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>

backend/app/config.py

@@ -82,7 +82,7 @@ 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  # 振幅最小 %（回看窗内高低）
+    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_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

backend/app/strategy/oo_selection.py

@@ -118,7 +118,7 @@ def build_oo_pick_core(
     amp = amplitude or fetch_amplitude_hl_for_runtime(amplitude_hours)
     if amp is None:
         return None
-    if float(amp.range_pct) + 1e-12 < float(amplitude_pct):
+    if float(amp.range_pct) > float(amplitude_pct) + 1e-12:
         return None
     if spot <= 0:
         spot = float(amp.mid)

backend/app/strategy/session.py

@@ -442,7 +442,7 @@ class StrategySession:
         return self._apply_pair(pair, mark=float(mark), idx=idx)
 
     def align_oo_instruments(self) -> OptionPair | None:
-        """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）。"""
+        """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）。"""
         from ..exchange.candles import fetch_amplitude_hl_for_runtime
         from .oo_selection import select_oo_pair
 
@@ -465,8 +465,8 @@ class StrategySession:
             "mid": float(amp.mid),
             "range_pct": float(amp.range_pct),
             "hours": float(amp_hours),
-            "min_pct": float(amp_pct),
+            "max_pct": float(amp_pct),
-            "ok": float(amp.range_pct) + 1e-12 >= float(amp_pct),
+            "ok": float(amp.range_pct) <= float(amp_pct) + 1e-12,
         }
         contracts = self.ex.list_option_contracts(s.option_inst_family)
         skip = _skip_expiry_ymds_for_next()
@@ -518,9 +518,9 @@ class StrategySession:
         if amp is None:
             logger.info("oo: amplitude candles unavailable")
             return None
-        if float(amp.range_pct) + 1e-12 < float(amp_pct):
+        if float(amp.range_pct) > float(amp_pct) + 1e-12:
             logger.info(
-                "oo: amplitude %.3f%% < need %.3f%% (H=%.2f L=%.2f)",
+                "oo: amplitude %.3f%% > max %.3f%% (H=%.2f L=%.2f)",
                 amp.range_pct,
                 amp_pct,
                 amp.high,
@@ -584,7 +584,7 @@ class StrategySession:
             "mid": float(amp.mid),
             "range_pct": float(amp.range_pct),
             "hours": float(amp_hours),
-            "min_pct": float(amp_pct),
+            "max_pct": float(amp_pct),
             "ok": True,
         }
         self._apply_pair(pair, mark=underlying, idx=idx)
@@ -837,8 +837,8 @@ class StrategySession:
                 "mid": float(amp.mid),
                 "range_pct": float(amp.range_pct),
                 "hours": float(amp_hours),
-                "min_pct": float(_amp_pct),
+                "max_pct": float(_amp_pct),
-                "ok": float(amp.range_pct) + 1e-12 >= float(_amp_pct),
+                "ok": 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

@@ -64,3 +64,49 @@ def test_compute_oo_sizing_1_1_and_reward() -> None:
 def test_amplitude_range_pct() -> None:
     a = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
     assert abs(a.range_pct - 3.0) < 1e-9
+
+
+def test_amplitude_max_gate() -> None:
+    from app.strategy.oo_selection import build_oo_pick_core
+
+    contracts = []
+    for k in (1900, 2000, 2100):
+        for side, letter in (("call", "C"), ("put", "P")):
+            contracts.append(
+                {
+                    "expiry_ymd": "260810",
+                    "expiry_ms": 1_786_320_000_000,
+                    "strike": float(k),
+                    "side": letter,
+                    "inst_id": f"ETH-{k}-{letter}",
+                }
+            )
+    amp = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
+    # 3% > 上限 1.5% → 拒
+    assert (
+        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,
+        )
+        is None
+    )
+    # 3% ≤ 上限 3.5% → 可过振幅门（杠杆/卖一足够）
+    ok = 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=3.5,
+        amplitude=amp,
+    )
+    assert ok is not None

docs/期期对冲说明.md

@@ -12,7 +12,7 @@
 
 | 参数 | 默认 | 含义 |
 |------|------|------|
-| 振幅最小 % | 1.5 | 回看窗内 `(高-低)/中价` 须 ≥ 该值 |
+| 振幅最大 % | 1.5 | 回看窗内 `(高-低)/中价` 须 ≤ 该值，超过不开 |
 | 振幅回看小时 | 12 | 用 1H K 线取真实高低点 |
 | 最短剩余到期 | 24 | 期权剩余小时 |
 | 单腿最低杠杆 | 200 | `指数 / 卖一` |

docs/策略说明.md

@@ -458,7 +458,7 @@ LIVE 特殊态：`option_closed_perp_pending`（期权已在交易所卖掉、
 | `residual_min_premium_pct` | 20 | 残留权利金回收门槛% |
 | `residual_close_check_sec` | 300 | 残留巡检间隔秒 |
 | `hedge_mode` | perp_option | 永期 / 期期二选一 |
-| `oo_amplitude_pct` | 1.5 | 期期振幅最小% |
+| `oo_amplitude_pct` | 1.5 | 期期振幅最大%（超过不开） |
 | `oo_amplitude_hours` | 12 | 期期振幅回看小时 |
 | `oo_min_option_hours` | 24 | 期期最短剩余到期 |
 | `oo_min_leverage` | 200 | 期期单腿最低杠杆 |
@@ -471,7 +471,7 @@ LIVE 特殊态：`option_closed_perp_pending`（期权已在交易所卖掉、
 
 详见 [期期对冲说明](./期期对冲说明.md)。摘要：
 
-- 回看 `oo_amplitude_hours` 的真实高低；振幅不足不开。
+- 回看 `oo_amplitude_hours` 的真实高低；振幅超过 `oo_amplitude_pct` 不开。
 - 虚值 Call 贴高、Put 贴低；同到期；杠杆与剩余小时门槛。
 - 预算 1:1、qty 一位小数、目标 = B × `oo_reward_ratio`。
 - 达标只平盈利腿；亏损腿 residual（20% 回升或到期）。

frontend/src/api/client.ts

@@ -211,6 +211,8 @@ export type MarketSnapshot = {
     mid?: number;
     range_pct?: number;
     hours?: number;
+    max_pct?: number;
+    /** @deprecated 兼容旧字段，等同 max_pct */
     min_pct?: number;
     ok?: boolean;
   } | null;

frontend/src/pages/Plan.tsx

@@ -261,7 +261,7 @@ export default function PlanPage() {
       ? `ATM偏差≤${fmt(plan?.max_atm_open_offset ?? 3, 0)}`
       : "ATM偏差关";
   const ooSelectLabel = [
-    `振幅≥${fmt(plan?.oo_amplitude_pct ?? 1.5, 1)}%/${fmt(plan?.oo_amplitude_hours ?? 12, 0)}h`,
+    `振幅≤${fmt(plan?.oo_amplitude_pct ?? 1.5, 1)}%/${fmt(plan?.oo_amplitude_hours ?? 12, 0)}h`,
     "虚值Call@高·Put@低",
     `剩余≥${fmt(plan?.oo_min_option_hours ?? 24, 0)}h`,
     `杠杆≥${fmt(plan?.oo_min_leverage ?? 200, 0)}x`,
@@ -897,13 +897,20 @@ export default function PlanPage() {
                   {snap?.oo_amplitude?.range_pct != null
                     ? `${fmt(snap.oo_amplitude.range_pct, 2)}%`
                     : "—"}
-                  {snap?.oo_amplitude?.min_pct != null
+                  {(snap?.oo_amplitude?.max_pct ?? snap?.oo_amplitude?.min_pct) !=
-                    ? ` · 门限≥${fmt(snap.oo_amplitude.min_pct, 1)}%`
+                  null
+                    ? ` · 上限≤${fmt(
+                        Number(
+                          snap.oo_amplitude?.max_pct ??
+                            snap.oo_amplitude?.min_pct,
+                        ),
+                        1,
+                      )}%`
                     : ""}
                   {snap?.oo_amplitude?.ok === false
-                    ? " · 不足"
+                    ? " · 超限"
                     : snap?.oo_amplitude?.ok === true
-                      ? " · 达标"
+                      ? " · 可开"
                       : ""}
                 </span>
               </div>

frontend/src/pages/Settings.tsx

@@ -1220,7 +1220,7 @@ export default function SettingsPage() {
                   {isOo ? (
                     <>
                       <div className="field">
-                        <label htmlFor="ooAmp">振幅最小（%）</label>
+                        <label htmlFor="ooAmp">振幅最大（%）</label>
                         <input
                           id="ooAmp"
                           className="mono"
@@ -1230,6 +1230,9 @@ export default function SettingsPage() {
                           value={ooAmpPct}
                           onChange={(e) => setOoAmpPct(Number(e.target.value))}
                         />
+                        <p className="hint" style={{ margin: "0.35rem 0 0" }}>
+                          回看窗内振幅超过该上限则不开仓。
+                        </p>
                       </div>
                       <div className="field">
                         <label htmlFor="ooAmpH">振幅回看（小时）</label>
@@ -1622,7 +1625,7 @@ export default function SettingsPage() {
                 {stratSub === "select" ? (
                   isOo ? (
                     <li>
-                      期期选约：回看窗内真实高低点振幅达标后，同到期虚值 Call
+                      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
                       贴高、Put 贴低；剩余到期与单腿杠杆门限见本页。
                     </li>
                   ) : (