Pin market watch to held option strike while a position is open.

Stop falling back to ATM quotes for unrealized/close PnL after ATM drifts or restart.

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

backend/app/exchange/option_ids.py

@@ -0,0 +1,53 @@
+"""期权合约 ID 工具：从持仓合约还原同到期同行权价的 Call/Put 对。"""
+
+from __future__ import annotations
+
+from .expiry import expiry_ms_from_ymd
+from .types import OptionPair
+
+
+def flip_option_side(inst_id: str) -> str | None:
+    """ETH-...-1880-P ↔ ...-C；币安 ETH-YYMMDD-STRIKE-P ↔ -C。"""
+    s = (inst_id or "").strip()
+    if not s:
+        return None
+    if s.endswith("-C"):
+        return s[:-1] + "P"
+    if s.endswith("-P"):
+        return s[:-1] + "C"
+    if s.endswith("-c"):
+        return s[:-1] + "p"
+    if s.endswith("-p"):
+        return s[:-1] + "c"
+    return None
+
+
+def pair_from_option_inst(inst_id: str) -> OptionPair | None:
+    """由任一腿合约 ID 还原同 strike/expiry 的 OptionPair。"""
+    from .okx.parse import parse_option_inst_id
+    from .binance.parse import parse_option_symbol
+
+    s = (inst_id or "").strip()
+    if not s:
+        return None
+    ymd, strike, side = parse_option_inst_id(s)
+    if ymd is None:
+        ymd, strike, side = parse_option_symbol(s)
+    if ymd is None or strike is None or side not in ("C", "P"):
+        return None
+    other = flip_option_side(s)
+    if not other:
+        return None
+    call_id = s if side == "C" else other
+    put_id = s if side == "P" else other
+    try:
+        ems = expiry_ms_from_ymd(ymd)
+    except ValueError:
+        return None
+    return OptionPair(
+        expiry_ymd=ymd,
+        expiry_ms=int(ems),
+        strike=float(strike),
+        call_inst_id=call_id,
+        put_inst_id=put_id,
+    )

backend/app/sim/matcher.py

@@ -348,8 +348,12 @@ class Matcher:
 
         option_inst_id = str(pos["option_inst_id"])
         option_side = str(pos["option_side"])
-        oq = get_exchange().quote(option_inst_id) or (
+        # 严禁回退到 ATM 对：持仓行权价可能已偏离当前 ATM
-            snap.call if option_side == "call" else snap.put
+        oq = self._quote_held_option(option_inst_id)
+        if oq is None and reason != "expiry":
+            return CloseResult(
+                ok=False,
+                detail=f"持仓期权盘口不可用: {option_inst_id}",
             )
 
         ct_mult = self._ct_mult(option_inst_id)
@@ -888,6 +892,29 @@ class Matcher:
             "forced": force,
         }
 
+    def _quote_held_option(self, option_inst_id: str):
+        """只取持仓合约盘口；缺失时 REST 补一次，绝不借用 ATM 对。"""
+        if not option_inst_id:
+            return None
+        ex = get_exchange()
+        oq = ex.quote(option_inst_id)
+        if oq is not None and (oq.bid is not None or oq.ask is not None or oq.mark_px is not None):
+            return oq
+        try:
+            bids, asks, ts = ex.fetch_book(option_inst_id, depth=5)
+            cache = getattr(ex, "cache", None)
+            if cache is not None and (bids or asks):
+                cache.upsert_book(option_inst_id, bids=bids, asks=asks, ts_ms=ts)
+                try:
+                    mp = ex.fetch_mark(option_inst_id)
+                    if mp:
+                        cache.set_mark_px(option_inst_id, mp)
+                except Exception:
+                    pass
+            return ex.quote(option_inst_id)
+        except Exception:
+            return ex.quote(option_inst_id)
+
     def unrealized(self) -> dict[str, Any]:
         pos = self.current_position()
         if pos.get("status") != "open":
@@ -947,9 +974,7 @@ class Matcher:
 
         option_side = str(pos["option_side"])
         opt_inst = str(pos.get("option_inst_id") or "")
-        oq = get_exchange().quote(opt_inst) if opt_inst else None
+        oq = self._quote_held_option(opt_inst)
-        if oq is None:
-            oq = snap.call if option_side == "call" else snap.put
         initial_premium = float(pos["initial_premium"] or 0)
         option_upl = 0.0
         est_opt_close_fee = 0.0

backend/app/strategy/session.py

@@ -9,6 +9,7 @@ from typing import Any
 
 from ..config import Settings, get_settings
 from ..exchange import get_exchange, set_exchange, build_exchange
+from ..exchange.option_ids import pair_from_option_inst
 from ..exchange.protocol import ExchangeMarket
 from ..exchange.types import MarketSnapshot, OptionPair
 from .selection import (
@@ -36,6 +37,22 @@ def _has_open_position() -> bool:
         return False
 
 
+def _held_option_inst_id() -> str | None:
+    """活跃持仓期权合约；无仓返回 None。"""
+    try:
+        from ..models.db import get_db
+
+        row = get_db().fetchone(
+            "SELECT status, option_inst_id FROM positions WHERE id=1"
+        )
+        if not row or row["status"] != "open":
+            return None
+        inst = str(row["option_inst_id"] or "").strip()
+        return inst or None
+    except Exception:
+        return None
+
+
 def _as_bool_setting(raw: str | None, default: bool) -> bool:
     if raw is None or raw == "":
         return default
@@ -107,23 +124,40 @@ class StrategySession:
     def pair(self) -> OptionPair | None:
         return self._pair
 
+    def _watch_ids(self, pair: OptionPair | None = None) -> list[str]:
+        """永续 + 监控对 + 持仓腿（有仓时绝不能 drop 持仓盘口）。"""
+        s = self.settings
+        p = pair if pair is not None else self._pair
+        ids: list[str] = [s.perp_inst_id]
+        if p is not None:
+            ids.extend([p.call_inst_id, p.put_inst_id])
+        held = _held_option_inst_id()
+        if held:
+            ids.append(held)
+        # 去重保序
+        out: list[str] = []
+        seen: set[str] = set()
+        for i in ids:
+            if i and i not in seen:
+                seen.add(i)
+                out.append(i)
+        return out
+
     async def start(self) -> None:
         if self._started:
             return
         self._started = True
         await self.ex.start()
         try:
+            # 有持仓时必须钉在持仓行权价，禁止重启后漂到新 ATM
+            if _has_open_position():
+                await asyncio.to_thread(self.align_to_held_position)
+            else:
                 await asyncio.to_thread(self.align_instruments)
         except Exception as e:
             # eapi 418/429 时允许先起会话，后续 refresh 再对齐
             logger.warning("initial ATM align failed (will retry): %s", e)
-        await self.ex.resubscribe(
+        await self.ex.resubscribe(self._watch_ids())
-            [
-                self.settings.perp_inst_id,
-                self._pair.call_inst_id if self._pair else "",
-                self._pair.put_inst_id if self._pair else "",
-            ]
-        )
         self._refresh_task = asyncio.create_task(self._refresh_loop(), name="strategy-align")
 
     async def stop(self) -> None:
@@ -143,8 +177,7 @@ class StrategySession:
         self.ex.set_pair(pair)
         if idx is not None:
             self.ex.set_index_px(idx)
-        ids = [s.perp_inst_id, pair.call_inst_id, pair.put_inst_id]
+        self.ex.warm_and_subscribe(self._watch_ids(pair))
-        self.ex.warm_and_subscribe(ids)
         logger.info(
             "aligned pair exchange=%s expiry=%s strike=%s mark=%.2f hours=%.1f",
             getattr(self.ex, "name", "?"),
@@ -155,7 +188,33 @@ class StrategySession:
         )
         return pair
 
+    def align_to_held_position(self) -> OptionPair | None:
+        """有活跃仓时：监控对锁定为持仓合约的到期/行权价。"""
+        held = _held_option_inst_id()
+        if not held:
+            return None
+        pair = pair_from_option_inst(held)
+        if pair is None:
+            logger.warning("cannot rebuild pair from held option %s", held)
+            return None
+        mark = self._mark_for_atm() or float(pair.strike)
+        idx = None
+        try:
+            idx = self.ex.fetch_index(self.settings.index_inst_id)
+        except Exception:
+            pass
+        logger.info(
+            "pin watch to held option %s strike=%.0f expiry=%s",
+            held,
+            pair.strike,
+            pair.expiry_ymd,
+        )
+        return self._apply_pair(pair, mark=float(mark), idx=idx)
+
     def align_instruments(self) -> OptionPair | None:
+        # 重启/刷新时若仍有仓，绝不切到新 ATM
+        if _has_open_position():
+            return self.align_to_held_position()
         s = self.settings
         idx = self.ex.fetch_index(s.index_inst_id)
         mark = self.ex.fetch_mark(s.perp_inst_id) or idx
@@ -271,13 +330,7 @@ class StrategySession:
                 or pair.put_inst_id != old.put_inst_id
             )
         ):
-            await self.ex.resubscribe(
+            await self.ex.resubscribe(self._watch_ids(pair))
-                [
-                    self.settings.perp_inst_id,
-                    pair.call_inst_id,
-                    pair.put_inst_id,
-                ]
-            )
         return pair
 
     async def pick_for_open_async(self) -> OpenPick | None:
@@ -288,13 +341,7 @@ class StrategySession:
             or pick.pair.call_inst_id != old.call_inst_id
             or pick.pair.put_inst_id != old.put_inst_id
         ):
-            await self.ex.resubscribe(
+            await self.ex.resubscribe(self._watch_ids(pick.pair))
-                [
-                    self.settings.perp_inst_id,
-                    pick.pair.call_inst_id,
-                    pick.pair.put_inst_id,
-                ]
-            )
         return pick
 
     def _mark_for_atm(self) -> float | None:
@@ -324,6 +371,13 @@ class StrategySession:
 
     async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
         if _has_open_position():
+            # 持仓期间：钉住持仓行权价（禁止漂到新 ATM）
+            held = _held_option_inst_id()
+            if held and (
+                self._pair is None
+                or held not in (self._pair.call_inst_id, self._pair.put_inst_id)
+            ):
+                return await asyncio.to_thread(self.align_to_held_position)
             return self._pair
         if force or self.atm_needs_realign():
             logger.info(

backend/tests/test_p1_p2_rules.py

@@ -156,6 +156,26 @@ def test_deep_otm_and_expiry_settle() -> None:
     assert settled.notional == 0.0
 
 
+def test_pair_from_held_option_inst() -> None:
+    from app.exchange.option_ids import flip_option_side, pair_from_option_inst
+
+    put = "ETH-USD_UM-260727-1880-P"
+    pair = pair_from_option_inst(put)
+    assert pair is not None
+    assert pair.strike == 1880
+    assert pair.expiry_ymd == "260727"
+    assert pair.put_inst_id == put
+    assert pair.call_inst_id == "ETH-USD_UM-260727-1880-C"
+    assert flip_option_side(put) == pair.call_inst_id
+
+    bn = "ETH-260727-1890-C"
+    bp = pair_from_option_inst(bn)
+    assert bp is not None
+    assert bp.strike == 1890
+    assert bp.call_inst_id == bn
+    assert bp.put_inst_id == "ETH-260727-1890-P"
+
+
 def test_option_intrinsic_and_close_bid_floor() -> None:
     from app.sim.pricing import (
         option_expiry_settle,

frontend/src/pages/Plan.tsx

@@ -415,7 +415,8 @@ export default function PlanPage() {
           </div>
           <div className="card">
             <h3 className="plan-panel-title">
-              期权 ATM {snap?.pair ? `@ ${snap.pair.strike}` : ""}
+              {open ? "持仓期权" : "期权 ATM"}
+              {snap?.pair ? ` @ ${snap.pair.strike}` : ""}
             </h3>
             <div className="kv">
               <span>Call 卖一/买一</span>