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

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-02 14:41:00 +08:00
parent 640ecc9530
commit 469e7a258a
8 changed files with 729 additions and 238 deletions
@@ -134,6 +134,61 @@ def test_residual_liquidity_fail_skips(tmp_path, monkeypatch) -> None:
    db.close()


+def test_residual_recheck_bid_drop_skips(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "recheck.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+
+    good = SimpleNamespace(bid=15.0, ask=15.5, bid_sz=10_000.0, mark_px=15.0)
+    bad = SimpleNamespace(bid=5.0, ask=5.5, bid_sz=10_000.0, mark_px=5.0)
+    quotes = iter([good, bad])
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: next(quotes))
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+    monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
+
+    assert m.try_close_one_residual(m.list_residual_options()[0]) is None
+    row = db.fetchone(
+        "SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "pending"
+    db.close()
+
+
+def test_residual_book_pending_guard(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "guard.db")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+    row = m.list_residual_options()[0]
+    first = m._book_residual_market_close(
+        row,
+        fill_px=15.0,
+        fee=0.01,
+        notional=30.0,
+        slip=0.0,
+        now_ms=1_700_000_100_000,
+        note="first",
+        filled_contracts=200.0,
+        remaining_contracts=0.0,
+    )
+    assert first is not None and first.get("fully_done") is True
+    second = m._book_residual_market_close(
+        row,
+        fill_px=15.0,
+        fee=0.01,
+        notional=30.0,
+        slip=0.0,
+        now_ms=1_700_000_200_000,
+        note="second",
+        filled_contracts=200.0,
+        remaining_contracts=0.0,
+    )
+    assert second is None
+    db.close()
+
+
 def test_settings_exposes_residual_min_premium_pct(tmp_path, monkeypatch) -> None:
    monkeypatch.setenv("MODE", "SIM")
    from app.api import settings as settings_api