feat: strategy builder

This commit is contained in:
OpenSquared
2026-08-03 10:30:51 +02:00
parent 663e7eaa74
commit 2109a0990c
2 changed files with 54 additions and 0 deletions

View File

@@ -282,6 +282,47 @@ def price(req: PriceRequest):
result["spot"] = chain_slice["spot"]
result["scenario_spot"] = surface_scenario.spot
result["proxy"] = chain_slice["proxy"]
# Debug trace for two open questions (nominal/entry_cost not matching the UI's own bid/
# ask math, and "-∞" risk on structures that look bounded by hand): log EXACTLY what was
# received and computed, so both can be checked from System Logs (source=strategy_price_debug,
# or filter level=WARNING to jump straight to the unbounded cases) instead of digging
# through the browser's Network tab. Remove once both are confirmed resolved.
from services.database import log_system_event
bounded_risk = result.get("bounded_risk")
log_system_event(
level="INFO" if bounded_risk else "WARNING",
source="strategy_price_debug",
message=(
f"/price {req.scenario.symbol}: {len(legs)} jambe(s), nominal={req.scenario.contract_size}, "
f"entry_cost={result.get('entry_cost')} (mid={result.get('entry_cost_mid')}), "
f"broker_spread_cost={result.get('broker_spread_cost')}, "
f"max_gain={result.get('max_gain')}, max_loss={result.get('max_loss')}, bounded_risk={bounded_risk}"
),
ticker=req.scenario.symbol,
details={
"legs_received": legs,
"scenario_received": {
"contract_size": req.scenario.contract_size,
"horizon_days": req.scenario.horizon_days,
"spot_shock_pct": req.scenario.spot_shock_pct,
"iv_level_shift": req.scenario.iv_level_shift,
"skew_tilt": req.scenario.skew_tilt,
"term_slope_shift": req.scenario.term_slope_shift,
"has_spot_path": bool(req.scenario.spot_path),
"has_iv_path": bool(req.scenario.iv_path),
"has_skew_path": bool(req.scenario.skew_path),
"has_term_path": bool(req.scenario.term_path),
},
"priced": {
"entry_cost": result.get("entry_cost"), "entry_cost_mid": result.get("entry_cost_mid"),
"broker_spread_cost": result.get("broker_spread_cost"),
"max_gain": result.get("max_gain"), "max_loss": result.get("max_loss"),
"bounded_risk": bounded_risk,
},
"risk_debug": result.get("risk_debug"),
},
)
return result