Sell residual options at latest bid via IOC limit, not market.

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

backend/app/live/binance_executor.py

@@ -1150,7 +1150,7 @@ class BinanceLiveExecutor(Matcher):
         )
 
     def try_close_one_residual(self, row: dict) -> dict | None:
-        """LIVE-BN：权利金达标后交易所市价卖出归档期权。"""
+        """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）。"""
         err = self._guard_live()
         if err:
             logger.warning("residual premium close blocked: %s", err)
@@ -1175,17 +1175,25 @@ class BinanceLiveExecutor(Matcher):
                 "residual premium close skip %s: bad contracts", row.get("group_id")
             )
             return None
+        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:
+            logger.debug(
+                "residual premium close skip %s: bid vanished", row.get("group_id")
+            )
+            return None
         client = self._client()
         try:
-            opt_live = client.place_option_market(
+            opt_live = client.place_option_ioc(
                 symbol=option_inst_id,
                 side="SELL",
                 quantity=max(1.0, opt_contracts),
+                price=bid_px,
                 reduce_only=True,
             )
         except Exception as e:
             logger.warning(
-                "residual premium close exchange sell failed %s: %s",
+                "residual premium close bid-ioc sell failed %s: %s",
                 row.get("group_id"),
                 e,
             )
@@ -1208,7 +1216,7 @@ class BinanceLiveExecutor(Matcher):
             notional=of_notional,
             slip=0.0,
             now_ms=now_ms,
-            note="LIVE-BN residual mid-close by premium recovery",
+            note=f"LIVE-BN residual mid-close at bid IOC px={bid_px}",
             exec_mode="LIVE",
         )
 

backend/app/live/binance_trade.py

@@ -201,6 +201,35 @@ class BinanceTradeClient:
         data = self._signed(self._eapi, "POST", "/eapi/v1/order", params)
         return self._fill_from_eapi(symbol, data)
 
+    def place_option_ioc(
+        self,
+        *,
+        symbol: str,
+        side: str,  # BUY|SELL
+        quantity: float,
+        price: float,
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        """期权限价 IOC：按买一/卖一价吃单，未成交部分取消。"""
+        qty = str(int(round(quantity)))
+        if qty == "0":
+            qty = "1"
+        px = f"{float(price):.8f}".rstrip("0").rstrip(".")
+        if not px or px == "0":
+            raise RuntimeError("币安期权 IOC 价格无效")
+        params: dict[str, Any] = {
+            "symbol": symbol,
+            "side": side.upper(),
+            "type": "LIMIT",
+            "timeInForce": "IOC",
+            "quantity": qty,
+            "price": px,
+        }
+        if reduce_only:
+            params["reduceOnly"] = "true"
+        data = self._signed(self._eapi, "POST", "/eapi/v1/order", params)
+        return self._fill_from_eapi(symbol, data)
+
     def _fill_from_eapi(self, symbol: str, data: dict[str, Any]) -> LiveFill:
         ord_id = str(data.get("orderId") or data.get("id") or "")
         avg = safe_float(data.get("avgPrice")) or safe_float(data.get("price"))

backend/app/live/executor.py

@@ -1193,7 +1193,7 @@ 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。"""
+        """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)
@@ -1218,18 +1218,27 @@ 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:
+            logger.debug(
+                "residual premium close skip %s: bid vanished", row.get("group_id")
+            )
+            return None
         client = self._client()
         try:
-            opt_live = client.place_market(
+            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,
             )
         except Exception as e:
             logger.warning(
-                "residual premium close exchange sell failed %s: %s",
+                "residual premium close bid-ioc sell failed %s: %s",
                 row.get("group_id"),
                 e,
             )
@@ -1252,7 +1261,7 @@ class OkxLiveExecutor(Matcher):
             notional=of_notional,
             slip=0.0,
             now_ms=now_ms,
-            note="LIVE residual mid-close by premium recovery",
+            note=f"LIVE residual mid-close at bid IOC px={bid_px}",
             exec_mode="LIVE",
         )
 

backend/app/live/okx_trade.py

@@ -157,6 +157,36 @@ class OkxTradeClient:
         fill = self._wait_fill(inst_id, ord_id)
         return fill
 
+    def place_ioc(
+        self,
+        *,
+        inst_id: str,
+        side: str,  # buy|sell
+        sz: str,
+        px: float | str,
+        td_mode: str,
+        pos_side: str | None = None,
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        """限价 IOC：残留回收等场景按指定买一/卖一吃单，不成交部分立即取消。"""
+        body: dict[str, Any] = {
+            "instId": inst_id,
+            "tdMode": td_mode,
+            "side": side,
+            "ordType": "ioc",
+            "sz": str(sz),
+            "px": str(px),
+        }
+        if pos_side:
+            body["posSide"] = pos_side
+        if reduce_only:
+            body["reduceOnly"] = True
+        rows = self._request("POST", "/api/v5/trade/order", body)
+        if not rows:
+            raise RuntimeError("OKX IOC 下单无返回")
+        ord_id = str(rows[0].get("ordId") or "")
+        return self._wait_fill(inst_id, ord_id)
+
     def _fill_from_order_row(self, inst_id: str, ord_id: str, row: dict[str, Any]) -> LiveFill:
         avg = safe_float(row.get("avgPx")) or 0.0
         sz = safe_float(row.get("accFillSz")) or safe_float(row.get("sz")) or 0.0

backend/app/sim/matcher.py

@@ -1037,7 +1037,7 @@ class Matcher:
             notional=of.notional,
             slip=of.slip,
             now_ms=now_ms,
-            note="residual mid-close by premium recovery",
+            note=f"residual mid-close at bid px={close_bid}",
         )
 
     def try_close_pending_residuals(self) -> list[dict[str, Any]]:

docs/策略说明.md

@@ -181,7 +181,7 @@ k = floor(budget / (2A + I×fee_rate×3) × 10) / 10
 - 动作：
   1. **只市价平掉永续**，兑现净利里永续那一截；
   2. 本张期权归档为「残留」：不占用活跃持仓、**不挡住下一组开仓**；下一组只扫当前活跃组期权；
-  3. **中途回收（可配置）**：默认每 **5 分钟**巡检 pending 残留；当 **买一权利金 ≥ 初始权利金 × 比例**（默认 **20%**，系统设置「残留期权回收」可改）且通过买一流动性闸门时，**市价卖掉**该残留并结清；
+  3. **中途回收（可配置）**：默认每 **5 分钟**巡检 pending 残留；当 **买一权利金 ≥ 初始权利金 × 比例**（默认 **20%**，系统设置「残留期权回收」可改）且通过买一流动性闸门时，按**最新买一 IOC 限价**卖掉该残留并结清（不扫市价簿）；
   4. 未达比例或闸门不过 → 继续等到下次巡检，或到期按 **内在价值** 结算（多半接近 0）；
   5. 页面：**活跃持仓区变空**；归档腿出现在「残留期权(待到期)」；下方期权盘口 **切回新 ATM**（见 4.6）。
 
@@ -237,7 +237,7 @@ k = floor(budget / (2A + I×fee_rate×3) × 10) / 10
   └─ 否 → 持有直到到期 → 内在价值结算（+ 若有永续则平永续）
 
 残留期权（已归档）
-  ├─ 周期性：买一权利金 / 初始 ≥ 设置% 且流动性过 → 市价卖出结清
+  ├─ 周期性：买一权利金 / 初始 ≥ 设置% 且流动性过 → 最新买一 IOC 卖出结清
   └─ 否则到期内在价值结算；不挡下一组开仓
 ```
 

frontend/src/pages/Settings.tsx

@@ -1323,8 +1323,8 @@ export default function SettingsPage() {
                       流动性闸门；LIVE 以交易所能否成交为准。
                     </li>
                     <li>
-                      残留期权回收比例：只平永续后，当买一权利金回升到初始权利金的该比例及以上时，才尝试中途卖掉归档期权；默认
-                      20%。未达标则等到期按内在价值结算。
+                      残留期权回收比例：只平永续后，当买一权利金回升到初始权利金的该比例及以上时，按最新买一
+                      IOC 限价卖掉归档期权（不扫市价）；默认 20%。未达标或未完全成交则等到下次巡检或到期结算。
                     </li>
                   </>
                 ) : null}