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/open_capacity.py

@@ -104,17 +104,24 @@ def assess_open_capacity(
     option_ask: float | None = None,
     option_qty_eth: float | None = None,
     perp_qty_eth: float | None = None,
+    call_ask: float | None = None,
+    put_ask: float | None = None,
 ) -> dict[str, Any]:
     """
     返回永续/期权是否有足够交易账户资金开新仓。
     - 永续：交易账户 USDT >= 名义/杠杆
     - 期权：交易账户 USDC >= 卖一×名义×(1+费率)
-    可选覆盖 ask/名义（选约后应用选中腿卖一，避免与 max(call,put) 打架）。
+    - 期期：期权需 (call_ask+put_ask)×qty×(1+fee)；永续视为不需要
     """
     global _notified_while_short
     db = db or get_db()
     s = get_settings()
     ledger = Ledger(db)
+    hedge = str(
+        ledger.get_setting_str("hedge_mode", s.hedge_mode) or s.hedge_mode
+    ).strip().lower()
+    if hedge not in ("perp_option", "option_option"):
+        hedge = "perp_option"
     lev = float(ledger.get_setting_float("leverage", s.leverage) or 3)
     if lev <= 0:
         lev = 3.0
@@ -132,10 +139,38 @@ def assess_open_capacity(
 
     idx, ask_book = _index_and_option_ask()
     ask = float(option_ask) if option_ask is not None and float(option_ask) > 0 else ask_book
-    margin_need = (float(idx) * perp_qty / lev) if idx and idx > 0 else None
-    premium_need = (
-        float(ask) * opt_qty * (1.0 + fee_rate) if ask is not None and ask > 0 else None
-    )
+        if hedge == "option_option":
+            ca = float(call_ask) if call_ask is not None and float(call_ask) > 0 else None
+            pa = float(put_ask) if put_ask is not None and float(put_ask) > 0 else None
+            if ca is None or pa is None:
+                # 回退：用监控对 call/put 卖一
+                try:
+                    from .session import get_session
+
+                    snap = get_session().snapshot()
+                    if ca is None and snap.call and snap.call.ask:
+                        ca = float(snap.call.ask)
+                    if pa is None and snap.put and snap.put.ask:
+                        pa = float(snap.put.ask)
+                except Exception:
+                    pass
+            cush = float(
+                ledger.get_setting_float("oo_budget_cushion", s.oo_budget_cushion)
+                or s.oo_budget_cushion
+            )
+            cush = min(1.0, max(0.5, cush))
+            if ca is not None and pa is not None and ca > 0 and pa > 0:
+                # 与定仓一致：按预留后的权利金需求估资金门
+                premium_need = (ca + pa) * opt_qty * (1.0 + fee_rate) * cush
+            else:
+                premium_need = None
+            margin_need = 0.0
+            perp_qty = 0.0
+        else:
+        margin_need = (float(idx) * perp_qty / lev) if idx and idx > 0 else None
+        premium_need = (
+            float(ask) * opt_qty * (1.0 + fee_rate) if ask is not None and ask > 0 else None
+        )
 
     if s.is_sim:
         bal = _sim_balances(db)
@@ -149,24 +184,31 @@ def assess_open_capacity(
         have_opt = float(t_usdc) if t_usdc is not None else None
 
     perp_ok: bool | None
-    if margin_need is None or have_perp is None:
+    if hedge == "option_option":
+        perp_ok = True
+    elif margin_need is None or have_perp is None:
         perp_ok = None
     else:
-        perp_ok = have_perp + 1e-9 >= margin_need
+        perp_ok = float(have_perp) + 1e-9 >= float(margin_need)
 
     opt_ok: bool | None
     if premium_need is None or have_opt is None:
         opt_ok = None
     else:
-        opt_ok = have_opt + 1e-9 >= premium_need
+        opt_ok = float(have_opt) + 1e-9 >= float(premium_need)
 
-    funds_ok = perp_ok is True and opt_ok is True
+    if hedge == "option_option":
+        funds_ok = opt_ok is True
+    else:
+        funds_ok = perp_ok is True and opt_ok is True
     # 资金恢复后允许下次不足再通知一次
     if funds_ok:
         _notified_while_short = False
 
     lev_i = int(round(lev)) if abs(lev - round(lev)) < 1e-9 else lev
-    if perp_ok is True:
+    if hedge == "option_option":
+        perp_label = "永续 —（期期）"
+    elif perp_ok is True:
         perp_label = f"永续{lev_i}x 可开"
     elif perp_ok is False:
         perp_label = f"永续{lev_i}x 不可开"
@@ -181,6 +223,7 @@ def assess_open_capacity(
         opt_label = "期权 —"
 
     return {
+        "hedge_mode": hedge,
         "leverage": lev,
         "perp_qty_eth": perp_qty,
         "option_qty_eth": opt_qty,
@@ -201,11 +244,22 @@ def assess_open_capacity(
 
 def funds_gate_blocks(cap: dict[str, Any] | None) -> tuple[bool, str]:
     """
-    Fail-closed：仅当永续与期权均为 True 才放行。
-    None（未知，如币安未接余额）或 False → 拦截。
+    Fail-closed：永期需永续+期权均为 True；期期仅需期权为 True。
+    None（未知）或 False → 拦截。
     """
     if not cap:
         return True, "资金可开判定结果为空，拒绝开仓"
+    hedge = str(cap.get("hedge_mode") or "perp_option").strip().lower()
+    if hedge == "option_option":
+        if cap.get("option_can_open") is not True:
+            detail = (
+                f"{cap.get('option_label')}；"
+                f"期权需≈{cap.get('option_need_usdc')}U/有{cap.get('option_have_usdc')}U"
+            )
+            if cap.get("option_can_open") is None:
+                detail += "（余额/盘口未知，fail-closed 拒绝开仓）"
+            return True, f"资金不足或状态未知，暂不可开新仓：{detail}"
+        return False, ""
     if cap.get("perp_can_open") is not True or cap.get("option_can_open") is not True:
         detail = (
             f"{cap.get('perp_label')} · {cap.get('option_label')}；"