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>
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dekun
+113
-15
@@ -245,6 +245,22 @@ class StrategyEngine:
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"option_qty_eth": opt_qty,
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"sizing_mode": sizing_mode,
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"risk_based": sizing_mode == "risk_based",
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"hedge_mode": (
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hm
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if (
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hm := str(
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self.ledger.get_setting_str(
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"hedge_mode", s.hedge_mode
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)
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or s.hedge_mode
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or "perp_option"
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)
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.strip()
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.lower()
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)
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in ("perp_option", "option_option")
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else "perp_option"
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),
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"risk_perp_unit": risk_perp_unit,
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"risk_option_unit": risk_option_unit,
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"risk_exit_unit": risk_exit_unit,
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@@ -812,6 +828,10 @@ class StrategyEngine:
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)
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pending_close = st["phase"] in ("liquidity_wait", "closing")
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if expired.should_close or decision.should_close or pending_close:
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is_oo = (
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str(upl.get("hedge_mode") or "") == "option_option"
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or bool(upl.get("option2_inst_id"))
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)
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if expired.should_close:
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reason = "expiry"
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bypass = True
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@@ -822,11 +842,66 @@ class StrategyEngine:
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bypass = False
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abandon = bool(decision.should_close or pending_close)
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rkind = "liquidity" if pending_close else "close"
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if is_oo and decision.should_close and not expired.should_close:
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# 期期达标：只平盈利腿，亏损腿残留
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close_oo = getattr(
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self.matcher, "close_winning_oo_leave_residual", None
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)
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if close_oo is not None:
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r = await asyncio.to_thread(
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close_oo, reason="target_oo_win"
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)
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if r.ok:
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self._enter_rest_after_close()
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self._set_state(phase="resting", last_error=None)
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else:
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self._set_state(
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phase="liquidity_wait",
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last_error=r.detail or "期期盈利腿暂不可平",
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)
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return
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if is_oo and (
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expired.should_close
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or reason in ("expiry", "emergency", "manual")
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or bypass
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):
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close_full = getattr(self.matcher, "close_oo_full", None)
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if close_full is not None and (
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expired.should_close or bypass or reason == "emergency"
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):
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# LIVE：先交易所卖两腿
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for sell_fn_name in (
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"_live_sell_oo_both",
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"live_sell_oo_both",
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):
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sell_both = getattr(self.matcher, sell_fn_name, None)
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if callable(sell_both):
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try:
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await asyncio.to_thread(
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sell_both, bypass_liquidity=bypass
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)
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except Exception:
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logger.exception("live sell oo both failed")
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break
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r = await asyncio.to_thread(
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close_full,
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reason=reason if reason != "liquidity_retry" else "expiry",
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bypass_liquidity=True,
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)
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if r.ok:
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self._enter_rest_after_close()
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self._set_state(phase="resting", last_error=None)
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else:
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self._set_state(
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phase="liquidity_wait",
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last_error=r.detail or "期期全平失败",
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)
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return
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await self._close_open_position(
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reason=reason,
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bypass_liquidity=bypass,
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pending_close=pending_close,
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abandon_if_deep_otm=abandon,
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abandon_if_deep_otm=abandon and not is_oo,
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retry_kind=rkind,
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)
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else:
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@@ -948,10 +1023,14 @@ class StrategyEngine:
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# 选约后：定仓落库 → 兑 USDC → 资金门 fail-closed（与手动开仓同一管道）
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from .open_pipeline import size_and_gate
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oo = getattr(pick, "hedge_mode", "perp_option") == "option_option"
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prep = size_and_gate(
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index_px=float(pick.underlying_px),
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option_ask=float(pick.option_ask),
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db=self.db,
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call_ask=float(pick.call_ask) if oo else None,
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put_ask=float(pick.put_ask) if oo else None,
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hedge_mode="option_option" if oo else "perp_option",
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)
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if not prep.ok:
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phase = "wait_funds" if prep.capacity is not None else "idle"
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@@ -977,9 +1056,6 @@ class StrategyEngine:
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wkey = window_key()
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count = self._count_groups_for_day(wkey)
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gid = next_group_id(count)
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option_inst = (
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pick.pair.call_inst_id if pick.option_side == "call" else pick.pair.put_inst_id
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)
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entry_idx = pick.underlying_px
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if not get_settings().is_sim:
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from ..live.reconcile import assert_safe_to_open_live
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@@ -998,17 +1074,39 @@ class StrategyEngine:
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except Exception:
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pass
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return
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r = await asyncio.to_thread(
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self.matcher.open_group,
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group_id=gid,
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bias=pick.bias,
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option_side=pick.option_side,
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perp_side=pick.perp_side,
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option_inst_id=option_inst,
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entry_index_px=float(entry_idx),
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strike=pick.pair.strike,
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expiry_ymd=pick.pair.expiry_ymd,
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)
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if oo:
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open_fn = getattr(self.matcher, "open_oo_group", None)
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if open_fn is None:
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self._set_state(phase="idle", last_error="当前执行器不支持期期开仓")
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return
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r = await asyncio.to_thread(
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open_fn,
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group_id=gid,
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call_inst_id=str(pick.call_inst_id or pick.pair.call_inst_id),
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put_inst_id=str(pick.put_inst_id or pick.pair.put_inst_id),
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call_strike=float(pick.call_strike or pick.pair.strike),
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put_strike=float(pick.put_strike or pick.pair.strike),
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entry_index_px=float(entry_idx),
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expiry_ymd=pick.pair.expiry_ymd,
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)
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option_inst = str(pick.call_inst_id or pick.pair.call_inst_id)
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else:
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option_inst = (
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pick.pair.call_inst_id
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if pick.option_side == "call"
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else pick.pair.put_inst_id
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)
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r = await asyncio.to_thread(
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self.matcher.open_group,
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group_id=gid,
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bias=pick.bias,
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option_side=pick.option_side,
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perp_side=pick.perp_side,
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option_inst_id=option_inst,
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entry_index_px=float(entry_idx),
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strike=pick.pair.strike,
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expiry_ymd=pick.pair.expiry_ymd,
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)
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if r.ok:
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self._set_state(phase="open", last_error=None)
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try:
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