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_target_lib.py

@@ -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,