Settle expiry options at intrinsic value like live exchange.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+69
-53
@@ -13,6 +13,7 @@ from ..strategy.session import get_session
|
||||
from .ledger import Ledger
|
||||
from .liquidity import bid_covers_eth, bid_mark_ok, contracts_for_eth
|
||||
from .pricing import (
|
||||
option_expiry_settle,
|
||||
option_fill,
|
||||
option_intrinsic,
|
||||
perp_fill,
|
||||
@@ -329,9 +330,9 @@ class Matcher:
|
||||
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/到期可绕过深度闸门；平仓价取 max(买一, 标记, 内在价值)，
|
||||
避免到期垃圾盘口把实值期权按近零价卖掉。
|
||||
成交顺序：先平期权（薄）→ 再瞬时平永续（对冲先留着）；永续盘口失败则回滚期权入账。
|
||||
reason=expiry：对齐实盘，期权按标的结算价的内在价值入账（不吃盘口）。
|
||||
bypass_liquidity=True（紧急）：绕过深度闸门，价取 max(买一, 标记, 内在价值)。
|
||||
成交顺序：先平期权 → 再瞬时平永续；永续盘口失败则回滚期权入账。
|
||||
"""
|
||||
s = get_settings()
|
||||
pos = self.current_position()
|
||||
@@ -349,12 +350,6 @@ class Matcher:
|
||||
oq = get_exchange().quote(option_inst_id) or (
|
||||
snap.call if option_side == "call" else snap.put
|
||||
)
|
||||
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)
|
||||
@@ -362,7 +357,6 @@ class Matcher:
|
||||
"close_bid_mark_max_pct", s.close_bid_mark_max_pct
|
||||
)
|
||||
|
||||
close_bid = oq.bid
|
||||
strike = self._group_strike(group_id, option_inst_id)
|
||||
spot = self._close_spot_px(snap)
|
||||
intrinsic: float | None = None
|
||||
@@ -371,59 +365,81 @@ class Matcher:
|
||||
option_side=option_side, strike=strike, spot=spot
|
||||
)
|
||||
|
||||
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)
|
||||
resolved = resolve_option_close_bid(
|
||||
bid=float(close_bid),
|
||||
mark=oq.mark_px,
|
||||
intrinsic=intrinsic,
|
||||
bypass_liquidity=False,
|
||||
)
|
||||
if resolved is None:
|
||||
return self._liquidity_wait(group_id, "期权平仓价不可用")
|
||||
close_bid = resolved
|
||||
else:
|
||||
# 到期/紧急：买一/标记可能枯死，用 max(买一, 标记, 内在价值)
|
||||
resolved = resolve_option_close_bid(
|
||||
bid=close_bid,
|
||||
mark=oq.mark_px,
|
||||
intrinsic=intrinsic,
|
||||
bypass_liquidity=True,
|
||||
)
|
||||
if resolved is None:
|
||||
fee_rate = self._fee_rate()
|
||||
is_expiry = reason == "expiry"
|
||||
|
||||
if is_expiry:
|
||||
# 实盘到期：直接按内在价值结算，不依赖盘口
|
||||
if intrinsic is None:
|
||||
return CloseResult(
|
||||
ok=False,
|
||||
detail="紧急全平失败：无买一/标记/内在价值",
|
||||
detail="到期结算失败：缺少行权价或标的结算价",
|
||||
)
|
||||
close_bid = resolved
|
||||
of = option_expiry_settle(
|
||||
intrinsic=float(intrinsic),
|
||||
qty_eth=float(pos["option_qty_eth"]),
|
||||
fee_rate=fee_rate,
|
||||
)
|
||||
close_bid = float(intrinsic)
|
||||
else:
|
||||
if not oq:
|
||||
return CloseResult(
|
||||
ok=False,
|
||||
detail="期权盘口不可用",
|
||||
liquidity_wait=not bypass_liquidity,
|
||||
)
|
||||
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)
|
||||
resolved = resolve_option_close_bid(
|
||||
bid=float(close_bid),
|
||||
mark=oq.mark_px,
|
||||
intrinsic=intrinsic,
|
||||
bypass_liquidity=False,
|
||||
)
|
||||
if resolved is None:
|
||||
return self._liquidity_wait(group_id, "期权平仓价不可用")
|
||||
close_bid = resolved
|
||||
else:
|
||||
resolved = resolve_option_close_bid(
|
||||
bid=close_bid,
|
||||
mark=oq.mark_px,
|
||||
intrinsic=intrinsic,
|
||||
bypass_liquidity=True,
|
||||
)
|
||||
if resolved is None:
|
||||
return CloseResult(
|
||||
ok=False,
|
||||
detail="紧急全平失败：无买一/标记/内在价值",
|
||||
)
|
||||
close_bid = resolved
|
||||
of = option_fill(
|
||||
action="close",
|
||||
bid=float(close_bid),
|
||||
ask=float(oq.ask or close_bid),
|
||||
qty_eth=float(pos["option_qty_eth"]),
|
||||
fee_rate=fee_rate,
|
||||
)
|
||||
|
||||
fee_rate = self._fee_rate()
|
||||
perp_side = str(pos["perp_side"])
|
||||
perp_qty = float(pos["perp_qty_eth"])
|
||||
opt_qty = float(pos["option_qty_eth"])
|
||||
perp_entry = float(pos["perp_entry_px"])
|
||||
opt_entry = float(pos["option_entry_px"])
|
||||
|
||||
# 1) 先平期权（买一流动性差）；永续对冲暂留
|
||||
of = option_fill(
|
||||
action="close",
|
||||
bid=float(close_bid),
|
||||
ask=float(oq.ask or close_bid),
|
||||
qty_eth=opt_qty,
|
||||
fee_rate=fee_rate,
|
||||
)
|
||||
# 1) 先平期权；永续对冲暂留
|
||||
opt_pnl = (of.fill_px - opt_entry) * opt_qty
|
||||
opt_cash = of.notional - of.fee
|
||||
self.ledger.apply_cash(
|
||||
|
||||
Reference in New Issue
Block a user