Add dual exit modes: fixed USDT or premium multiple.

Net PnL (after estimated close fees) drives auto close; Plan/Settings expose the choice.

Co-authored-by: Cursor <cursoragent@cursor.com>

.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

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)
         ),

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_points: float = 30.0  # 旧字段，已废弃
-    exit_move_pct: float = 2.0  # 相对开仓指数波动 % 全平
+    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

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),

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)

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,
@@ -420,21 +422,40 @@ 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
+        opt_qty = float(pos["option_qty_eth"] or 0)
-        if snap.perp:
+        opt_entry = float(pos["option_entry_px"] or 0)
-            # 浮盈用对手方可平价粗估
+
-            if perp_side == "long":
+        # 与平仓一致：用对手价估算可平盈亏 + 手续费
-                mark = snap.perp.bid
-            else:
-                mark = snap.perp.ask
-            mark = mark or snap.perp.mark_px
         perp_upl = 0.0
+        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 = (pf.fill_px - perp_entry) * perp_qty
+            else:
+                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
@@ -442,19 +463,32 @@ class Matcher:
                     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:
+        est_opt_close_fee = 0.0
-            option_upl = (float(opt_mark) - float(pos["option_entry_px"])) * float(
+        opt_mark = None
-                pos["option_qty_eth"]
+        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_entry_px": opt_entry,
-            "option_qty_eth": float(pos["option_qty_eth"] or 0),
+            "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,

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"]),
+                net_pnl=float(upl.get("net_pnl") or 0),
-                initial_premium=float(upl["initial_premium"] or 0),
+                exit_mode=exit_mode,
-                move_pct=float(upl.get("move_pct") or 0),
+                net_profit_target=net_target,
-                exit_move_pct=exit_pct,
+                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:

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:
+    """净盈利（预估全平后）≥ 所选模式目标则全平。"""
-        return ExitDecision(True, "premium_cover")
+    target, mode = resolve_exit_target(
-    if exit_move_pct > 0 and move_pct + 1e-9 >= exit_move_pct:
+        exit_mode=exit_mode,
-        return ExitDecision(True, "move_pct")
+        net_profit_target=net_profit_target,
-    return ExitDecision(False, "")
+        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)

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
+            net_pnl=14.9,
-        ).reason
+            exit_mode="fixed_usdt",
-        == "premium_cover"
+            net_profit_target=15,
+            premium_exit_multiple=1,
+            initial_premium=40,
+        ).should_close
+        is False
     )
-    assert (
+
-        check_exits(
+    prem = check_exits(
-            perp_upl=1, initial_premium=40, move_pct=2.0, exit_move_pct=2
+        net_pnl=40.0,
-        ).reason
+        exit_mode="premium_multiple",
-        == "move_pct"
+        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:

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;

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 exitMode = plan?.exit_mode ?? "fixed_usdt";
-  const movePct = pos?.move_pct ?? 0;
+  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 (
     <div>
       <h2 style={{ marginTop: 0 }}>自动对冲计划</h2>
       <p style={{ color: "var(--muted)", marginTop: -8 }}>
-        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
       </p>
       {err ? <div className="err">{err}</div> : null}
 
@@ -174,17 +179,25 @@ export default function PlanPage() {
           <span className="mono">{biasTag}</span>
         </div>
         <div className="kv">
-          <span>永续浮盈 / 距覆盖</span>
+          <span>出场规则</span>
+          <span className="mono">{exitRuleLabel}</span>
+        </div>
+        <div className="kv">
+          <span>净盈利 / 目标</span>
           <span className="mono">
-            <span className={pnlClass(pos?.perp_upl)}>{fmt(pos?.perp_upl)}</span>
+            <span className={pnlClass(open ? netPnl : null)}>
+              {open ? fmt(netPnl) : "—"}
+            </span>
             {" / "}
-            {fmt(pos?.premium_gap)}
+            {open || exitMode === "fixed_usdt" ? fmt(exitTarget) : "—"}
           </span>
         </div>
         <div className="kv">
-          <span>波动进度</span>
+          <span>永续浮盈 / 期权浮盈</span>
           <span className="mono">
-            {fmt(movePct, 2)}% / {fmt(exitPct, 2)}%
+            <span className={pnlClass(pos?.perp_upl)}>{fmt(pos?.perp_upl)}</span>
+            {" / "}
+            <span className={pnlClass(pos?.option_upl)}>{fmt(pos?.option_upl)}</span>
           </span>
         </div>
         {plan?.last_error ? (

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<StrategySettings>("/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" ? (
         <div className="card">
           <p style={{ color: "var(--muted)", marginTop: 0 }}>
-            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。
           </p>
           {stratOk ? <div style={{ color: "var(--up)", marginBottom: 12 }}>{stratOk}</div> : null}
           {err && tab === "strategy" ? <div className="err">{err}</div> : null}
@@ -171,17 +179,50 @@ export default function SettingsPage() {
               />
             </div>
             <div className="field">
-              <label htmlFor="exit">波动出场比例（%）</label>
+              <label htmlFor="exitMode">出场规则</label>
+              <select
+                id="exitMode"
+                className="mono"
+                value={exitMode}
+                onChange={(e) =>
+                  setExitMode(
+                    e.target.value === "premium_multiple"
+                      ? "premium_multiple"
+                      : "fixed_usdt",
+                  )
+                }
+              >
+                <option value="fixed_usdt">固定净盈利（USDT）</option>
+                <option value="premium_multiple">权利金倍数</option>
+              </select>
+            </div>
+            {exitMode === "fixed_usdt" ? (
+              <div className="field">
+                <label htmlFor="netTarget">净盈利出场目标（USDT）</label>
                 <input
-                id="exit"
+                  id="netTarget"
                   className="mono"
                   type="number"
                   step="0.1"
                   min="0.1"
-                value={exitPct}
+                  value={netTarget}
-                onChange={(e) => setExitPct(Number(e.target.value))}
+                  onChange={(e) => setNetTarget(Number(e.target.value))}
                 />
               </div>
+            ) : (
+              <div className="field">
+                <label htmlFor="premMult">权利金倍数（1 = 一倍权利金）</label>
+                <input
+                  id="premMult"
+                  className="mono"
+                  type="number"
+                  step="0.1"
+                  min="0.1"
+                  value={premMult}
+                  onChange={(e) => setPremMult(Number(e.target.value))}
+                />
+              </div>
+            )}
             <div className="field">
               <label htmlFor="closeDev">平仓买一/标记最大偏差（%）</label>
               <input

frontend/src/styles/app.css

@@ -225,7 +225,8 @@ input {
   color: var(--muted);
 }
 
-.field input {
+.field input,
+.field select {
   background: var(--input);
   border: 1px solid var(--line);
   color: var(--text);
@@ -234,7 +235,8 @@ input {
   outline: none;
 }
 
-.field input:focus {
+.field input:focus,
+.field select:focus {
   border-color: rgba(240, 185, 11, 0.55);
 }