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

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>

lib/exchange/okx_options_lib.py

@@ -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,