diff --git a/backend/app/api/settings.py b/backend/app/api/settings.py
index d6c6bb7..dc0a647 100644
--- a/backend/app/api/settings.py
+++ b/backend/app/api/settings.py
@@ -31,6 +31,7 @@ KEYS = (
"leverage",
"min_option_hours",
"min_option_leverage",
+ "atm_open_offset_enabled",
"max_atm_open_offset",
"close_bid_mark_max_pct",
"perp_qty_eth",
@@ -50,6 +51,7 @@ 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)
+ atm_open_offset_enabled: bool | None = None
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)
@@ -102,6 +104,12 @@ def _read_settings() -> dict:
db.get_setting("min_option_leverage", str(s.min_option_leverage))
or s.min_option_leverage
),
+ "atm_open_offset_enabled": _as_bool(
+ db.get_setting(
+ "atm_open_offset_enabled", str(s.atm_open_offset_enabled)
+ ),
+ s.atm_open_offset_enabled,
+ ),
"max_atm_open_offset": float(
db.get_setting("max_atm_open_offset", str(s.max_atm_open_offset))
or s.max_atm_open_offset
diff --git a/backend/app/api/sim.py b/backend/app/api/sim.py
index ddce85c..dacad66 100644
--- a/backend/app/api/sim.py
+++ b/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、ATM距现价(≤开仓偏差上限)与杠杆(现价/卖一)",
+ detail="无合格期权：请检查剩余时长、ATM开仓偏差(若已开启)与杠杆(现价/卖一)",
)
force = (body.force_option_side if body else None) or None
diff --git a/backend/app/config.py b/backend/app/config.py
index 8c59583..32ccb6e 100644
--- a/backend/app/config.py
+++ b/backend/app/config.py
@@ -61,7 +61,8 @@ 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）
+ atm_open_offset_enabled: bool = False # 开仓 ATM 偏差限制开关（默认关）
+ max_atm_open_offset: float = 3.0 # 开启后：|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
diff --git a/backend/app/models/db.py b/backend/app/models/db.py
index b511ccb..af27207 100644
--- a/backend/app/models/db.py
+++ b/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),
+ "atm_open_offset_enabled": str(s.atm_open_offset_enabled),
"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),
diff --git a/backend/app/strategy/engine.py b/backend/app/strategy/engine.py
index fed1d2e..68fe085 100644
--- a/backend/app/strategy/engine.py
+++ b/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
)
+ atm_off_on = self.ledger.get_setting_bool(
+ "atm_open_offset_enabled", s.atm_open_offset_enabled
+ )
max_atm_off = self.ledger.get_setting_float(
"max_atm_open_offset", s.max_atm_open_offset
)
@@ -80,6 +83,7 @@ class StrategyEngine:
"leverage": leverage,
"min_option_hours": min_hours,
"min_option_leverage": min_opt_lev,
+ "atm_open_offset_enabled": atm_off_on,
"max_atm_open_offset": max_atm_off,
"can_open": allow_open,
"last_error": last_error,
@@ -310,7 +314,7 @@ 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、ATM开仓偏差与杠杆同时满足"
+ last_error="无合格期权：需剩余时长、杠杆（及已开启的ATM偏差）同时满足"
)
return
diff --git a/backend/app/strategy/selection.py b/backend/app/strategy/selection.py
index cb51d66..5e25e6a 100644
--- a/backend/app/strategy/selection.py
+++ b/backend/app/strategy/selection.py
@@ -52,9 +52,15 @@ def atm_open_offset(strike: float, mark_px: float) -> float:
def atm_allows_open(
- strike: float, mark_px: float, *, max_offset: float
+ strike: float,
+ mark_px: float,
+ *,
+ max_offset: float,
+ enabled: bool = False,
) -> bool:
- """|strike − mark| ≤ max_offset 才允许开仓。"""
+ """开启限制时：|strike − mark| ≤ max_offset 才允许开仓；关闭则始终允许。"""
+ if not enabled:
+ return True
if mark_px <= 0 or max_offset < 0:
return False
return atm_open_offset(strike, mark_px) <= float(max_offset) + 1e-9
diff --git a/backend/app/strategy/session.py b/backend/app/strategy/session.py
index cee3c0c..b89e724 100644
--- a/backend/app/strategy/session.py
+++ b/backend/app/strategy/session.py
@@ -36,8 +36,14 @@ def _has_open_position() -> bool:
return False
-def _strategy_floats() -> tuple[float, float, float]:
- """min_hours, min_leverage, max_atm_open_offset"""
+def _as_bool_setting(raw: str | None, default: bool) -> bool:
+ if raw is None or raw == "":
+ return default
+ return str(raw).strip().lower() in ("1", "true", "yes", "on")
+
+
+def _strategy_floats() -> tuple[float, float, float, bool]:
+ """min_hours, min_leverage, max_atm_open_offset, atm_open_offset_enabled"""
s = get_settings()
try:
from ..models.db import get_db
@@ -55,9 +61,18 @@ def _strategy_floats() -> tuple[float, float, 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
+ atm_on = _as_bool_setting(
+ db.get_setting("atm_open_offset_enabled", str(s.atm_open_offset_enabled)),
+ s.atm_open_offset_enabled,
+ )
+ return hours, lev, atm_off, atm_on
except Exception:
- return s.min_option_hours, s.min_option_leverage, s.max_atm_open_offset
+ return (
+ s.min_option_hours,
+ s.min_option_leverage,
+ s.max_atm_open_offset,
+ s.atm_open_offset_enabled,
+ )
@dataclass(slots=True)
@@ -142,7 +157,7 @@ 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:
@@ -155,7 +170,7 @@ class StrategySession:
from .signal import decide
s = self.settings
- min_hours, min_lev, max_atm_off = _strategy_floats()
+ min_hours, min_lev, max_atm_off, atm_off_on = _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:
@@ -173,7 +188,10 @@ class StrategySession:
continue
offset = atm_open_offset(pair.strike, underlying)
if not atm_allows_open(
- pair.strike, underlying, max_offset=max_atm_off
+ pair.strike,
+ underlying,
+ max_offset=max_atm_off,
+ enabled=atm_off_on,
):
logger.info(
"skip expiry=%s strike=%.0f atm_offset=%.1f > max=%.1f",
@@ -281,7 +299,7 @@ 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
diff --git a/backend/tests/test_instruments.py b/backend/tests/test_instruments.py
index fb15618..01a010e 100644
--- a/backend/tests/test_instruments.py
+++ b/backend/tests/test_instruments.py
@@ -80,6 +80,8 @@ def test_atm_allows_open_offset() -> None:
from app.strategy.selection import atm_allows_open, atm_open_offset
assert atm_open_offset(1850, 1852.5) == 2.5
- assert atm_allows_open(1850, 1852.5, max_offset=3) is True
- assert atm_allows_open(1850, 1854, max_offset=3) is False
- assert atm_allows_open(1850, 1860, max_offset=3) is False
+ # 默认关闭：不限制
+ assert atm_allows_open(1850, 1860, max_offset=3, enabled=False) is True
+ assert atm_allows_open(1850, 1852.5, max_offset=3, enabled=True) is True
+ assert atm_allows_open(1850, 1854, max_offset=3, enabled=True) is False
+ assert atm_allows_open(1850, 1860, max_offset=3, enabled=True) is False
diff --git a/docs/策略说明.md b/docs/策略说明.md
index c095219..24f8212 100644
--- a/docs/策略说明.md
+++ b/docs/策略说明.md
@@ -58,7 +58,7 @@
→ 非周末跳过（若开启）
→ 选到期：剩余时长 ≥ min_option_hours（默认 12h）
→ 该到期 ATM 行权价（最接近标的）
- → |ATM − 标的| ≤ max_atm_open_offset（默认 3）否则跳过该到期
+ → 若开启 atm_open_offset_enabled：|ATM − 标的| ≤ max_atm_open_offset（默认 3）否则跳过
→ 选向：ATM 偏下→Call+空；偏上→Put+多；贴平→卖一比价
→ 期权杠杆 = 标的价 ÷ 卖一权利金 ≥ min_option_leverage（默认 100）
→ 开永续 + 开期权（一组）
@@ -71,8 +71,9 @@
|------|------|------|
| `min_option_hours` | 12 | 过滤过近到期，减少刚开仓就到期 |
| `min_option_leverage` | 100 | 权利金相对标的不能太贵（现价/卖一） |
-| `max_atm_open_offset` | 3 | 开仓：\|ATM 行权价 − 标的\| 超过则不开 |
-| ATM | — | 同到期、最接近指数/标记价的行权价（展示可偏离；开仓另受偏差上限约束） |
+| `atm_open_offset_enabled` | false | 开仓 ATM 偏差限制开关（默认关） |
+| `max_atm_open_offset` | 3 | 开关开启后：\|ATM − 标的\| 超过则不开 |
+| ATM | — | 同到期、最接近指数/标记价的行权价 |
无合格合约时：状态停留等待，记录「无合格期权…」，不硬开。
@@ -240,7 +241,8 @@
| `skip_weekends` | true | 时间 |
| `min_option_hours` | 12 | 选约 |
| `min_option_leverage` | 100 | 选约 |
-| `max_atm_open_offset` | 3 | 开仓 ATM 偏差 |
+| `atm_open_offset_enabled` | false | 开仓 ATM 偏差开关 |
+| `max_atm_open_offset` | 3 | 开仓 ATM 偏差上限 |
| `close_bid_mark_max_pct` | 30 | 平仓流动性 |
---
diff --git a/frontend/src/api/client.ts b/frontend/src/api/client.ts
index 13ad890..c2b7d4e 100644
--- a/frontend/src/api/client.ts
+++ b/frontend/src/api/client.ts
@@ -131,6 +131,7 @@ export type PlanState = {
leverage: number;
min_option_hours: number;
min_option_leverage: number;
+ atm_open_offset_enabled?: boolean;
max_atm_open_offset?: number;
can_open: boolean;
last_error: string | null;
@@ -180,6 +181,7 @@ export type StrategySettings = {
leverage: number;
min_option_hours: number;
min_option_leverage: number;
+ atm_open_offset_enabled: boolean;
max_atm_open_offset: number;
close_bid_mark_max_pct: number;
perp_qty_eth: number;
diff --git a/frontend/src/pages/Plan.tsx b/frontend/src/pages/Plan.tsx
index a698583..85b1b56 100644
--- a/frontend/src/pages/Plan.tsx
+++ b/frontend/src/pages/Plan.tsx
@@ -197,8 +197,10 @@ export default function PlanPage() {
选约条件
剩余≥{fmt(plan?.min_option_hours, 0)}h · 期权杠杆≥
- {fmt(plan?.min_option_leverage, 0)}x · ATM偏差≤
- {fmt(plan?.max_atm_open_offset ?? 3, 0)}
+ {fmt(plan?.min_option_leverage, 0)}x
+ {plan?.atm_open_offset_enabled
+ ? ` · ATM偏差≤${fmt(plan?.max_atm_open_offset ?? 3, 0)}`
+ : " · ATM偏差关"}
@@ -418,9 +420,13 @@ export default function PlanPage() {
if (strike == null || px == null) return "—";
const abs = Math.abs(strike - px);
const sign = strike - px > 0 ? "+" : "";
+ const delta = `${sign}${(strike - px).toFixed(0)}`;
+ if (!plan?.atm_open_offset_enabled) {
+ return `${delta} · 偏差限制关`;
+ }
const lim = plan?.max_atm_open_offset ?? 3;
const ok = abs <= lim + 1e-9;
- return `${sign}${(strike - px).toFixed(0)} · 开仓${ok ? "可" : "不可"}(|Δ|≤${lim})`;
+ return `${delta} · 开仓${ok ? "可" : "不可"}(|Δ|≤${lim})`;
})()}
diff --git a/frontend/src/pages/Settings.tsx b/frontend/src/pages/Settings.tsx
index 50ac7ce..5c7fdc0 100644
--- a/frontend/src/pages/Settings.tsx
+++ b/frontend/src/pages/Settings.tsx
@@ -31,6 +31,7 @@ export default function SettingsPage() {
const [leverage, setLeverage] = useState(3);
const [minHours, setMinHours] = useState(12);
const [minOptLev, setMinOptLev] = useState(100);
+ const [atmOffOn, setAtmOffOn] = useState(false);
const [maxAtmOff, setMaxAtmOff] = useState(3);
const [closeDevPct, setCloseDevPct] = useState(30);
const [perpQty, setPerpQty] = useState(1);
@@ -51,6 +52,7 @@ export default function SettingsPage() {
setLeverage(s.leverage ?? 3);
setMinHours(s.min_option_hours ?? 12);
setMinOptLev(s.min_option_leverage ?? 100);
+ setAtmOffOn(s.atm_open_offset_enabled === true);
setMaxAtmOff(s.max_atm_open_offset ?? 3);
setCloseDevPct(s.close_bid_mark_max_pct ?? 30);
setPerpQty(s.perp_qty_eth ?? 1);
@@ -109,6 +111,7 @@ export default function SettingsPage() {
leverage,
min_option_hours: minHours,
min_option_leverage: minOptLev,
+ atm_open_offset_enabled: atmOffOn,
max_atm_open_offset: maxAtmOff,
close_bid_mark_max_pct: closeDevPct,
perp_qty_eth: perpQty,
@@ -260,6 +263,21 @@ export default function SettingsPage() {
onChange={(e) => setMinOptLev(Number(e.target.value))}
/>
+
+
+
+
+ 关闭时不限制 |ATM − 现价|；开启后超过下方点数则不开仓。
+
+