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

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-02 14:25:03 +08:00
parent 62c91d4bd0
commit 640ecc9530
7 changed files with 89 additions and 13 deletions
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backend/app/live/binance_executor.py
+12 -4
View File
@@ -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
+29
View File
@@ -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
+13 -4
View File
@@ -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
+30
View File
@@ -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
+1 -1
View File
@@ -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]]: