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
@@ -501,6 +501,167 @@ def compute_risk_sizing(
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)
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@dataclass(frozen=True, slots=True)
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class OoSizingResult:
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ok: bool
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detail: str
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budget: float | None = None
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spend: float | None = None
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qty_eth: float | None = None
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call_ask: float | None = None
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put_ask: float | None = None
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call_premium: float | None = None
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put_premium: float | None = None
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max_loss: float | None = None
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net_profit_target: float | None = None
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capital_base: float | None = None
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cushion: float | None = None
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reward_ratio: float | None = None
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def compute_oo_sizing(
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*,
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budget: float,
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call_ask: float,
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put_ask: float,
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fee_rate: float = 0.0005,
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index_px: float = 0.0,
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cushion: float = 0.92,
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reward_ratio: float = 2.0,
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) -> OoSizingResult:
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"""
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期期 1:1：预算 B 预留后平分两腿权利金；qty 一位小数向下取整；
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出场目标 = B × reward_ratio（按全额预算）。
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"""
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if budget is None or budget <= 0 or not math.isfinite(budget):
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return OoSizingResult(ok=False, detail="期期预算无效")
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if call_ask <= 0 or put_ask <= 0:
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return OoSizingResult(ok=False, detail="期期缺少有效卖一")
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cush = min(1.0, max(0.5, float(cushion)))
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ratio = max(0.5, float(reward_ratio))
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spend = float(budget) * cush
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# 粗估两腿开仓费（按指数名义近似）
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fee_est = 0.0
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if index_px and index_px > 0 and fee_rate > 0:
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fee_est = float(index_px) * float(fee_rate) * 2.0
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spend_prem = max(0.0, spend - fee_est)
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if spend_prem <= 1e-9:
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return OoSizingResult(ok=False, detail="期期预留后可用权利金不足")
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leg = spend_prem / 2.0
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# 等量：受较贵腿限制
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q_call = floor_k_1dp(leg / float(call_ask))
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q_put = floor_k_1dp(leg / float(put_ask))
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qty = min(q_call, q_put)
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if qty < 0.1 - 1e-12:
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return OoSizingResult(
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ok=False,
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detail=(
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f"期期定仓 qty<{0.1}（call可{q_call} put可{q_put}），"
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f"预算 {budget:.2f}U 不足"
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),
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budget=_round2(float(budget)),
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)
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# 若仍略超 spend_prem，再降一档
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while qty >= 0.1 - 1e-12:
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cp = float(call_ask) * qty
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pp = float(put_ask) * qty
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if cp + pp <= spend_prem + 1e-6:
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return OoSizingResult(
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ok=True,
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detail="ok",
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budget=_round2(float(budget)),
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spend=_round2(spend),
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qty_eth=round(qty, 1),
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call_ask=_round2(float(call_ask)),
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put_ask=_round2(float(put_ask)),
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call_premium=_round2(cp),
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put_premium=_round2(pp),
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max_loss=_round2(cp + pp + fee_est),
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net_profit_target=_round2(float(budget) * ratio),
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cushion=cush,
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reward_ratio=ratio,
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)
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qty = round(qty - 0.1, 1)
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return OoSizingResult(
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ok=False,
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detail=f"期期无法在预算 {budget:.2f}U 内找到合规 qty",
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budget=_round2(float(budget)),
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)
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def apply_oo_sizing_to_ledger(
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*,
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call_ask: float,
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put_ask: float,
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index_px: float,
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db: Database | None = None,
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) -> OoSizingResult:
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database = db or get_db()
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ledger = Ledger(database)
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s = get_settings()
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pos = database.fetchone("SELECT status FROM positions WHERE id=1")
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if pos is not None:
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st = str(pos["status"] or "flat")
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if st in ("open", "half_open", "option_closed_perp_pending", "opening"):
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return OoSizingResult(
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ok=False,
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detail="持仓中已锁定本组成交目标与名义，平仓后再自动计算",
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)
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budget, detail, capital = resolve_budget(database)
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if budget is None:
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return OoSizingResult(ok=False, detail=f"期期预算失败: {detail}")
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fee_rate = ledger.get_setting_float("fee_rate", s.fee_rate)
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cushion = ledger.get_setting_float("oo_budget_cushion", s.oo_budget_cushion)
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ratio = ledger.get_setting_float("oo_reward_ratio", s.oo_reward_ratio)
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r = compute_oo_sizing(
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budget=float(budget),
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call_ask=float(call_ask),
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put_ask=float(put_ask),
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fee_rate=fee_rate,
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index_px=float(index_px),
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cushion=cushion,
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reward_ratio=ratio,
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)
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if not r.ok:
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return r
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database.set_setting("exit_mode", "fixed_usdt")
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database.set_setting("perp_qty_eth", "0")
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database.set_setting("option_qty_eth", str(r.qty_eth))
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database.set_setting("net_profit_target", str(r.net_profit_target))
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database.set_setting("risk_last_k", str(r.qty_eth))
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database.set_setting(
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"risk_last_max_loss",
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f"{r.max_loss:.2f}" if r.max_loss is not None else "",
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)
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logger.info(
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"oo_sizing applied qty=%.1f call_ask=%.4f put_ask=%.4f exit=%.2f "
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"max_loss=%.2f budget=%.2f",
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r.qty_eth or 0,
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r.call_ask or 0,
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r.put_ask or 0,
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r.net_profit_target or 0,
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r.max_loss or 0,
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r.budget or 0,
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)
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# attach capital for callers
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return OoSizingResult(
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ok=True,
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detail=r.detail,
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budget=r.budget,
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spend=r.spend,
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qty_eth=r.qty_eth,
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call_ask=r.call_ask,
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put_ask=r.put_ask,
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call_premium=r.call_premium,
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put_premium=r.put_premium,
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max_loss=r.max_loss,
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net_profit_target=r.net_profit_target,
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capital_base=_round2(capital) if capital is not None else None,
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cushion=r.cushion,
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reward_ratio=r.reward_ratio,
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)
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def apply_risk_sizing_to_ledger(
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*,
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index_px: float,
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