Harden residual mid-close: IOC partial fills, exchange reconcile, atomic book.

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

backend/app/live/executor.py

@@ -1192,12 +1192,74 @@ class OkxLiveExecutor(Matcher):
             },
         )
 
+    def _sync_residual_contracts_with_exchange(self, row: dict) -> dict | None:
+        """按交易所持仓修正本地残留数量；已空仓则直接结清。返回待卖 row 或 None(已处理/跳过)。"""
+        option_inst_id = str(row.get("option_inst_id") or "")
+        group_id = str(row.get("group_id") or "")
+        client = self._client()
+        ex_sz = exchange_option_abs_size(client, option_inst_id)
+        if ex_sz is None:
+            return row
+        ct = self._ct_mult(option_inst_id)
+        local_c = float(row.get("option_qty_contracts") or 0)
+        if local_c <= 0:
+            local_c = float(
+                contracts_for_eth(float(row.get("option_qty_eth") or 0), ct) or 0
+            )
+        if ex_sz <= 1e-8:
+            now_ms = int(time.time() * 1000)
+            booked = self._book_residual_market_close(
+                row,
+                fill_px=0.0,
+                fee=0.0,
+                notional=0.0,
+                slip=0.0,
+                now_ms=now_ms,
+                note="LIVE residual already flat on exchange",
+                exec_mode="LIVE",
+                filled_contracts=0.0,
+                remaining_contracts=0.0,
+                close_reason="residual_premium_close",
+            )
+            logger.warning(
+                "residual %s already flat on exchange; local settled=%s",
+                group_id,
+                booked is not None,
+            )
+            return None
+        # 交易所更少：缩到交易所数量，避免超卖
+        if local_c > ex_sz + 1e-8:
+            rem_eth = eth_from_contracts(float(ex_sz), ct)
+            init = float(row.get("initial_premium") or 0)
+            local_eth = float(row.get("option_qty_eth") or 0)
+            if local_eth > 1e-12:
+                init = init * (rem_eth / local_eth)
+            with self.db._lock:
+                self.db._conn.execute(
+                    """UPDATE residual_options SET
+                       option_qty_eth=?, option_qty_contracts=?, initial_premium=?
+                       WHERE group_id=? AND status='pending'""",
+                    (rem_eth, float(ex_sz), init, group_id),
+                )
+                self.db._conn.commit()
+            row = {
+                **row,
+                "option_qty_eth": rem_eth,
+                "option_qty_contracts": float(ex_sz),
+                "initial_premium": init,
+            }
+        return row
+
     def try_close_one_residual(self, row: dict) -> dict | None:
         """LIVE：权利金达标后按最新买一 IOC 限价卖出归档期权（不扫市价）。"""
         err = self._guard_live()
         if err:
             logger.warning("residual premium close blocked: %s", err)
             return None
+        synced = self._sync_residual_contracts_with_exchange(row)
+        if synced is None:
+            return None
+        row = synced
         skip, close_bid, _oq = self._evaluate_residual_premium_close(row)
         if skip or close_bid is None:
             if skip:
@@ -1218,12 +1280,16 @@ class OkxLiveExecutor(Matcher):
                 "residual premium close skip %s: bad contracts", row.get("group_id")
             )
             return None
-        # 下单前再刷一次买一，按最新盘口挂 IOC
         oq2 = self._quote_held_option(option_inst_id)
-        bid_px = float(oq2.bid) if oq2 is not None and oq2.bid is not None else float(close_bid)
-        if bid_px <= 0:
+        if oq2 is None or oq2.bid is None:
+            return None
+        bid_px = float(oq2.bid)
+        skip2 = self._residual_bid_gate(row, bid=bid_px, oq=oq2)
+        if skip2:
             logger.debug(
-                "residual premium close skip %s: bid vanished", row.get("group_id")
+                "residual premium close recheck skip %s: %s",
+                row.get("group_id"),
+                skip2,
             )
             return None
         client = self._client()
@@ -1245,26 +1311,131 @@ class OkxLiveExecutor(Matcher):
             return None
         of_px = float(opt_live.avg_px)
         of_fee = float(opt_live.fee)
-        filled_c = (
-            float(opt_live.sz)
-            if opt_live.sz and float(opt_live.sz) > 0
-            else opt_contracts
-        )
-        opt_qty = eth_from_contracts(filled_c, self._ct_mult(option_inst_id))
-        row = {**row, "option_qty_eth": opt_qty, "option_qty_contracts": filled_c}
-        of_notional = of_px * opt_qty
+        filled_c = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
+        if filled_c <= 1e-12:
+            return None
+        ex_left = exchange_option_abs_size(client, option_inst_id)
+        if ex_left is not None:
+            remaining = max(0.0, float(ex_left))
+        else:
+            remaining = max(0.0, opt_contracts - filled_c)
+        fill_eth = eth_from_contracts(filled_c, self._ct_mult(option_inst_id))
         now_ms = int(time.time() * 1000)
         return self._book_residual_market_close(
             row,
             fill_px=of_px,
             fee=of_fee,
-            notional=of_notional,
+            notional=of_px * fill_eth,
             slip=0.0,
             now_ms=now_ms,
             note=f"LIVE residual mid-close at bid IOC px={bid_px}",
             exec_mode="LIVE",
+            filled_contracts=filled_c,
+            remaining_contracts=remaining,
+            close_reason="residual_premium_close",
         )
 
+    def _try_exchange_flatten_residual(
+        self, row: dict, *, force: bool = False
+    ) -> dict | None:
+        """到期/紧急：优先交易所卖掉残留；失败返回 None 走内在价值。"""
+        err = self._guard_live()
+        if err:
+            return None
+        option_inst_id = str(row.get("option_inst_id") or "")
+        client = self._client()
+        ex_sz = exchange_option_abs_size(client, option_inst_id)
+        if ex_sz is not None and ex_sz <= 1e-8:
+            return {
+                "fill_px": 0.0,
+                "fee": 0.0,
+                "notional": 0.0,
+                "slip": 0.0,
+                "filled_contracts": 0.0,
+                "remaining_contracts": 0.0,
+                "note": "LIVE residual flat on exchange before settle",
+                "exec_mode": "LIVE",
+                "close_reason": "emergency" if force else "expiry",
+            }
+        opt_contracts = float(row.get("option_qty_contracts") or 0)
+        if ex_sz is not None and ex_sz > 0:
+            opt_contracts = float(ex_sz)
+        if opt_contracts <= 0:
+            opt_contracts = float(
+                contracts_for_eth(
+                    float(row.get("option_qty_eth") or 0),
+                    self._ct_mult(option_inst_id),
+                )
+                or 0
+            )
+        if opt_contracts <= 0:
+            return None
+        oq = self._quote_held_option(option_inst_id)
+        bid_px = float(oq.bid) if oq is not None and oq.bid is not None else 0.0
+        try:
+            if bid_px > 0 and not force:
+                opt_live = client.place_ioc(
+                    inst_id=option_inst_id,
+                    side="sell",
+                    sz=str(max(1, int(round(opt_contracts)))),
+                    px=bid_px,
+                    td_mode="cash",
+                    reduce_only=True,
+                )
+            else:
+                opt_live = client.place_market(
+                    inst_id=option_inst_id,
+                    side="sell",
+                    sz=str(max(1, int(round(opt_contracts)))),
+                    td_mode="cash",
+                    reduce_only=True,
+                )
+        except Exception as e:
+            logger.warning(
+                "residual exchange flatten failed %s force=%s: %s",
+                row.get("group_id"),
+                force,
+                e,
+            )
+            return None
+        filled_c = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
+        if filled_c <= 1e-12 and force:
+            # 紧急：再试市价
+            try:
+                opt_live = client.place_market(
+                    inst_id=option_inst_id,
+                    side="sell",
+                    sz=str(max(1, int(round(opt_contracts)))),
+                    td_mode="cash",
+                    reduce_only=True,
+                )
+                filled_c = (
+                    float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
+                )
+            except Exception as e:
+                logger.warning("residual emergency market sell failed: %s", e)
+                return None
+        if filled_c <= 1e-12:
+            return None
+        of_px = float(opt_live.avg_px)
+        of_fee = float(opt_live.fee)
+        fill_eth = eth_from_contracts(filled_c, self._ct_mult(option_inst_id))
+        ex_left = exchange_option_abs_size(client, option_inst_id)
+        remaining = max(0.0, float(ex_left)) if ex_left is not None else 0.0
+        # 到期/紧急要求尽量结清：若仍有剩余且 force，不在此硬结（返回 None 让内在价值兜底会重复）
+        # 有成交则先入账已成交部分；剩余留 pending 由下次处理，除非交易所已空
+        return {
+            "fill_px": of_px,
+            "fee": of_fee,
+            "notional": of_px * fill_eth,
+            "slip": 0.0,
+            "filled_contracts": filled_c,
+            "remaining_contracts": remaining,
+            "note": f"LIVE residual exchange flatten force={force}",
+            "exec_mode": "LIVE",
+            "close_reason": "emergency" if force else "expiry",
+        }
+
     def close_perp_abandon_option(
         self, *, reason: str = "target_perp_only", require_deep_otm: bool = True
     ) -> CloseResult: