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Block option auto-close on stub bids far below mark.

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Reject target and depth closes when bid is a residual tick, and show invalid-bid UI instead of recycling at junk prices.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-15 21:05:54 +08:00
parent e15eca76f3
commit c025c06fac
7 changed files with 387 additions and 21 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/common/static/options_panel.js
+16 -3
View File
@@ -374,6 +374,9 @@
/** 买盘深度:价格/流动性;仅展示平仓所需档位(买一不够才出买二…). */
function fmtCloseLevels(preview, tickSz) {
if (preview && (preview.auto_close_blocked || preview.bid_invalid)) {
return "暂无有效买盘";
}
const levels = ((preview && preview.levels) || []).slice(0, 5);
if (!levels.length) return "—";
return levels.map(function (x, idx) {
@@ -885,12 +888,18 @@
'<div class="pos-cell"><span class="pos-label">到期平衡</span><span class="pos-value">' + fmt(p.expiry_be_px, 0) + "</span></div>" +
'<div class="pos-cell"><span class="pos-label">平掉回本</span><span class="pos-value">' + fmt(p.close_be_px, 0) + "</span></div>" +
'<div class="pos-cell"><span class="pos-label">净盈亏</span><span class="pos-value ' + uplCls + '">' +
(net == null ? "—" : fmt(net, 2)) + "</span></div>" +
(closePreview.auto_close_blocked || closePreview.bid_invalid || net == null ? "—" : fmt(net, 2)) + "</span></div>" +
'<div class="pos-cell"><span class="pos-label">收益率</span><span class="pos-value ' + uplCls + '">' +
(roi == null ? "—" : fmt(roi, 2) + "%") + "</span></div>" +
(closePreview.auto_close_blocked || closePreview.bid_invalid || roi == null ? "—" : fmt(roi, 2) + "%") + "</span></div>" +
'<div class="pos-cell opt-pos-cell--depth"><span class="pos-label">买盘深度</span><span class="pos-value opt-bid-plain">' + fmtCloseLevels(closePreview, tickSz) + "</span></div>" +
'<div class="pos-cell opt-pos-cell--close"><span class="pos-label">按买盘回收</span><span class="pos-value">' + fmtClosePreview(closePreview, p.premium_paid) + "</span></div>" +
'<div class="pos-cell opt-pos-cell--close"><span class="pos-label">按买盘回收</span><span class="pos-value">' +
(closePreview.auto_close_blocked || closePreview.bid_invalid
? '<span class="muted">禁用以残档自动平</span>'
: fmtClosePreview(closePreview, p.premium_paid)) + "</span></div>" +
"</div>" +
(closePreview.auto_close_blocked || closePreview.bid_invalid
? '<div class="muted opt-bid-invalid-hint">' + (closePreview.bid_invalid_reason || "当前买一无效,禁止按买盘自动平仓") + "</div>"
: "") +
renderTargetDelegateRow(p)
);
}
@@ -1184,6 +1193,10 @@
return;
}
const preview = q.close_preview || {};
if (preview.auto_close_blocked || preview.bid_invalid) {
alert(preview.bid_invalid_reason || "当前买一为无效残档,禁止按买盘自动平仓。请到 OKX App 自行挂限价/市价。");
return;
}
if (!preview.covered_sheets || preview.covered_sheets <= 0) {
alert("暂无可用买盘深度,请稍后在 OKX App 平仓或等盘口恢复");
return;
lib/common/static/options_position_cards.js
+12 -3
View File
@@ -52,6 +52,9 @@
/** 买盘深度:价格/流动性;仅展示平仓所需档位(买一不够才出买二…). */
function fmtCloseLevels(preview, tickSz) {
if (preview && (preview.auto_close_blocked || preview.bid_invalid)) {
return "暂无有效买盘";
}
const levels = ((preview && preview.levels) || []).slice(0, 5);
if (!levels.length) return "—";
return levels.map(function (x, idx) {
@@ -147,12 +150,18 @@
'<div class="pos-cell"><span class="pos-label">到期平衡</span><span class="pos-value">' + fmt(p.expiry_be_px, 0) + "</span></div>" +
'<div class="pos-cell"><span class="pos-label">平掉回本</span><span class="pos-value">' + fmt(p.close_be_px, 0) + "</span></div>" +
'<div class="pos-cell"><span class="pos-label">净盈亏</span><span class="pos-value ' + uplCls + '">' +
(net == null ? "—" : fmt(net, 2)) + "</span></div>" +
(closePreview.auto_close_blocked || closePreview.bid_invalid || net == null ? "—" : fmt(net, 2)) + "</span></div>" +
'<div class="pos-cell"><span class="pos-label">收益率</span><span class="pos-value ' + uplCls + '">' +
(roi == null ? "—" : fmt(roi, 2) + "%") + "</span></div>" +
(closePreview.auto_close_blocked || closePreview.bid_invalid || roi == null ? "—" : fmt(roi, 2) + "%") + "</span></div>" +
'<div class="pos-cell opt-pos-cell--depth"><span class="pos-label">买盘深度</span><span class="pos-value opt-bid-plain">' + fmtCloseLevels(closePreview, tickSz) + "</span></div>" +
'<div class="pos-cell opt-pos-cell--close"><span class="pos-label">按买盘回收</span><span class="pos-value">' + fmtClosePreview(closePreview, p.premium_paid, hub) + "</span></div>" +
'<div class="pos-cell opt-pos-cell--close"><span class="pos-label">按买盘回收</span><span class="pos-value">' +
(closePreview.auto_close_blocked || closePreview.bid_invalid
? '<span class="muted">禁用以残档自动平</span>'
: fmtClosePreview(closePreview, p.premium_paid, hub)) + "</span></div>" +
"</div>" +
(closePreview.auto_close_blocked || closePreview.bid_invalid
? '<div class="muted opt-bid-invalid-hint">' + (closePreview.bid_invalid_reason || "当前买一无效,禁止按买盘自动平仓") + "</div>"
: "") +
(p.target_index != null
? (function () {
const eth = p.eth_amount != null ? Number(p.eth_amount)
lib/options/options_positions_lib.py
+9 -1
View File
@@ -5,7 +5,7 @@ from typing import Any
from lib.options.options_db import init_options_tables
from lib.options.options_history_lib import enrich_position_row_display
from lib.options.options_pricing_lib import estimate_close_by_bids
from lib.options.options_pricing_lib import estimate_close_by_bids, intrinsic_px_per_unit
def _safe_float(v: Any) -> float | None:
@@ -34,11 +34,19 @@ def attach_close_preview(
book = cfg["fetch_option_book_depth"](ex, inst_id, 5)
row["bid_depth"] = book.get("bids") or []
row["ask_depth"] = book.get("asks") or []
mark_px = _safe_float(row.get("mark_px") or row.get("markPx"))
intrinsic = intrinsic_px_per_unit(
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")),
)
row["close_preview"] = estimate_close_by_bids(
row["bid_depth"],
target_sheets,
ct_mult=ct_mult,
premium_paid=paid,
mark_px=mark_px,
intrinsic_px=intrinsic,
)
return row
lib/options/options_pricing_lib.py
+138 -11
View File
@@ -50,29 +50,153 @@ def total_premium(quote_per_unit: float, eth_amount: float, ct_mult: float = 0.0
return float(quote_per_unit) * float(eth_amount)
# 买一相对标记价/内在价值低于该比例 → 视为残档,禁止按买盘自动/多档平仓
BID_CLOSE_MIN_RATIO = 0.3
def _safe_px(v: Any) -> float | None:
if v is None or v == "":
return None
try:
x = float(v)
except (TypeError, ValueError):
return 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:
o = (opt_type or "").strip().upper()
if strike is None or index_px is None:
return None
try:
k = float(strike)
idx = float(index_px)
except (TypeError, ValueError):
return None
if o == "C" and idx > k:
return idx - k
if o == "P" and idx < k:
return k - idx
return None
def is_stub_bid_px(
bid_px: float | None,
*,
mark_px: float | None = None,
intrinsic_px: float | None = None,
min_ratio: float = BID_CLOSE_MIN_RATIO,
) -> tuple[bool, str]:
"""
判断买一是否为无效残档(如标记 42、买一 0.2).
返回 (is_stub, reason).
"""
bid = _safe_px(bid_px)
if bid is None:
return True, "无买一"
ref = _safe_px(mark_px)
ref_name = "标记价"
intrinsic = _safe_px(intrinsic_px)
if intrinsic is not None and (ref is None or intrinsic > ref):
ref = intrinsic
ref_name = "内在价值"
if ref is None:
return False, ""
ratio = float(min_ratio) if min_ratio and min_ratio > 0 else BID_CLOSE_MIN_RATIO
if bid < ref * ratio:
return True, f"买一{bid:g}远低于{ref_name}{ref:g},属无效残档,禁止按买盘自动平仓"
return False, ""
def fetch_option_mark_px(ex: Any, inst_id: str) -> float | None:
"""优先 mark-price 接口,失败则 None."""
inst_id = (inst_id or "").strip()
if not inst_id or ex is None:
return None
try:
rows = ex.public_get_public_mark_price({"instType": "OPTION", "instId": inst_id}).get("data") or []
if rows:
return _safe_px(rows[0].get("markPx"))
except Exception:
pass
return None
def close_ref_prices(
*,
mark_px: float | None = None,
opt_type: str | None = None,
strike: float | None = None,
index_px: float | None = None,
) -> tuple[float | None, float | None]:
"""返回 (mark_px, intrinsic_px) 供残档判断."""
return _safe_px(mark_px), intrinsic_px_per_unit(opt_type, strike, index_px)
def filter_bids_for_close(
bids: list[dict[str, Any]] | None,
*,
mark_px: float | None = None,
intrinsic_px: float | None = None,
min_ratio: float = BID_CLOSE_MIN_RATIO,
) -> tuple[list[dict[str, Any]], bool, str]:
"""过滤不可用于平仓的残档买盘.返回 (usable_bids, had_stub_only, reason)."""
raw = list(bids or [])
usable: list[dict[str, Any]] = []
stub_reason = ""
for level in raw:
px = _safe_px(level.get("px") if isinstance(level, dict) else None)
stub, reason = is_stub_bid_px(px, mark_px=mark_px, intrinsic_px=intrinsic_px, min_ratio=min_ratio)
if stub:
if not stub_reason:
stub_reason = reason or "买一无效"
continue
usable.append(level)
if raw and not usable:
return [], True, stub_reason or "暂无有效买盘"
return usable, False, ""
def estimate_close_by_bids(
bids: list[dict[str, Any]] | None,
sheets: int | float,
*,
ct_mult: float = 0.01,
premium_paid: float | None = None,
mark_px: float | None = None,
intrinsic_px: float | None = None,
min_bid_ratio: float = BID_CLOSE_MIN_RATIO,
) -> dict[str, Any]:
"""按买一到买N逐档估算限价卖出可收回金额."""
"""按买一到买N逐档估算限价卖出可收回金额;残档买盘不参与估算与自动平仓."""
target = max(0, int(float(sheets or 0)))
remaining = target
total_received = 0.0
levels: list[dict[str, Any]] = []
empty = {
"levels": [],
"covered_sheets": 0,
"uncovered_sheets": target,
"total_received": 0.0,
"avg_px": None,
"estimated_pnl": None,
"estimated_pnl_ratio_pct": None,
"bid_invalid": False,
"bid_invalid_reason": None,
"auto_close_blocked": False,
}
if target <= 0 or ct_mult <= 0:
return {
"levels": [],
"covered_sheets": 0,
"uncovered_sheets": target,
"total_received": 0.0,
"avg_px": None,
"estimated_pnl": None,
"estimated_pnl_ratio_pct": None,
}
for i, level in enumerate(bids or [], start=1):
return empty
usable, stub_only, stub_reason = filter_bids_for_close(
bids, mark_px=mark_px, intrinsic_px=intrinsic_px, min_ratio=min_bid_ratio
)
if stub_only:
out = dict(empty)
out["bid_invalid"] = True
out["bid_invalid_reason"] = stub_reason
out["auto_close_blocked"] = True
out["raw_bid_px"] = _safe_px((bids or [{}])[0].get("px")) if bids else None
return out
for i, level in enumerate(usable, start=1):
if remaining <= 0:
break
try:
@@ -115,6 +239,9 @@ def estimate_close_by_bids(
"avg_px": round(avg_px, 4) if avg_px is not None else None,
"estimated_pnl": estimated_pnl,
"estimated_pnl_ratio_pct": estimated_pnl_ratio_pct,
"bid_invalid": False,
"bid_invalid_reason": None,
"auto_close_blocked": False,
}
lib/options/options_register.py
+81 -1
View File
@@ -13,8 +13,12 @@ from lib.options.options_db import init_options_tables
from lib.options.options_monitor_lib import options_monitor_loop
from lib.options.options_pricing_lib import (
calc_order_size,
close_ref_prices,
ct_mult_from_meta,
estimate_close_by_bids,
fetch_option_mark_px,
filter_bids_for_close,
is_stub_bid_px,
min_sz_from_meta,
premium_per_sheet,
total_premium,
@@ -707,6 +711,41 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
return jsonify(order)
elif depth_split:
ct_mult = float(q.get("ct_mult") or 0.01)
from lib.exchange.okx_options_lib import option_fields_from_inst_id
mark_px = _safe_float(pos.get("markPx")) or _safe_float(q.get("mark_px") or q.get("mark"))
if mark_px is None:
mark_px = fetch_option_mark_px(ex, inst_id)
opt_type = pos.get("optType") or q.get("opt_type")
strike = _safe_float(pos.get("stk")) or _safe_float(q.get("strike"))
if not opt_type or strike is None:
pt, ps = option_fields_from_inst_id(inst_id)
opt_type = opt_type or pt
if strike is None:
strike = ps
idx_px = _safe_float(pos.get("idxPx")) or _safe_float(q.get("index_px"))
mark_px, intrinsic_px = close_ref_prices(
mark_px=mark_px, opt_type=str(opt_type or ""), strike=strike, index_px=idx_px
)
book0 = cfg["fetch_option_book_depth"](ex, inst_id, 5)
usable0, stub_only0, stub_reason0 = filter_bids_for_close(
book0.get("bids") or [], mark_px=mark_px, intrinsic_px=intrinsic_px
)
if stub_only0 or not usable0:
bid_chk = None
if book0.get("bids"):
bid_chk = _safe_float((book0.get("bids") or [{}])[0].get("px"))
bid_chk = bid_chk or _safe_float(bid)
stub, stub_reason = is_stub_bid_px(bid_chk, mark_px=mark_px, intrinsic_px=intrinsic_px)
if stub or stub_only0:
return jsonify(
{
"ok": False,
"msg": stub_reason0 or stub_reason or "暂无有效买盘,禁止按买盘自动平仓",
"stopped_reason": "stub_bid",
"auto_close_blocked": True,
}
)
remaining = close_sheets
submitted_sheets = 0
filled_or_reduced_sheets = 0
@@ -726,7 +765,22 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
break
remaining = min(remaining, current_avail)
book = cfg["fetch_option_book_depth"](ex, inst_id, 5)
preview = estimate_close_by_bids(book.get("bids") or [], remaining, ct_mult=ct_mult)
preview = estimate_close_by_bids(
book.get("bids") or [],
remaining,
ct_mult=ct_mult,
mark_px=mark_px,
intrinsic_px=intrinsic_px,
)
if preview.get("auto_close_blocked") or preview.get("bid_invalid"):
return jsonify(
{
"ok": False,
"msg": preview.get("bid_invalid_reason") or "暂无有效买盘,禁止按买盘自动平仓",
"stopped_reason": "stub_bid",
"auto_close_blocked": True,
}
)
levels = preview.get("levels") or []
if not levels:
stopped_reason = "no_bid_depth"
@@ -829,7 +883,33 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
}
)
else:
from lib.exchange.okx_options_lib import option_fields_from_inst_id
mark_px = _safe_float(pos.get("markPx")) or _safe_float(q.get("mark_px") or q.get("mark"))
if mark_px is None:
mark_px = fetch_option_mark_px(ex, inst_id)
opt_type = pos.get("optType") or q.get("opt_type")
strike = _safe_float(pos.get("stk")) or _safe_float(q.get("strike"))
if not opt_type or strike is None:
pt, ps = option_fields_from_inst_id(inst_id)
opt_type = opt_type or pt
if strike is None:
strike = ps
idx_px = _safe_float(pos.get("idxPx")) or _safe_float(q.get("index_px"))
mark_px, intrinsic_px = close_ref_prices(
mark_px=mark_px, opt_type=str(opt_type or ""), strike=strike, index_px=idx_px
)
close_px = float(bid)
stub, stub_reason = is_stub_bid_px(close_px, mark_px=mark_px, intrinsic_px=intrinsic_px)
if stub:
return jsonify(
{
"ok": False,
"msg": stub_reason or "暂无有效买盘,禁止按买盘自动平仓",
"stopped_reason": "stub_bid",
"auto_close_blocked": True,
}
)
order = cfg["place_option_limit_order"](
ex,
inst_id=inst_id,
lib/options/options_target_lib.py
+99 -2
View File
@@ -6,7 +6,14 @@ import time
from typing import Any, Callable
from lib.options.options_db import init_options_tables
from lib.options.options_pricing_lib import estimate_close_by_bids, total_premium
from lib.options.options_pricing_lib import (
close_ref_prices,
estimate_close_by_bids,
fetch_option_mark_px,
filter_bids_for_close,
is_stub_bid_px,
total_premium,
)
def _safe_float(v: Any) -> float | None:
@@ -18,6 +25,24 @@ def _safe_float(v: Any) -> float | None:
return None
def _pos_close_refs(ex: Any, pos: dict[str, Any], quote: dict[str, Any] | None = None) -> tuple[float | None, float | None]:
from lib.exchange.okx_options_lib import option_fields_from_inst_id
inst_id = str(pos.get("instId") or pos.get("inst_id") or "")
mark = _safe_float(pos.get("markPx")) or _safe_float((quote or {}).get("mark_px") or (quote or {}).get("mark"))
if mark is None:
mark = fetch_option_mark_px(ex, inst_id)
opt_type = pos.get("optType") or (quote or {}).get("opt_type")
strike = _safe_float(pos.get("stk")) or _safe_float((quote or {}).get("strike"))
if not opt_type or strike is None:
pt, ps = option_fields_from_inst_id(inst_id)
opt_type = opt_type or pt
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)
def ensure_target_tables(conn: sqlite3.Connection) -> None:
init_options_tables(conn)
conn.execute(
@@ -290,6 +315,46 @@ def close_option_by_bid_depth(
return {"ok": False, "msg": "可平张数不足", "already_flat": True}
td_mode = str(pos.get("mgnMode") or cfg.get("td_mode") or "isolated")
pos_side = _pos_side_from_position(pos) or "net"
mark_px, intrinsic_px = _pos_close_refs(ex, pos, q)
def _cancel_sell_pending() -> None:
try:
pending = ex.private_get_trade_orders_pending({"instType": "OPTION", "instId": inst_id}) or {}
for o in pending.get("data") or []:
if str(o.get("side") or "").lower() != "sell":
continue
oid = o.get("ordId")
if not oid:
continue
try:
ex.private_post_trade_cancel_order({"instId": inst_id, "ordId": oid})
except Exception:
pass
except Exception:
pass
# 残档买盘:禁止自动按买盘平仓(并撤掉可能已挂的异常低价卖单)
try:
book0 = cfg["fetch_option_book_depth"](ex, inst_id, 5)
usable0, stub_only0, stub_reason0 = filter_bids_for_close(
book0.get("bids") or [], mark_px=mark_px, intrinsic_px=intrinsic_px
)
raw_bid0 = None
if book0.get("bids"):
raw_bid0 = _safe_float((book0.get("bids") or [{}])[0].get("px"))
if not usable0:
bid_chk = raw_bid0 or _safe_float(q.get("bid"))
stub, stub_reason = is_stub_bid_px(bid_chk, mark_px=mark_px, intrinsic_px=intrinsic_px)
if stub or stub_only0:
_cancel_sell_pending()
return {
"ok": False,
"msg": stub_reason0 or stub_reason or "暂无有效买盘,禁止自动平仓",
"stopped_reason": "stub_bid",
"auto_close_blocked": True,
}
except Exception:
pass
# 已有未成交卖平单时先等成交,避免每轮撤单重挂反复推送/吃档
try:
@@ -378,12 +443,36 @@ def close_option_by_bid_depth(
break
remaining = min(remaining, current_avail)
book = cfg["fetch_option_book_depth"](ex, inst_id, 5)
preview = estimate_close_by_bids(book.get("bids") or [], remaining, ct_mult=ct_mult)
preview = estimate_close_by_bids(
book.get("bids") or [],
remaining,
ct_mult=ct_mult,
mark_px=mark_px,
intrinsic_px=intrinsic_px,
)
if preview.get("auto_close_blocked") or preview.get("bid_invalid"):
stopped_reason = "stub_bid"
_cancel_sell_pending()
return {
"ok": False,
"msg": preview.get("bid_invalid_reason") or "暂无有效买盘,禁止自动平仓",
"stopped_reason": "stub_bid",
"auto_close_blocked": True,
}
levels = preview.get("levels") or []
if not levels:
# 无买盘深度时仅允许真实买一价,不用标记价挂单
q2 = cfg["quote_option_contract"](ex, inst_id)
bid_px = _safe_float(q2.get("bid")) or _safe_float(q.get("bid"))
stub, stub_reason = is_stub_bid_px(bid_px, mark_px=mark_px, intrinsic_px=intrinsic_px)
if stub:
stopped_reason = "stub_bid"
return {
"ok": False,
"msg": stub_reason or "暂无有效买盘,禁止自动平仓",
"stopped_reason": "stub_bid",
"auto_close_blocked": True,
}
if bid_px is None or bid_px <= 0:
stopped_reason = "no_bid"
break
@@ -394,6 +483,14 @@ def close_option_by_bid_depth(
if level_sheets <= 0 or level_px <= 0:
stopped_reason = "invalid_bid_depth"
break
stub_lv, stub_lv_reason = is_stub_bid_px(level_px, mark_px=mark_px, intrinsic_px=intrinsic_px)
if stub_lv:
return {
"ok": False,
"msg": stub_lv_reason or "暂无有效买盘,禁止自动平仓",
"stopped_reason": "stub_bid",
"auto_close_blocked": True,
}
before_avail = current_avail
order = cfg["place_option_limit_order"](
ex,
tests/test_options_pricing.py
+32
View File
@@ -221,6 +221,38 @@ def test_estimate_close_by_bids_empty():
assert out["avg_px"] is None
def test_stub_bid_blocks_auto_close_estimate():
from lib.options.options_pricing_lib import estimate_close_by_bids, is_stub_bid_px
stub, reason = is_stub_bid_px(0.2, mark_px=42.0)
assert stub is True
assert "残档" in reason or "无效" in reason or "远低于" in reason
out = estimate_close_by_bids(
[{"px": 0.2, "sz": 3500}],
66,
ct_mult=0.01,
premium_paid=9.37,
mark_px=42.0,
)
assert out["auto_close_blocked"] is True
assert out["bid_invalid"] is True
assert out["estimated_pnl"] is None
assert out["levels"] == []
ok, _ = is_stub_bid_px(30.0, mark_px=42.0)
assert ok is False
good = estimate_close_by_bids(
[{"px": 30.0, "sz": 100}],
10,
ct_mult=0.01,
premium_paid=1.0,
mark_px=42.0,
)
assert good["auto_close_blocked"] is False
assert good["covered_sheets"] == 10
def test_expiry_breakeven_from_ask():
from lib.options.options_pricing_lib import expiry_breakeven_from_ask