Close residual options when premium recovers above configurable threshold.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-02 14:19:21 +08:00
parent 60b3743e8d
commit 62c91d4bd0
12 changed files with 603 additions and 11 deletions
@@ -1192,6 +1192,70 @@ class OkxLiveExecutor(Matcher):
            },
        )

+    def try_close_one_residual(self, row: dict) -> dict | None:
+        """LIVE：权利金达标后交易所市价卖出归档期权。"""
+        err = self._guard_live()
+        if err:
+            logger.warning("residual premium close blocked: %s", err)
+            return None
+        skip, close_bid, _oq = self._evaluate_residual_premium_close(row)
+        if skip or close_bid is None:
+            if skip:
+                logger.debug(
+                    "residual premium close skip %s: %s",
+                    row.get("group_id"),
+                    skip,
+                )
+            return None
+        option_inst_id = str(row.get("option_inst_id") or "")
+        opt_contracts = float(row.get("option_qty_contracts") or 0)
+        opt_qty = float(row.get("option_qty_eth") or 0)
+        if opt_contracts <= 0:
+            ct = self._ct_mult(option_inst_id)
+            opt_contracts = float(contracts_for_eth(opt_qty, ct) or 0)
+        if opt_contracts <= 0:
+            logger.warning(
+                "residual premium close skip %s: bad contracts", row.get("group_id")
+            )
+            return None
+        client = self._client()
+        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,
+            )
+        except Exception as e:
+            logger.warning(
+                "residual premium close exchange sell failed %s: %s",
+                row.get("group_id"),
+                e,
+            )
+            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
+        now_ms = int(time.time() * 1000)
+        return self._book_residual_market_close(
+            row,
+            fill_px=of_px,
+            fee=of_fee,
+            notional=of_notional,
+            slip=0.0,
+            now_ms=now_ms,
+            note="LIVE residual mid-close by premium recovery",
+            exec_mode="LIVE",
+        )
+
    def close_perp_abandon_option(
        self, *, reason: str = "target_perp_only", require_deep_otm: bool = True
    ) -> CloseResult: