Treat option-option amplitude as a maximum cap.
Reject opens when range exceeds the setting; update UI and docs labels. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -82,7 +82,7 @@ class Settings(BaseSettings):
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martingale_max_doubles: int = 3 # 最多翻倍次数（如 2→4→8→16 为 3 次）
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# 对冲模式：perp_option=永期（默认）| option_option=期期
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hedge_mode: str = "perp_option"
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oo_amplitude_pct: float = 1.5 # 振幅最小 %（回看窗内高低）
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oo_amplitude_pct: float = 1.5 # 振幅最大 %（回看窗内高低；超过则不开）
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oo_amplitude_hours: float = 12.0 # 振幅回看小时
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oo_min_option_hours: float = 24.0 # 期期：最短剩余到期小时
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oo_min_leverage: float = 200.0 # 期期：单腿最低杠杆
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@@ -118,7 +118,7 @@ def build_oo_pick_core(
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amp = amplitude or fetch_amplitude_hl_for_runtime(amplitude_hours)
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if amp is None:
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return None
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if float(amp.range_pct) + 1e-12 < float(amplitude_pct):
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if float(amp.range_pct) > float(amplitude_pct) + 1e-12:
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return None
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if spot <= 0:
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spot = float(amp.mid)
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@@ -442,7 +442,7 @@ class StrategySession:
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return self._apply_pair(pair, mark=float(mark), idx=idx)
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def align_oo_instruments(self) -> OptionPair | None:
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"""期期监控：按振幅高低点选虚值 Call/Put（展示用；振幅不足仍对齐候选）。"""
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"""期期监控：按振幅高低点选虚值 Call/Put（展示用；振幅超限仍对齐候选）。"""
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from ..exchange.candles import fetch_amplitude_hl_for_runtime
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from .oo_selection import select_oo_pair
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@@ -465,8 +465,8 @@ class StrategySession:
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"mid": float(amp.mid),
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"range_pct": float(amp.range_pct),
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"hours": float(amp_hours),
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"min_pct": float(amp_pct),
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"ok": float(amp.range_pct) + 1e-12 >= float(amp_pct),
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"max_pct": float(amp_pct),
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"ok": float(amp.range_pct) <= float(amp_pct) + 1e-12,
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}
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contracts = self.ex.list_option_contracts(s.option_inst_family)
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skip = _skip_expiry_ymds_for_next()
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@@ -518,9 +518,9 @@ class StrategySession:
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if amp is None:
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logger.info("oo: amplitude candles unavailable")
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return None
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if float(amp.range_pct) + 1e-12 < float(amp_pct):
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if float(amp.range_pct) > float(amp_pct) + 1e-12:
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logger.info(
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"oo: amplitude %.3f%% < need %.3f%% (H=%.2f L=%.2f)",
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"oo: amplitude %.3f%% > max %.3f%% (H=%.2f L=%.2f)",
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amp.range_pct,
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amp_pct,
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amp.high,
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@@ -584,7 +584,7 @@ class StrategySession:
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"mid": float(amp.mid),
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"range_pct": float(amp.range_pct),
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"hours": float(amp_hours),
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"min_pct": float(amp_pct),
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"max_pct": float(amp_pct),
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"ok": True,
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}
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self._apply_pair(pair, mark=underlying, idx=idx)
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@@ -837,8 +837,8 @@ class StrategySession:
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"mid": float(amp.mid),
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"range_pct": float(amp.range_pct),
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"hours": float(amp_hours),
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"min_pct": float(_amp_pct),
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"ok": float(amp.range_pct) + 1e-12 >= float(_amp_pct),
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"max_pct": float(_amp_pct),
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"ok": float(amp.range_pct) <= float(_amp_pct) + 1e-12,
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}
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contracts = self.ex.list_option_contracts(self.settings.option_inst_family)
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picked = select_oo_pair(
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@@ -64,3 +64,49 @@ def test_compute_oo_sizing_1_1_and_reward() -> None:
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def test_amplitude_range_pct() -> None:
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a = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
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assert abs(a.range_pct - 3.0) < 1e-9
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def test_amplitude_max_gate() -> None:
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from app.strategy.oo_selection import build_oo_pick_core
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contracts = []
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for k in (1900, 2000, 2100):
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for side, letter in (("call", "C"), ("put", "P")):
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contracts.append(
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{
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"expiry_ymd": "260810",
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"expiry_ms": 1_786_320_000_000,
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"strike": float(k),
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"side": letter,
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"inst_id": f"ETH-{k}-{letter}",
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}
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)
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amp = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
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# 3% > 上限 1.5% → 拒
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assert (
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build_oo_pick_core(
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contracts=contracts,
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spot=2000,
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call_ask=5,
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put_ask=5,
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min_hours=1,
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min_leverage=1,
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amplitude_hours=12,
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amplitude_pct=1.5,
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amplitude=amp,
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)
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is None
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)
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# 3% ≤ 上限 3.5% → 可过振幅门（杠杆/卖一足够）
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ok = build_oo_pick_core(
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contracts=contracts,
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spot=2000,
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call_ask=5,
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put_ask=5,
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min_hours=1,
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min_leverage=1,
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amplitude_hours=12,
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amplitude_pct=3.5,
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amplitude=amp,
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)
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assert ok is not None
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+1
-1
@@ -12,7 +12,7 @@
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| 参数 | 默认 | 含义 |
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|------|------|------|
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| 振幅最小 % | 1.5 | 回看窗内 `(高-低)/中价` 须 ≥ 该值 |
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| 振幅最大 % | 1.5 | 回看窗内 `(高-低)/中价` 须 ≤ 该值，超过不开 |
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| 振幅回看小时 | 12 | 用 1H K 线取真实高低点 |
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| 最短剩余到期 | 24 | 期权剩余小时 |
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| 单腿最低杠杆 | 200 | `指数 / 卖一` |
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+2
-2
@@ -458,7 +458,7 @@ LIVE 特殊态：`option_closed_perp_pending`（期权已在交易所卖掉、
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| `residual_min_premium_pct` | 20 | 残留权利金回收门槛% |
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| `residual_close_check_sec` | 300 | 残留巡检间隔秒 |
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| `hedge_mode` | perp_option | 永期 / 期期二选一 |
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| `oo_amplitude_pct` | 1.5 | 期期振幅最小% |
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| `oo_amplitude_pct` | 1.5 | 期期振幅最大%（超过不开） |
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| `oo_amplitude_hours` | 12 | 期期振幅回看小时 |
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| `oo_min_option_hours` | 24 | 期期最短剩余到期 |
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| `oo_min_leverage` | 200 | 期期单腿最低杠杆 |
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@@ -471,7 +471,7 @@ LIVE 特殊态：`option_closed_perp_pending`（期权已在交易所卖掉、
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详见 [期期对冲说明](./期期对冲说明.md)。摘要：
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- 回看 `oo_amplitude_hours` 的真实高低；振幅不足不开。
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- 回看 `oo_amplitude_hours` 的真实高低；振幅超过 `oo_amplitude_pct` 不开。
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- 虚值 Call 贴高、Put 贴低；同到期；杠杆与剩余小时门槛。
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- 预算 1:1、qty 一位小数、目标 = B × `oo_reward_ratio`。
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- 达标只平盈利腿；亏损腿 residual（20% 回升或到期）。
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@@ -211,6 +211,8 @@ export type MarketSnapshot = {
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mid?: number;
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range_pct?: number;
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hours?: number;
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max_pct?: number;
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/** @deprecated 兼容旧字段，等同 max_pct */
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min_pct?: number;
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ok?: boolean;
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} | null;
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@@ -261,7 +261,7 @@ export default function PlanPage() {
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? `ATM偏差≤${fmt(plan?.max_atm_open_offset ?? 3, 0)}`
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: "ATM偏差关";
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const ooSelectLabel = [
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`振幅≥${fmt(plan?.oo_amplitude_pct ?? 1.5, 1)}%/${fmt(plan?.oo_amplitude_hours ?? 12, 0)}h`,
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`振幅≤${fmt(plan?.oo_amplitude_pct ?? 1.5, 1)}%/${fmt(plan?.oo_amplitude_hours ?? 12, 0)}h`,
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"虚值Call@高·Put@低",
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`剩余≥${fmt(plan?.oo_min_option_hours ?? 24, 0)}h`,
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`杠杆≥${fmt(plan?.oo_min_leverage ?? 200, 0)}x`,
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@@ -897,13 +897,20 @@ export default function PlanPage() {
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{snap?.oo_amplitude?.range_pct != null
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? `${fmt(snap.oo_amplitude.range_pct, 2)}%`
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: "—"}
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{snap?.oo_amplitude?.min_pct != null
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? ` · 门限≥${fmt(snap.oo_amplitude.min_pct, 1)}%`
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{(snap?.oo_amplitude?.max_pct ?? snap?.oo_amplitude?.min_pct) !=
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null
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? ` · 上限≤${fmt(
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Number(
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snap.oo_amplitude?.max_pct ??
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snap.oo_amplitude?.min_pct,
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),
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1,
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)}%`
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: ""}
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{snap?.oo_amplitude?.ok === false
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? " · 不足"
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? " · 超限"
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: snap?.oo_amplitude?.ok === true
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? " · 达标"
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? " · 可开"
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: ""}
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</span>
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</div>
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@@ -1220,7 +1220,7 @@ export default function SettingsPage() {
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{isOo ? (
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<>
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<div className="field">
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<label htmlFor="ooAmp">振幅最小（%）</label>
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<label htmlFor="ooAmp">振幅最大（%）</label>
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<input
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id="ooAmp"
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className="mono"
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@@ -1230,6 +1230,9 @@ export default function SettingsPage() {
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value={ooAmpPct}
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onChange={(e) => setOoAmpPct(Number(e.target.value))}
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/>
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<p className="hint" style={{ margin: "0.35rem 0 0" }}>
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回看窗内振幅超过该上限则不开仓。
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</p>
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</div>
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<div className="field">
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<label htmlFor="ooAmpH">振幅回看（小时）</label>
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@@ -1622,7 +1625,7 @@ export default function SettingsPage() {
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{stratSub === "select" ? (
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isOo ? (
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<li>
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期期选约：回看窗内真实高低点振幅达标后，同到期虚值 Call
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期期选约：回看窗内真实高低点振幅不超过上限后，同到期虚值 Call
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贴高、Put 贴低；剩余到期与单腿杠杆门限见本页。
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</li>
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) : (
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