Add option close liquidity gate with 30% bid/mark cap.

Block new opens while flat legs wait; emergency close bypasses the check.

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

backend/app/sim/matcher.py

@@ -11,7 +11,7 @@ from ..exchange import get_exchange
 from ..models.db import Database, get_db
 from ..strategy.session import get_session
 from .ledger import Ledger
-from .liquidity import bid_covers_eth, contracts_for_eth
+from .liquidity import bid_covers_eth, bid_mark_ok, contracts_for_eth
 from .pricing import option_fill, perp_fill
 
 
@@ -54,6 +54,18 @@ class Matcher:
         assert row is not None
         return dict(row)
 
+    def has_open_position(self) -> bool:
+        pos = self.current_position()
+        return pos.get("status") == "open" and bool(pos.get("group_id"))
+
+    def _liquidity_wait(self, group_id: str, detail: str) -> CloseResult:
+        note = f"liquidity_wait:{int(time.time())}:{detail[:80]}"
+        self.db.execute(
+            "UPDATE groups SET note=? WHERE group_id=? AND status='open'",
+            (note, group_id),
+        )
+        return CloseResult(ok=False, detail=detail, liquidity_wait=True)
+
     def open_group(
         self,
         *,
@@ -219,7 +231,11 @@ class Matcher:
             },
         )
 
-    def close_group(self, *, reason: str) -> CloseResult:
+    def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
+        """
+        全平一组。默认校验期权买一深度 + 买一/标记偏差（默认≤30%）。
+        bypass_liquidity=True：紧急全平可绕过（仍需有可用买一价才能成交；无买一时用标记近似）。
+        """
         s = get_settings()
         pos = self.current_position()
         if pos.get("status") != "open" or not pos.get("group_id"):
@@ -236,27 +252,40 @@ class Matcher:
         oq = get_exchange().quote(option_inst_id) or (
             snap.call if option_side == "call" else snap.put
         )
-        if not oq or oq.bid is None:
-            return CloseResult(ok=False, detail="期权买一不可用", liquidity_wait=True)
+        if not oq:
+            return CloseResult(
+                ok=False,
+                detail="期权盘口不可用",
+                liquidity_wait=not bypass_liquidity,
+            )
 
         ct_mult = self._ct_mult(option_inst_id)
         need_eth = float(pos["option_qty_eth"] or s.option_qty_eth)
-        if not bid_covers_eth(
-            bid_sz_contracts=oq.bid_sz,
-            ct_mult=ct_mult,
-            need_eth=need_eth,
-        ):
-            # 记流动性不足到组 note，不改变仓位
-            note = f"liquidity_wait:{int(time.time())}"
-            self.db.execute(
-                "UPDATE groups SET note=? WHERE group_id=? AND status='open'",
-                (note, group_id),
-            )
-            return CloseResult(
-                ok=False,
-                detail="期权买一流动性不足",
-                liquidity_wait=True,
+        max_dev = self.ledger.get_setting_float(
+            "close_bid_mark_max_pct", s.close_bid_mark_max_pct
+        )
+
+        close_bid = oq.bid
+        if not bypass_liquidity:
+            if close_bid is None:
+                return self._liquidity_wait(group_id, "期权买一不可用")
+            if not bid_covers_eth(
+                bid_sz_contracts=oq.bid_sz,
+                ct_mult=ct_mult,
+                need_eth=need_eth,
+            ):
+                return self._liquidity_wait(group_id, "期权买一流动性不足")
+            ok_dev, why = bid_mark_ok(
+                bid=close_bid, mark=oq.mark_px, max_dev_pct=max_dev
             )
+            if not ok_dev:
+                return self._liquidity_wait(group_id, why)
+        else:
+            # 紧急：优先买一，否则用标记价近似成交（SIM）
+            if close_bid is None:
+                close_bid = oq.mark_px
+            if close_bid is None:
+                return CloseResult(ok=False, detail="紧急全平失败：无买一/标记价")
 
         fee_rate = self._fee_rate()
         perp_side = str(pos["perp_side"])
@@ -275,8 +304,8 @@ class Matcher:
         )
         of = option_fill(
             action="close",
-            bid=float(oq.bid),
-            ask=float(oq.ask or oq.bid),
+            bid=float(close_bid),
+            ask=float(oq.ask or close_bid),
             qty_eth=opt_qty,
             fee_rate=fee_rate,
         )