Add option-option hedge mode with SIM/LIVE parity.

Mutual hedge_mode, amplitude OTM selection, 1:1 risk sizing, win-leg/full close, dual audits and docs.

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

backend/app/exchange/candles.py

@@ -0,0 +1,185 @@
+"""指数/永续 K 线高低点：期期对冲振幅回看。"""
+
+from __future__ import annotations
+
+import logging
+from dataclasses import dataclass
+from typing import Any
+
+from .okx.parse import safe_float as okx_safe_float
+from .binance.parse import safe_float as bn_safe_float
+
+logger = logging.getLogger(__name__)
+
+
+@dataclass(frozen=True, slots=True)
+class AmplitudeHL:
+    high: float
+    low: float
+    mid: float
+    hours: float
+    bar_count: int
+
+    @property
+    def range_pct(self) -> float:
+        if self.mid <= 0:
+            return 0.0
+        return (self.high - self.low) / self.mid * 100.0
+
+
+def _hl_from_okx_candles(rows: list[Any]) -> tuple[float, float] | None:
+    """OKX candle row: [ts, o, h, l, c, ...] newest first."""
+    highs: list[float] = []
+    lows: list[float] = []
+    for row in rows:
+        if not isinstance(row, (list, tuple)) or len(row) < 5:
+            continue
+        h = okx_safe_float(row[2])
+        lo = okx_safe_float(row[3])
+        if h is None or lo is None or h <= 0 or lo <= 0:
+            continue
+        highs.append(float(h))
+        lows.append(float(lo))
+    if not highs or not lows:
+        return None
+    return max(highs), min(lows)
+
+
+def _hl_from_binance_klines(rows: list[Any]) -> tuple[float, float] | None:
+    """Binance kline: [openTime, o, h, l, c, ...] oldest first."""
+    highs: list[float] = []
+    lows: list[float] = []
+    for row in rows:
+        if not isinstance(row, (list, tuple)) or len(row) < 5:
+            continue
+        h = bn_safe_float(row[2])
+        lo = bn_safe_float(row[3])
+        if h is None or lo is None or h <= 0 or lo <= 0:
+            continue
+        highs.append(float(h))
+        lows.append(float(lo))
+    if not highs or not lows:
+        return None
+    return max(highs), min(lows)
+
+
+def fetch_okx_amplitude_hl(
+    *,
+    inst_id: str,
+    hours: float,
+    base_url: str = "https://www.okx.com",
+    proxy: str | None = None,
+) -> AmplitudeHL | None:
+    """用 1H K 线回看 hours；inst 可用指数 ETH-USD 或永续 ETH-USDT-SWAP。"""
+    import math
+
+    import httpx
+
+    hrs = max(1.0, float(hours))
+    limit = int(min(300, max(2, math.ceil(hrs) + 1)))
+    try:
+        with httpx.Client(
+            base_url=base_url.rstrip("/"),
+            timeout=15.0,
+            proxy=(proxy or "").strip() or None,
+            headers={"Accept": "application/json", "User-Agent": "eth-hedge-sim/0.1"},
+        ) as client:
+            r = client.get(
+                "/api/v5/market/candles",
+                params={"instId": inst_id, "bar": "1H", "limit": str(limit)},
+            )
+            r.raise_for_status()
+            body = r.json()
+            if str(body.get("code")) != "0":
+                logger.warning("OKX candles error: %s", body.get("msg"))
+                return None
+            data = body.get("data") or []
+    except Exception as e:
+        logger.warning("OKX candles fetch failed: %s", e)
+        return None
+    hl = _hl_from_okx_candles(data)
+    if hl is None:
+        return None
+    high, low = hl
+    mid = (high + low) / 2.0
+    return AmplitudeHL(
+        high=high, low=low, mid=mid, hours=hrs, bar_count=len(data)
+    )
+
+
+def fetch_binance_amplitude_hl(
+    *,
+    symbol: str,
+    hours: float,
+    fapi_base: str = "https://fapi.binance.com",
+    proxy: str | None = None,
+) -> AmplitudeHL | None:
+    """USDT 永续 1h klines。"""
+    import math
+
+    import httpx
+
+    hrs = max(1.0, float(hours))
+    limit = int(min(500, max(2, math.ceil(hrs) + 1)))
+    sym = str(symbol or "ETHUSDT").upper().replace("-", "")
+    try:
+        with httpx.Client(
+            base_url=fapi_base.rstrip("/"),
+            timeout=15.0,
+            proxy=(proxy or "").strip() or None,
+            headers={"Accept": "application/json", "User-Agent": "eth-hedge-sim/0.1"},
+            trust_env=False,
+        ) as client:
+            r = client.get(
+                "/fapi/v1/klines",
+                params={"symbol": sym, "interval": "1h", "limit": limit},
+            )
+            r.raise_for_status()
+            data = r.json()
+            if not isinstance(data, list):
+                return None
+    except Exception as e:
+        logger.warning("Binance klines fetch failed: %s", e)
+        return None
+    hl = _hl_from_binance_klines(data)
+    if hl is None:
+        return None
+    high, low = hl
+    mid = (high + low) / 2.0
+    return AmplitudeHL(
+        high=high, low=low, mid=mid, hours=hrs, bar_count=len(data)
+    )
+
+
+def fetch_amplitude_hl_for_runtime(hours: float) -> AmplitudeHL | None:
+    """按当前交易所 runtime 拉振幅高低点。"""
+    from ..config import get_settings
+    from .runtime import load_runtime_settings
+
+    s = get_settings()
+    rt = load_runtime_settings()
+    ex = str(rt.exchange or "okx").strip().lower()
+    hrs = float(hours)
+    if ex in ("binance", "bn"):
+        return fetch_binance_amplitude_hl(
+            symbol=str(rt.perp_inst_id or "ETHUSDT"),
+            hours=hrs,
+            fapi_base=s.binance_fapi_base,
+            proxy=s.binance_http_proxy or None,
+        )
+    # OKX：优先指数，失败再试永续
+    idx = str(rt.index_inst_id or "ETH-USD")
+    amp = fetch_okx_amplitude_hl(
+        inst_id=idx,
+        hours=hrs,
+        base_url=s.okx_rest_base,
+        proxy=s.okx_http_proxy or None,
+    )
+    if amp is not None:
+        return amp
+    return fetch_okx_amplitude_hl(
+        inst_id=str(rt.perp_inst_id or "ETH-USDT-SWAP"),
+        hours=hrs,
+        base_url=s.okx_rest_base,
+        proxy=s.okx_http_proxy or None,
+    )