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>

.env.example

@@ -36,6 +36,7 @@ LEVERAGE=3
 MIN_OPTION_HOURS=12
 MIN_OPTION_LEVERAGE=100
 EXIT_MOVE_PCT=2
+CLOSE_BID_MARK_MAX_PCT=30
 REST_SECONDS=300
 PERP_QTY_ETH=1
 OPTION_QTY_ETH=2

backend/app/api/settings.py

@@ -20,6 +20,7 @@ KEYS = (
     "leverage",
     "min_option_hours",
     "min_option_leverage",
+    "close_bid_mark_max_pct",
     "perp_qty_eth",
     "option_qty_eth",
 )
@@ -33,6 +34,7 @@ class StrategySettingsBody(BaseModel):
     leverage: float | None = Field(default=None, ge=1, le=125)
     min_option_hours: float | None = Field(default=None, ge=1, le=720)
     min_option_leverage: float | None = Field(default=None, ge=1, le=10000)
+    close_bid_mark_max_pct: float | None = Field(default=None, ge=1, le=100)
     perp_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
     option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
 
@@ -60,6 +62,10 @@ def _read_settings() -> dict:
             db.get_setting("min_option_leverage", str(s.min_option_leverage))
             or s.min_option_leverage
         ),
+        "close_bid_mark_max_pct": float(
+            db.get_setting("close_bid_mark_max_pct", str(s.close_bid_mark_max_pct))
+            or s.close_bid_mark_max_pct
+        ),
         "perp_qty_eth": float(
             db.get_setting("perp_qty_eth", str(s.perp_qty_eth)) or s.perp_qty_eth
         ),

backend/app/api/sim.py

@@ -37,6 +37,8 @@ async def sim_open_group(
     _user: Annotated[str, Depends(require_user)],
     body: ManualOpenBody | None = None,
 ) -> dict:
+    if Matcher().has_open_position():
+        raise HTTPException(status_code=409, detail="有未平仓，禁止开下一组")
     gw = get_gateway()
     pick = await gw.pick_for_open_async()
     if pick is None:

backend/app/config.py

@@ -48,6 +48,7 @@ class Settings(BaseSettings):
     leverage: float = 3.0  # 永续杠杆
     min_option_hours: float = 12.0  # 期权最小剩余小时
     min_option_leverage: float = 100.0  # 现价/卖一权利金 下限
+    close_bid_mark_max_pct: float = 30.0  # 平仓：买一相对标记最大偏差%
     perp_qty_eth: float = 1.0
     option_qty_eth: float = 2.0
     option_ct_mult_default: float = 0.01

backend/app/models/db.py

@@ -155,6 +155,7 @@ class Database:
                 "leverage": str(s.leverage),
                 "min_option_hours": str(s.min_option_hours),
                 "min_option_leverage": str(s.min_option_leverage),
+                "close_bid_mark_max_pct": str(s.close_bid_mark_max_pct),
                 "perp_qty_eth": str(s.perp_qty_eth),
                 "option_qty_eth": str(s.option_qty_eth),
             }

backend/app/sim/liquidity.py

@@ -1,4 +1,4 @@
-"""期权买一流动性：张数 × ctMult 是否覆盖名义 ETH。"""
+"""期权买一流动性：深度覆盖 + 买一相对标记偏差。"""
 
 from __future__ import annotations
 
@@ -17,3 +17,32 @@ def bid_covers_eth(*, bid_sz_contracts: float | None, ct_mult: float, need_eth:
     if bid_sz_contracts is None or bid_sz_contracts <= 0:
         return False
     return eth_from_contracts(bid_sz_contracts, ct_mult) + 1e-12 >= float(need_eth)
+
+
+def bid_mark_deviation_pct(bid: float | None, mark: float | None) -> float | None:
+    """|bid-mark|/mark * 100；无法计算返回 None。"""
+    if bid is None or mark is None or mark <= 0 or bid < 0:
+        return None
+    return abs(float(bid) - float(mark)) / float(mark) * 100.0
+
+
+def bid_mark_ok(
+    *,
+    bid: float | None,
+    mark: float | None,
+    max_dev_pct: float,
+) -> tuple[bool, str]:
+    """
+    买一相对标记偏差是否可接受。
+    max_dev_pct: 百分数，如 30 表示 30%。
+    """
+    if bid is None:
+        return False, "期权买一不可用"
+    if mark is None or mark <= 0:
+        return False, "期权标记价不可用，等待"
+    dev = bid_mark_deviation_pct(bid, mark)
+    if dev is None:
+        return False, "无法计算买一/标记偏差"
+    if dev > float(max_dev_pct) + 1e-9:
+        return False, f"买一相对标记偏差 {dev:.1f}% > {max_dev_pct:.0f}%，等待"
+    return True, ""

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:
+        if not oq:
-            return CloseResult(ok=False, detail="期权买一不可用", liquidity_wait=True)
+            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(
+        max_dev = self.ledger.get_setting_float(
-            bid_sz_contracts=oq.bid_sz,
+            "close_bid_mark_max_pct", s.close_bid_mark_max_pct
-            ct_mult=ct_mult,
+        )
-            need_eth=need_eth,
+
-        ):
+        close_bid = oq.bid
-            # 记流动性不足到组 note，不改变仓位
+        if not bypass_liquidity:
-            note = f"liquidity_wait:{int(time.time())}"
+            if close_bid is None:
-            self.db.execute(
+                return self._liquidity_wait(group_id, "期权买一不可用")
-                "UPDATE groups SET note=? WHERE group_id=? AND status='open'",
+            if not bid_covers_eth(
-                (note, group_id),
+                bid_sz_contracts=oq.bid_sz,
-            )
+                ct_mult=ct_mult,
-            return CloseResult(
+                need_eth=need_eth,
-                ok=False,
+            ):
-                detail="期权买一流动性不足",
+                return self._liquidity_wait(group_id, "期权买一流动性不足")
-                liquidity_wait=True,
+            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),
+            bid=float(close_bid),
-            ask=float(oq.ask or oq.bid),
+            ask=float(oq.ask or close_bid),
             qty_eth=opt_qty,
             fee_rate=fee_rate,
         )

backend/app/strategy/engine.py

@@ -88,7 +88,8 @@ class StrategyEngine:
 
     async def emergency_close(self) -> dict[str, Any]:
         async with self._lock:
-            r = self.matcher.close_group(reason="emergency")
+            # 紧急全平：绕过期权流动性/偏差校验
+            r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
             if r.ok:
                 self._after_close()
             return {
@@ -155,8 +156,8 @@ class StrategyEngine:
         exit_pct = self.ledger.get_setting_float("exit_move_pct", s.exit_move_pct)
         pos = self.matcher.current_position()
 
+        # 有未平仓：只盯平仓，绝不开下一组
         if pos.get("status") == "open":
-            self._set_state(phase="open", last_error=None)
             upl = self.matcher.unrealized()
             decision = check_exits(
                 perp_upl=float(upl["perp_upl"]),
@@ -164,17 +165,22 @@ class StrategyEngine:
                 move_pct=float(upl.get("move_pct") or 0),
                 exit_move_pct=exit_pct,
             )
-            if decision.should_close:
+            pending_close = st["phase"] in ("liquidity_wait", "closing")
-                self._set_state(phase="closing")
+            if decision.should_close or pending_close:
+                reason = decision.reason or "liquidity_retry"
+                if not pending_close:
+                    self._set_state(phase="closing", last_error=None)
                 r = await asyncio.to_thread(
-                    self.matcher.close_group, reason=decision.reason
+                    self.matcher.close_group, reason=reason, bypass_liquidity=False
                 )
                 if r.ok:
                     self._after_close()
                 elif r.liquidity_wait:
                     self._set_state(phase="liquidity_wait", last_error=r.detail)
                 else:
-                    self._set_state(last_error=r.detail)
+                    self._set_state(phase="closing", last_error=r.detail)
+            else:
+                self._set_state(phase="open", last_error=None)
             return
 
         if st["phase"] == "resting" and st["rest_until_ms"]:
@@ -190,6 +196,11 @@ class StrategyEngine:
         if st["phase"] in ("stopped", "outside_window"):
             self._set_state(phase="idle")
 
+        # 双保险：账本仍显示有仓则不开
+        if self.matcher.has_open_position():
+            self._set_state(phase="open", last_error="有未平仓，禁止开下一组")
+            return
+
         self._set_state(phase="wait_signal")
         pick = await get_session().pick_for_open_async()
         if pick is None:

backend/tests/test_p1_p2_rules.py

@@ -1,6 +1,7 @@
 from datetime import datetime
 from zoneinfo import ZoneInfo
 
+from app.sim.liquidity import bid_mark_ok
 from app.sim.pricing import option_fill, perp_fill
 from app.strategy.clock import can_open_new, window_key
 from app.strategy.exits import check_exits
@@ -61,3 +62,14 @@ def test_window_always_open() -> None:
     n2 = datetime(2026, 7, 24, 10, 0, tzinfo=_SH)
     assert can_open_new(n2) is True
     assert window_key(n2) == "20260724"
+
+
+def test_bid_mark_deviation_30pct() -> None:
+    # |7-10|/10 = 30% → 允许（≤30%）
+    ok, _ = bid_mark_ok(bid=7.0, mark=10.0, max_dev_pct=30)
+    assert ok is True
+    ok2, _ = bid_mark_ok(bid=6.9, mark=10.0, max_dev_pct=30)
+    assert ok2 is False
+    ok3, why = bid_mark_ok(bid=None, mark=10.0, max_dev_pct=30)
+    assert ok3 is False
+    assert "买一" in why

frontend/src/api/client.ts

@@ -165,6 +165,7 @@ export type StrategySettings = {
   leverage: number;
   min_option_hours: number;
   min_option_leverage: number;
+  close_bid_mark_max_pct: number;
   perp_qty_eth: number;
   option_qty_eth: number;
   ledger: { equity: number; available: number };

frontend/src/pages/Settings.tsx

@@ -26,6 +26,7 @@ export default function SettingsPage() {
   const [leverage, setLeverage] = useState(3);
   const [minHours, setMinHours] = useState(12);
   const [minOptLev, setMinOptLev] = useState(100);
+  const [closeDevPct, setCloseDevPct] = useState(30);
   const [perpQty, setPerpQty] = useState(1);
   const [optQty, setOptQty] = useState(2);
   const [stratOk, setStratOk] = useState("");
@@ -39,6 +40,7 @@ export default function SettingsPage() {
         setLeverage(s.leverage ?? 3);
         setMinHours(s.min_option_hours ?? 12);
         setMinOptLev(s.min_option_leverage ?? 100);
+        setCloseDevPct(s.close_bid_mark_max_pct ?? 30);
         setPerpQty(s.perp_qty_eth ?? 1);
         setOptQty(s.option_qty_eth ?? 2);
       })
@@ -90,6 +92,7 @@ export default function SettingsPage() {
           leverage,
           min_option_hours: minHours,
           min_option_leverage: minOptLev,
+          close_bid_mark_max_pct: closeDevPct,
           perp_qty_eth: perpQty,
           option_qty_eth: optQty,
         }),
@@ -179,6 +182,18 @@ export default function SettingsPage() {
                 onChange={(e) => setExitPct(Number(e.target.value))}
               />
             </div>
+            <div className="field">
+              <label htmlFor="closeDev">平仓买一/标记最大偏差（%）</label>
+              <input
+                id="closeDev"
+                className="mono"
+                type="number"
+                step="1"
+                min="1"
+                value={closeDevPct}
+                onChange={(e) => setCloseDevPct(Number(e.target.value))}
+              />
+            </div>
             <div className="field">
               <label htmlFor="perp">永续 ETH 数量</label>
               <input