Add depth-based option close flow.

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

tests/test_options_pricing.py

@@ -129,6 +129,42 @@ def test_format_quote_liquidity():
     assert format_quote_liquidity(None, 10) is None
 
 
+def test_estimate_close_by_bids_full_depth():
+    from lib.options.options_pricing_lib import estimate_close_by_bids
+
+    out = estimate_close_by_bids(
+        [{"px": 12.3, "sz": 2}, {"px": 12.1, "sz": 3}],
+        4,
+        ct_mult=0.01,
+        premium_paid=0.4,
+    )
+    assert out["covered_sheets"] == 4
+    assert out["uncovered_sheets"] == 0
+    assert out["total_received"] == 0.488
+    assert out["avg_px"] == 12.2
+    assert out["estimated_pnl"] == 0.088
+    assert [x["sheets"] for x in out["levels"]] == [2, 2]
+
+
+def test_estimate_close_by_bids_partial_depth():
+    from lib.options.options_pricing_lib import estimate_close_by_bids
+
+    out = estimate_close_by_bids([{"px": 10, "sz": 1}], 3, ct_mult=0.01, premium_paid=0.6)
+    assert out["covered_sheets"] == 1
+    assert out["uncovered_sheets"] == 2
+    assert out["total_received"] == 0.1
+    assert out["estimated_pnl"] == -0.1
+
+
+def test_estimate_close_by_bids_empty():
+    from lib.options.options_pricing_lib import estimate_close_by_bids
+
+    out = estimate_close_by_bids([], 2)
+    assert out["covered_sheets"] == 0
+    assert out["uncovered_sheets"] == 2
+    assert out["avg_px"] is None
+
+
 def test_expiry_breakeven_from_ask():
     from lib.options.options_pricing_lib import expiry_breakeven_from_ask