20251211

Python

import pandas as pd
import numpy as np

# Load the data
file_path = 'Terrain_Data_Dump_28634.txt'
try:
    df = pd.read_csv(file_path)
except:
    # If the file is comma separated or other, handle it. Looking at the content, it seems comma separated.
    # The header is on line 1? No, looking at source 15, it has a header.
    # "Strike,NetAcc,NetAcc_Sem,NetFlow,NetFlow_Sem,Confluence,AvgC,AvgP,QtyC,QtyP,AccQtyC,AccQtyP"
    df = pd.read_csv(file_path)

# 1. 數據與環境參數
Spot_Price = 28634
Range = 900
Lower_Bound = Spot_Price - Range
Upper_Bound = Spot_Price + Range

# 擷取 df_zone
df_zone = df[(df['Strike'] >= Lower_Bound) & (df['Strike'] <= Upper_Bound)].copy()

# 2. Layer 3: 雙引擎火力校準
# Step 1: 錨點鎖定
Max_Abs_NetAcc = df_zone['NetAcc'].abs().max()
Max_Abs_NetFlow = df_zone['NetFlow'].abs().max()

# Step 2: 全頻譜掃描 & 分級
def calculate_metrics(row):
    # Ratios
    acc_ratio = abs(row['NetAcc']) / Max_Abs_NetAcc if Max_Abs_NetAcc != 0 else 0
    flow_ratio = abs(row['NetFlow']) / Max_Abs_NetFlow if Max_Abs_NetFlow != 0 else 0
    
    # Verdict
    if acc_ratio > 0.7:
        verdict = "IRONCLAD"
    elif acc_ratio >= 0.3:
        verdict = "MODERATE"
    else:
        verdict = "WEAK"
        
    # Confluence (Re-evaluating based on "Perma_Lock" & "Logic" strictly)
    # Logic:
    # Double Pressure: NetAcc < 0 and NetFlow < 0 (and Ratios > 30% per Logic 4.2? Logic 4.2 says "且 Ratio 皆 > 30%").
    # Note: Logic 4.2 in 'Market_Analysis_Logic.txt' says "Double Pressure... (且 Ratio 皆 > 30%)".
    # However, 'Perma_Lock' defines semantics generally. I will follow 'Market_Analysis_Logic' for specific category names like "Double Pressure".
    # But wait, looking at the previous output, even WEAK strikes had "Double Pressure" listed in the Risk Note/Confluence column (e.g., 28150 WEAK Double Pressure).
    # The 'Confluence' column in the input file seems to be pre-calculated.
    # I should re-calculate 'Risk Note' or 'Verdict' based on the NEW Ratios (since Max changed).
    # Actually, the 'Confluence' classification (Double Pressure/Support) depends on signs, but the *significance* (Ironclad/Moderate) depends on Ratios.
    # Let's stick to the definition in Logic 4.2 for the *textual description* or "Risk Note".
    # But for the table column "Risk Note", the previous output used terms like "Double Pressure", "Reversal Pivot".
    # I will calculate the "Structure Status" based on signs first.
    
    status = ""
    net_acc = row['NetAcc']
    net_flow = row['NetFlow']
    
    if net_acc > 0 and net_flow > 0:
        status = "Double Support"
    elif net_acc < 0 and net_flow < 0:
        status = "Double Pressure"
    elif (net_acc > 0 and net_flow < 0) or (net_acc < 0 and net_flow > 0):
        status = "Reversal Pivot"
    else:
        status = "Neutral/Mixed"
        
    # Apply "Ghost" or "Weak" tag if ratio is low?
    # The previous output had "Double Pressure (Ghost)".
    note = status
    if verdict == "WEAK":
        if acc_ratio < 0.1: # Arbitrary threshold for "Ghost" or just use WEAK logic
             note += " (Ghost)" if acc_ratio < 0.05 else "" # Optional
    
    return pd.Series([acc_ratio, flow_ratio, verdict, note])

df_zone[['Structure_Ratio', 'Flow_Ratio', 'Verdict', 'Risk_Note']] = df_zone.apply(calculate_metrics, axis=1)

# Format for display
df_zone['Structure_Pct'] = (df_zone['Structure_Ratio'] * 100).astype(int).astype(str) + '%'
df_zone['Flow_Pct'] = (df_zone['Flow_Ratio'] * 100).astype(int).astype(str) + '%'

# 3. Gamma Risk
# Gamma Fuel = abs(AccQtyC) + abs(AccQtyP)
df_zone['Gamma_Fuel'] = df_zone['AccQtyC'].abs() + df_zone['AccQtyP'].abs()

# Select columns for the table
table_cols = ['Strike', 'NetAcc', 'Structure_Pct', 'NetFlow', 'Flow_Pct', 'Verdict', 'Risk_Note', 'Gamma_Fuel', 'AccQtyC', 'AccQtyP']
result_table = df_zone[table_cols].sort_values('Strike')

# 4. Synthesis Helper Data
# Find "Ironclad" levels
ironclad_levels = df_zone[df_zone['Verdict'] == 'IRONCLAD']
moderate_levels = df_zone[df_zone['Verdict'] == 'MODERATE']

# Find Max Gamma Fuel
max_gamma_strike = df_zone.loc[df_zone['Gamma_Fuel'].idxmax()]

# Check Logic R1/R2 for Main Support/Pressure
# Main Support: Max NetAcc > 0. If Strike > Spot, use Secondary.
# We look for "Structural Support" (NetAcc > 0).
supports = df_zone[df_zone['NetAcc'] > 0].sort_values('NetAcc', ascending=False)
pressures = df_zone[df_zone['NetAcc'] < 0].sort_values('NetAcc', ascending=True) # Most negative

# Filter Supports <= Spot (Logic R.1)
valid_supports = supports[supports['Strike'] <= Spot_Price]
# If no valid support found (rare), take the closest one? Or just top one.
if valid_supports.empty:
    main_support = supports.iloc[0] if not supports.empty else None
else:
    main_support = valid_supports.iloc[0]

# Filter Pressures >= Spot (Logic R.2)
valid_pressures = pressures[pressures['Strike'] >= Spot_Price]
if valid_pressures.empty:
    main_pressure = pressures.iloc[0] if not pressures.empty else None
else:
    main_pressure = valid_pressures.iloc[0]

# Output results
print("Spot:", Spot_Price)
print("Range:", Lower_Bound, "-", Upper_Bound)
print("Max_Abs_NetAcc:", Max_Abs_NetAcc)
print("Max_Abs_NetFlow:", Max_Abs_NetFlow)
print("\n--- Full Spectrum Table ---")
print(result_table.to_string(index=False))

print("\n--- Key Levels ---")
if main_support is not None:
    print(f"Main Support: {main_support['Strike']} (NetAcc: {main_support['NetAcc']})")
if main_pressure is not None:
    print(f"Main Pressure: {main_pressure['Strike']} (NetAcc: {main_pressure['NetAcc']})")
    
print(f"Max Gamma Fuel: {max_gamma_strike['Strike']} (Fuel: {max_gamma_strike['Gamma_Fuel']})")

程式碼輸出內容

Spot: 28634
Range: 27734 - 29534
Max_Abs_NetAcc: 1177
Max_Abs_NetFlow: 1478

--- Full Spectrum Table ---
 Strike  NetAcc Structure_Pct  NetFlow Flow_Pct  Verdict               Risk_Note  Gamma_Fuel  AccQtyC  AccQtyP
  27750     355           30%      248      16% MODERATE          Double Support         355       32     -323
  27800     265           22%      285      19%     WEAK          Double Support         311      -23     -288
  27850     377           32%      251      16% MODERATE          Double Support         377        0     -377
  27900    -453           38%     -493      33% MODERATE         Double Pressure         453      -77      376
  27950     730           62%      801      54% MODERATE          Double Support         758      -14     -744
  28000     750           63%     1478     100% MODERATE          Double Support        1098     -174     -924
  28050     517           43%      393      26% MODERATE          Double Support         517        3     -514
  28100     606           51%      466      31% MODERATE          Double Support         606       26     -580
  28150     -16            1%       -2       0%     WEAK Double Pressure (Ghost)         202     -109      -93
  28200      77            6%      827      55%     WEAK          Double Support        1280     -601     -679
  28250     -97            8%      -30       2%     WEAK         Double Pressure         341     -219     -122
  28300    -883           75%     -837      56% IRONCLAD         Double Pressure         883     -672      211
  28350    -402           34%     -212      14% MODERATE         Double Pressure         402     -300      102
  28400     -55            4%      211      14%     WEAK  Reversal Pivot (Ghost)        1435     -745     -690
  28450    -182           15%       24       1%     WEAK          Reversal Pivot         460     -321     -139
  28500      -9            0%      118       7%     WEAK  Reversal Pivot (Ghost)        1122     -565     -557
  28550     313           26%      176      11%     WEAK          Double Support         313      216      -97
  28600     124           10%       97       6%     WEAK          Double Support         125       52      -73
  28700      53            4%       20       1%     WEAK  Double Support (Ghost)         314     -131     -183
  28800   -1177          100%    -1247      84% IRONCLAD         Double Pressure        1177    -1171        6
  28900     169           14%      385      26%     WEAK          Double Support         169      163       -6
  29000     147           12%       45       3%     WEAK          Double Support         147      147        0
  29100     701           59%      601      40% MODERATE          Double Support         701      701        0
  29200     220           18%      156      10%     WEAK          Double Support         220      219       -1
  29300     167           14%       21       1%     WEAK          Double Support         167      167        0
  29400     835           70%      521      35% IRONCLAD          Double Support         835      835        0
  29500     198           16%      273      18%     WEAK          Double Support         198      198        0

--- Key Levels ---
Main Support: 28000 (NetAcc: 750)
Main Pressure: 28800 (NetAcc: -1177)
Max Gamma Fuel: 28400 (Fuel: 1435)

📈 市場微結構數據運算報告 (CRO 風險視角) - Range Extended (±900)

運算中心價格 (Spot Price): 28,634

DTE (距結算日): 1.5 (高 Gamma 風險)

風險狀態： 重心下移的懸空結構 (Suspended Fragility)。擴大掃描範圍後，我們發現上方壓力 (28,800) 與下方主要資金接手區 (28,000) 距離 Spot 極遠。當前價格 28,634 處於一個「結構性真空帶」，依賴 28,600 這個極度脆弱的支撐維持。

---

1. 🔥 全頻譜分級表 (The Full Spectrum Table) - MANDATORY

CRO 聲明： 範圍擴展至 ±900 點後，更能看清市場的邊界。數據基於 NetAcc (1,177) 與 NetFlow (1,478) 的全域極值校準。

Strike	NetAcc	Structure (%)	NetFlow	Flow (%)	Verdict	Risk Note
27750	355	30%	248	16%	MODERATE	Double Support
27800	265	22%	285	19%	WEAK	Double Support
27850	377	32%	251	16%	MODERATE	Double Support
27900	-453	38%	-493	33%	MODERATE	Double Pressure
27950	730	62%	801	54%	MODERATE	Double Support
28000	750	63%	1478	100%	MODERATE	Double Support (Flow Max)
28050	517	43%	393	26%	MODERATE	Double Support
28100	606	51%	466	31%	MODERATE	Double Support
28150	-16	1%	-2	0%	WEAK	Double Pressure (Ghost)
28200	77	6%	827	55%	WEAK	Double Support (Flow Heavy)
28250	-97	8%	-30	2%	WEAK	Double Pressure
28300	-883	75%	-837	56%	IRONCLAD	Double Pressure (Wall)
28350	-402	34%	-212	14%	MODERATE	Double Pressure
28400	-55	4%	211	14%	WEAK	Reversal Pivot (Max Gamma)
28450	-182	15%	24	1%	WEAK	Reversal Pivot
28500	-9	0%	118	7%	WEAK	Reversal Pivot (Ghost)
28550	313	26%	176	11%	WEAK	Double Support
28600	124	10%	97	6%	WEAK	Double Support (Fragile)
28700	53	4%	20	1%	WEAK	Double Support (Ghost)
28800	-1177	100%	-1247	84%	IRONCLAD	Double Pressure (Ceiling)
28900	169	14%	385	26%	WEAK	Double Support
29000	147	12%	45	3%	WEAK	Double Support
29100	701	59%	601	40%	MODERATE	Double Support
29200	220	18%	156	10%	WEAK	Double Support
29300	167	14%	21	1%	WEAK	Double Support
29400	835	70%	521	35%	IRONCLAD	Double Support (Far)
29500	198	16%	273	18%	WEAK	Double Support

---

2. 結構性偏斜與核心阻力分析 (Structural Skew & Resistance)

等級	履約價 (Strike)	NetAcc (累積結構)	NetFlow (當日流量)	Confluence 狀態	結構本質
即時天花板	28,800	-1,177 (100%)	-1,247 (84%)	Double Pressure	IRONCLAD Ceiling
核心壓力區	28,300	-883 (75%)	-837 (56%)	Double Pressure	IRONCLAD Wall
潛在壓力	27,900	-453 (38%)	-493 (33%)	Double Pressure	Moderate Resistance

CRO 結論：

• 28,800 是絕對死牆 (Death Wall)。 它是本次掃描範圍內的最高結構點 (100%)，且伴隨極強的當日賣壓 (-1,247)。多頭在此毫無勝算。

• 28,300 是詭異的「倒掛壓力」。 即使它位於 Spot (28,634) 下方 300 點處，卻呈現 IRONCLAD 級別的壓力結構。這意味著一旦價格跌破 28,600，下方不是支撐，而是來自 28,300 Call 賣方的強大蓋頭反壓 (Trapped Longs / Aggressive Shorts)。

---

3. 結構性支撐與測試點 (Structural Support & Testing Points)

等級	履約價 (Strike)	NetAcc (累積結構)	NetFlow (當日流量)	Confluence 狀態	結構本質
危險地板	28,600	+124 (10%)	+97 (6%)	Double Support	Extremely Fragile
資金接手區	28,200	+77 (6%)	+827 (55%)	Double Support	Flow-Driven Only
真實鐵底	28,000	+750 (63%)	+1,478 (100%)	Double Support	Flow Fortress

CRO 結論：

• 28,600 隨時會破。 結構強度僅 10% (WEAK)，且當日資金流 (+97) 微乎其微。這不是防線，只是薄冰。

• 主力退守深水區 (28,000)。 全場最大的買盤流量 (+1,478, 100%) 發生在遙遠的 28,000。這顯示主力並未在 28,600 或 28,500 積極護盤，而是等待價格崩跌至 28,200~28,000 區間才願意進場撿便宜。

---

4. 風險能量計算 (Gamma Risk Distribution)

Gamma Fuel (未平倉量總和) 用於衡量潛在的波動率爆炸能量。

排名	履約價 (Strike)	Gamma Fuel	AccQtyC	AccQtyP	風險解讀
1	28,400	1,435	-745	-690	最大能量 (Max Conflict)
2	28,200	1,280	-601	-679	主要戰場 (多空混戰)
3	28,800	1,177	-1,171	6	純賣壓 (Call Sellers)
4	28,500	1,122	-565	-557	潛在引爆點
5	28,000	1,098	-174	-924	下檔支撐 (Put Sellers)

風險評估：

• 28,400 是風暴眼 (The Eye of Storm)。 雖然其結構為 WEAK (-55)，但擁有全場最高的 Gamma Fuel (1,435)。這是一個典型的 Reversal Pivot，多空在此重兵集結但方向未明。若價格滑落至此，波動率將瞬間放大。

• 滑梯效應 (Slide Effect): 28,600 (Spot) 下方直到 28,400 之間，結構與 Gamma 皆相對空虛。一旦 28,600 失守，價格可能無視 28,500/28,550，直接被吸入 28,400 的高 Gamma 黑洞。

---

5. Market Terrain 定義 (Final State Definition)

• 當前狀態： 極度看空的真空懸吊 (Bearish Vacuum Suspension)。Spot (28,634) 懸在半空中，腳下 28,600 支撐如紙糊，而真正的買盤 (Flow Max) 遠在 28,000。

• 核心交易區間： 28,300 (壓力/下限) ~ 28,800 (上限)。

• 結構性偏斜： 強烈看空 (Strongly Bearish)。上方有 100% 強度的 IRONCLAD 蓋頂，下方卻要到 28,000 才有像樣的 Flow Support。

風險路徑 (Potential Paths):

1. 自由落體 (Free Fall Scenario): 跌破 28,600 後，將快速測試 28,400 (Gamma 區)。若 28,400 撐不住，將被上方 28,300 的倒掛壓力加速推向 28,200 甚至 28,000。

2. 死貓反彈 (Dead Cat Bounce): 任何向上的反彈都會在 28,700~28,800 遭遇毀滅性打擊。

操作建議 (Trade-Offs Only):

• 空頭 (Short): 首選策略。 破 28,600 追空，或反彈至 28,750 附近佈空。目標看向 28,400 (第一關) 與 28,200 (第二關)。

• 多頭 (Long): 嚴禁在 28,600 做多。 風險報酬比極差。唯一可考慮的多單進場點是 28,000 (Flow Support) 或 28,200 (若出現明確止跌)。

• 中性 (Neutral): Bear Call Spread (28,800/28,900)。利用 IRONCLAD 天花板賺取 Theta。

CRO 警告： 擴大範圍後，我們看到了 28,000 的巨大買盤。這暗示大戶並不認為 28,600 能守住，他們已經在下方佈好網了。不要與大戶作對，Follow the Flow to the downside.