Harden residual mid-close: IOC partial fills, exchange reconcile, atomic book.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -1149,12 +1149,72 @@ class BinanceLiveExecutor(Matcher):
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},
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)
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def _sync_residual_contracts_with_exchange(self, row: dict) -> dict | None:
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option_inst_id = str(row.get("option_inst_id") or "")
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group_id = str(row.get("group_id") or "")
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client = self._client()
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ex_sz = exchange_option_abs_size(client, option_inst_id)
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if ex_sz is None:
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return row
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ct = self._ct_mult(option_inst_id)
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local_c = float(row.get("option_qty_contracts") or 0)
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if local_c <= 0:
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local_c = float(
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contracts_for_eth(float(row.get("option_qty_eth") or 0), ct) or 0
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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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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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slip=0.0,
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now_ms=now_ms,
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note="LIVE-BN residual already flat on exchange",
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exec_mode="LIVE",
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filled_contracts=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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logger.warning(
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"residual %s already flat on exchange; local settled=%s",
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group_id,
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booked is not None,
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)
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return None
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if local_c > ex_sz + 1e-8:
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rem_eth = eth_from_contracts(float(ex_sz), ct)
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init = float(row.get("initial_premium") or 0)
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local_eth = float(row.get("option_qty_eth") or 0)
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if local_eth > 1e-12:
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init = init * (rem_eth / local_eth)
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with self.db._lock:
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self.db._conn.execute(
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"""UPDATE residual_options SET
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option_qty_eth=?, option_qty_contracts=?, initial_premium=?
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WHERE group_id=? AND status='pending'""",
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(rem_eth, float(ex_sz), init, group_id),
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)
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self.db._conn.commit()
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row = {
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**row,
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"option_qty_eth": rem_eth,
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"option_qty_contracts": float(ex_sz),
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"initial_premium": init,
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}
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return row
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def try_close_one_residual(self, row: dict) -> dict | None:
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"""LIVE-BN：权利金达标后按最新买一 IOC 限价卖出归档期权（不扫市价）。"""
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err = self._guard_live()
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if err:
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logger.warning("residual premium close blocked: %s", err)
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return None
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synced = self._sync_residual_contracts_with_exchange(row)
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if synced is None:
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return None
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row = synced
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skip, close_bid, _oq = self._evaluate_residual_premium_close(row)
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if skip or close_bid is None:
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if skip:
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@@ -1176,10 +1236,15 @@ class BinanceLiveExecutor(Matcher):
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)
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return None
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oq2 = self._quote_held_option(option_inst_id)
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bid_px = float(oq2.bid) if oq2 is not None and oq2.bid is not None else float(close_bid)
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if bid_px <= 0:
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if oq2 is None or oq2.bid is None:
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return None
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bid_px = float(oq2.bid)
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skip2 = self._residual_bid_gate(row, bid=bid_px, oq=oq2)
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if skip2:
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logger.debug(
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"residual premium close skip %s: bid vanished", row.get("group_id")
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"residual premium close recheck skip %s: %s",
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row.get("group_id"),
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skip2,
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)
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return None
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client = self._client()
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@@ -1200,26 +1265,125 @@ class BinanceLiveExecutor(Matcher):
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return None
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of_px = float(opt_live.avg_px)
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of_fee = float(opt_live.fee)
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filled_c = (
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float(opt_live.sz)
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if opt_live.sz and float(opt_live.sz) > 0
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else opt_contracts
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filled_c = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
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if filled_c <= 1e-12:
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return None
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ex_left = exchange_option_abs_size(client, option_inst_id)
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remaining = (
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max(0.0, float(ex_left))
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if ex_left is not None
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else max(0.0, opt_contracts - filled_c)
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)
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opt_qty = eth_from_contracts(filled_c, self._ct_mult(option_inst_id))
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row = {**row, "option_qty_eth": opt_qty, "option_qty_contracts": filled_c}
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of_notional = of_px * opt_qty
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fill_eth = eth_from_contracts(filled_c, self._ct_mult(option_inst_id))
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now_ms = int(time.time() * 1000)
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return self._book_residual_market_close(
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row,
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fill_px=of_px,
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fee=of_fee,
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notional=of_notional,
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notional=of_px * fill_eth,
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slip=0.0,
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now_ms=now_ms,
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note=f"LIVE-BN residual mid-close at bid IOC px={bid_px}",
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exec_mode="LIVE",
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filled_contracts=filled_c,
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remaining_contracts=remaining,
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close_reason="residual_premium_close",
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)
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def _try_exchange_flatten_residual(
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self, row: dict, *, force: bool = False
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) -> dict | None:
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err = self._guard_live()
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if err:
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return None
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option_inst_id = str(row.get("option_inst_id") or "")
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client = self._client()
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ex_sz = exchange_option_abs_size(client, option_inst_id)
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if ex_sz is not None and ex_sz <= 1e-8:
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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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"slip": 0.0,
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"filled_contracts": 0.0,
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"remaining_contracts": 0.0,
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"note": "LIVE-BN residual flat on exchange before settle",
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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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opt_contracts = float(row.get("option_qty_contracts") or 0)
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if ex_sz is not None and ex_sz > 0:
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opt_contracts = float(ex_sz)
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if opt_contracts <= 0:
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opt_contracts = float(
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contracts_for_eth(
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float(row.get("option_qty_eth") or 0),
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self._ct_mult(option_inst_id),
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)
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or 0
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)
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if opt_contracts <= 0:
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return None
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oq = self._quote_held_option(option_inst_id)
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bid_px = float(oq.bid) if oq is not None and oq.bid is not None else 0.0
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try:
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if bid_px > 0 and not force:
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opt_live = client.place_option_ioc(
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symbol=option_inst_id,
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side="SELL",
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quantity=max(1.0, opt_contracts),
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price=bid_px,
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reduce_only=True,
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)
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else:
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opt_live = client.place_option_market(
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symbol=option_inst_id,
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side="SELL",
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quantity=max(1.0, opt_contracts),
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reduce_only=True,
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)
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except Exception as e:
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logger.warning(
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"residual exchange flatten failed %s force=%s: %s",
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row.get("group_id"),
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force,
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e,
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)
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return None
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filled_c = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
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if filled_c <= 1e-12 and force:
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try:
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opt_live = client.place_option_market(
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symbol=option_inst_id,
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side="SELL",
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quantity=max(1.0, opt_contracts),
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reduce_only=True,
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)
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filled_c = (
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float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
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)
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except Exception as e:
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logger.warning("residual emergency market sell failed: %s", e)
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return None
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if filled_c <= 1e-12:
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return None
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of_px = float(opt_live.avg_px)
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of_fee = float(opt_live.fee)
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fill_eth = eth_from_contracts(filled_c, self._ct_mult(option_inst_id))
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ex_left = exchange_option_abs_size(client, option_inst_id)
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remaining = max(0.0, float(ex_left)) if ex_left is not None else 0.0
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return {
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"fill_px": of_px,
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"fee": of_fee,
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"notional": of_px * fill_eth,
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"slip": 0.0,
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"filled_contracts": filled_c,
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"remaining_contracts": remaining,
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"note": f"LIVE-BN residual exchange flatten force={force}",
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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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def close_perp_abandon_option(
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self, *, reason: str = "target_perp_only", require_deep_otm: bool = True
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) -> CloseResult:
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