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feat: strategy builder

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OpenSquared
2026-08-03 10:55:09 +02:00
parent 2109a0990c
commit f75dc0e302
2 changed files with 13 additions and 0 deletions
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5
backend/routers/strategy_builder.py
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@@ -320,6 +320,11 @@ def price(req: PriceRequest):
"max_gain": result.get("max_gain"), "max_loss": result.get("max_loss"), "max_gain": result.get("max_gain"), "max_loss": result.get("max_loss"),
"bounded_risk": bounded_risk, "bounded_risk": bounded_risk,
}, },
# Exact per-leg quote (exec_price/mid) actually used to build entry_cost — lets
# entry_cost be reconciled by hand against THIS number, instead of whatever the
# leg dropdown's own (independently-fetched, possibly a few seconds older/newer)
# chain snapshot happens to show at the moment of reading the screen.
"leg_prices": result.get("leg_prices"),
"risk_debug": result.get("risk_debug"), "risk_debug": result.get("risk_debug"),
}, },
) )

8
backend/services/strategy_engine.py
View File

@@ -173,12 +173,19 @@ def price_combo(
entry_ref = 0.0 entry_ref = 0.0
entry_ref_mid = 0.0 entry_ref_mid = 0.0
leg_prices = [] # exact per-leg quote actually used — for reconciling entry_cost by hand
for leg in legs: for leg in legs:
ep = entry_price(leg, chain_slice, surface_now, r) ep = entry_price(leg, chain_slice, surface_now, r)
sign = _sign(leg) sign = _sign(leg)
qty = leg.get("quantity", 1) qty = leg.get("quantity", 1)
entry_ref += sign * ep["exec_price"] * qty * contract_size entry_ref += sign * ep["exec_price"] * qty * contract_size
entry_ref_mid += sign * ep["mid"] * qty * contract_size entry_ref_mid += sign * ep["mid"] * qty * contract_size
leg_prices.append({
"expiry_date": leg.get("expiry_date"), "strike": leg.get("strike"),
"option_type": leg.get("option_type"), "position": leg.get("position"), "quantity": qty,
"exec_price": round(ep["exec_price"], 6), "mid": round(ep["mid"], 6),
"contribution": round(sign * ep["exec_price"] * qty * contract_size, 2),
})
# Scenario exit: apply each leg's own bid/ask spread (est. from entry quote) to the # Scenario exit: apply each leg's own bid/ask spread (est. from entry quote) to the
# theoretical scenario value, since we don't have a live quote for the future date. # theoretical scenario value, since we don't have a live quote for the future date.
@@ -225,6 +232,7 @@ def price_combo(
"max_loss": bounded["max_loss"], "max_loss": bounded["max_loss"],
"bounded_risk": bounded["bounded"], "bounded_risk": bounded["bounded"],
"risk_debug": bounded.get("risk_debug"), "risk_debug": bounded.get("risk_debug"),
"leg_prices": leg_prices,
"greeks_now": greeks_at(legs, spot_now, 0, surface_now, r), "greeks_now": greeks_at(legs, spot_now, 0, surface_now, r),
"greeks_scenario": greeks_at(legs, spot_scenario, horizon_days, surface_scenario, r), "greeks_scenario": greeks_at(legs, spot_scenario, horizon_days, surface_scenario, r),
"net_delta_now": delta_now, "net_delta_now": delta_now,