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

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

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