Count exit fees in live/SIM net PnL as entry fee x2.

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

backend/app/live/live_pnl.py

@@ -37,8 +37,8 @@ def enrich_live_unrealized(
 ) -> dict[str, Any]:
     """
     在 Matcher.unrealized 结果上覆盖 LIVE 口径：
-    net = 永续交易所UPL + 期权净盈亏(本地) − 已付手续费 + 资金费(signed)
+    net = 永续交易所UPL + 期权净盈亏(本地) − 入场手续费×2 + 资金费(signed)
-    不再扣预估平仓费。
+    离场手续费按入场手续费估算（开+平 ≈ 已付×2）。
     """
     if not base.get("has_position"):
         return base
@@ -72,25 +72,9 @@ def enrich_live_unrealized(
         logger.warning("live unrealized exchange overlay failed: %s", e)
 
     option_upl = float(base.get("option_upl") or 0.0)  # 期权净盈亏（本地）
-    # LIVE 达标口径：必须扣预估平仓手续费（与 SIM / 策略说明一致）
+    # 盯盘/达标：离场费 ≈ 入场费 → 合计扣 已付×2
-    try:
+    est_close = float(fees_paid)
-        from ..config import get_settings
+    net_pnl = perp_upl + option_upl - fees_paid * 2.0 + funding
-
-        fr = float(get_settings().fee_rate or 0.0005)
-    except Exception:
-        fr = 0.0005
-    notional_est = abs(float(base.get("perp_notional") or 0.0)) + abs(
-        float(base.get("option_notional") or 0.0)
-    )
-    if notional_est <= 0:
-        # 兜底：用标记价粗算
-        notional_est = abs(float(base.get("spot") or 0.0)) * (
-            abs(float(base.get("perp_qty_eth") or 0.0))
-            + abs(float(base.get("option_qty_eth") or 0.0))
-        )
-    est_close = max(0.0, notional_est * fr * 2.0)
-    # 资金费 signed：付出为负；再减估平仓费
-    net_pnl = perp_upl + option_upl - fees_paid + funding - est_close
 
     out = dict(base)
     out["perp_upl"] = perp_upl

backend/app/sim/matcher.py

@@ -1055,9 +1055,7 @@ class Matcher:
             if opt_mark is not None:
                 option_upl = float(opt_mark) * opt_qty - initial_premium
 
-        est_close_fees = est_perp_close_fee + est_opt_close_fee
+        book_close_fees = est_perp_close_fee + est_opt_close_fee
-        # 净盈利：永续浮盈 + 期权浮盈 − 预估平仓手续费
-        net_pnl = perp_upl + option_upl - est_close_fees
 
         entry_idx = float(pos["entry_index_px"] or 0)
         move = abs(float(index_px) - entry_idx) if index_px is not None and entry_idx else 0.0
@@ -1081,6 +1079,14 @@ class Matcher:
         strike = float(g["strike"]) if g and g["strike"] is not None else None
         expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None
         open_at_ms = int(g["open_at_ms"]) if g and g["open_at_ms"] else None
+        open_fees = abs(float(g["fees"] or 0)) if g else 0.0
+        # 净盈利：浮盈 − 入场手续费×2（离场费按入场估算）；无入场费时退回盘口估平仓费
+        if open_fees > 1e-12:
+            est_close_fees = open_fees
+            net_pnl = perp_upl + option_upl - open_fees * 2.0
+        else:
+            est_close_fees = book_close_fees
+            net_pnl = perp_upl + option_upl - est_close_fees
         expiry_ms = None
         if expiry_ymd and len(expiry_ymd) == 6:
             try:
@@ -1120,6 +1126,7 @@ class Matcher:
             "expiry_ms": expiry_ms,
             "perp_upl": perp_upl,
             "option_upl": option_upl,
+            "fees_paid": open_fees,
             "est_close_fees": est_close_fees,
             "net_pnl": net_pnl,
             "index_px": index_px,

backend/tests/test_live_pnl.py

@@ -45,7 +45,7 @@ class _FakeClient:
         return -1.5
 
 
-def test_enrich_live_unrealized_no_est_close_fee() -> None:
+def test_enrich_live_unrealized_entry_fee_times_two() -> None:
     base = {
         "has_position": True,
         "group_id": "G1",
@@ -73,7 +73,8 @@ def test_enrich_live_unrealized_no_est_close_fee() -> None:
     assert out["option_upl"] == 5.0
     assert out["fees_paid"] == 0.5
     assert out["funding_usdt"] == -1.5
-    assert out["est_close_fees"] == 0.0
+    # 离场费按入场估算
-    # 8 + 5 - 0.5 + (-1.5) = 11
+    assert out["est_close_fees"] == 0.5
-    assert abs(out["net_pnl"] - 11.0) < 1e-9
+    # 8 + 5 - 0.5*2 + (-1.5) = 10.5
+    assert abs(out["net_pnl"] - 10.5) < 1e-9
     assert out["pnl_source"] == "live_exchange"