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_pipeline.py

@@ -38,20 +38,51 @@ def size_and_gate(
     index_px: float,
     option_ask: float,
     db: Database | None = None,
+    call_ask: float | None = None,
+    put_ask: float | None = None,
+    hedge_mode: str | None = None,
 ) -> OpenPrepResult:
     """
     选约成功后：写入以损定仓 → 交易账户兑 USDC → 资金门。
     资金门 fail-closed：异常 / can_open 非 True 一律拦截。
     """
     database = db or get_db()
+    mode = str(hedge_mode or "").strip().lower()
+    if not mode:
+        try:
+            from ..config import get_settings
+            from ..sim.ledger import Ledger
+
+            s = get_settings()
+            mode = str(
+                Ledger(database).get_setting_str("hedge_mode", s.hedge_mode)
+                or s.hedge_mode
+            ).strip().lower()
+        except Exception:
+            mode = "perp_option"
+
     try:
-        rs = apply_risk_sizing_to_ledger(
-            index_px=float(index_px),
-            option_ask=float(option_ask),
-            db=database,
-        )
-        if not rs.ok:
-            return OpenPrepResult(ok=False, detail=rs.detail, sizing_detail=rs.detail)
+        if mode == "option_option":
+            from .risk_sizing import apply_oo_sizing_to_ledger
+
+            if call_ask is None or put_ask is None:
+                return OpenPrepResult(ok=False, detail="期期定仓缺少 call/put 卖一")
+            rs = apply_oo_sizing_to_ledger(
+                call_ask=float(call_ask),
+                put_ask=float(put_ask),
+                index_px=float(index_px),
+                db=database,
+            )
+            if not rs.ok:
+                return OpenPrepResult(ok=False, detail=rs.detail, sizing_detail=rs.detail)
+        else:
+            rs = apply_risk_sizing_to_ledger(
+                index_px=float(index_px),
+                option_ask=float(option_ask),
+                db=database,
+            )
+            if not rs.ok:
+                return OpenPrepResult(ok=False, detail=rs.detail, sizing_detail=rs.detail)
     except Exception as e:
         logger.exception("risk sizing failed in open pipeline")
         return OpenPrepResult(ok=False, detail=f"以损定仓计算异常：{e}")
@@ -66,6 +97,8 @@ def size_and_gate(
             cap=assess_open_capacity(
                 database,
                 option_ask=float(option_ask),
+                call_ask=call_ask,
+                put_ask=put_ask,
             ),
             force=False,
         )
@@ -77,7 +110,12 @@ def size_and_gate(
         convert_detail = "自动兑 USDC 异常（已记日志）"
 
     try:
-        cap = assess_open_capacity(database, option_ask=float(option_ask))
+        cap = assess_open_capacity(
+            database,
+            option_ask=float(option_ask),
+            call_ask=call_ask,
+            put_ask=put_ask,
+        )
     except Exception as e:
         logger.exception("open capacity assess failed")
         return OpenPrepResult(