Gate opens when ATM-spot offset exceeds configurable max (default 3).

Co-authored-by: Cursor <cursoragent@cursor.com>

backend/app/api/settings.py

@@ -31,6 +31,7 @@ KEYS = (
     "leverage",
     "min_option_hours",
     "min_option_leverage",
+    "max_atm_open_offset",
     "close_bid_mark_max_pct",
     "perp_qty_eth",
     "option_qty_eth",
@@ -49,6 +50,7 @@ class StrategySettingsBody(BaseModel):
     leverage: float | None = Field(default=None, ge=1, le=125)
     min_option_hours: float | None = Field(default=None, ge=1, le=720)
     min_option_leverage: float | None = Field(default=None, ge=1, le=10000)
+    max_atm_open_offset: float | None = Field(default=None, ge=0, le=100)
     close_bid_mark_max_pct: float | None = Field(default=None, ge=1, le=100)
     perp_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
     option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
@@ -100,6 +102,10 @@ def _read_settings() -> dict:
             db.get_setting("min_option_leverage", str(s.min_option_leverage))
             or s.min_option_leverage
         ),
+        "max_atm_open_offset": float(
+            db.get_setting("max_atm_open_offset", str(s.max_atm_open_offset))
+            or s.max_atm_open_offset
+        ),
         "close_bid_mark_max_pct": float(
             db.get_setting("close_bid_mark_max_pct", str(s.close_bid_mark_max_pct))
             or s.close_bid_mark_max_pct

backend/app/api/sim.py

@@ -52,7 +52,7 @@ async def sim_open_group(
     if pick is None:
         raise HTTPException(
             status_code=409,
-            detail="无合格期权：请检查剩余时长(≥设置小时)与杠杆(现价/卖一)",
+            detail="无合格期权：请检查剩余时长、ATM距现价(≤开仓偏差上限)与杠杆(现价/卖一)",
         )
 
     force = (body.force_option_side if body else None) or None

backend/app/config.py

@@ -61,6 +61,7 @@ class Settings(BaseSettings):
     leverage: float = 3.0  # 永续杠杆
     min_option_hours: float = 12.0  # 期权最小剩余小时
     min_option_leverage: float = 100.0  # 现价/卖一权利金 下限
+    max_atm_open_offset: float = 3.0  # 开仓：|ATM行权价−标的| 上限（点）
     close_bid_mark_max_pct: float = 30.0  # 平仓：买一相对标记最大偏差%
     perp_qty_eth: float = 1.0
     option_qty_eth: float = 2.0

backend/app/models/db.py

@@ -159,6 +159,7 @@ class Database:
                 "leverage": str(s.leverage),
                 "min_option_hours": str(s.min_option_hours),
                 "min_option_leverage": str(s.min_option_leverage),
+                "max_atm_open_offset": str(s.max_atm_open_offset),
                 "close_bid_mark_max_pct": str(s.close_bid_mark_max_pct),
                 "perp_qty_eth": str(s.perp_qty_eth),
                 "option_qty_eth": str(s.option_qty_eth),

backend/app/strategy/engine.py

@@ -52,6 +52,9 @@ class StrategyEngine:
         min_opt_lev = self.ledger.get_setting_float(
             "min_option_leverage", s.min_option_leverage
         )
+        max_atm_off = self.ledger.get_setting_float(
+            "max_atm_open_offset", s.max_atm_open_offset
+        )
         rest_until = row["rest_until_ms"]
         rest_left = 0
         if rest_until:
@@ -77,6 +80,7 @@ class StrategyEngine:
             "leverage": leverage,
             "min_option_hours": min_hours,
             "min_option_leverage": min_opt_lev,
+            "max_atm_open_offset": max_atm_off,
             "can_open": allow_open,
             "last_error": last_error,
             "position": upl,
@@ -306,7 +310,7 @@ class StrategyEngine:
         pick = await get_session().pick_for_open_async()
         if pick is None:
             self._set_state(
-                last_error="无合格期权：需剩余时长与杠杆倍数同时满足"
+                last_error="无合格期权：需剩余时长、ATM开仓偏差与杠杆同时满足"
             )
             return
 

backend/app/strategy/selection.py

@@ -46,6 +46,20 @@ def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
     return min(strikes, key=lambda s: (abs(s - mark_px), s))
 
 
+def atm_open_offset(strike: float, mark_px: float) -> float:
+    """开仓用：ATM 行权价相对标的的绝对点差。"""
+    return abs(float(strike) - float(mark_px))
+
+
+def atm_allows_open(
+    strike: float, mark_px: float, *, max_offset: float
+) -> bool:
+    """|strike − mark| ≤ max_offset 才允许开仓。"""
+    if mark_px <= 0 or max_offset < 0:
+        return False
+    return atm_open_offset(strike, mark_px) <= float(max_offset) + 1e-9
+
+
 def option_leverage(underlying_px: float, premium_ask: float) -> float | None:
     if underlying_px <= 0 or premium_ask is None or premium_ask <= 0:
         return None

backend/app/strategy/session.py

@@ -12,6 +12,8 @@ from ..exchange import get_exchange, set_exchange, build_exchange
 from ..exchange.protocol import ExchangeMarket
 from ..exchange.types import MarketSnapshot, OptionPair
 from .selection import (
+    atm_allows_open,
+    atm_open_offset,
     hours_until_expiry,
     list_eligible_expiry_ymds,
     option_leverage,
@@ -34,7 +36,8 @@ def _has_open_position() -> bool:
         return False
 
 
-def _strategy_floats() -> tuple[float, float]:
+def _strategy_floats() -> tuple[float, float, float]:
+    """min_hours, min_leverage, max_atm_open_offset"""
     s = get_settings()
     try:
         from ..models.db import get_db
@@ -48,9 +51,13 @@ def _strategy_floats() -> tuple[float, float]:
             db.get_setting("min_option_leverage", str(s.min_option_leverage))
             or s.min_option_leverage
         )
-        return hours, lev
+        atm_off = float(
+            db.get_setting("max_atm_open_offset", str(s.max_atm_open_offset))
+            or s.max_atm_open_offset
+        )
+        return hours, lev, atm_off
     except Exception:
-        return s.min_option_hours, s.min_option_leverage
+        return s.min_option_hours, s.min_option_leverage, s.max_atm_open_offset
 
 
 @dataclass(slots=True)
@@ -135,7 +142,7 @@ class StrategySession:
         mark = self.ex.fetch_mark(s.perp_inst_id) or idx
         if mark is None or mark <= 0:
             raise RuntimeError("无法获取标的标记/指数价格，无法选 ATM")
-        min_hours, _ = _strategy_floats()
+        min_hours, _, _ = _strategy_floats()
         contracts = self.ex.list_option_contracts(s.option_inst_family)
         pair = select_option_pair(contracts, mark_px=float(mark), min_hours=min_hours)
         if pair is None:
@@ -148,7 +155,7 @@ class StrategySession:
         from .signal import decide
 
         s = self.settings
-        min_hours, min_lev = _strategy_floats()
+        min_hours, min_lev, max_atm_off = _strategy_floats()
         idx = self.ex.fetch_index(s.index_inst_id)
         mark = self.ex.fetch_mark(s.perp_inst_id) or idx
         if mark is None or mark <= 0:
@@ -164,6 +171,18 @@ class StrategySession:
             pair = select_option_pair(contracts, mark_px=underlying, expiry_ymd=ymd)
             if pair is None:
                 continue
+            offset = atm_open_offset(pair.strike, underlying)
+            if not atm_allows_open(
+                pair.strike, underlying, max_offset=max_atm_off
+            ):
+                logger.info(
+                    "skip expiry=%s strike=%.0f atm_offset=%.1f > max=%.1f",
+                    ymd,
+                    pair.strike,
+                    offset,
+                    max_atm_off,
+                )
+                continue
             call_bids, call_asks, _ = self.ex.fetch_book(pair.call_inst_id, depth=5)
             put_bids, put_asks, _ = self.ex.fetch_book(pair.put_inst_id, depth=5)
             call_ask = call_asks[0].px if call_asks else None
@@ -257,7 +276,7 @@ class StrategySession:
     def atm_needs_realign(self, mark_px: float | None = None) -> bool:
         if self._pair is None:
             return True
-        min_hours, _ = _strategy_floats()
+        min_hours, _, _ = _strategy_floats()
         if (
             hours_until_expiry(self._pair.expiry_ymd, expiry_ms=self._pair.expiry_ms)
             + 1e-9