Split fee stats by leg and hide LIVE slip.

SIM shows perp/option fees and slip separately; LIVE keeps real exchange fees only with slip forced to zero.

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

backend/app/api/stats.py

@@ -4,7 +4,9 @@ from typing import Annotated
 
 from fastapi import APIRouter, Depends
 
+from ..config import get_settings
 from ..models.db import get_db
+from ..sim.pnl import summarize_fills_pnl
 from .auth import require_user
 
 router = APIRouter(prefix="/api/stats", tags=["stats"])
@@ -13,12 +15,30 @@ router = APIRouter(prefix="/api/stats", tags=["stats"])
 @router.get("/summary")
 async def stats_summary(_user: Annotated[str, Depends(require_user)]) -> dict:
     db = get_db()
+    s = get_settings()
+    mode = "LIVE" if not s.is_sim else "SIM"
     rows = db.fetchall("SELECT * FROM groups WHERE status='closed'")
     n = len(rows)
     wins = sum(1 for r in rows if float(r["realized_pnl"] or 0) > 0)
     total_pnl = sum(float(r["realized_pnl"] or 0) for r in rows)
-    total_fees = sum(float(r["fees"] or 0) for r in rows)
-    total_slip = sum(float(r["slip_cost"] or 0) for r in rows)
+
+    fees_perp = 0.0
+    fees_option = 0.0
+    total_slip = 0.0
+    for r in rows:
+        fills = db.fetchall(
+            "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC",
+            (r["group_id"],),
+        )
+        summary = summarize_fills_pnl(list(fills))
+        fees_perp += float(summary.get("fees_perp") or 0)
+        fees_option += float(summary.get("fees_option") or 0)
+        # LIVE 不展示、不计入滑点；按组成交模式判断（可混有历史 SIM 组）
+        exec_mode = str(r["exec_mode"] or mode).upper()
+        if exec_mode != "LIVE":
+            total_slip += float(summary.get("slip_total") or 0)
+
+    total_fees = fees_perp + fees_option
     reasons: dict[str, int] = {}
     for r in rows:
         k = str(r["close_reason"] or "unknown")
@@ -32,12 +52,16 @@ async def stats_summary(_user: Annotated[str, Depends(require_user)]) -> dict:
         for r in sorted(rows, key=lambda x: int(x["close_at_ms"] or 0))
     ]
     return {
+        "mode": mode,
+        "show_slip": mode == "SIM",
         "groups": n,
         "wins": wins,
         "win_rate": (wins / n) if n else 0.0,
         "total_pnl": total_pnl,
+        "fees_perp": fees_perp,
+        "fees_option": fees_option,
         "total_fees": total_fees,
-        "total_slip": total_slip,
+        "total_slip": total_slip if mode == "SIM" else 0.0,
         "close_reasons": reasons,
         "equity_curve": curve,
     }

backend/app/live/binance_executor.py

@@ -555,7 +555,7 @@ class BinanceLiveExecutor(Matcher):
             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)
+            of_slip = 0.0  # LIVE 不计模拟滑点
         else:
             # 含到期：优先交易所真实平期权；失败且无内在价值时可本地结算
             try:
@@ -576,12 +576,12 @@ class BinanceLiveExecutor(Matcher):
                     of = option_expiry_settle(
                         intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate
                     )
-                    of_px, of_fee, of_slip, of_notional = (
+                    of_px, of_fee, of_notional = (
                         of.fill_px,
                         of.fee,
-                        of.slip,
                         of.notional,
                     )
+                    of_slip = 0.0  # LIVE 不计模拟滑点
                     logger.warning(
                         "expiry option exchange close failed, local settle: %s", e
                     )
@@ -759,9 +759,9 @@ class BinanceLiveExecutor(Matcher):
         g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
         base_fees = float((g["fees"] if g else 0) or 0)
         fees = base_fees + (0.0 if skip_option_cash else of_fee) + pf_fee
-        slip = float((g["slip_cost"] if g else 0) or 0) + (
-            0.0 if option_fill_already_written else of_slip
-        )
+        # LIVE：真实成交价已含盘口冲击，不另计/不计模拟滑点
+        of_slip = 0.0
+        slip = 0.0
         from ..sim.pnl import summarize_fills_pnl
 
         with self.db._lock:

backend/app/live/executor.py

@@ -570,7 +570,7 @@ class OkxLiveExecutor(Matcher):
             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)
+            of_slip = 0.0  # LIVE 不计模拟滑点
         else:
             # 含到期：优先交易所真实平期权；失败且无内在价值时可本地结算
             try:
@@ -593,12 +593,12 @@ class OkxLiveExecutor(Matcher):
                     of = option_expiry_settle(
                         intrinsic=float(intrinsic), qty_eth=opt_qty, fee_rate=fee_rate
                     )
-                    of_px, of_fee, of_slip, of_notional = (
+                    of_px, of_fee, of_notional = (
                         of.fill_px,
                         of.fee,
-                        of.slip,
                         of.notional,
                     )
+                    of_slip = 0.0  # LIVE 不计模拟滑点
                     logger.warning(
                         "expiry option exchange close failed, local settle: %s", e
                     )
@@ -779,9 +779,9 @@ class OkxLiveExecutor(Matcher):
         g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
         base_fees = float((g["fees"] if g else 0) or 0)
         fees = base_fees + (0.0 if skip_option_cash else of_fee) + pf_fee
-        slip = float((g["slip_cost"] if g else 0) or 0) + (
-            0.0 if option_fill_already_written else of_slip
-        )
+        # LIVE：真实成交价已含盘口冲击，不另计/不计模拟滑点
+        of_slip = 0.0
+        slip = 0.0
         from ..sim.pnl import summarize_fills_pnl
 
         with self.db._lock:

backend/app/sim/pnl.py

@@ -5,13 +5,24 @@ from __future__ import annotations
 from typing import Any
 
 
+def _as_map(x: Any) -> dict[str, Any]:
+    if isinstance(x, dict):
+        return x
+    try:
+        return dict(x)
+    except Exception:
+        return {}
+
+
 def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]:
     """
     价差盈亏按 fill_px；手续费另扣。
     净盈亏 = 期权盈亏 + 永续盈亏 − 全部手续费（开+平）。
     允许只有永续已平、期权尚未结算的半组。
+
+    手续费拆：fees_perp / fees_option；滑点合计 slip_total（SIM 记账；LIVE 应为 0）。
     """
-    rows = [dict(x) for x in fills]
+    rows = [_as_map(x) for x in fills]
     opt_open = next(
         (f for f in rows if f.get("leg") == "option" and f.get("action") == "open"),
         None,
@@ -45,7 +56,14 @@ def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]:
         else:
             perp_pnl = (o - c) * qty
 
-    fees_total = sum(float(f.get("fee") or 0) for f in rows)
+    fees_perp = sum(
+        float(f.get("fee") or 0) for f in rows if str(f.get("leg") or "") == "perp"
+    )
+    fees_option = sum(
+        float(f.get("fee") or 0) for f in rows if str(f.get("leg") or "") == "option"
+    )
+    fees_total = fees_perp + fees_option
+    slip_total = sum(float(f.get("slip") or 0) for f in rows)
     gross = None
     net = None
     if option_pnl is not None and perp_pnl is not None:
@@ -61,7 +79,10 @@ def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]:
     return {
         "option_pnl": option_pnl,
         "perp_pnl": perp_pnl,
+        "fees_perp": fees_perp,
+        "fees_option": fees_option,
         "fees_total": fees_total,
+        "slip_total": slip_total,
         "gross_pnl": gross,
         "net_pnl": net,
     }

docs/更新说明.md

@@ -5,6 +5,16 @@
 
 ---
 
+## 2026-07-29 — 统计拆分手续费；LIVE 不展示/不计滑点
+
+### 变更
+
+1. 统计页：`永续手续费` / `期权手续费` / `手续费合计`；SIM 另列 `滑点合计`。  
+2. 交易明细同步拆分手续费；SIM 显示滑点，LIVE 不显示。  
+3. LIVE 成交滑点字段强制为 0，不把模拟滑点计入实盘盈亏。
+
+---
+
 ## 2026-07-29 — 到期结算展示：指数 / 行权价 / 内在价值
 
 ### 变更

docs/策略说明.md

@@ -98,7 +98,8 @@
 ### 3.4 费用（SIM）
 
 - 永续、期权均按可配 `fee_rate`（默认 0.0005）计费。
-- 滑点按约 1 倍费率计入成交价，手续费另扣。
+- **SIM**：滑点按约 1 倍费率计入成交价，手续费另扣；统计拆分「永续手续费 / 期权手续费 / 滑点」。
+- **LIVE**：用交易所真实成交价与真实手续费，**不计、不展示**模拟滑点。
 - 开仓现金：支付期权权利金 + 开仓手续费；永续开仓主要扣费。
 
 ---

frontend/src/pages/Stats.tsx

@@ -3,10 +3,14 @@ import { apiFetch } from "../api/client";
 import { closeReasonZh } from "../labels";
 
 type Summary = {
+  mode?: "SIM" | "LIVE" | string;
+  show_slip?: boolean;
   groups: number;
   wins: number;
   win_rate: number;
   total_pnl: number;
+  fees_perp?: number;
+  fees_option?: number;
   total_fees: number;
   total_slip: number;
   close_reasons: Record<string, number>;
@@ -26,6 +30,7 @@ export default function StatsPage() {
   const reasonEntries = s
     ? Object.entries(s.close_reasons).sort((a, b) => b[1] - a[1])
     : [];
+  const showSlip = s?.show_slip ?? s?.mode !== "LIVE";
 
   return (
     <div className="card">
@@ -46,11 +51,27 @@ export default function StatsPage() {
             <span className="mono">{s.total_pnl.toFixed(2)}</span>
           </div>
           <div className="kv">
-            <span>总手续费 / 滑点</span>
+            <span>永续手续费</span>
             <span className="mono">
-              {s.total_fees.toFixed(2)} / {s.total_slip.toFixed(2)}
+              {(s.fees_perp ?? 0).toFixed(4)}
             </span>
           </div>
+          <div className="kv">
+            <span>期权手续费</span>
+            <span className="mono">
+              {(s.fees_option ?? 0).toFixed(4)}
+            </span>
+          </div>
+          <div className="kv">
+            <span>手续费合计</span>
+            <span className="mono">{s.total_fees.toFixed(4)}</span>
+          </div>
+          {showSlip ? (
+            <div className="kv">
+              <span>滑点合计</span>
+              <span className="mono">{s.total_slip.toFixed(4)}</span>
+            </div>
+          ) : null}
           <div className="kv" style={{ alignItems: "flex-start" }}>
             <span>平仓原因</span>
             <span className="mono" style={{ textAlign: "right" }}>

frontend/src/pages/Trades.tsx

@@ -10,7 +10,10 @@ import {
 type PnlSummary = {
   option_pnl: number | null;
   perp_pnl: number | null;
+  fees_perp?: number;
+  fees_option?: number;
   fees_total: number;
+  slip_total?: number;
   gross_pnl: number | null;
   net_pnl: number | null;
 };
@@ -41,6 +44,7 @@ type Group = {
   hold_basis?: string | null;
   strike?: number | null;
   settle_index_px?: number | null;
+  exec_mode?: string | null;
   expiry_settle?: ExpirySettle | null;
   pnl_summary?: PnlSummary;
 };
@@ -349,10 +353,31 @@ export default function TradesPage() {
                           {fmt(summary.perp_pnl)}
                         </span>
                       </div>
+                      <div className="kv">
+                        <span>永续手续费</span>
+                        <span className="mono">
+                          {fmt(summary.fees_perp ?? 0, 4)}
+                        </span>
+                      </div>
+                      <div className="kv">
+                        <span>期权手续费</span>
+                        <span className="mono">
+                          {fmt(summary.fees_option ?? 0, 4)}
+                        </span>
+                      </div>
                       <div className="kv">
                         <span>手续费合计</span>
                         <span className="mono">{fmt(summary.fees_total, 4)}</span>
                       </div>
+                      {String(selectedGroup.exec_mode || "").toUpperCase() !==
+                      "LIVE" ? (
+                        <div className="kv">
+                          <span>滑点</span>
+                          <span className="mono">
+                            {fmt(summary.slip_total ?? 0, 4)}
+                          </span>
+                        </div>
+                      ) : null}
                       <div className="kv">
                         <span>
                           <strong>净盈亏（扣费后）</strong>