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/strategy/oo_selection.py

@@ -0,0 +1,170 @@
+"""期期对冲选约：振幅高低点匹配虚值 Call + Put。"""
+
+from __future__ import annotations
+
+from dataclasses import dataclass
+from datetime import datetime
+from typing import Any
+
+from ..exchange.candles import AmplitudeHL, fetch_amplitude_hl_for_runtime
+from .selection import (
+    _complete_by_expiry,
+    hours_until_ms,
+    list_eligible_expiry_ymds,
+    option_leverage,
+)
+
+
+@dataclass(frozen=True, slots=True)
+class OoLeg:
+    side: str  # call|put
+    strike: float
+    inst_id: str
+    ask: float
+    leverage: float
+
+
+@dataclass(frozen=True, slots=True)
+class OoPickCore:
+    expiry_ymd: str
+    expiry_ms: int
+    hours_left: float
+    underlying_px: float
+    amplitude: AmplitudeHL
+    call: OoLeg
+    put: OoLeg
+    detail: str = "ok"
+
+
+def pick_otm_call_strike(strikes: list[float], *, spot: float, high: float) -> float | None:
+    """虚值 Call：K > spot，优先贴近振幅高点。"""
+    cands = [float(s) for s in strikes if float(s) > float(spot) + 1e-9]
+    if not cands:
+        return None
+    return min(cands, key=lambda s: (abs(s - float(high)), s))
+
+
+def pick_otm_put_strike(strikes: list[float], *, spot: float, low: float) -> float | None:
+    """虚值 Put：K < spot，优先贴近振幅低点。"""
+    cands = [float(s) for s in strikes if float(s) < float(spot) - 1e-9]
+    if not cands:
+        return None
+    return min(cands, key=lambda s: (abs(s - float(low)), s))
+
+
+def select_oo_pair(
+    contracts: list[dict[str, Any]],
+    *,
+    spot: float,
+    high: float,
+    low: float,
+    min_hours: float,
+    now: datetime | None = None,
+    skip_expiry_ymds: set[str] | None = None,
+) -> tuple[str, int, float, float, str, str] | None:
+    """
+    返回 (expiry_ymd, expiry_ms, call_strike, put_strike, call_inst, put_inst)。
+    Call/Put 可不同行权价；须同到期且均为虚值。
+    """
+    if spot <= 0 or high <= 0 or low <= 0 or high < low:
+        return None
+    complete = _complete_by_expiry(contracts)
+    if not complete:
+        return None
+    skip = skip_expiry_ymds or set()
+    eligible = [
+        y
+        for y in list_eligible_expiry_ymds(contracts, min_hours=min_hours, now=now)
+        if y not in skip
+    ]
+    for ymd in eligible:
+        ems, strikes_map = complete[ymd]
+        strikes = list(strikes_map.keys())
+        ck = pick_otm_call_strike(strikes, spot=spot, high=high)
+        pk = pick_otm_put_strike(strikes, spot=spot, low=low)
+        if ck is None or pk is None:
+            continue
+        call_inst = strikes_map[ck].get("C")
+        put_inst = strikes_map[pk].get("P")
+        if not call_inst or not put_inst:
+            continue
+        hours_left = hours_until_ms(ems, now)
+        return (
+            ymd,
+            int(ems),
+            float(ck),
+            float(pk),
+            str(call_inst),
+            str(put_inst),
+        )
+    return None
+
+
+def build_oo_pick_core(
+    *,
+    contracts: list[dict[str, Any]],
+    spot: float,
+    call_ask: float,
+    put_ask: float,
+    min_hours: float,
+    min_leverage: float,
+    amplitude_hours: float,
+    amplitude_pct: float,
+    amplitude: AmplitudeHL | None = None,
+    skip_expiry_ymds: set[str] | None = None,
+    now: datetime | None = None,
+) -> OoPickCore | None:
+    """完整期期选约：振幅门 + 虚值双腿 + 杠杆。"""
+    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):
+        return None
+    if spot <= 0:
+        spot = float(amp.mid)
+    picked = select_oo_pair(
+        contracts,
+        spot=float(spot),
+        high=float(amp.high),
+        low=float(amp.low),
+        min_hours=float(min_hours),
+        now=now,
+        skip_expiry_ymds=skip_expiry_ymds,
+    )
+    if picked is None:
+        return None
+    ymd, ems, ck, pk, call_inst, put_inst = picked
+    if call_ask <= 0 or put_ask <= 0:
+        return None
+    c_lev = option_leverage(float(spot), float(call_ask))
+    p_lev = option_leverage(float(spot), float(put_ask))
+    if c_lev is None or p_lev is None:
+        return None
+    if c_lev + 1e-12 < float(min_leverage) or p_lev + 1e-12 < float(min_leverage):
+        return None
+    hours_left = hours_until_ms(ems, now)
+    return OoPickCore(
+        expiry_ymd=ymd,
+        expiry_ms=int(ems),
+        hours_left=float(hours_left),
+        underlying_px=float(spot),
+        amplitude=amp,
+        call=OoLeg(
+            side="call",
+            strike=float(ck),
+            inst_id=call_inst,
+            ask=float(call_ask),
+            leverage=float(c_lev),
+        ),
+        put=OoLeg(
+            side="put",
+            strike=float(pk),
+            inst_id=put_inst,
+            ask=float(put_ask),
+            leverage=float(p_lev),
+        ),
+        detail=(
+            f"amp={amp.range_pct:.2f}% H={amp.high:.2f} L={amp.low:.2f} "
+            f"C@{ck:g} P@{pk:g}"
+        ),
+    )