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

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>

lib/options/options_pricing_lib.py

@@ -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,
     }