Settle expiry options at intrinsic value like live exchange.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-26 16:08:44 +08:00
parent a58d97938c
commit e3671d9798
5 changed files with 109 additions and 65 deletions
@@ -50,16 +50,17 @@ perp_fill = float(p_close["fill_px"])
 spot = perp_fill / (1.0 + FEE)
 intrinsic = max(spot - strike, 0.0) if str(g["option_side"])=="call" else max(strike - spot, 0.0)
 old_base = float(o_close["base_px"] or o_close["fill_px"])
-new_base = max(old_base, intrinsic)
-if abs(new_base - old_base) < 1e-9:
+# 到期对齐实盘：严格内在价值，无盘口滑点
+new_base = intrinsic
+new_fill = intrinsic
+if abs(new_base - old_base) < 1e-9 and abs(float(o_close["fill_px"]) - new_fill) < 1e-9:
    print("already ok", old_base, intrinsic)
    raise SystemExit(0)

 qty = float(o_close["qty_eth"])
-new_fill = new_base * (1.0 - FEE)
 new_notional = new_fill * qty
 new_fee = new_notional * FEE
-new_slip = abs(new_fill - new_base) * qty
+new_slip = 0.0
 old_cash = float(o_close["notional"]) - float(o_close["fee"])
 new_cash = new_notional - new_fee
 cash_delta = new_cash - old_cash