Skip used/residual expiries so ATM monitors the next day.

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

backend/app/strategy/clock.py

@@ -59,6 +59,20 @@ def used_expiry_ymds_for_day(db: Any, now: datetime | None = None) -> set[str]:
     return out
 
 
+def pending_residual_expiry_ymds(db: Any) -> set[str]:
+    """待到期结算的残留期权到期日（YYMMDD）；监控/下一组开仓应跳过这些档。"""
+    rows = db.fetchall(
+        """SELECT DISTINCT expiry_ymd FROM residual_options
+           WHERE status='pending' AND expiry_ymd IS NOT NULL AND TRIM(expiry_ymd) != ''"""
+    )
+    out: set[str] = set()
+    for r in rows or []:
+        y = str(r["expiry_ymd"] or "").strip()
+        if y:
+            out.add(y)
+    return out
+
+
 def expiry_blocked_by_one_per_day(
     expiry_ymd: str | None,
     used: set[str],

backend/app/strategy/session.py

@@ -69,6 +69,31 @@ def _as_bool_setting(raw: str | None, default: bool) -> bool:
     return str(raw).strip().lower() in ("1", "true", "yes", "on")
 
 
+def _skip_expiry_ymds_for_next() -> set[str]:
+    """
+    空仓选约/监控应跳过的到期日：
+    - 当日已开过（one_expiry_per_day）
+    - 仍有待结算残留期权的到期档（该档已「完成」开平，盯下一档）
+    """
+    skip: set[str] = set()
+    try:
+        from ..models.db import get_db
+        from .clock import pending_residual_expiry_ymds, used_expiry_ymds_for_day
+
+        s = get_settings()
+        db = get_db()
+        one_exp_day = _as_bool_setting(
+            db.get_setting("one_expiry_per_day", str(s.one_expiry_per_day)),
+            s.one_expiry_per_day,
+        )
+        if one_exp_day:
+            skip |= used_expiry_ymds_for_day(db)
+        skip |= pending_residual_expiry_ymds(db)
+    except Exception:
+        logger.exception("skip-expiry lookup failed; continue without skip")
+    return skip
+
+
 def _strategy_floats() -> tuple[float, float, float, bool]:
     """min_hours, min_leverage, max_atm_open_offset, atm_open_offset_enabled"""
     s = get_settings()
@@ -264,12 +289,32 @@ class StrategySession:
         fixed_on, fixed_perp = _fixed_direction()
         opt_side = _option_side_for_perp(fixed_perp) if fixed_on else None
         contracts = self.ex.list_option_contracts(s.option_inst_family)
-        pair = select_option_pair(
+        eligible = list_eligible_expiry_ymds(contracts, min_hours=min_hours)
-            contracts,
+        skip = _skip_expiry_ymds_for_next()
-            mark_px=float(mark),
+        pair = None
-            min_hours=min_hours,
+        for ymd in eligible:
-            option_side=opt_side,
+            if ymd in skip:
-        )
+                logger.info(
+                    "align skip expiry=%s (used today and/or residual pending)",
+                    ymd,
+                )
+                continue
+            pair = select_option_pair(
+                contracts,
+                mark_px=float(mark),
+                expiry_ymd=ymd,
+                option_side=opt_side,
+            )
+            if pair is not None:
+                break
+        if pair is None and eligible:
+            # 候选都被跳过时仍回退最近合格档，避免盘口空白
+            pair = select_option_pair(
+                contracts,
+                mark_px=float(mark),
+                expiry_ymd=eligible[0],
+                option_side=opt_side,
+            )
         if pair is None:
             kind = f"实值/平值 {opt_side}" if opt_side else "ATM"
             raise RuntimeError(
@@ -295,26 +340,12 @@ class StrategySession:
             logger.info("no expiry with hours>=%.1f", min_hours)
             return None
 
-        used_expiries: set[str] = set()
+        skip_expiries = _skip_expiry_ymds_for_next()
-        one_exp_day = bool(s.one_expiry_per_day)
-        try:
-            from ..models.db import get_db
-            from .clock import used_expiry_ymds_for_day
-
-            db = get_db()
-            one_exp_day = _as_bool_setting(
-                db.get_setting("one_expiry_per_day", str(s.one_expiry_per_day)),
-                s.one_expiry_per_day,
-            )
-            if one_exp_day:
-                used_expiries = used_expiry_ymds_for_day(db)
-        except Exception:
-            logger.exception("one_expiry_per_day lookup failed; continue without skip")
 
         for ymd in eligible:
-            if one_exp_day and ymd in used_expiries:
+            if ymd in skip_expiries:
                 logger.info(
-                    "skip expiry=%s: already used today (one_expiry_per_day)",
+                    "skip expiry=%s: used today and/or residual pending",
                     ymd,
                 )
                 continue
@@ -459,6 +490,9 @@ class StrategySession:
             < min_hours
         ):
             return True
+        skip = _skip_expiry_ymds_for_next()
+        if str(self._pair.expiry_ymd or "") in skip:
+            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

backend/tests/test_skip_expiry_next.py

@@ -0,0 +1,61 @@
+"""空仓选约：跳过当日已用到期与残留待结算到期。"""
+
+from __future__ import annotations
+
+from app.strategy.clock import (
+    expiry_blocked_by_one_per_day,
+    pending_residual_expiry_ymds,
+    used_expiry_ymds_for_day,
+)
+
+
+class _FakeDB:
+    def __init__(
+        self,
+        *,
+        groups: list[dict] | None = None,
+        residuals: list[dict] | None = None,
+    ) -> None:
+        self._groups = groups or []
+        self._residuals = residuals or []
+
+    def fetchall(self, sql: str, params: tuple = ()) -> list[dict]:
+        s = " ".join(sql.split()).lower()
+        if "from groups" in s:
+            like = params[0] if params else ""
+            prefix = like.replace("%", "")
+            return [
+                r
+                for r in self._groups
+                if str(r.get("group_id", "")).startswith(prefix)
+            ]
+        if "from residual_options" in s:
+            return [r for r in self._residuals if r.get("status") == "pending"]
+        return []
+
+
+def test_used_expiry_ymds_for_day() -> None:
+    db = _FakeDB(
+        groups=[
+            {"group_id": "G-20260802-01", "expiry_ymd": "260803"},
+            {"group_id": "G-20260801-01", "expiry_ymd": "260802"},
+        ]
+    )
+    from datetime import datetime
+    from zoneinfo import ZoneInfo
+
+    now = datetime(2026, 8, 2, 12, 0, tzinfo=ZoneInfo("Asia/Shanghai"))
+    assert used_expiry_ymds_for_day(db, now) == {"260803"}
+    assert expiry_blocked_by_one_per_day("260803", {"260803"}, enabled=True)
+    assert not expiry_blocked_by_one_per_day("260804", {"260803"}, enabled=True)
+
+
+def test_pending_residual_expiry_ymds() -> None:
+    db = _FakeDB(
+        residuals=[
+            {"expiry_ymd": "260803", "status": "pending"},
+            {"expiry_ymd": "260802", "status": "settled"},
+            {"expiry_ymd": "", "status": "pending"},
+        ]
+    )
+    assert pending_residual_expiry_ymds(db) == {"260803"}