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/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: