修复币本位期权残档判定：内在价值按币报价(S-K)/S，避免与美元点差混比误杀有效买一

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

lib/exchange/okx_options_lib.py

@@ -13,6 +13,7 @@ import ccxt
 from lib.options.options_pricing_lib import (
     expiry_breakeven_from_ask,
     idx_distance_to_be,
+    intrinsic_px_per_unit,
     is_shallow_itm,
     option_moneyness,
     option_moneyness_label,
@@ -251,15 +252,6 @@ def tick_sz_and_ct_mult(
     return tick_sz, ct_mult or 0.01
 
 
-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],
@@ -267,6 +259,7 @@ def _resolve_chain_quote(
     opt_type: str,
     strike: float,
     index_px: float,
+    inst_id: str | None = None,
 ) -> 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")
@@ -276,12 +269,13 @@ def _resolve_chain_quote(
     ask_sz = _safe_float(ticker.get("askSz"))
     bid_sz = _safe_float(ticker.get("bidSz"))
     ask_estimated = False
+    iid = (inst_id or str(meta.get("instId") or "")).strip()
 
     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)
+        intrinsic = intrinsic_px_per_unit(opt_type, strike, index_px, inst_id=iid or None)
         if intrinsic is not None and intrinsic > 0:
             ask = round_option_px(intrinsic, tick_sz, "buy")
             ask_estimated = True
@@ -289,7 +283,7 @@ def _resolve_chain_quote(
     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)
+        intrinsic = intrinsic_px_per_unit(opt_type, strike, index_px, inst_id=iid or None)
         if intrinsic is not None and intrinsic > 0:
             bid = round_option_px(intrinsic, tick_sz, "sell")
 
@@ -878,6 +872,7 @@ def build_option_chain(
             opt_type=opt_type,
             strike=strike,
             index_px=idx,
+            inst_id=inst_id,
         )
         ask = q["ask"]
         bid = q["bid"]

lib/options/options_close_exec_lib.py

@@ -58,7 +58,13 @@ def _pos_close_refs(ex: Any, pos: dict[str, Any], quote: dict[str, Any] | None =
         if strike is None:
             strike = ps
     idx = _safe_float(pos.get("idxPx")) or _safe_float((quote or {}).get("index_px"))
-    return close_ref_prices(mark_px=mark, opt_type=str(opt_type or ""), strike=strike, index_px=idx)
+    return close_ref_prices(
+        mark_px=mark,
+        opt_type=str(opt_type or ""),
+        strike=strike,
+        index_px=idx,
+        inst_id=inst_id,
+    )
 
 
 def _avail_sheets(pos: dict[str, Any]) -> int:

lib/options/options_positions_lib.py

@@ -40,6 +40,8 @@ def attach_close_preview(
         row.get("opt_type") or row.get("optType"),
         _safe_float(row.get("strike") or row.get("stk")),
         _safe_float(row.get("idx_px") or row.get("idxPx")),
+        inst_id=inst_id,
+        margin_mode=row.get("margin_mode"),
     )
     # 与实盘一致:只按买一估算本轮可平
     preview = estimate_close_by_bids(

lib/options/options_pricing_lib.py

@@ -64,7 +64,46 @@ def _safe_px(v: Any) -> float | None:
     return x if x > 0 else None
 
 
-def intrinsic_px_per_unit(opt_type: str | None, strike: float | None, index_px: float | None) -> float | None:
+def _quote_in_coin_from_context(
+    *,
+    quote_in_coin: bool | None = None,
+    inst_id: str | None = None,
+    margin_mode: str | None = None,
+) -> bool:
+    """币本位(ETH-USD/BTC-USD)权利金按币报价;USDC(USD_UM)按美元点差."""
+    if quote_in_coin is not None:
+        return bool(quote_in_coin)
+    if inst_id:
+        try:
+            from lib.options.options_margin_mode_lib import MODE_COIN, margin_mode_from_inst_id
+
+            return margin_mode_from_inst_id(inst_id) == MODE_COIN
+        except Exception:
+            pass
+    if margin_mode is not None:
+        try:
+            from lib.options.options_margin_mode_lib import is_coin_margin_mode
+
+            return is_coin_margin_mode(margin_mode)
+        except Exception:
+            return str(margin_mode).strip().lower() in ("coin", "coin_margin", "crypto")
+    return False
+
+
+def intrinsic_px_per_unit(
+    opt_type: str | None,
+    strike: float | None,
+    index_px: float | None,
+    *,
+    quote_in_coin: bool | None = None,
+    inst_id: str | None = None,
+    margin_mode: str | None = None,
+) -> float | None:
+    """
+    与盘口同单位的内在价值(每 1 标的).
+    - USDC / USD_UM: 美元点差 max(0, S−K) / max(0, K−S)
+    - 币本位 ETH-USD / BTC-USD: 币报价 max(0, S−K)/S / max(0, K−S)/S
+    """
     o = (opt_type or "").strip().upper()
     if strike is None or index_px is None:
         return None
@@ -74,10 +113,18 @@ def intrinsic_px_per_unit(opt_type: str | None, strike: float | None, index_px:
     except (TypeError, ValueError):
         return None
     if o == "C" and idx > k:
-        return idx - k
+        points = idx - k
-    if o == "P" and idx < k:
+    elif o == "P" and idx < k:
-        return k - idx
+        points = k - idx
-    return None
+    else:
+        return None
+    if _quote_in_coin_from_context(
+        quote_in_coin=quote_in_coin, inst_id=inst_id, margin_mode=margin_mode
+    ):
+        if idx <= 0:
+            return None
+        return points / idx
+    return points
 
 
 def is_stub_bid_px(
@@ -128,9 +175,19 @@ def close_ref_prices(
     opt_type: str | None = None,
     strike: float | None = None,
     index_px: float | None = None,
+    quote_in_coin: bool | None = None,
+    inst_id: str | None = None,
+    margin_mode: str | None = None,
 ) -> tuple[float | None, float | None]:
-    """返回 (mark_px, intrinsic_px) 供残档判断."""
+    """返回 (mark_px, intrinsic_px) 供残档判断;intrinsic 与盘口同单位."""
-    return _safe_px(mark_px), intrinsic_px_per_unit(opt_type, strike, index_px)
+    return _safe_px(mark_px), intrinsic_px_per_unit(
+        opt_type,
+        strike,
+        index_px,
+        quote_in_coin=quote_in_coin,
+        inst_id=inst_id,
+        margin_mode=margin_mode,
+    )
 
 
 def filter_bids_for_close(

lib/options/options_target_lib.py

@@ -33,7 +33,13 @@ def _pos_close_refs(ex: Any, pos: dict[str, Any], quote: dict[str, Any] | None =
         if strike is None:
             strike = ps
     idx = _safe_float(pos.get("idxPx")) or _safe_float((quote or {}).get("index_px"))
-    return close_ref_prices(mark_px=mark, opt_type=str(opt_type or ""), strike=strike, index_px=idx)
+    return close_ref_prices(
+        mark_px=mark,
+        opt_type=str(opt_type or ""),
+        strike=strike,
+        index_px=idx,
+        inst_id=inst_id,
+    )
 
 
 def ensure_target_tables(conn: sqlite3.Connection) -> None:

tests/test_options_pricing.py

@@ -267,6 +267,35 @@ def test_stub_bid_blocks_auto_close_estimate():
     assert good["covered_sheets"] == 10
 
 
+def test_intrinsic_px_coin_vs_usdc_units():
+    from lib.options.options_pricing_lib import intrinsic_px_per_unit, is_stub_bid_px
+
+    # USDC / 默认:美元点差
+    assert intrinsic_px_per_unit("C", 2250, 2274) == 24.0
+    assert intrinsic_px_per_unit("C", 2250, 2274, margin_mode="usdc") == 24.0
+
+    # 币本位:与盘口同单位的币报价 (S−K)/S
+    coin_iv = intrinsic_px_per_unit("C", 2250, 2274, quote_in_coin=True)
+    assert coin_iv is not None
+    assert abs(coin_iv - 24.0 / 2274.0) < 1e-12
+    assert abs(
+        intrinsic_px_per_unit("C", 2250, 2274, inst_id="ETH-USD-260822-2250-C") - 24.0 / 2274.0
+    ) < 1e-12
+    # USD_UM 仍为点差
+    assert intrinsic_px_per_unit("C", 2250, 2274, inst_id="ETH-USD_UM-260822-2250-C") == 24.0
+
+    # 复现线上误杀:把点差当内在价值会把正常买一判残档
+    wrong_stub, _ = is_stub_bid_px(0.023, mark_px=0.0241, intrinsic_px=23.58)
+    assert wrong_stub is True
+    # 币报价内在价值后,买一贴近标记价应有效
+    ok_stub, _ = is_stub_bid_px(0.023, mark_px=0.0241, intrinsic_px=coin_iv)
+    assert ok_stub is False
+
+    put_iv = intrinsic_px_per_unit("P", 2300, 2274, quote_in_coin=True)
+    assert put_iv is not None
+    assert abs(put_iv - 26.0 / 2274.0) < 1e-12
+
+
 def test_expiry_breakeven_from_ask():
     from lib.options.options_pricing_lib import expiry_breakeven_from_ask