feat: saxo history

backend/services/saxo_client.py

@@ -26,7 +26,14 @@ _OPTION_ASSET_TYPES = "StockOption,StockIndexOption,FuturesOption,FxVanillaOptio
 # Applied around a Black-Scholes theoretical price when Saxo returns no live Bid/Ask (FX
 # options in particular go quiet outside FX market hours — closed over the weekend) but
 # still supplies MidVolatility/Greeks from its own model, so IV/spot/strike are usable.
+#
+# Calibrated against a real Saxo EURUSD chain: the quoted spread there sits at a near-
+# constant ~9-10 pips (~0.0009-0.0010) in ABSOLUTE terms across every strike/expiry —
+# 40%+ of the premium for a cheap OTM contract, ~8% for an expensive one. A pure
+# percentage-of-premium spread badly underprices the OTM end, so the wider of the two
+# (percentage floor vs. a spot-scaled absolute floor) is used.
 _SYNTHETIC_SPREAD_PCT = 0.05
+_SYNTHETIC_SPREAD_FLOOR_PCT_OF_SPOT = 0.0008
 _SYNTHETIC_RATE = 0.02
 
 
@@ -44,7 +51,8 @@ def _synthesize_quote(
     theo = float(black_scholes(spot, strike, T, _SYNTHETIC_RATE, iv_pct / 100.0, option_type)["price"])
     if theo <= 0:
         return None, None, None
-    half_spread = theo * _SYNTHETIC_SPREAD_PCT / 2
+    full_spread = max(theo * _SYNTHETIC_SPREAD_PCT, spot * _SYNTHETIC_SPREAD_FLOOR_PCT_OF_SPOT)
+    half_spread = full_spread / 2
     bid = round(max(0.0, theo - half_spread), 6)
     ask = round(theo + half_spread, 6)
     return bid, ask, round((bid + ask) / 2, 6)