此版本解決了流動性斷層問題 (Liquidity Gap)、強化了進場勝率 (Win Rate)，並優化了 0DTE 的操作效率 (Efficiency)。

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Strategic Risk-Adjusted SOP for TXO Terrain Trading

🛡️ Phase 1: Passive Surveillance (Pre-2DTE)

• Action: Continuous data collection of Terrain (NetAcc) & NetFlow.

• Constraint: NO ACTION PERMITTED.

• Rationale: Avoids "Over-trading." Wait for the Theta Decay Acceleration Point (2 days prior to expiration) to maximize capital efficiency.

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🏗️ Phase 2: Structural Deployment (2DTE - Entry)

• Timing: 2 Days to Expiration (After 13:00 or Night Session).

• Strategy: Imbalanced Iron Condor (Probe).

• Capital Allocation: Capped at 10% of Total Capital.

• Entry Logic: The "Sign Confluence" Filter (胜率優化)

  • CRITICAL RULE: Do not fight the active flow. Structure (NetAcc) and Momentum (NetFlow) must agree.

  • Sell Call Criteria:

    1. Terrain = Pressure (NetAcc < 0).

    2. AND NetFlow is Negative or Neutral (NetFlow ≤ 0).

    • Rejection: If NetFlow is strongly positive (> +500), ABORT entry even if Terrain shows pressure.

  • Sell Put Criteria:

    1. Terrain = Support (NetAcc > 0).

    2. AND NetFlow is Positive or Neutral (NetFlow ≥ 0).

• Risk Control: Mandatory purchase of OTM Wings (Protective Legs) immediately.

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🔧 Phase 3: Dynamic Calibration (1DTE - Adjustment)

• Timing: 09:00 (15 mins after Open).

• Mode: "Supervisor Mode".

• Capital Allocation: Scale up to 50% if the structure is stable.

• Adjustment Logic: Align Portfolio Delta with Real-time Terrain Payoff Delta.

• The Adjustment Tool: Synthetic Futures (可行性優化)

  • Problem Solved: Solves the lack of Weekly Futures and the liquidity/basis risk of ITM options.

  • Instrument: ATM (At-The-Money) Options of the same weekly expiration.

  • Execution:

    • To Add +1 Delta (Long): Buy ATM Call + Sell ATM Put.

    • To Add -1 Delta (Short): Sell ATM Call + Buy ATM Put.

  • Advantage: Zero basis risk, maximum liquidity, linear delta behavior.

• Gap Protection: Buy cheap, Deep OTM options to cap overnight gap risk before market close.

• Goal: Achieve "Absolute Safety Mode" by close (positions in the "Ignore Zone").

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⚔️ Phase 4: Termination & Sniper Mode (0DTE - Execution)

• Timing: Settlement Day.

• Regime Shift: From Theta Harvesting to Gamma Scalping.

Step A: Liquidation (08:45 - 09:00)

• Action: Close all positions with residual directional risk.

• Retention: Keep only "Ignore" positions (Deep OTM Shorts with >99% probability of expiring worthless).

Step B: Sniper Scalping (09:00 - 13:30)

• Capital Allocation: Deploy remaining 50% (High Turnover).

• Time-Boxing: The "Golden Hours" (效率優化)

  • Trade ONLY during high-volatility windows to avoid "Chop Zones":

  1. Opening Drive: 08:45 – 09:15 (Trend establishment).

  2. China Correlation: 09:30 – 10:00 (Secondary reaction).

  3. Settlement Showdown: 13:00 – 13:30 (Mean reversion / Gamma squeeze).

  • Rest Zone: 11:00 – 12:30 (Do not trade unless a Tier-1 Signal appears).

• Decision Engine:

  1. Primary Signal: Real-time Active NetFlow Payoff Chart (Trading against Market Maker's pain).

  2. Timing: 1-min Technical Indicators (pandasA).

  3. Context: Terrain Structure accumulation.

• Execution: Hit & Run. Fast exits. No holding losers.

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⚠️ Risk Protocols (Non-Negotiable)

1. Gamma Trap: In 0DTE scalping, if a position moves against you by 15 points, CUT IMMEDIATELY. Do not average down on Gamma risk.

2. System Failure: If real-time data feeds (NetFlow/Payoff) lag or disconnect, close all speculative positions immediately. Do not trade blind.

3. Capital Load: Never exceed the 50% capital allocation for 0DTE scalping. The remaining 50% acts as a margin buffer for the settlement of Short positions.