_index_px?: number;
move_points?: number;
@@ -159,7 +165,10 @@ export type PlanState = {
export type StrategySettings = {
fee_rate: number;
- exit_move_pct: number;
+ exit_move_pct?: number;
+ exit_mode: "fixed_usdt" | "premium_multiple";
+ net_profit_target: number;
+ premium_exit_multiple: number;
rest_seconds: number;
initial_equity: number;
leverage: number;
diff --git a/frontend/src/pages/Plan.tsx b/frontend/src/pages/Plan.tsx
index 0cf978e..b0f6200 100644
--- a/frontend/src/pages/Plan.tsx
+++ b/frontend/src/pages/Plan.tsx
@@ -75,15 +75,20 @@ export default function PlanPage() {
const pos = plan?.position;
const open = !!pos?.has_position;
- const exitPct = plan?.exit_move_pct ?? 2;
- const movePct = pos?.move_pct ?? 0;
+ const exitMode = plan?.exit_mode ?? "fixed_usdt";
+ const exitTarget = plan?.exit_target_usdt ?? plan?.net_profit_target ?? 15;
+ const netPnl = pos?.net_pnl ?? 0;
+ const exitRuleLabel =
+ exitMode === "premium_multiple"
+ ? `权利金×${fmt(plan?.premium_exit_multiple ?? 1, 2)}`
+ : `固定 ${fmt(plan?.net_profit_target ?? 15)} U`;
const phaseLabel = PHASE_ZH[plan?.phase || ""] || plan?.phase || "—";
return (
自动对冲计划
- SIM 本地撮合 · 期权只买 · 剩余时长选到期 · 波动按比例全平
+ SIM 本地撮合 · 期权只买 · 剩余时长选到期 · 净盈利达标全平
{err ?
{err}
: null}
@@ -174,17 +179,25 @@ export default function PlanPage() {
{biasTag}
- 永续浮盈 / 距覆盖
+ 出场规则
+ {exitRuleLabel}
+
+
+ 净盈利 / 目标
- {fmt(pos?.perp_upl)}
+
+ {open ? fmt(netPnl) : "—"}
+
{" / "}
- {fmt(pos?.premium_gap)}
+ {open || exitMode === "fixed_usdt" ? fmt(exitTarget) : "—"}
- 波动进度
+ 永续浮盈 / 期权浮盈
- {fmt(movePct, 2)}% / {fmt(exitPct, 2)}%
+ {fmt(pos?.perp_upl)}
+ {" / "}
+ {fmt(pos?.option_upl)}
{plan?.last_error ? (
diff --git a/frontend/src/pages/Settings.tsx b/frontend/src/pages/Settings.tsx
index 19f1e96..7ea763a 100644
--- a/frontend/src/pages/Settings.tsx
+++ b/frontend/src/pages/Settings.tsx
@@ -21,7 +21,11 @@ export default function SettingsPage() {
const [loading, setLoading] = useState(false);
const [fee, setFee] = useState(0.0005);
- const [exitPct, setExitPct] = useState(2);
+ const [exitMode, setExitMode] = useState<"fixed_usdt" | "premium_multiple">(
+ "fixed_usdt",
+ );
+ const [netTarget, setNetTarget] = useState(15);
+ const [premMult, setPremMult] = useState(1);
const [rest, setRest] = useState(300);
const [leverage, setLeverage] = useState(3);
const [minHours, setMinHours] = useState(12);
@@ -35,7 +39,9 @@ export default function SettingsPage() {
apiFetch("/api/settings/strategy")
.then((s) => {
setFee(s.fee_rate);
- setExitPct(s.exit_move_pct ?? 2);
+ setExitMode(s.exit_mode === "premium_multiple" ? "premium_multiple" : "fixed_usdt");
+ setNetTarget(s.net_profit_target ?? 15);
+ setPremMult(s.premium_exit_multiple ?? 1);
setRest(s.rest_seconds);
setLeverage(s.leverage ?? 3);
setMinHours(s.min_option_hours ?? 12);
@@ -87,7 +93,9 @@ export default function SettingsPage() {
method: "PUT",
body: JSON.stringify({
fee_rate: fee,
- exit_move_pct: exitPct,
+ exit_mode: exitMode,
+ net_profit_target: netTarget,
+ premium_exit_multiple: premMult,
rest_seconds: rest,
leverage,
min_option_hours: minHours,
@@ -126,7 +134,7 @@ export default function SettingsPage() {
{tab === "strategy" ? (
- 无开仓时间窗；期权按剩余时长选到期 → 平值 → 校验杠杆；波动按百分比全平。
+ 无开仓时间窗；期权按剩余时长选到期 → 平值 → 校验杠杆；出场可选固定金额或权利金倍数。
{stratOk ?
{stratOk}
: null}
{err && tab === "strategy" ?
{err}
: null}
@@ -171,17 +179,50 @@ export default function SettingsPage() {
/>
-
- 出场规则
+
+ {exitMode === "fixed_usdt" ? (
+
+
+ setNetTarget(Number(e.target.value))}
+ />
+
+ ) : (
+
+
+ setPremMult(Number(e.target.value))}
+ />
+
+ )}