Options: default nearest expiry and env ask-liquidity chain filter.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-20 08:37:39 +08:00
parent 7eb098def6
commit ed1ec6f14a
7 changed files with 96 additions and 15 deletions
@@ -112,6 +112,8 @@ OKX_OPTIONS_ACCOUNT_LABEL=主账户·期权
 OKX_OPTIONS_TRADE_BUDGET_USDC=10
 OKX_OPTIONS_BUDGET_BUFFER=0.95
 OKX_OPTIONS_DEFAULT_UNDERLY=ETH
+# 期权链仅显示卖一深度≥1张的合约(估算卖一/无深度不显示);false 则显示全部
+OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED=true
 OKX_OPTIONS_MAX_DTE_DAYS=2
 OKX_OPTIONS_CHAIN_MAX_DTE_DAYS=14
 OKX_SUB_ACCOUNT_NAME=
@@ -6793,6 +6793,10 @@ def render_main_page(page="trade", embed_mode=None):
        in ("1", "true", "yes", "on"),
        options_trade_budget=OKX_OPTIONS_TRADE_BUDGET_USDC,
        options_default_underly=OKX_OPTIONS_DEFAULT_UNDERLY,
+        options_chain_ask_liq_filter=os.getenv(
+            "OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED", "true"
+        ).lower()
+        in ("1", "true", "yes", "on"),
        risk_status=risk_status,
        max_active_positions=MAX_ACTIVE_POSITIONS,
        manual_min_planned_rr=MANUAL_MIN_PLANNED_RR,
@@ -14,6 +14,8 @@
    moneyFilter: "all",
    chainView: "list",
    strikeExpandAll: false,
+    /** 环境 OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED;链接口可热更新 */
+    askLiqFilter: root.dataset.askLiqFilter !== "0",
    chain: panelCache.chain || null,
    selectedInst: null,
    orderQuote: null,
@@ -361,21 +363,41 @@
    return "";
  }

+  function askLiqFilterOn() {
+    return !!state.askLiqFilter;
+  }
+
+  function hasAskLiquidity(c) {
+    if (!c) return false;
+    if (c.ask_estimated) return false;
+    const a = Number(c.ask);
+    const s = Number(c.ask_sz);
+    return Number.isFinite(a) && a > 0 && Number.isFinite(s) && s >= 1;
+  }
+
+  function syncAskLiqFilterFromChain(d) {
+    if (!d || d.ask_liq_filter_enabled == null) return;
+    state.askLiqFilter = !!d.ask_liq_filter_enabled;
+    root.dataset.askLiqFilter = state.askLiqFilter ? "1" : "0";
+  }
+
  function countContractsForType(contracts) {
    if (state.chainView === "t") {
      return countStraddleStrikes(contracts);
    }
    return (contracts || []).filter(function (c) {
-      return c.opt_type === state.optType;
+      if (c.opt_type !== state.optType) return false;
+      if (askLiqFilterOn() && !hasAskLiquidity(c)) return false;
+      return true;
    }).length;
  }

  function countStraddleStrikes(contracts) {
-    const strikes = new Set();
-    (contracts || []).forEach(function (c) {
-      if (c.strike != null) strikes.add(String(c.strike));
+    const rows = buildStraddleRows(contracts).filter(function (row) {
+      if (!askLiqFilterOn()) return true;
+      return hasAskLiquidity(row.call) || hasAskLiquidity(row.put);
    });
-    return strikes.size;
+    return rows.length;
  }

  function buildStraddleRows(contracts) {
@@ -418,7 +440,11 @@
  function filterStraddleRows(rows, indexPx) {
    const atmStrike = findAtmStrike(rows, indexPx);
    return rows.filter(function (row) {
-      return matchesStrikeRowFilter(row.strike, indexPx, atmStrike);
+      if (!matchesStrikeRowFilter(row.strike, indexPx, atmStrike)) return false;
+      if (askLiqFilterOn() && !hasAskLiquidity(row.call) && !hasAskLiquidity(row.put)) {
+        return false;
+      }
+      return true;
    });
  }

@@ -479,7 +505,10 @@

  function filterChainContracts(contracts) {
    return (contracts || []).filter(function (c) {
-      return c.opt_type === state.optType && matchesMoneyFilter(c.moneyness);
+      if (c.opt_type !== state.optType) return false;
+      if (!matchesMoneyFilter(c.moneyness)) return false;
+      if (askLiqFilterOn() && !hasAskLiquidity(c)) return false;
+      return true;
    });
  }

@@ -536,11 +565,32 @@
    }
    const line = document.getElementById("opt-index-line");
    if (line) {
+      const liqHint = askLiqFilterOn() ? "仅显示卖一深度≥1张" : "显示全部卖一(含估算~)";
      line.textContent =
-        "指数 " + state.underlying + " ≈ " + fmt(idx, 2) + " · 默认显示全部 · 实值含平值 · 虚值=价外";
+        "指数 " + state.underlying + " ≈ " + fmt(idx, 2) +
+        " · 默认最近一期 · " + liqHint + " · 实值含平值 · 虚值=价外";
    }
  }

+  function pickNearestExpiry(exps) {
+    if (!exps || !exps.length) return "";
+    const now = Date.now();
+    let best = null;
+    let bestDelta = Infinity;
+    exps.forEach(function (e) {
+      const t = Number(e.exp_time);
+      if (!Number.isFinite(t)) return;
+      const delta = t - now;
+      if (delta < -60000) return;
+      if (delta < bestDelta) {
+        bestDelta = delta;
+        best = e;
+      }
+    });
+    if (best) return String(best.exp_time);
+    return String(exps[0].exp_time);
+  }
+
  function renderExpiryOptions(preserveSelection) {
    const sel = document.getElementById("opt-exp-select");
    if (!sel) return;
@@ -555,6 +605,8 @@
    });
    if (prev && exps.some(function (e) { return String(e.exp_time) === String(prev); })) {
      sel.value = prev;
+    } else if (exps.length) {
+      sel.value = pickNearestExpiry(exps);
    }
  }

@@ -852,7 +904,8 @@
    if (!list.length) {
      const label = moneyFilterLabel();
      const suffix = label ? label : optTypeLabel(state.optType);
-      tbody.innerHTML = '<tr><td colspan="' + cols + '" class="muted">该到期日暂无' + suffix + "合约</td></tr>";
+      const liqTip = askLiqFilterOn() ? "（卖一深度≥1 时才显示，可在环境配置关闭筛选）" : "";
+      tbody.innerHTML = '<tr><td colspan="' + cols + '" class="muted">该到期日暂无' + suffix + "合约" + liqTip + "</td></tr>";
      state.selectedInst = null;
      return;
    }
@@ -911,8 +964,10 @@
    const atmStrike = findAtmStrike(rows, indexPx);
    let matchedSelected = false;
    rows.forEach(function (row) {
-      const call = row.call;
-      const put = row.put;
+      const callRaw = row.call;
+      const putRaw = row.put;
+      const call = callRaw && (!askLiqFilterOn() || hasAskLiquidity(callRaw)) ? callRaw : null;
+      const put = putRaw && (!askLiqFilterOn() || hasAskLiquidity(putRaw)) ? putRaw : null;
      const combined = straddleAskPerUnit(call && call.ask, put && put.ask);
      const tr = document.createElement("tr");
      tr.className = "opt-strike-row opt-strike-row-t";
@@ -1090,6 +1145,7 @@
      panelCache.chain = d;
      panelCache.underlying = uly;
      panelCache.optType = state.optType;
+      syncAskLiqFilterFromChain(d);
      if (!soft) {
        state.selectedInst = null;
        resetMoneyFilterToAll();
@@ -85,6 +85,7 @@ HOT_RELOAD_EXACT = frozenset({
    "HEDGE_PLAN_ENABLED",
    "HEDGE_PLAN_SHOW_PERP_OPTIONS",
    "HEDGE_PLAN_SHOW_OPTIONS_OPTIONS",
+    "OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED",
    "HEDGE_PLAN_LIVE_ORDER",
    "HEDGE_PLAN_OPEN_ORDER",
    "HEDGE_PLAN_ON_PERP_SL_CLOSE_OPTIONS",
@@ -126,6 +126,11 @@ _OPTIONS_SECTION: dict[str, Any] = {
        ("OKX_OPTIONS_TRADE_BUDGET_USDC", "单笔预算(USDC)", ""),
        ("OKX_OPTIONS_BUDGET_BUFFER", "预算缓冲比例", "如 0.95"),
        ("OKX_OPTIONS_DEFAULT_UNDERLY", "默认标的", "如 ETH"),
+        (
+            "OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED",
+            "链上仅显示有卖一",
+            "默认 true;开启后隐藏无卖一深度或深度不足1张的合约(含标记价估算行)",
+        ),
    ],
 }

@@ -186,6 +191,7 @@ _RUNTIME_ENV_DEFAULTS: dict[str, str] = {
    "RISK_MOOD_ISSUES_DAILY_FREEZE": "true",
    "HEDGE_PLAN_SHOW_PERP_OPTIONS": "true",
    "HEDGE_PLAN_SHOW_OPTIONS_OPTIONS": "true",
+    "OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED": "true",
    "HEDGE_PLAN_OO_CLOSE_MODE_ENABLED": "true",
    "HEDGE_PLAN_OO_BIAS_SPLIT_BY": "budget",
    "HEDGE_PLAN_OO_BIAS_RATIO": "0.7",
@@ -108,6 +108,7 @@ def _build_cfg(app_module: Any) -> dict[str, Any]:
        "default_underly": (os.getenv("OKX_OPTIONS_DEFAULT_UNDERLY") or "ETH").strip().upper(),
        "max_dte_days": _env_float("OKX_OPTIONS_MAX_DTE_DAYS", 2.0),
        "chain_max_dte_days": _env_float("OKX_OPTIONS_CHAIN_MAX_DTE_DAYS", 14.0),
+        "chain_ask_liq_filter": _env_bool("OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED", True),
        "itm_max_dist": _env_float("OKX_OPTIONS_ITM_MAX_DIST_USD", 30.0),
        "td_mode": (os.getenv("OKX_OPTIONS_TD_MODE") or "isolated").strip(),
        # 市价平仓已硬关闭(忽略 env),仅买一限价
@@ -370,6 +371,8 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
            return jsonify({"ok": False, "msg": f"加载期权链失败: {e}"})
        expiries = chain.get("expiries") or []
        chain_err = chain.get("chain_error")
+        # 热更新:每次读 env,保存配置后刷新链即可生效
+        ask_liq_filter = _env_bool("OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED", True)
        if not expiries:
            return jsonify(
                {
@@ -377,9 +380,17 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
                    "msg": chain_err or "暂无到期日,请稍后点「刷新链」",
                    **chain,
                    "chain_max_dte_days": cfg["chain_max_dte_days"],
+                    "ask_liq_filter_enabled": ask_liq_filter,
                }
            )
-        return jsonify({"ok": True, **chain, "chain_max_dte_days": cfg["chain_max_dte_days"]})
+        return jsonify(
+            {
+                "ok": True,
+                **chain,
+                "chain_max_dte_days": cfg["chain_max_dte_days"],
+                "ask_liq_filter_enabled": ask_liq_filter,
+            }
+        )

    @app.route("/api/options/quote")
    @lr
@@ -1,5 +1,6 @@
 <div class="options-page-wrap" style="grid-column:1/-1" id="options-root"
-     data-default-underly="{{ options_default_underly | default('ETH') }}">
+     data-default-underly="{{ options_default_underly | default('ETH') }}"
+     data-ask-liq-filter="{% if options_chain_ask_liq_filter is defined %}{{ '1' if options_chain_ask_liq_filter else '0' }}{% else %}1{% endif %}">
    {% if not options_enabled %}
    <div class="flash" style="margin-bottom:12px">期权 API 未启用:请在 <code>crypto_monitor_okx/.env</code> 设置 <code>OKX_OPTIONS_ENABLED=true</code> 及主账户 <code>OKX_OPTIONS_API_*</code>,然后 <code>pm2 restart crypto_okx --update-env</code>.</div>
    {% endif %}
@@ -7,7 +8,7 @@
    <div class="options-dual-grid">
        <div class="card options-order-card">
            <h2>期权下单 <a class="muted" href="/options/guide" target="_blank" rel="noopener" style="font-size:13px;font-weight:500;margin-left:8px">开平仓与监控说明</a></h2>
-            <p class="muted options-hint">报价单位为每 1 ETH/BTC;1 张 = 0.01.<strong>列表</strong>含卖一/买一;<strong>T 型</strong>仅卖一(买方开仓),中间为跨式双买测算.链上无卖一挂单时以标记价/内在价值估算并标 <strong>~</strong>(仅参考).<strong>开仓只认真实卖一价且卖一深度&gt;0</strong>;无深度时面板显示参考标记价并禁用买入.链展示近 <span id="opt-chain-dte">14</span> 日到期.<strong>T 型</strong>默认 ATM ±5 档,可展开全部.平仓仅买一限价,见说明.</p>
+            <p class="muted options-hint">报价单位为每 1 ETH/BTC;1 张 = 0.01.默认选中<strong>最近一期</strong>到期,可手动改.<strong>列表</strong>含卖一/买一;<strong>T 型</strong>仅卖一(买方开仓),中间为跨式双买测算.环境配置「链上仅显示有卖一」开启时,隐藏无真实卖一或深度不足 1 张的合约(估算价 <strong>~</strong> 亦不显示).<strong>开仓只认真实卖一价且卖一深度≥1</strong>.链展示近 <span id="opt-chain-dte">14</span> 日到期.<strong>T 型</strong>默认 ATM ±5 档,可展开全部.平仓仅买一限价,见说明.</p>
            <div class="form-row options-chain-toolbar">
                <button type="button" class="btn-secondary opt-uly-btn active" data-uly="ETH">ETH</button>
                <button type="button" class="btn-secondary opt-uly-btn" data-uly="BTC">BTC</button>
@@ -299,4 +300,4 @@
    </div>
 </div>
 <script src="/static/options_expiry_countdown.js?v=1"></script>
-<script src="/static/options_panel.js?v=45"></script>
+<script src="/static/options_panel.js?v=46"></script>