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Estimate missing option ask from mark or intrinsic on chain list.

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Deep ITM contracts often have no ask on the book; show mark-based estimates with a tilde and restore breakeven calculations.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-07 17:50:25 +08:00
parent 25879dd007
commit 7f225c7407
4 changed files with 89 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/common/static/options_panel.js
+4 -3
View File
@@ -150,9 +150,10 @@
"指数 " + state.underlying + " ≈ " + fmt(idx, 2) + " · 实值=价内 · 虚值=价外";
}
function fmtPxSz(px, sz) {
function fmtPxSz(px, sz, estimated) {
if (px === null || px === undefined || Number.isNaN(Number(px))) return "—";
const price = Number(px).toFixed(4).replace(/\.?0+$/, "");
let price = Number(px).toFixed(4).replace(/\.?0+$/, "");
if (estimated) price += "~";
if (sz === null || sz === undefined || sz === "" || Number.isNaN(Number(sz))) return price;
const s = Number(sz);
const size = Math.abs(s - Math.round(s)) < 1e-9 ? String(Math.round(s)) : String(s);
@@ -295,7 +296,7 @@
"<td>" + c.strike + "</td>" +
"<td>" + moneynessBadge(c) + "</td>" +
"<td><code>" + c.inst_id + "</code></td>" +
"<td class=\"opt-px-sz\">" + fmtPxSz(c.ask, c.ask_sz) + "</td>" +
"<td class=\"opt-px-sz\">" + fmtPxSz(c.ask, c.ask_sz, c.ask_estimated) + "</td>" +
"<td class=\"opt-px-sz\">" + fmtPxSz(c.bid, c.bid_sz) + "</td>" +
"<td>" + (c.expiry_be_px != null ? fmt(c.expiry_be_px, 0) : "—") + "</td>" +
'<td class="' + distBeClass(c.dist_expiry_be) + '">' + fmtDist(c.dist_expiry_be) + "</td>" +
lib/exchange/okx_options_lib.py
+68 -5
View File
@@ -115,6 +115,61 @@ def format_option_px(px: float, tick_sz: Any) -> str:
return f"{px:.{decimals}f}".rstrip("0").rstrip(".") or "0"
def _intrinsic_px_per_unit(opt_type: str, strike: float, index_px: float) -> float | None:
o = (opt_type or "").upper()
if o == "C" and index_px > strike:
return float(index_px) - float(strike)
if o == "P" and index_px < strike:
return float(strike) - float(index_px)
return None
def _resolve_chain_quote(
*,
ticker: dict[str, Any],
meta: dict[str, Any],
opt_type: str,
strike: float,
index_px: float,
) -> dict[str, Any]:
"""链列表报价：卖一缺失时用标记价/内在价值估算（深度实值常见无卖一）。"""
tick_sz = meta.get("tickSz")
ask = _safe_float(ticker.get("askPx"))
bid = _safe_float(ticker.get("bidPx"))
mark = _safe_float(ticker.get("markPx"))
ask_sz = _safe_float(ticker.get("askSz"))
bid_sz = _safe_float(ticker.get("bidSz"))
ask_estimated = False
if ask is None and mark is not None and mark > 0:
ask = round_option_px(mark, tick_sz, "buy")
ask_estimated = True
if ask is None:
intrinsic = _intrinsic_px_per_unit(opt_type, strike, index_px)
if intrinsic is not None and intrinsic > 0:
ask = round_option_px(intrinsic, tick_sz, "buy")
ask_estimated = True
if bid is None and mark is not None and mark > 0:
bid = round_option_px(mark, tick_sz, "sell")
if bid is None:
intrinsic = _intrinsic_px_per_unit(opt_type, strike, index_px)
if intrinsic is not None and intrinsic > 0:
bid = round_option_px(intrinsic, tick_sz, "sell")
if ask_estimated:
ask_sz = None
return {
"ask": ask,
"bid": bid,
"ask_sz": ask_sz,
"bid_sz": bid_sz,
"mark_px": mark,
"ask_estimated": ask_estimated,
}
def _fetch_book_bid_ask(ex: ccxt.okx, inst_id: str) -> tuple[float | None, float | None]:
bid, ask, _, _ = _fetch_book_top(ex, inst_id)
return bid, ask
@@ -344,11 +399,18 @@ def build_option_chain(
continue
inst_id = str(meta.get("instId") or "")
t = tickers.get(inst_id) or {}
ask = _safe_float(t.get("askPx"))
bid = _safe_float(t.get("bidPx"))
mark = _safe_float(t.get("markPx"))
ask_sz = _safe_float(t.get("askSz"))
bid_sz = _safe_float(t.get("bidSz"))
q = _resolve_chain_quote(
ticker=t,
meta=meta,
opt_type=opt_type,
strike=strike,
index_px=idx,
)
ask = q["ask"]
bid = q["bid"]
mark = q["mark_px"]
ask_sz = q["ask_sz"]
bid_sz = q["bid_sz"]
if ask is None and bid is None and mark is None:
continue
expiry_be = expiry_breakeven_from_ask(
@@ -370,6 +432,7 @@ def build_option_chain(
"ask_sz": ask_sz,
"bid_sz": bid_sz,
"mark_px": mark,
"ask_estimated": q["ask_estimated"],
"expiry_be_px": expiry_be,
"dist_expiry_be": idx_distance_to_be(idx, expiry_be),
"moneyness": mny,
lib/options/templates/options_panel.html
+2 -2
View File
@@ -7,7 +7,7 @@
<div class="options-dual-grid">
<div class="card options-order-card">
<h2>期权下单</h2>
<p class="muted options-hint">报价单位为每 1 ETH/BTC；1 张 = 0.01。卖一/买一列为 <strong>价格/张数</strong>。链展示近 <span id="opt-chain-dte">14</span> 日到期，标注实值/虚值；<strong>到期平衡</strong>按卖一预估（无卖一按标记价）。资金划转与 USDT/USDC 兑换见「系统设置 → 期权设置」。</p>
<p class="muted options-hint">报价单位为每 1 ETH/BTC；1 张 = 0.01。卖一/买一列为 <strong>价格/张数</strong>；卖一无挂单时以标记价估算并标 <strong>~</strong>。链展示近 <span id="opt-chain-dte">14</span> 日到期，标注实值/虚值；<strong>到期平衡</strong>按卖一预估（无卖一按标记价）。资金划转与 USDT/USDC 兑换见「系统设置 → 期权设置」。</p>
<div class="form-row options-chain-toolbar">
<button type="button" class="btn-secondary opt-uly-btn active" data-uly="ETH">ETH</button>
<button type="button" class="btn-secondary opt-uly-btn" data-uly="BTC">BTC</button>
@@ -136,4 +136,4 @@
</div>
</div>
</div>
<script src="/static/options_panel.js?v=9"></script>
<script src="/static/options_panel.js?v=10"></script>
tests/test_options_pricing.py
+15
View File
@@ -90,6 +90,21 @@ def test_estimate_expiry_profit_at_index():
assert p2 == round(-12.2 * 0.01, 4)
def test_resolve_chain_quote_estimated_ask():
from lib.exchange.okx_options_lib import _resolve_chain_quote
q = _resolve_chain_quote(
ticker={"bidPx": "0.2", "bidSz": "3500"},
meta={"tickSz": "0.2"},
opt_type="C",
strike=1650,
index_px=1776,
)
assert q["ask_estimated"] is True
assert q["ask"] is not None
assert q["ask"] >= 120
def test_format_quote_liquidity():
from lib.options.options_pricing_lib import format_quote_liquidity