Mirror option expiry settlements from exchange bills; debit OO LIVE open premiums.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+134
-24
@@ -871,6 +871,23 @@ class OkxLiveExecutor(Matcher):
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put_qty = eth_from_contracts(put_contracts, put_ct)
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call_prem = of_px * call_qty
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put_prem = pf_px * put_qty
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call_fee = float(getattr(call_fill, "fee", 0) or 0)
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put_fee = float(getattr(put_fill, "fee", 0) or 0)
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# 与永期 LIVE 开仓一致：镜像扣权利金+手续费
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self.ledger.apply_cash(
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-(call_prem + call_fee),
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kind="open_option",
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group_id=group_id,
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note=f"LIVE oo open call {group_id}",
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allow_negative=True,
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)
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self.ledger.apply_cash(
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-(put_prem + put_fee),
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kind="open_option",
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group_id=group_id,
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note=f"LIVE oo open put {group_id}",
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allow_negative=True,
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)
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now = int(time.time() * 1000)
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with self.db._lock:
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self.db._conn.execute(
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@@ -892,8 +909,7 @@ class OkxLiveExecutor(Matcher):
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entry_index_px,
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call_prem,
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now,
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float(getattr(call_fill, "fee", 0) or 0)
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+ float(getattr(put_fill, "fee", 0) or 0),
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call_fee + put_fee,
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0.0,
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"LIVE",
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"option_option",
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@@ -1069,6 +1085,20 @@ class OkxLiveExecutor(Matcher):
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for i, (leg, inst, qty, contracts) in enumerate(legs):
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if not inst:
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continue
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if reason == "expiry":
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px, fee, notional, cash = self._live_option_settlement_fill(
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option_inst_id=inst, qty_eth=qty, group_id=group_id
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)
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else:
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px, fee, notional, cash = 0.0, 0.0, 0.0, 0.0
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if abs(cash) > 1e-12:
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self.ledger.apply_cash(
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cash,
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kind="close_option",
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group_id=group_id,
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note=f"LIVE oo settle {leg} {reason}",
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allow_negative=True,
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)
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with self.db._lock:
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self.db._conn.execute(
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"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
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@@ -1082,11 +1112,11 @@ class OkxLiveExecutor(Matcher):
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inst,
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qty,
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contracts,
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px,
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px,
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fee,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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notional,
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now + i,
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"LIVE",
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),
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@@ -1108,7 +1138,7 @@ class OkxLiveExecutor(Matcher):
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int(time.time() * 1000),
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reason,
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net,
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f"oo full close {reason} exchange_flat_mirror",
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f"oo full close {reason} exchange_flat_or_settle",
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group_id,
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),
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)
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@@ -1336,7 +1366,7 @@ class OkxLiveExecutor(Matcher):
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of_slip = 0.0
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option_apply_cash = False
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elif is_expiry:
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# 到期：交易所自动结算期权，本地只平永续；不卖期权、不用 intrinsic 发明 fill
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# 到期：交易所自动结算期权，本地只平永续；交割现金从账单镜像（禁止 intrinsic）
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ex_opt = exchange_option_abs_size(client, option_inst_id)
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if ex_opt is not None and ex_opt > 1e-8:
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logger.warning(
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@@ -1345,13 +1375,17 @@ class OkxLiveExecutor(Matcher):
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ex_opt,
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group_id,
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)
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of_px = 0.0
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of_fee = 0.0
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of_notional = 0.0
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of_px, of_fee, of_notional, settle_cash = self._live_option_settlement_fill(
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option_inst_id=option_inst_id,
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qty_eth=opt_qty,
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group_id=group_id,
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)
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of_slip = 0.0
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option_apply_cash = False
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option_apply_cash = abs(settle_cash) > 1e-12
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logger.info(
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"expiry: skip option order, close perp only group=%s", group_id
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"expiry: skip option order, close perp only group=%s settle_cash=%.4f",
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group_id,
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settle_cash,
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)
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self._ensure_option_closed_perp_pending(
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group_id=group_id,
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@@ -1363,7 +1397,7 @@ class OkxLiveExecutor(Matcher):
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of_notional=of_notional,
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of_slip=of_slip,
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reason=reason,
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apply_cash=False,
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apply_cash=option_apply_cash,
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)
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pending_perp_only = True
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else:
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@@ -1534,6 +1568,49 @@ class OkxLiveExecutor(Matcher):
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settle_index_px=spot,
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)
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def _live_option_settlement_fill(
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self,
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*,
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option_inst_id: str,
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qty_eth: float,
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group_id: str | None = None,
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begin_ms: int | None = None,
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) -> tuple[float, float, float, float]:
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"""返回 (fill_px, fee, notional, cash_to_apply)。查不到交割则全 0。"""
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from .option_settle import fetch_option_settlement, settlement_to_fill
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open_ms = begin_ms
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if open_ms is None and group_id:
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g = self.db.fetchone(
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"SELECT open_at_ms FROM groups WHERE group_id=?", (group_id,)
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)
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if g and g["open_at_ms"]:
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open_ms = int(g["open_at_ms"])
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try:
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ex_name = load_runtime_settings().exchange
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except Exception:
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ex_name = get_settings().exchange
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st = fetch_option_settlement(
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self._client(),
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exchange=str(ex_name or "okx"),
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option_inst_id=option_inst_id,
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qty_eth=float(qty_eth),
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begin_ms=open_ms,
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)
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px, fee, notional = settlement_to_fill(st, qty_eth=float(qty_eth))
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cash = float(st.cash) if st.found else 0.0
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if st.found:
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logger.info(
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"option settlement %s source=%s px=%.6f fee=%.6f cash=%.6f (%s)",
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option_inst_id,
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st.source,
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px,
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fee,
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cash,
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st.detail,
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)
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return px, fee, notional, cash
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def _ensure_option_closed_perp_pending(
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self,
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*,
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@@ -1838,16 +1915,32 @@ class OkxLiveExecutor(Matcher):
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)
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if ex_sz <= 1e-8:
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now_ms = int(time.time() * 1000)
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qty_eth = float(row.get("option_qty_eth") or 0)
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begin = None
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try:
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begin = int(row.get("created_at_ms") or 0) or None
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except Exception:
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begin = None
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px, fee, notional, _cash = self._live_option_settlement_fill(
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option_inst_id=option_inst_id,
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qty_eth=qty_eth,
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group_id=group_id,
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begin_ms=begin,
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)
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booked = self._book_residual_market_close(
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row,
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fill_px=0.0,
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fee=0.0,
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notional=0.0,
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fill_px=px,
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fee=fee,
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notional=notional,
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slip=0.0,
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now_ms=now_ms,
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note="LIVE residual already flat on exchange",
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note=(
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f"LIVE residual already flat; settlement px={px}"
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if notional > 0 or fee > 0
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else "LIVE residual already flat on exchange"
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),
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exec_mode="LIVE",
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filled_contracts=0.0,
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filled_contracts=float(row.get("option_qty_contracts") or 0) if (notional > 0 or fee > 0) else 0.0,
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remaining_contracts=0.0,
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close_reason="residual_premium_close",
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)
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@@ -2002,14 +2095,31 @@ class OkxLiveExecutor(Matcher):
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)
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return None
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if ex_sz <= 1e-8:
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qty_eth = float(row.get("option_qty_eth") or 0)
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begin = None
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try:
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begin = int(row.get("created_at_ms") or 0) or None
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except Exception:
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begin = None
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gid = str(row.get("group_id") or "")
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px, fee, notional, _cash = self._live_option_settlement_fill(
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option_inst_id=option_inst_id,
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qty_eth=qty_eth,
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group_id=gid or None,
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begin_ms=begin,
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)
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return {
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"fill_px": 0.0,
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"fee": 0.0,
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"notional": 0.0,
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"fill_px": px,
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"fee": fee,
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"notional": notional,
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"slip": 0.0,
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"filled_contracts": 0.0,
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"filled_contracts": float(row.get("option_qty_contracts") or 0),
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"remaining_contracts": 0.0,
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"note": "LIVE residual flat on exchange before settle",
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"note": (
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f"LIVE residual flat on exchange; settlement px={px}"
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if notional > 0 or fee > 0
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else "LIVE residual flat on exchange before settle"
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),
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"exec_mode": "LIVE",
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"close_reason": "emergency" if force else "expiry",
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}
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