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>
This commit is contained in:
@@ -0,0 +1,33 @@
|
||||
# 审计说明 — 2026-08-07 期期对冲
|
||||
|
||||
## 范围
|
||||
|
||||
期期对冲(`hedge_mode=option_option`):振幅选约、1:1 定仓、SIM/LIVE 开平、盈利腿/全平、资金门、设置与 Plan UI。
|
||||
|
||||
## 审计 #1 — Bugbot
|
||||
|
||||
| 问题 | 级别 | 处理 |
|
||||
|------|------|------|
|
||||
| LIVE 盈利腿卖出后重试可能双卖 | high | 先 `status=closing` 再下单;`closing` 态只做账本收尾 |
|
||||
| 到期走永期 `close_group` 漏 Put | high | 新增 `close_oo_full`;引擎到期/紧急走全平;LIVE `live_sell_oo_both` |
|
||||
| opening 恢复不识别 Put | high | opening intent 的 `perp_side` 写入 `oo_put:{inst}` 标记第二腿 |
|
||||
| 资金门未计 cushion | medium | `assess_open_capacity` 期期需求 × `oo_budget_cushion` |
|
||||
|
||||
## 审计 #2 — Security Review
|
||||
|
||||
| 问题 | 级别 | 处理 |
|
||||
|------|------|------|
|
||||
| 到期/紧急仍用 perp `close_group` | high | 同 #1:OO 全平分支 |
|
||||
| recover_stuck_opening 非 OO 感知 | high | intent 标记 Put;完整 OO 扫描恢复仍列为后续加固 |
|
||||
| LIVE 盈利腿非原子 | high | closing 标记 + skip_market 收尾 |
|
||||
| Put 失败 Call 回滚不确定 | medium | 保留 opening(既有);与 OO intent 标记配合人工/恢复 |
|
||||
| size_and_gate hedge_mode 参数与 ledger 可能不一致 | medium | 正常路径同 tick 读写 DB;gate 读 ledger |
|
||||
|
||||
## 结论
|
||||
|
||||
两轮审计指出的 **blocker 级交易安全问题已在代码中修补**(全平路径、closing 防重入、资金门 cushion、intent 标记)。
|
||||
`recover_stuck_opening` 完整双腿扫描仍建议下一迭代专项测试;当前以 intent 标记降低孤儿 Put 风险。
|
||||
|
||||
## 测试
|
||||
|
||||
- `tests/test_oo_selection_sizing.py`、`tests/test_risk_sizing.py` 通过。
|
||||
Reference in New Issue
Block a user