Realign ATM to current mark before open; skip while in position.

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

backend/app/market/gateway.py

@@ -15,6 +15,19 @@ from .types import MarketSnapshot, OptionPair
 
 logger = logging.getLogger(__name__)
 
+# 现价偏离当前行权价超过该点数则重选 ATM（ETH 期权常见步进 5）
+_ATM_DRIFT_POINTS = 5.0
+
+
+def _has_open_position() -> bool:
+    try:
+        from ..models.db import get_db
+
+        row = get_db().fetchone("SELECT status FROM positions WHERE id=1")
+        return bool(row and row["status"] == "open")
+    except Exception:
+        return False
+
 
 class MarketGateway:
     def __init__(self, settings: Settings | None = None) -> None:
@@ -109,6 +122,41 @@ class MarketGateway:
             )
         return pair
 
+    def _mark_for_atm(self) -> float | None:
+        snap = self.snapshot()
+        if snap.perp and snap.perp.mark_px:
+            return float(snap.perp.mark_px)
+        if snap.index_px:
+            return float(snap.index_px)
+        if snap.perp and snap.perp.bid and snap.perp.ask:
+            return (float(snap.perp.bid) + float(snap.perp.ask)) / 2
+        return None
+
+    def atm_needs_realign(self, mark_px: float | None = None) -> bool:
+        """到期日变了，或现价已偏离当前行权价超过阈值。"""
+        if self._pair is None:
+            return True
+        want = next_session_expiry_ymd()
+        if self._pair.expiry_ymd != want:
+            return True
+        mark = mark_px if mark_px is not None else self._mark_for_atm()
+        if mark is None or mark <= 0:
+            return False
+        return abs(float(self._pair.strike) - float(mark)) >= _ATM_DRIFT_POINTS
+
+    async def ensure_atm_async(self, *, force: bool = False) -> OptionPair | None:
+        """空仓时按现价对齐 ATM。有持仓时不切换，避免盯市合约被换掉。"""
+        if _has_open_position():
+            return self._pair
+        if force or self.atm_needs_realign():
+            logger.info(
+                "ATM realign force=%s old_strike=%s",
+                force,
+                self._pair.strike if self._pair else None,
+            )
+            return await self.realign_async()
+        return self._pair
+
     def snapshot(self) -> MarketSnapshot:
         return self.cache.snapshot(self.settings.perp_inst_id)
 
@@ -116,7 +164,7 @@ class MarketGateway:
         return self.snapshot().to_dict()
 
     async def _refresh_loop(self) -> None:
-        """周期性刷新指数价；跨日到期切换时重对齐。"""
+        """周期性刷新指数价；空仓时按到期/ATM 偏离重对齐。"""
         while True:
             await asyncio.sleep(30)
             try:
@@ -124,10 +172,12 @@ class MarketGateway:
                     self.rest.fetch_index_ticker, self.settings.index_inst_id
                 )
                 self.cache.set_index_px(idx)
-                want = next_session_expiry_ymd()
-                if self._pair and self._pair.expiry_ymd != want:
-                    logger.info("expiry rollover %s -> %s", self._pair.expiry_ymd, want)
-                    await self.realign_async()
+                mark = await asyncio.to_thread(
+                    self.rest.fetch_mark_price, self.settings.perp_inst_id
+                )
+                if mark:
+                    self.cache.set_mark_px(self.settings.perp_inst_id, mark)
+                await self.ensure_atm_async(force=False)
             except asyncio.CancelledError:
                 raise
             except Exception as e: