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Make options target close gate configurable via env.

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Support premium multiplier (coin default 1.05) or net-PnL USDT threshold with index conversion.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-25 09:00:39 +08:00
parent 0cb2167770
commit 37f787e6a9
8 changed files with 211 additions and 29 deletions
Download Patch File Download Diff File Expand all files Collapse all files
.env.example
+7
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@@ -150,6 +150,13 @@ OKX_OPTIONS_TD_MODE=isolated
OKX_OPTIONS_ALLOW_MARKET_CLOSE=false
# 对冲买期权等成交超时(秒);超时撤未成交部分,未完全成交则开仓失败
OKX_OPTIONS_OPEN_FILL_TIMEOUT_SEC=12
# 目标平仓门控(目标位触发后按买一平仓前需满足)
OKX_OPTIONS_CLOSE_GATE_MODE=premium
# premium:可回收≥权利金×倍数;net_pnl:净盈亏(买一可回收−权利金)折USDT≥下限
OKX_OPTIONS_CLOSE_RECYCLE_MULT=2
OKX_OPTIONS_CLOSE_RECYCLE_MULT_COIN=1.05
OKX_OPTIONS_CLOSE_NET_PNL_MIN_USDT=0
OKX_OPTIONS_CLOSE_HOLD_SECONDS=120
# =============================================================================
# 对冲计划(仅 OKX;由 OKX_TRADE_MODE 控制是否启用;详见 docs/对冲计划开发方案.md)
lib/common/static/options_panel.js
+1 -1
View File
@@ -832,7 +832,7 @@
const gate = preview.close_gate || {};
// 2× 只是目标平仓门控,本身不会自动平;手动买一平不拦截
if (preview.close_gate_blocked || (gate.ready === false && !gate.passed)) {
return "目标门控: " + (preview.close_gate_msg || gate.msg || "可回收需≥2×权利金并持续2分钟");
return "目标门控: " + (preview.close_gate_msg || gate.msg || "目标平仓门控未过");
}
return "";
}
lib/common/static/options_position_cards.js
+1 -1
View File
@@ -118,7 +118,7 @@
}
const gate = preview.close_gate || {};
if (preview.close_gate_blocked || (gate.ready === false && !gate.passed)) {
return "目标门控: " + (preview.close_gate_msg || gate.msg || "可回收需≥2×权利金并持续2分钟");
return "目标门控: " + (preview.close_gate_msg || gate.msg || "目标平仓门控未过");
}
return "";
}
lib/env/env_schema.py
Vendored
+9
View File
@@ -106,6 +106,11 @@ HOT_RELOAD_EXACT = frozenset({
"OKX_OPTIONS_COIN_MAX_USDT_ENABLED",
"OKX_OPTIONS_COIN_MAX_USDT",
"OKX_OPTIONS_COIN_SPOT_BUY_BUFFER",
"OKX_OPTIONS_CLOSE_GATE_MODE",
"OKX_OPTIONS_CLOSE_RECYCLE_MULT",
"OKX_OPTIONS_CLOSE_RECYCLE_MULT_COIN",
"OKX_OPTIONS_CLOSE_NET_PNL_MIN_USDT",
"OKX_OPTIONS_CLOSE_HOLD_SECONDS",
"OKX_TRADE_MODE",
"MAX_ACTIVE_HEDGE_PLANS",
"HEDGE_PLAN_LIVE_ORDER",
@@ -171,6 +176,10 @@ SELECT_OPTIONS: dict[str, tuple[tuple[str, str], ...]] = {
("coin", "币本位(USDT买币桥)"),
("usdc", "USDC(USDⓈ权利金)"),
),
"OKX_OPTIONS_CLOSE_GATE_MODE": (
("premium", "权利金倍数"),
("net_pnl", "净盈亏(USDT)"),
),
"HEDGE_PLAN_OPTION_PRIMARY": (
("true", "以期权为主"),
("false", "保险模式"),
lib/env/env_ui_manifest.py
Vendored
+30
View File
@@ -150,6 +150,31 @@ _OPTIONS_SECTION: dict[str, Any] = {
"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)",
),
(
"OKX_OPTIONS_CLOSE_GATE_MODE",
"目标平仓门控模式",
"premium=可回收≥权利金×倍数(币本位默认×1.05);net_pnl=净盈亏折USDT≥阈值",
),
(
"OKX_OPTIONS_CLOSE_RECYCLE_MULT",
"门控权利金倍数(USDC)",
"仅 premium 模式;USDC 权利金仓默认 2",
),
(
"OKX_OPTIONS_CLOSE_RECYCLE_MULT_COIN",
"门控权利金倍数(币本位)",
"仅 premium 模式;ETH/BTC 权利金仓默认 1.05",
),
(
"OKX_OPTIONS_CLOSE_NET_PNL_MIN_USDT",
"门控净盈亏下限(U)",
"仅 net_pnl 模式;买一可回收−权利金折 USDT 后需≥此值;0 或 1 等",
),
(
"OKX_OPTIONS_CLOSE_HOLD_SECONDS",
"门控持续秒数",
"条件达标后需持续满足的秒数,默认 120",
),
],
}
@@ -259,6 +284,11 @@ _RUNTIME_ENV_DEFAULTS: dict[str, str] = {
"OKX_OPTIONS_MAX_DTE_DAYS": "2",
"OKX_OPTIONS_MAX_ACTIVE_POSITIONS": "0",
"OKX_OPTIONS_MARGIN_MODE": "coin",
"OKX_OPTIONS_CLOSE_GATE_MODE": "premium",
"OKX_OPTIONS_CLOSE_RECYCLE_MULT": "2",
"OKX_OPTIONS_CLOSE_RECYCLE_MULT_COIN": "1.05",
"OKX_OPTIONS_CLOSE_NET_PNL_MIN_USDT": "0",
"OKX_OPTIONS_CLOSE_HOLD_SECONDS": "120",
"OKX_TRADE_MODE": "options",
"HEDGE_PLAN_ENABLED": "false",
"MAX_ACTIVE_HEDGE_PLANS": "1",
lib/options/options_close_exec_lib.py
+29 -5
View File
@@ -145,6 +145,10 @@ def close_option_by_bid1(
premium_paid = _open_premium_paid(cfg, inst_id)
if premium_paid is None:
premium_paid = _safe_float(pos.get("premium_paid"))
from lib.options.options_notify_lib import resolve_premium_ccy
premium_ccy = resolve_premium_ccy(pos.get("premium_ccy"), inst_id=inst_id)
index_px = _safe_float(pos.get("idxPx")) or _safe_float(q.get("index_px"))
# 已有未成交卖平单:等成交,不撤不重挂
try:
@@ -194,7 +198,13 @@ def close_option_by_bid1(
)
if preview.get("bid_invalid") or preview.get("auto_close_blocked"):
# 不撤他人挂单:仅拒绝本轮下单
update_close_gate(inst_id, recycle_usdc=None, premium_paid=premium_paid)
update_close_gate(
inst_id,
recycle_usdc=None,
premium_paid=premium_paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
return {
"ok": False,
"msg": preview.get("bid_invalid_reason") or "暂无有效买盘,禁止平仓",
@@ -208,7 +218,13 @@ def close_option_by_bid1(
bid_px = _safe_float(q.get("bid"))
stub, stub_reason = is_stub_bid_px(bid_px, mark_px=mark_px, intrinsic_px=intrinsic_px)
if stub or bid_px is None or bid_px <= 0:
update_close_gate(inst_id, recycle_usdc=None, premium_paid=premium_paid)
update_close_gate(
inst_id,
recycle_usdc=None,
premium_paid=premium_paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
return {
"ok": False,
"msg": stub_reason or "暂无买一,无法限价平仓",
@@ -231,7 +247,13 @@ def close_option_by_bid1(
stub_lv, stub_lv_reason = is_stub_bid_px(level_px, mark_px=mark_px, intrinsic_px=intrinsic_px)
if stub_lv:
update_close_gate(inst_id, recycle_usdc=None, premium_paid=premium_paid)
update_close_gate(
inst_id,
recycle_usdc=None,
premium_paid=premium_paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
return {
"ok": False,
"msg": stub_lv_reason or "暂无有效买盘,禁止平仓",
@@ -240,16 +262,18 @@ def close_option_by_bid1(
"liquidity_blocked": True,
}
# 自动平仓:2×权利金门控(首次);通过后同仓续批只验流动性
# 自动平仓:目标门控(首次);通过后同仓续批只验流动性
gate = update_close_gate(
inst_id,
recycle_usdc=_safe_float(preview.get("total_received")),
premium_paid=premium_paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
if require_recycle_gate and not is_close_gate_passed(inst_id) and not gate.get("ready"):
return {
"ok": False,
"msg": gate.get("msg") or "平仓门控未就绪(需可回收≥2×权利金并持续一段时间)",
"msg": gate.get("msg") or "平仓门控未就绪(需满足目标门控并持续一段时间)",
"stopped_reason": "close_gate",
"auto_close_blocked": True,
"close_gate": gate,
lib/options/options_close_gate_lib.py
+126 -20
View File
@@ -1,4 +1,4 @@
"""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."""
"""期权按买盘平仓门控:权利金倍数或净盈亏(USDT)达标并持续 hold 秒后才允许目标平仓."""
from __future__ import annotations
import os
@@ -14,12 +14,32 @@ def _env_float(key: str, default: float) -> float:
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
def _close_gate_mode() -> str:
raw = (os.getenv("OKX_OPTIONS_CLOSE_GATE_MODE") or "premium").strip().lower()
return raw if raw in ("premium", "net_pnl") else "premium"
def _close_recycle_mult(premium_ccy: str) -> float:
ccy = (premium_ccy or "USDC").strip().upper()
if ccy in ("ETH", "BTC"):
return _env_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT_COIN", 1.05)
return _env_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT", 2.0)
def _close_hold_seconds() -> float:
return _env_float("OKX_OPTIONS_CLOSE_HOLD_SECONDS", 120.0)
def _close_net_pnl_min_usdt() -> float:
return _env_float("OKX_OPTIONS_CLOSE_NET_PNL_MIN_USDT", 0.0)
# 兼容旧引用
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}
# inst_id -> gate state
_gates: dict[str, dict[str, Any]] = {}
@@ -41,7 +61,7 @@ def clear_close_gate(inst_id: str | None = None) -> None:
def mark_close_gate_passed(inst_id: str) -> None:
"""标记同仓已通过 2× 门控,续批平仓只验流动性."""
"""标记同仓已通过门控,续批平仓只验流动性."""
inst = (inst_id or "").strip()
if not inst:
return
@@ -68,6 +88,30 @@ def _fmt_gate_amt(v: float, *, ccy: str) -> str:
return f"{float(v):.4f}"
def _fmt_usdt(v: float) -> str:
sign = "+" if v >= 0 else ""
return f"{sign}{float(v):.2f}"
def _net_pnl_usdt(
*,
recv: float | None,
prem: float | None,
premium_ccy: str,
index_px: float | None,
) -> float | None:
if recv is None or prem is None:
return None
net = float(recv) - float(prem)
ccy = (premium_ccy or "USDC").strip().upper() or "USDC"
if ccy in ("ETH", "BTC"):
idx = _safe_float(index_px)
if idx is None or idx <= 0:
return None
return net * float(idx)
return net
def update_close_gate(
inst_id: str,
*,
@@ -77,9 +121,14 @@ def update_close_gate(
min_mult: float | None = None,
hold_seconds: float | None = None,
premium_ccy: str | None = None,
index_px: float | None = None,
gate_mode: str | None = None,
net_pnl_min_usdt: float | None = None,
) -> dict[str, Any]:
"""
根据当前买盘可回收金额刷新门控.
premium: 可回收 ≥ 权利金×倍数(币本位默认×1.05,USDC 默认×2)
net_pnl: 净盈亏(买一可回收−权利金)折 USDT ≥ 阈值(默认 0U)
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()
@@ -91,15 +140,16 @@ def update_close_gate(
"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
mode = (gate_mode or _close_gate_mode()).strip().lower()
if mode not in ("premium", "net_pnl"):
mode = "premium"
hold = float(hold_seconds if hold_seconds is not None else _close_hold_seconds())
if hold < 0:
hold = 0.0
with _lock:
prev_ccy = (_gates.get(inst) or {}).get("premium_ccy")
prev = _gates.get(inst) or {}
prev_ccy = prev.get("premium_ccy")
ccy = (premium_ccy or prev_ccy or "USDC").strip().upper() or "USDC"
if ccy not in ("ETH", "BTC", "USDC"):
ccy = "USDC"
@@ -107,21 +157,44 @@ def update_close_gate(
prem = _safe_float(premium_paid)
recv = _safe_float(recycle_usdc)
mult = float(min_mult if min_mult is not None else _close_recycle_mult(ccy))
if mult <= 0:
mult = _close_recycle_mult(ccy)
min_pnl_u = float(net_pnl_min_usdt if net_pnl_min_usdt is not None else _close_net_pnl_min_usdt())
idx = _safe_float(index_px)
if idx is None:
idx = _safe_float(prev.get("index_px"))
need = round(prem * mult, need_decimals) 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
)
net_pnl_u = _net_pnl_usdt(recv=recv, prem=prem, premium_ccy=ccy, index_px=idx)
if mode == "net_pnl":
if prem is None or prem <= 0:
condition_ok = False
elif recv is None:
condition_ok = False
elif net_pnl_u is None:
condition_ok = False
else:
condition_ok = bool(net_pnl_u + 1e-9 >= min_pnl_u)
else:
condition_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 {}
prev_mode = prev.get("gate_mode")
ok_since = prev.get("ok_since")
if recycle_ok:
if prev_mode != mode:
ok_since = None
if condition_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)
ready = bool(condition_ok and held + 1e-9 >= hold)
prev_passed = bool(prev.get("passed"))
passed = prev_passed or ready
state = {
@@ -134,15 +207,38 @@ def update_close_gate(
"hold_seconds": hold,
"passed": passed,
"premium_ccy": ccy,
"gate_mode": mode,
"net_pnl_usdt": net_pnl_u,
"net_pnl_min_usdt": min_pnl_u,
"index_px": idx,
}
_gates[inst] = state
remain = max(0.0, hold - held) if recycle_ok and not ready else None
if prem is None or prem <= 0:
remain = max(0.0, hold - held) if condition_ok and not ready else None
if mode == "net_pnl":
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 net_pnl_u is None:
msg = "缺少指数价,无法将币本位净盈亏折算为 USDT"
elif not condition_ok:
msg = (
f"净盈亏 {_fmt_usdt(net_pnl_u)} U(估) < {min_pnl_u:g} U,"
f"目标平仓门控未过"
)
elif not ready:
msg = (
f"净盈亏 {_fmt_usdt(net_pnl_u)} U(估) ≥ {min_pnl_u:g} U,"
f"需再持续 {remain:.0f}s(已 {held:.0f}/{hold:.0f}s)门控才通过"
)
else:
msg = f"净盈亏 ≥ {min_pnl_u:g} U 且持续≥{hold:.0f}s,目标触达后可按买一平仓"
elif 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:
elif not condition_ok:
msg = (
f"可回收 {_fmt_gate_amt(recv, ccy=ccy)} {ccy} < 权利金×{mult:g}"
f"({_fmt_gate_amt(need, ccy=ccy)}),目标平仓门控未过"
@@ -160,19 +256,23 @@ def update_close_gate(
"ok": True,
"ready": ready,
"passed": passed,
"recycle_ok": recycle_ok,
"recycle_ok": condition_ok,
"recycle_usdc": recv,
"premium_paid": prem,
"need_recycle_usdc": need,
"premium_ccy": ccy,
"min_mult": mult,
"hold_seconds": hold,
"held_seconds": round(held, 1) if recycle_ok else 0.0,
"held_seconds": round(held, 1) if condition_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": auto_blocked,
"close_gate_blocked": auto_blocked,
"gate_mode": mode,
"net_pnl_usdt": net_pnl_u,
"net_pnl_min_usdt": min_pnl_u,
"index_px": idx,
}
@@ -182,12 +282,13 @@ def check_close_gate(
recycle_usdc: float | None = None,
premium_paid: float | None = None,
premium_ccy: str | None = None,
index_px: 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 or premium_ccy is None:
if recycle_usdc is None or premium_paid is None or premium_ccy is None or index_px is None:
with _lock:
prev = _gates.get(inst) or {}
if recycle_usdc is None:
@@ -196,11 +297,14 @@ def check_close_gate(
premium_paid = prev.get("premium")
if premium_ccy is None:
premium_ccy = prev.get("premium_ccy")
if index_px is None:
index_px = prev.get("index_px")
return update_close_gate(
inst,
recycle_usdc=recycle_usdc,
premium_paid=premium_paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
with _lock:
prev = _gates.get(inst)
@@ -210,10 +314,12 @@ def check_close_gate(
recycle_usdc=recycle_usdc,
premium_paid=premium_paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
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"),
premium_ccy=premium_ccy if premium_ccy is not None else prev.get("premium_ccy"),
index_px=index_px if index_px is not None else prev.get("index_px"),
)
lib/options/options_positions_lib.py
+8 -2
View File
@@ -54,10 +54,15 @@ def attach_close_preview(
max_levels=1,
)
premium_ccy = str(row.get("premium_ccy") or "USDC").strip().upper() or "USDC"
# 残档时不累计 2×门控;有效买一时刷新计时(仅自动平仓需要)
index_px = _safe_float(row.get("idx_px") or row.get("idxPx") or row.get("index_px"))
# 残档时不累计门控;有效买一时刷新计时(仅自动平仓需要)
if preview.get("bid_invalid") or preview.get("auto_close_blocked"):
gate = update_close_gate(
inst_id, recycle_usdc=None, premium_paid=paid, premium_ccy=premium_ccy
inst_id,
recycle_usdc=None,
premium_paid=paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
preview["close_gate"] = gate
preview["close_gate_blocked"] = True
@@ -70,6 +75,7 @@ def attach_close_preview(
recycle_usdc=_safe_float(preview.get("total_received")),
premium_paid=paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
passed = bool(gate.get("passed") or is_close_gate_passed(inst_id) or gate.get("ready"))
preview["close_gate"] = gate