Recover stuck opening and harden LIVE open/close reconcile.

Stamp open intent, recover opening from exchange option/perp state, skip resell/reopen when already flat, and persist Binance margin mode. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-29 20:32:45 +08:00
parent 44fd0371b9
commit e2a19a1614
8 changed files with 893 additions and 104 deletions
@@ -17,8 +17,11 @@ from .okx_trade import OkxTradeClient
 from .reconcile import (
    assert_safe_to_open_live,
    claim_open_slot,
+    exchange_option_abs_size,
    perp_close_contracts_okx,
+    recover_stuck_opening,
    release_open_slot_if_opening,
+    stamp_opening_intent,
 )
 from .symbols import live_settings, resolve_perp_inst_id

@@ -132,6 +135,18 @@ class OkxLiveExecutor(Matcher):
        ct_mult = self._ct_mult(option_inst_id)
        opt_contracts = contracts_for_eth(opt_qty, ct_mult)

+        # 意图先落库：崩溃后仍可 recover（含 option_inst_id）
+        stamp_opening_intent(
+            self.db,
+            group_id=group_id,
+            option_inst_id=option_inst_id,
+            option_side=option_side,
+            perp_side=perp_side,
+            option_qty_eth=opt_qty,
+            option_qty_contracts=float(opt_contracts),
+            entry_index_px=entry_index_px,
+        )
+
        # 期权：买入，张数 = contracts
        try:
            opt_fill = client.place_market(
@@ -158,6 +173,17 @@ class OkxLiveExecutor(Matcher):
        )
        opt_contracts = filled_opt_contracts
        opt_qty = eth_from_contracts(opt_contracts, ct_mult)
+        stamp_opening_intent(
+            self.db,
+            group_id=group_id,
+            option_inst_id=option_inst_id,
+            option_side=option_side,
+            perp_side=perp_side,
+            option_qty_eth=opt_qty,
+            option_qty_contracts=float(opt_contracts),
+            entry_index_px=entry_index_px,
+            option_entry_px=float(opt_fill.avg_px),
+        )

        # 永续市价：按产品假设，失败原因实质为保证金不足 → 必须回滚期权
        mgn = self._perp_margin_mode()
@@ -190,6 +216,21 @@ class OkxLiveExecutor(Matcher):
            )
        except Exception as e:
            logger.exception("live open perp failed (likely margin); rollback option")
+            # 永续可能已成交：先查仓，有仓则不得回滚期权
+            try:
+                live_perp = client.get_perp_pos_sz(
+                    perp_inst, pos_side=("long" if perp_side == "long" else "short")
+                )
+            except Exception:
+                live_perp = None
+            if live_perp is not None and live_perp > 1e-8:
+                return OpenResult(
+                    ok=False,
+                    detail=(
+                        f"永续可能已成交但未确认成交明细(保留 opening): {e}; "
+                        f"ex_perp={live_perp}"
+                    ),
+                )
            try:
                client.place_market(
                    inst_id=option_inst_id,
@@ -544,6 +585,109 @@ class OkxLiveExecutor(Matcher):
            data={"group_id": group_id, "exec_mode": "LIVE"},
        )

+    def recover_opening(self) -> CloseResult:
+        """恢复 stuck opening（交易所对账后 half_open/open/清槽）。"""
+        err = self._guard_live()
+        if err:
+            return CloseResult(ok=False, detail=err)
+        r = recover_stuck_opening(self)
+        if r is None:
+            return CloseResult(ok=False, detail="非 opening 状态")
+        return r
+
+    def _promote_opening_to_open(
+        self,
+        *,
+        pos: dict,
+        perp_inst: str,
+        opt_sz: float,
+        perp_total: float,
+    ) -> CloseResult:
+        """opening + 交易所双边有仓 → 落本地 open（用 stamp/设置数量）。"""
+        s = live_settings()
+        group_id = str(pos.get("group_id") or f"RCV-{int(time.time())}")
+        option_inst_id = str(pos.get("option_inst_id") or "")
+        option_side = str(pos.get("option_side") or "call")
+        perp_side = str(pos.get("perp_side") or "long")
+        of_px = float(pos.get("option_entry_px") or 0) or 0.0
+        opt_qty = float(pos.get("option_qty_eth") or 0)
+        opt_contracts = float(pos.get("option_qty_contracts") or opt_sz or 0)
+        if opt_qty <= 0 and opt_contracts > 0:
+            opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
+        perp_qty = float(pos.get("perp_qty_eth") or 0) or float(
+            self.ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth)
+        )
+        if perp_total > 0:
+            try:
+                ct_val = self._client().get_ct_val(perp_inst, inst_type="SWAP")
+                if ct_val > 0:
+                    perp_qty = float(perp_total) * float(ct_val)
+            except Exception:
+                pass
+        entry_index = float(pos.get("entry_index_px") or 0) or 0.0
+        # 永续入场价未知时用指数近似（仅恢复镜像）
+        pf_px = entry_index if entry_index > 0 else of_px
+        initial_premium = of_px * opt_qty
+        mgn = self._perp_margin_mode()
+        now = int(time.time() * 1000)
+        with self.db._lock:
+            existing = self.db._conn.execute(
+                "SELECT group_id FROM groups WHERE group_id=?", (group_id,)
+            ).fetchone()
+            if existing is None:
+                self.db._conn.execute(
+                    """INSERT INTO groups(
+                        group_id, status, bias, option_side, perp_side, option_inst_id, perp_inst_id,
+                        strike, expiry_ymd, entry_index_px, initial_premium, open_at_ms, fees, slip_cost,
+                        exec_mode, perp_margin_mode, note
+                    ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+                    (
+                        group_id,
+                        "open",
+                        "recover",
+                        option_side,
+                        perp_side,
+                        option_inst_id,
+                        perp_inst,
+                        None,
+                        None,
+                        entry_index,
+                        initial_premium,
+                        now,
+                        0.0,
+                        0.0,
+                        "LIVE",
+                        mgn,
+                        "recover_opening both legs",
+                    ),
+                )
+            self.db._conn.execute(
+                """UPDATE positions SET
+                    group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
+                    option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
+                    option_entry_px=?, entry_index_px=?, initial_premium=?, status='open'
+                    WHERE id=1""",
+                (
+                    group_id,
+                    perp_side,
+                    perp_qty,
+                    pf_px,
+                    option_inst_id,
+                    option_side,
+                    opt_qty,
+                    opt_contracts,
+                    of_px,
+                    entry_index,
+                    initial_premium,
+                ),
+            )
+            self.db._conn.commit()
+        return CloseResult(
+            ok=True,
+            detail="recover_opening: 已提升为 open",
+            data={"group_id": group_id, "exec_mode": "LIVE"},
+        )
+
    def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
        err = self._guard_live()
        if err:
@@ -552,6 +696,8 @@ class OkxLiveExecutor(Matcher):
        s = live_settings()
        pos = self.current_position()
        st = str(pos.get("status") or "")
+        if st == "opening":
+            return self.recover_opening()
        if st == "half_open":
            return self.repair_half_open()
        if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
@@ -619,7 +765,35 @@ class OkxLiveExecutor(Matcher):
                opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
                of_notional = of_px * opt_qty
            except Exception as e:
-                if is_expiry and intrinsic is not None:
+                # 交易所期权可能已空（上次卖出成功但未 mark）：跳过再卖，直接 pending
+                ex_opt = exchange_option_abs_size(client, option_inst_id)
+                if ex_opt is not None and ex_opt <= 1e-8:
+                    prev = self.db.fetchone(
+                        """SELECT fill_px, fee, notional, slip FROM fills
+                           WHERE group_id=? AND leg='option' AND action='close'
+                           ORDER BY id DESC LIMIT 1""",
+                        (group_id,),
+                    )
+                    if prev is not None:
+                        of_px = float(prev["fill_px"])
+                        of_fee = float(prev["fee"] or 0)
+                        of_notional = float(prev["notional"] or (of_px * opt_qty))
+                        of_slip = float(prev["slip"] or 0)
+                    elif is_expiry and intrinsic is not None:
+                        of = option_expiry_settle(
+                            intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate
+                        )
+                        of_px, of_fee, of_notional = of.fill_px, of.fee, of.notional
+                        of_slip = 0.0
+                    else:
+                        of_px = float(pos.get("option_entry_px") or 0) or 0.0
+                        of_fee = 0.0
+                        of_notional = of_px * opt_qty
+                        of_slip = 0.0
+                    logger.warning(
+                        "option already flat on exchange; skip resell: %s", e
+                    )
+                elif is_expiry and intrinsic is not None:
                    # 到期后交易所可能已不能交易：用本地结算，仍进入 pending 再平永续
                    of = option_expiry_settle(
                        intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate
@@ -643,42 +817,69 @@ class OkxLiveExecutor(Matcher):
                    return CloseResult(ok=False, detail=f"实盘平期权失败: {e}")

            # 期权已平（或到期本地结算）：立刻落 pending，避免永续失败后重试再卖期权
-            self._mark_option_closed_perp_pending(
-                group_id=group_id,
-                option_inst_id=option_inst_id,
-                opt_qty=opt_qty,
-                opt_contracts=opt_contracts,
-                of_px=of_px,
-                of_fee=of_fee,
-                of_notional=of_notional,
-                of_slip=of_slip,
-                reason=reason,
+            st_now = str(self.current_position().get("status") or "")
+            prev_close = self.db.fetchone(
+                """SELECT id FROM fills
+                   WHERE group_id=? AND leg='option' AND action='close'
+                   ORDER BY id DESC LIMIT 1""",
+                (group_id,),
            )
+            if st_now == "option_closed_perp_pending" or prev_close is not None:
+                # 已入账过平期权：只保证 pending，禁止二次现金
+                if st_now != "option_closed_perp_pending":
+                    with self.db._lock:
+                        self.db._conn.execute(
+                            "UPDATE positions SET status='option_closed_perp_pending' WHERE id=1"
+                        )
+                        self.db._conn.commit()
+            else:
+                self._mark_option_closed_perp_pending(
+                    group_id=group_id,
+                    option_inst_id=option_inst_id,
+                    opt_qty=opt_qty,
+                    opt_contracts=opt_contracts,
+                    of_px=of_px,
+                    of_fee=of_fee,
+                    of_notional=of_notional,
+                    of_slip=of_slip,
+                    reason=reason,
+                )
            pending_perp_only = True

        try:
            ct_val = client.get_ct_val(perp_inst, inst_type="SWAP")
+            # pending 路径：交易所已空则禁止用 DB 数量再下单
            perp_sz = perp_close_contracts_okx(
                client,
                perp_inst=perp_inst,
                perp_side=perp_side,
                perp_qty_eth=perp_qty,
                ct_val=ct_val,
+                allow_db_fallback=not pending_perp_only,
            )
-            if perp_side == "long":
-                side, pos_side = "sell", "long"
+            if perp_sz <= 0:
+                # 永续已在交易所平掉：用入场价近似 finalize（净盈亏由对账校正）
+                pf_px = float(pos.get("perp_entry_px") or 0) or 0.0
+                pf_fee = 0.0
+                logger.warning(
+                    "perp already flat on exchange; finalize without order group=%s",
+                    group_id,
+                )
            else:
-                side, pos_side = "buy", "short"
-            perp_live = client.place_market(
-                inst_id=perp_inst,
-                side=side,
-                sz=str(perp_sz),
-                td_mode=self._perp_margin_mode_for_group(group_id),
-                pos_side=pos_side,
-                reduce_only=True,
-            )
-            pf_px = float(perp_live.avg_px)
-            pf_fee = float(perp_live.fee)
+                if perp_side == "long":
+                    side, pos_side = "sell", "long"
+                else:
+                    side, pos_side = "buy", "short"
+                perp_live = client.place_market(
+                    inst_id=perp_inst,
+                    side=side,
+                    sz=str(perp_sz),
+                    td_mode=self._perp_margin_mode_for_group(group_id),
+                    pos_side=pos_side,
+                    reduce_only=True,
+                )
+                pf_px = float(perp_live.avg_px)
+                pf_fee = float(perp_live.fee)
        except Exception as e:
            return CloseResult(
                ok=False,