Harden residual mid-close: IOC partial fills, exchange reconcile, atomic book.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+259
-199
@@ -12,7 +12,7 @@ from ..exchange import get_exchange
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from ..models.db import Database, get_db
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from ..strategy.session import get_session
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from .ledger import Ledger
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from .liquidity import bid_covers_eth, bid_mark_ok, contracts_for_eth
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from .liquidity import bid_covers_eth, bid_mark_ok, contracts_for_eth, eth_from_contracts
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from .pricing import (
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is_deep_otm,
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option_expiry_settle,
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@@ -837,72 +837,64 @@ class Matcher:
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)
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)
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def _residual_bid_gate(
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self, row: dict[str, Any], *, bid: float, oq: Any
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) -> str | None:
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"""权利金比例 + 深度 + 买一/标记偏差。通过返回 None。"""
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s = get_settings()
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initial_premium = float(row.get("initial_premium") or 0)
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opt_qty = float(row.get("option_qty_eth") or 0)
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if initial_premium <= 0 or opt_qty <= 0:
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return "invalid_initial_premium_or_qty"
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if bid <= 0:
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return "option_bid_unavailable"
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current_premium = float(bid) * opt_qty
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min_pct = self._residual_min_premium_pct()
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threshold = initial_premium * (min_pct / 100.0)
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if current_premium + 1e-12 < threshold:
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return (
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f"premium_below_threshold curr={current_premium:.4f} "
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f"need>={threshold:.4f} ({min_pct:g}%)"
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)
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option_inst_id = str(row.get("option_inst_id") or "")
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ct_mult = self._ct_mult(option_inst_id)
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if not bid_covers_eth(
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bid_sz_contracts=getattr(oq, "bid_sz", None),
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ct_mult=ct_mult,
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need_eth=opt_qty,
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):
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return "option_bid_liquidity_insufficient"
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max_dev = self.ledger.get_setting_float(
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"close_bid_mark_max_pct", s.close_bid_mark_max_pct
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)
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ok_dev, why = bid_mark_ok(
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bid=float(bid),
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mark=getattr(oq, "mark_px", None),
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max_dev_pct=max_dev,
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)
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if not ok_dev:
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return why or "bid_mark_deviation"
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return None
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def _evaluate_residual_premium_close(
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self, row: dict[str, Any]
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) -> tuple[str | None, float | None, Any]:
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"""
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残留中途平前置：权利金比例 + 买一流动性。
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返回 (skip_reason, close_bid, option_quote)；skip_reason 非空则本轮不卖。
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成交价口径：最新买一（不再抬到内在价值）。
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"""
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s = get_settings()
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initial_premium = float(row.get("initial_premium") or 0)
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opt_qty = float(row.get("option_qty_eth") or 0)
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if initial_premium <= 0 or opt_qty <= 0:
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return ("invalid_initial_premium_or_qty", None, None)
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option_inst_id = str(row.get("option_inst_id") or "")
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if not option_inst_id:
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return ("missing_option_inst", None, None)
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oq = self._quote_held_option(option_inst_id)
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if oq is None or oq.bid is None:
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return ("option_bid_unavailable", None, None)
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close_bid = float(oq.bid)
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current_premium = close_bid * opt_qty
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min_pct = self._residual_min_premium_pct()
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threshold = initial_premium * (min_pct / 100.0)
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if current_premium + 1e-12 < threshold:
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return (
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f"premium_below_threshold curr={current_premium:.4f} "
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f"need>={threshold:.4f} ({min_pct:g}%)",
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None,
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None,
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)
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ct_mult = self._ct_mult(option_inst_id)
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if not bid_covers_eth(
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bid_sz_contracts=oq.bid_sz,
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ct_mult=ct_mult,
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need_eth=opt_qty,
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):
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return ("option_bid_liquidity_insufficient", None, None)
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max_dev = self.ledger.get_setting_float(
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"close_bid_mark_max_pct", s.close_bid_mark_max_pct
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)
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ok_dev, why = bid_mark_ok(bid=close_bid, mark=oq.mark_px, max_dev_pct=max_dev)
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if not ok_dev:
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return (why or "bid_mark_deviation", None, None)
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strike = row.get("strike")
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spot = self._close_spot_px(get_session().snapshot())
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intrinsic: float | None = None
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if strike is not None and spot is not None:
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intrinsic = option_intrinsic(
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option_side=str(row["option_side"]),
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strike=float(strike),
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spot=float(spot),
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)
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resolved = resolve_option_close_bid(
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bid=close_bid,
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mark=oq.mark_px,
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intrinsic=intrinsic,
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bypass_liquidity=False,
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)
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if resolved is None:
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return ("option_close_px_unavailable", None, None)
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return (None, float(resolved), oq)
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skip = self._residual_bid_gate(row, bid=close_bid, oq=oq)
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if skip:
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return (skip, None, None)
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return (None, close_bid, oq)
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def _book_residual_market_close(
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self,
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@@ -915,50 +907,108 @@ class Matcher:
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now_ms: int,
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note: str,
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exec_mode: str | None = None,
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) -> dict[str, Any]:
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"""买一卖出残留后的入账与结清（SIM/LIVE 共用）。"""
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filled_contracts: float | None = None,
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remaining_contracts: float | None = None,
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close_reason: str = "residual_premium_close",
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) -> dict[str, Any] | None:
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"""买一卖出残留后的入账（与 pending 状态同事务）。支持部分成交扣减数量。"""
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group_id = str(row["group_id"])
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opt_qty = float(row["option_qty_eth"])
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option_inst_id = str(row["option_inst_id"])
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ct_mult = self._ct_mult(option_inst_id)
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local_c = float(row.get("option_qty_contracts") or 0)
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local_eth = float(row.get("option_qty_eth") or 0)
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zero_fill_ok = (
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filled_contracts is not None
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and float(filled_contracts) <= 1e-12
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and remaining_contracts is not None
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and float(remaining_contracts) <= 1e-12
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)
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if filled_contracts is not None and float(filled_contracts) > 0:
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fill_c = float(filled_contracts)
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fill_eth = eth_from_contracts(fill_c, ct_mult)
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elif zero_fill_ok:
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fill_c = 0.0
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fill_eth = 0.0
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else:
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fill_eth = local_eth
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fill_c = local_c if local_c > 0 else contracts_for_eth(fill_eth, ct_mult)
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if fill_eth <= 0 and not zero_fill_ok:
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return None
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fill_notional = (
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float(notional)
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if float(notional) > 0
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else float(fill_px) * fill_eth
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)
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opt_entry = float(row["option_entry_px"])
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opt_pnl = (float(fill_px) - opt_entry) * opt_qty
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opt_cash = float(notional) - float(fee)
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self.ledger.apply_cash(
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opt_cash,
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kind="close_option",
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group_id=group_id,
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note=note,
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allow_negative=not get_settings().is_sim,
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)
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opt_pnl = (float(fill_px) - opt_entry) * fill_eth if fill_eth > 0 else 0.0
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opt_cash = fill_notional - float(fee)
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allow_neg = not get_settings().is_sim
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fill_cols = (
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"group_id, leg, action, side, inst_id, qty_eth, qty_contracts, "
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"base_px, fill_px, fee, slip, notional, ts_ms"
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)
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fill_vals: list[Any] = [
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group_id,
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"option",
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"close",
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"flat",
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str(row["option_inst_id"]),
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opt_qty,
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float(row["option_qty_contracts"] or 0),
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float(fill_px),
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float(fill_px),
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float(fee),
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float(slip),
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float(notional),
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now_ms,
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]
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if exec_mode:
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fill_cols += ", exec_mode"
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fill_vals.append(exec_mode)
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if remaining_contracts is not None:
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rem_c = max(0.0, float(remaining_contracts))
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else:
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rem_c = max(0.0, local_c - fill_c) if local_c > 0 else 0.0
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rem_eth = eth_from_contracts(rem_c, ct_mult) if rem_c > 0 else 0.0
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fully_done = rem_c <= 1e-8
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with self.db._lock:
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self.db._conn.execute(
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f"""INSERT INTO fills({fill_cols})
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VALUES ({",".join("?" for _ in fill_vals)})""",
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tuple(fill_vals),
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)
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pending = self.db._conn.execute(
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"SELECT * FROM residual_options WHERE group_id=? AND status='pending'",
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(group_id,),
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).fetchone()
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if pending is None:
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logger.warning(
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"residual book skip %s: not pending (already settled?)", group_id
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)
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return None
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if abs(opt_cash) > 1e-12:
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self.ledger.apply_cash(
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opt_cash,
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kind="close_option",
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group_id=group_id,
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note=note,
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allow_negative=allow_neg,
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commit=False,
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)
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if get_settings().is_sim:
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try:
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from .funds_wallets import SimFundsWallets
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SimFundsWallets(self.db).mirror_cash(
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float(opt_cash), kind="close_option"
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)
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except Exception:
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pass
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if fill_eth > 1e-12 or float(fee) > 1e-12:
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fill_cols = (
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"group_id, leg, action, side, inst_id, qty_eth, qty_contracts, "
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"base_px, fill_px, fee, slip, notional, ts_ms"
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)
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fill_vals: list[Any] = [
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group_id,
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"option",
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"close",
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"flat",
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option_inst_id,
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fill_eth,
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fill_c,
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float(fill_px),
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float(fill_px),
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float(fee),
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float(slip),
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fill_notional,
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now_ms,
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]
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if exec_mode:
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fill_cols += ", exec_mode"
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fill_vals.append(exec_mode)
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self.db._conn.execute(
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f"""INSERT INTO fills({fill_cols})
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VALUES ({",".join("?" for _ in fill_vals)})""",
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tuple(fill_vals),
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)
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fills = self.db._conn.execute(
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"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
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).fetchall()
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@@ -973,32 +1023,62 @@ class Matcher:
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).fetchone()
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fees = float(g["fees"] or 0) + float(fee) if g else float(fee)
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slip_total = float(g["slip_cost"] or 0) + float(slip) if g else float(slip)
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self.db._conn.execute(
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"""UPDATE residual_options SET status=?, settled_at_ms=?, settle_px=?, settle_pnl=?, note=?
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WHERE group_id=?""",
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(
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"settled",
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now_ms,
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float(fill_px),
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opt_pnl,
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note,
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group_id,
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),
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)
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self.db._conn.execute(
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"""UPDATE groups SET status=?, close_at_ms=COALESCE(close_at_ms, ?),
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close_reason=COALESCE(close_reason, ?), realized_pnl=?, fees=?, slip_cost=?
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WHERE group_id=?""",
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(
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"closed",
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now_ms,
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"residual_premium_close",
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float(net),
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fees,
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slip_total,
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group_id,
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),
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)
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if fully_done:
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cur = self.db._conn.execute(
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"""UPDATE residual_options SET status=?, settled_at_ms=?, settle_px=?, settle_pnl=?, note=?
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WHERE group_id=? AND status='pending'""",
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(
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"settled",
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now_ms,
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float(fill_px),
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opt_pnl,
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note,
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group_id,
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),
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)
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if cur.rowcount != 1:
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self.db._conn.rollback()
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logger.warning("residual settle race %s", group_id)
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return None
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self.db._conn.execute(
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"""UPDATE groups SET status=?, close_at_ms=COALESCE(close_at_ms, ?),
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close_reason=?, realized_pnl=?, fees=?, slip_cost=?
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WHERE group_id=?""",
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(
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"closed",
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now_ms,
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close_reason,
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float(net),
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fees,
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slip_total,
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group_id,
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),
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)
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else:
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# 按初始权利金比例缩减门槛基准，避免部分成交后永远达不到原 20%
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init_prem = float(pending["initial_premium"] or 0)
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if local_eth > 1e-12 and rem_eth > 0:
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init_prem = init_prem * (rem_eth / local_eth)
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cur = self.db._conn.execute(
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"""UPDATE residual_options SET
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option_qty_eth=?, option_qty_contracts=?, initial_premium=?, note=?
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WHERE group_id=? AND status='pending'""",
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(
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rem_eth,
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rem_c,
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init_prem,
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f"{note}; partial rem_c={rem_c}",
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group_id,
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),
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)
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if cur.rowcount != 1:
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self.db._conn.rollback()
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return None
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self.db._conn.execute(
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"""UPDATE groups SET realized_pnl=?, fees=?, slip_cost=? WHERE group_id=?""",
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(float(net), fees, slip_total, group_id),
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)
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self.db._conn.commit()
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return {
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@@ -1006,9 +1086,12 @@ class Matcher:
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"option_pnl": opt_pnl,
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"settle_px": float(fill_px),
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"net_pnl": float(net),
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"reason": "residual_premium_close",
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"current_premium": float(fill_px) * opt_qty,
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"reason": close_reason,
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"current_premium": float(fill_px) * fill_eth,
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"initial_premium": float(row.get("initial_premium") or 0),
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"filled_contracts": fill_c,
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"remaining_contracts": rem_c,
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"fully_done": fully_done,
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}
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def try_close_one_residual(self, row: dict[str, Any]) -> dict[str, Any] | None:
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@@ -1022,10 +1105,22 @@ class Matcher:
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skip,
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)
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return None
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# 下单前再刷买一并重跑门槛
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option_inst_id = str(row.get("option_inst_id") or "")
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oq2 = self._quote_held_option(option_inst_id) or oq
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bid2 = float(oq2.bid) if oq2.bid is not None else float(close_bid)
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skip2 = self._residual_bid_gate(row, bid=bid2, oq=oq2)
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if skip2:
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logger.debug(
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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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of = option_fill(
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action="close",
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bid=float(close_bid),
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ask=float(oq.ask or close_bid),
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bid=float(bid2),
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ask=float(oq2.ask or bid2),
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qty_eth=float(row["option_qty_eth"]),
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fee_rate=self._fee_rate(),
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)
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@@ -1037,7 +1132,9 @@ class Matcher:
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notional=of.notional,
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slip=of.slip,
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now_ms=now_ms,
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note=f"residual mid-close at bid px={close_bid}",
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note=f"residual mid-close at bid px={bid2}",
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filled_contracts=float(row.get("option_qty_contracts") or 0) or None,
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remaining_contracts=0.0,
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)
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def try_close_pending_residuals(self) -> list[dict[str, Any]]:
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@@ -1095,16 +1192,44 @@ class Matcher:
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out.append(r)
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return out
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def _try_exchange_flatten_residual(
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self, row: dict[str, Any], *, force: bool = False
|
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) -> dict[str, Any] | None:
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"""LIVE 覆盖：尽量在交易所卖掉残留。成功返回 fill 字段字典。"""
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return None
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def _settle_one_residual(
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self, row: dict[str, Any], *, now_ms: int, force: bool = False
|
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) -> dict[str, Any] | None:
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group_id = str(row["group_id"])
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# LIVE：优先交易所卖出再入账
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ex_fill = self._try_exchange_flatten_residual(row, force=force)
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if ex_fill is not None:
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booked = self._book_residual_market_close(
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row,
|
||||
fill_px=float(ex_fill["fill_px"]),
|
||||
fee=float(ex_fill.get("fee") or 0),
|
||||
notional=float(ex_fill["notional"]),
|
||||
slip=float(ex_fill.get("slip") or 0),
|
||||
now_ms=now_ms,
|
||||
note=str(ex_fill.get("note") or "residual exchange settle"),
|
||||
exec_mode=ex_fill.get("exec_mode"),
|
||||
filled_contracts=ex_fill.get("filled_contracts"),
|
||||
remaining_contracts=float(ex_fill.get("remaining_contracts") or 0),
|
||||
close_reason=str(
|
||||
ex_fill.get("close_reason")
|
||||
or ("emergency" if force else "expiry")
|
||||
),
|
||||
)
|
||||
if booked is not None:
|
||||
booked["forced"] = force
|
||||
return booked
|
||||
|
||||
sess = get_session()
|
||||
snap = sess.snapshot()
|
||||
spot = self._close_spot_px(snap)
|
||||
strike = row["strike"]
|
||||
if strike is None or spot is None:
|
||||
logger = __import__("logging").getLogger(__name__)
|
||||
logger.warning("residual settle skip %s: no strike/spot", group_id)
|
||||
return None
|
||||
fee_rate = self._fee_rate()
|
||||
@@ -1118,84 +1243,19 @@ class Matcher:
|
||||
qty_eth=float(row["option_qty_eth"]),
|
||||
fee_rate=fee_rate,
|
||||
)
|
||||
opt_entry = float(row["option_entry_px"])
|
||||
opt_qty = float(row["option_qty_eth"])
|
||||
opt_pnl = (of.fill_px - opt_entry) * opt_qty
|
||||
opt_cash = of.notional - of.fee
|
||||
from ..config import get_settings
|
||||
|
||||
self.ledger.apply_cash(
|
||||
opt_cash,
|
||||
kind="close_option",
|
||||
group_id=group_id,
|
||||
return self._book_residual_market_close(
|
||||
row,
|
||||
fill_px=of.fill_px,
|
||||
fee=of.fee,
|
||||
notional=of.notional,
|
||||
slip=of.slip,
|
||||
now_ms=now_ms,
|
||||
note=f"residual option expiry settle{' force' if force else ''}",
|
||||
# LIVE 本地账本仅镜像；拒记会导致 residual 永久 pending
|
||||
allow_negative=not get_settings().is_sim,
|
||||
filled_contracts=float(row.get("option_qty_contracts") or 0) or None,
|
||||
remaining_contracts=0.0,
|
||||
close_reason="expiry" if not force else "emergency",
|
||||
)
|
||||
|
||||
with self.db._lock:
|
||||
self.db._conn.execute(
|
||||
"""INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth, qty_contracts,
|
||||
base_px, fill_px, fee, slip, notional, ts_ms)
|
||||
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
group_id,
|
||||
"option",
|
||||
"close",
|
||||
"flat",
|
||||
str(row["option_inst_id"]),
|
||||
opt_qty,
|
||||
float(row["option_qty_contracts"] or 0),
|
||||
of.base_px,
|
||||
of.fill_px,
|
||||
of.fee,
|
||||
of.slip,
|
||||
of.notional,
|
||||
now_ms,
|
||||
),
|
||||
)
|
||||
fills = self.db._conn.execute(
|
||||
"SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
|
||||
).fetchall()
|
||||
from ..sim.pnl import summarize_fills_pnl
|
||||
|
||||
summary = summarize_fills_pnl(list(fills))
|
||||
net = summary.get("net_pnl")
|
||||
if net is None:
|
||||
net = opt_pnl - of.fee
|
||||
g = self.db._conn.execute(
|
||||
"SELECT fees, slip_cost FROM groups WHERE group_id=?", (group_id,)
|
||||
).fetchone()
|
||||
fees = float(g["fees"] or 0) + of.fee
|
||||
slip = float(g["slip_cost"] or 0) + of.slip
|
||||
self.db._conn.execute(
|
||||
"""UPDATE residual_options SET status=?, settled_at_ms=?, settle_px=?, settle_pnl=?, note=?
|
||||
WHERE group_id=?""",
|
||||
(
|
||||
"settled",
|
||||
now_ms,
|
||||
of.fill_px,
|
||||
opt_pnl,
|
||||
"settled at intrinsic",
|
||||
group_id,
|
||||
),
|
||||
)
|
||||
self.db._conn.execute(
|
||||
"""UPDATE groups SET status=?, close_at_ms=COALESCE(close_at_ms, ?),
|
||||
realized_pnl=?, fees=?, slip_cost=?
|
||||
WHERE group_id=?""",
|
||||
("closed", now_ms, float(net), fees, slip, group_id),
|
||||
)
|
||||
self.db._conn.commit()
|
||||
|
||||
return {
|
||||
"group_id": group_id,
|
||||
"option_pnl": opt_pnl,
|
||||
"settle_px": of.fill_px,
|
||||
"net_pnl": net,
|
||||
"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:
|
||||
|
||||
Reference in New Issue
Block a user