Fix OO expiry settle index: persist spot and never invent strike from OTM fill.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-11 16:44:56 +08:00
parent 4a5d19e30f
commit 3264dd4381
6 changed files with 124 additions and 17 deletions
@@ -1082,16 +1082,23 @@ class BinanceLiveExecutor(Matcher):
        )
        summary = summarize_fills_pnl(list(fill_rows))
        net = float(summary.get("net_pnl") or 0.0)
+        settle_px = None
+        if reason == "expiry":
+            try:
+                settle_px = self._close_spot_px(get_session().snapshot())
+            except Exception:
+                settle_px = None
        with self.db._lock:
            self.db._conn.execute(
                """UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
-                   note=? WHERE group_id=?""",
+                   note=?, settle_index_px=COALESCE(?, settle_index_px) WHERE group_id=?""",
                (
                    "closed",
                    int(time.time() * 1000),
                    reason,
                    net,
                    f"oo full close {reason} exchange_flat_or_settle",
+                    float(settle_px) if settle_px is not None else None,
                    group_id,
                ),
            )