Require real ask depth for options and hedge opens.

Block mark-as-ask opens, show reference mark when no depth, cap sheets to ask size; leave close paths unchanged. Document in docs/更新文档.md.

Co-authored-by: Cursor <cursoragent@cursor.com>

tests/test_hedge_plan_orders.py

@@ -89,6 +89,8 @@ class TestHedgePlanOrderPath(unittest.TestCase):
             return_value={
                 "ok": True,
                 "ask": 12.5,
+                "ask_sz": 10,
+                "can_open": True,
                 "ct_mult": 0.01,
                 "tick_sz": "0.1",
                 "strike": 1800,
@@ -134,6 +136,8 @@ class TestHedgePlanOrderPath(unittest.TestCase):
             return_value={
                 "ok": True,
                 "ask": 10,
+                "ask_sz": 5,
+                "can_open": True,
                 "ct_mult": 0.01,
                 "tick_sz": "0.1",
                 "strike": 1800,
@@ -157,6 +161,55 @@ class TestHedgePlanOrderPath(unittest.TestCase):
         self.assertTrue(out["ok"])
         self.assertEqual(len(out["results"]), 2)
 
+    def test_buy_rejects_without_ask_depth(self):
+        from lib.hedge_plan.hedge_plan_orders_lib import _buy_option
+
+        quote = MagicMock(
+            return_value={
+                "ok": True,
+                "ask": None,
+                "ask_sz": None,
+                "mark": 11.2,
+                "ref_ask": 11.2,
+                "can_open": False,
+                "open_block_msg": "暂无卖一深度,无法买入",
+                "ct_mult": 0.01,
+            }
+        )
+        cfg = {
+            "exchange_options": object(),
+            "quote_option_contract": quote,
+            "place_option_limit_order": MagicMock(),
+        }
+        out = _buy_option(cfg, inst_id="ETH-USD_UM-260717-1900-C", sheets=1, dry_run=True)
+        self.assertFalse(out["ok"])
+        self.assertIn("卖一", out["msg"])
+        cfg["place_option_limit_order"].assert_not_called()
+
+    def test_buy_caps_sheets_to_ask_depth(self):
+        from lib.hedge_plan.hedge_plan_orders_lib import _buy_option
+
+        quote = MagicMock(
+            return_value={
+                "ok": True,
+                "ask": 10,
+                "ask_sz": 2,
+                "can_open": True,
+                "ct_mult": 0.01,
+                "tick_sz": "0.1",
+                "meta": {"optType": "C"},
+            }
+        )
+        cfg = {
+            "exchange_options": object(),
+            "quote_option_contract": quote,
+            "place_option_limit_order": MagicMock(),
+            "td_mode_for_option_buy": lambda x: "isolated",
+        }
+        out = _buy_option(cfg, inst_id="X", sheets=9, dry_run=True)
+        self.assertTrue(out["ok"])
+        self.assertEqual(out["sheets"], 2)
+
 
 if __name__ == "__main__":
     unittest.main()

tests/test_option_buy_liquidity.py

@@ -0,0 +1,22 @@
+"""期权买入流动性门禁:真实卖一价+深度."""
+from lib.exchange.okx_options_lib import (
+    cap_option_buy_sheets_to_ask_depth,
+    option_buy_liquidity_ok,
+)
+
+
+def test_option_buy_liquidity_ok_requires_ask_and_depth():
+    assert option_buy_liquidity_ok(10, 1)[0] is True
+    assert option_buy_liquidity_ok(10, 0)[0] is False
+    assert option_buy_liquidity_ok(10, None)[0] is False
+    assert option_buy_liquidity_ok(None, 5)[0] is False
+    assert option_buy_liquidity_ok(0, 5)[0] is False
+
+
+def test_cap_option_buy_sheets_to_ask_depth():
+    capped, msg = cap_option_buy_sheets_to_ask_depth(9, 2.8, min_sz=1)
+    assert capped == 2
+    assert msg == ""
+    capped, msg = cap_option_buy_sheets_to_ask_depth(1, 0.4, min_sz=1)
+    assert capped is None
+    assert "深度不足" in msg