Floor option close at intrinsic to fix expiry garbage quotes.

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

backend/app/sim/pricing.py

@@ -17,6 +17,49 @@ class PriceResult:
         return asdict(self)
 
 
+def option_intrinsic(*, option_side: str, strike: float, spot: float) -> float:
+    """多头期权内在价值（USDT/ETH）。call=max(S−K,0)，put=max(K−S,0)。"""
+    s = float(spot)
+    k = float(strike)
+    side = str(option_side).lower().strip()
+    if side in ("call", "c"):
+        return max(s - k, 0.0)
+    if side in ("put", "p"):
+        return max(k - s, 0.0)
+    return 0.0
+
+
+def resolve_option_close_bid(
+    *,
+    bid: float | None,
+    mark: float | None,
+    intrinsic: float | None,
+    bypass_liquidity: bool,
+) -> float | None:
+    """
+    平仓用买一价；多头卖出不得低于内在价值（SIM 防到期垃圾盘口）。
+    bypass 时：买一缺失可用标记/内在价值兜底。
+    """
+    candidates: list[float] = []
+    if bid is not None and bid >= 0:
+        candidates.append(float(bid))
+    if bypass_liquidity and mark is not None and mark >= 0:
+        candidates.append(float(mark))
+    if intrinsic is not None and intrinsic >= 0:
+        candidates.append(float(intrinsic))
+    if not candidates:
+        return None
+    # 常规：有买一时，仍用 max(买一, 内在价值) 抬到合理底价
+    # bypass：max(买一, 标记, 内在价值)
+    if bypass_liquidity:
+        return max(candidates)
+    if bid is None:
+        return None
+    if intrinsic is not None and intrinsic >= 0:
+        return max(float(bid), float(intrinsic))
+    return float(bid)
+
+
 def perp_fill(
     *,
     side: str,