Gate option closes behind 2x recycle sustained for 2 minutes.

Require bid-side recoverable premium at least 2x cost continuously before target auto-close or depth close can fire.

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

lib/options/options_close_gate_lib.py

@@ -0,0 +1,159 @@
+"""期权按买盘平仓门控:可回收需 ≥ N×权利金,并持续持有一段时间后才允许平仓."""
+from __future__ import annotations
+
+import os
+import threading
+import time
+from typing import Any
+
+
+def _env_float(key: str, default: float) -> float:
+    try:
+        return float(os.getenv(key, str(default)))
+    except (TypeError, ValueError):
+        return default
+
+
+# 可回收 ≥ 权利金 × 倍数,且该状态持续满 hold_seconds 才允许按买盘平仓
+CLOSE_RECYCLE_MIN_MULT = _env_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT", 2.0)
+CLOSE_RECYCLE_HOLD_SECONDS = _env_float("OKX_OPTIONS_CLOSE_HOLD_SECONDS", 120.0)
+
+_lock = threading.Lock()
+# inst_id -> {"ok_since": float|None, "recycle": float, "premium": float, "updated": float}
+_gates: dict[str, dict[str, Any]] = {}
+
+
+def _safe_float(v: Any) -> float | None:
+    if v is None or v == "":
+        return None
+    try:
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+def clear_close_gate(inst_id: str | None = None) -> None:
+    with _lock:
+        if inst_id:
+            _gates.pop(str(inst_id).strip(), None)
+        else:
+            _gates.clear()
+
+
+def update_close_gate(
+    inst_id: str,
+    *,
+    recycle_usdc: float | None,
+    premium_paid: float | None,
+    now: float | None = None,
+    min_mult: float | None = None,
+    hold_seconds: float | None = None,
+) -> dict[str, Any]:
+    """
+    根据当前买盘可回收金额刷新门控.
+    条件不满足时重置计时;满足时从首次满足起累计持续时间.
+    """
+    inst = (inst_id or "").strip()
+    if not inst:
+        return {
+            "ok": False,
+            "ready": False,
+            "recycle_ok": False,
+            "msg": "缺少合约",
+        }
+    ts = float(now if now is not None else time.time())
+    mult = float(min_mult if min_mult is not None else CLOSE_RECYCLE_MIN_MULT)
+    hold = float(hold_seconds if hold_seconds is not None else CLOSE_RECYCLE_HOLD_SECONDS)
+    if mult <= 0:
+        mult = 2.0
+    if hold < 0:
+        hold = 0.0
+
+    prem = _safe_float(premium_paid)
+    recv = _safe_float(recycle_usdc)
+    need = round(prem * mult, 4) if prem is not None and prem > 0 else None
+    recycle_ok = bool(
+        prem is not None and prem > 0 and recv is not None and need is not None and recv + 1e-12 >= need
+    )
+
+    with _lock:
+        prev = _gates.get(inst) or {}
+        ok_since = prev.get("ok_since")
+        if recycle_ok:
+            if ok_since is None:
+                ok_since = ts
+        else:
+            ok_since = None
+        held = (ts - float(ok_since)) if ok_since is not None else 0.0
+        ready = bool(recycle_ok and held + 1e-9 >= hold)
+        state = {
+            "ok_since": ok_since,
+            "recycle": recv,
+            "premium": prem,
+            "need": need,
+            "updated": ts,
+            "min_mult": mult,
+            "hold_seconds": hold,
+        }
+        _gates[inst] = state
+
+    remain = max(0.0, hold - held) if recycle_ok and not ready else None
+    if prem is None or prem <= 0:
+        msg = "缺少权利金,无法校验平仓门控"
+    elif recv is None:
+        msg = "暂无有效买盘可回收金额"
+    elif not recycle_ok:
+        msg = f"可回收 {recv:.4f} USDC < 权利金×{mult:g}({need:.4f}),暂不可平仓"
+    elif not ready:
+        msg = (
+            f"可回收已达×{mult:g}({recv:.4f}/{need:.4f}),"
+            f"需再持续 {remain:.0f}s(已 {held:.0f}/{hold:.0f}s)"
+        )
+    else:
+        msg = f"可回收已达×{mult:g}且持续≥{hold:.0f}s,允许按买盘平仓"
+
+    return {
+        "ok": True,
+        "ready": ready,
+        "recycle_ok": recycle_ok,
+        "recycle_usdc": recv,
+        "premium_paid": prem,
+        "need_recycle_usdc": need,
+        "min_mult": mult,
+        "hold_seconds": hold,
+        "held_seconds": round(held, 1) if recycle_ok else 0.0,
+        "remain_seconds": round(remain, 1) if remain is not None else None,
+        "ok_since": ok_since,
+        "msg": msg,
+        "auto_close_blocked": not ready,
+        "close_gate_blocked": not ready,
+    }
+
+
+def check_close_gate(
+    inst_id: str,
+    *,
+    recycle_usdc: float | None = None,
+    premium_paid: float | None = None,
+    refresh: bool = True,
+) -> dict[str, Any]:
+    """检查是否允许平仓;默认先用最新回收/权利金刷新."""
+    inst = (inst_id or "").strip()
+    if refresh:
+        if recycle_usdc is None or premium_paid is None:
+            with _lock:
+                prev = _gates.get(inst) or {}
+            if recycle_usdc is None:
+                recycle_usdc = prev.get("recycle")
+            if premium_paid is None:
+                premium_paid = prev.get("premium")
+        return update_close_gate(inst, recycle_usdc=recycle_usdc, premium_paid=premium_paid)
+    with _lock:
+        prev = _gates.get(inst)
+    if not prev:
+        return update_close_gate(inst, recycle_usdc=recycle_usdc, premium_paid=premium_paid)
+    return update_close_gate(
+        inst,
+        recycle_usdc=recycle_usdc if recycle_usdc is not None else prev.get("recycle"),
+        premium_paid=premium_paid if premium_paid is not None else prev.get("premium"),
+    )

lib/options/options_positions_lib.py

@@ -5,6 +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_close_gate_lib import clear_close_gate, update_close_gate
 from lib.options.options_pricing_lib import estimate_close_by_bids, intrinsic_px_per_unit
 
 
@@ -40,7 +41,7 @@ def attach_close_preview(
         _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(
+    preview = estimate_close_by_bids(
         row["bid_depth"],
         target_sheets,
         ct_mult=ct_mult,
@@ -48,9 +49,31 @@ def attach_close_preview(
         mark_px=mark_px,
         intrinsic_px=intrinsic,
     )
+    # 残档时不累计 2×权利金门控;有效回收时刷新持续计时
+    if preview.get("bid_invalid") or preview.get("auto_close_blocked"):
+        gate = update_close_gate(inst_id, recycle_usdc=None, premium_paid=paid)
+        preview["close_gate"] = gate
+        preview["close_gate_blocked"] = True
+        preview["close_gate_msg"] = preview.get("bid_invalid_reason") or gate.get("msg")
+    else:
+        gate = update_close_gate(
+            inst_id,
+            recycle_usdc=_safe_float(preview.get("total_received")),
+            premium_paid=paid,
+        )
+        preview["close_gate"] = gate
+        preview["close_gate_blocked"] = not gate.get("ready")
+        preview["close_gate_msg"] = gate.get("msg")
+        if not gate.get("ready"):
+            preview["auto_close_blocked"] = True
+    row["close_preview"] = preview
     return row
 
 
+def forget_close_gate_for_inst(inst_id: str) -> None:
+    clear_close_gate(inst_id)
+
+
 def build_display_option_positions(
     cfg: dict[str, Any],
     ex: Any,

lib/options/options_register.py

@@ -11,6 +11,7 @@ from jinja2 import ChoiceLoader, FileSystemLoader
 
 from lib.options.options_db import init_options_tables
 from lib.options.options_monitor_lib import options_monitor_loop
+from lib.options.options_close_gate_lib import clear_close_gate, update_close_gate
 from lib.options.options_pricing_lib import (
     calc_order_size,
     close_ref_prices,
@@ -731,6 +732,7 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
             usable0, stub_only0, stub_reason0 = filter_bids_for_close(
                 book0.get("bids") or [], mark_px=mark_px, intrinsic_px=intrinsic_px
             )
+            paid = _open_premium_paid(cfg, inst_id)
             if stub_only0 or not usable0:
                 bid_chk = None
                 if book0.get("bids"):
@@ -738,6 +740,7 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
                 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:
+                    update_close_gate(inst_id, recycle_usdc=None, premium_paid=paid)
                     return jsonify(
                         {
                             "ok": False,
@@ -746,6 +749,39 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
                             "auto_close_blocked": True,
                         }
                     )
+            preview_gate = estimate_close_by_bids(
+                book0.get("bids") or [],
+                close_sheets,
+                ct_mult=ct_mult,
+                premium_paid=paid,
+                mark_px=mark_px,
+                intrinsic_px=intrinsic_px,
+            )
+            if preview_gate.get("bid_invalid"):
+                update_close_gate(inst_id, recycle_usdc=None, premium_paid=paid)
+                return jsonify(
+                    {
+                        "ok": False,
+                        "msg": preview_gate.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,
+                    }
+                )
+            gate = update_close_gate(
+                inst_id,
+                recycle_usdc=_safe_float(preview_gate.get("total_received")),
+                premium_paid=paid,
+            )
+            if not gate.get("ready"):
+                return jsonify(
+                    {
+                        "ok": False,
+                        "msg": gate.get("msg") or "平仓门控未就绪(需可回收≥2×权利金并持续2分钟)",
+                        "stopped_reason": "close_gate",
+                        "auto_close_blocked": True,
+                        "close_gate": gate,
+                    }
+                )
             remaining = close_sheets
             submitted_sheets = 0
             filled_or_reduced_sheets = 0
@@ -826,6 +862,7 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
             bid = (total_received / (submitted_sheets * ct_mult)) if submitted_sheets > 0 and ct_mult > 0 else 0
             prem_recv = round(total_received, 4)
             fully_submitted = submitted_sheets >= close_sheets and stopped_reason is None
+            clear_close_gate(inst_id)
             conn = cfg["get_db"]()
             try:
                 init_options_tables(conn)

lib/options/options_target_lib.py

@@ -6,6 +6,7 @@ import time
 from typing import Any, Callable
 
 from lib.options.options_db import init_options_tables
+from lib.options.options_close_gate_lib import update_close_gate
 from lib.options.options_pricing_lib import (
     close_ref_prices,
     estimate_close_by_bids,
@@ -333,28 +334,74 @@ def close_option_by_bid_depth(
         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)
+    # 残档买盘 / 回收未达 2×权利金持续门槛:禁止自动按买盘平仓
+    premium_paid = None
     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,
-                }
+        conn_p = cfg["get_db"]()
+        try:
+            from lib.options.options_db import init_options_tables
+
+            init_options_tables(conn_p)
+            prow = conn_p.execute(
+                "SELECT premium_paid FROM options_trades WHERE inst_id = ? AND status = 'open' ORDER BY id DESC LIMIT 1",
+                (inst_id,),
+            ).fetchone()
+            if prow and prow["premium_paid"] is not None:
+                premium_paid = float(prow["premium_paid"])
+        finally:
+            conn_p.close()
     except Exception:
-        pass
+        premium_paid = _safe_float(pos.get("premium_paid"))
+
+    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()
+            update_close_gate(inst_id, recycle_usdc=None, premium_paid=premium_paid)
+            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,
+            }
+    preview0 = estimate_close_by_bids(
+        book0.get("bids") or [],
+        close_sheets,
+        ct_mult=ct_mult,
+        premium_paid=premium_paid,
+        mark_px=mark_px,
+        intrinsic_px=intrinsic_px,
+    )
+    if preview0.get("bid_invalid"):
+        _cancel_sell_pending()
+        update_close_gate(inst_id, recycle_usdc=None, premium_paid=premium_paid)
+        return {
+            "ok": False,
+            "msg": preview0.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,
+        }
+    gate0 = update_close_gate(
+        inst_id,
+        recycle_usdc=_safe_float(preview0.get("total_received")),
+        premium_paid=premium_paid,
+    )
+    if not gate0.get("ready"):
+        return {
+            "ok": False,
+            "msg": gate0.get("msg") or "平仓门控未就绪",
+            "stopped_reason": "close_gate",
+            "auto_close_blocked": True,
+            "close_gate": gate0,
+        }
 
     # 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:
@@ -372,6 +419,9 @@ def close_option_by_bid_depth(
                 return {"ok": False, "msg": "获取期权持仓失败"}
             pos = next((p for p in raw_positions if str(p.get("instId")) == inst_id), None)
             if not pos or _avail(pos) < 1:
+                from lib.options.options_close_gate_lib import clear_close_gate
+
+                clear_close_gate(inst_id)
                 return {
                     "ok": True,
                     "already_flat": True,
@@ -564,6 +614,9 @@ def close_option_by_bid_depth(
     prem_recv = round(total_received, 4)
     fully_submitted = submitted_sheets >= close_sheets and stopped_reason is None
     close_ord_id = ",".join(ord_ids) if ord_ids else None
+    from lib.options.options_close_gate_lib import clear_close_gate
+
+    clear_close_gate(inst_id)
 
     conn = cfg["get_db"]()
     try: