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

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

backend/app/api/trades.py

@@ -25,6 +25,7 @@ def _is_oo_group(g: dict) -> bool:
 
 
 def _infer_settle_index(g: dict, fills: list) -> float | None:
+    """优先库内 settle_index_px；否则用「实值腿」成交反推。虚值 fill≈0 时禁止推成行权价。"""
     settle_index = g.get("settle_index_px")
     if settle_index is not None:
         try:
@@ -33,25 +34,44 @@ def _infer_settle_index(g: dict, fills: list) -> float | None:
                 return v
         except (TypeError, ValueError):
             pass
-    strike = g.get("strike")
+
-    side = str(g.get("option_side") or "").lower()
+    candidates: list[float] = []
-    if strike is None:
-        return None
     for raw in fills:
         f = dict(raw) if not isinstance(raw, dict) else raw
-        if str(f.get("leg")) != "option" or str(f.get("action")) != "close":
+        if str(f.get("action") or "") != "close":
+            continue
+        leg = str(f.get("leg") or "")
+        if leg not in ("option", "option2"):
             continue
         if abs(float(f.get("slip") or 0)) > 1e-12:
             continue
+        try:
             px = float(f.get("fill_px") or 0)
+        except (TypeError, ValueError):
+            continue
+        # 虚值到期 fill=0：k+0 / k-0 会得到行权价，不是真实结算指数
+        if px <= 1e-9:
+            continue
+        if leg == "option":
+            strike = g.get("strike")
+            side = str(g.get("option_side") or "").lower()
+        else:
+            strike = g.get("strike2")
+            side = str(g.get("option2_side") or "put").lower()
+        if strike is None:
+            continue
+        try:
             k = float(strike)
+        except (TypeError, ValueError):
+            continue
         if side in ("call", "c"):
-            return k + px
+            candidates.append(k + px)
-        if side in ("put", "p"):
+        elif side in ("put", "p"):
-            return k - px
+            candidates.append(k - px)
-        break
+    if not candidates:
         return None
-
+    # 多腿一致时取平均；实值腿通常只有一条
+    return round(sum(candidates) / len(candidates), 4)
 
 def _intrinsic(side: str, settle_index: float, strike: float) -> float:
     s = str(side or "").lower()
@@ -112,7 +132,7 @@ def _expiry_settle_info(g: dict, fills: list) -> dict | None:
 
 
 def _close_index_px(g: dict, fills: list) -> float | None:
-    """平仓时标的指数：优先 settle_index_px，否则用永续平仓价近似。"""
+    """平仓时标的指数：优先库内 settle；到期才用实值腿反推；否则永续平仓价。"""
     raw = g.get("settle_index_px")
     if raw is not None:
         try:
@@ -121,6 +141,11 @@ def _close_index_px(g: dict, fills: list) -> float | None:
                 return v
         except (TypeError, ValueError):
             pass
+    # 仅到期：期权平仓价=内在价值，可反推指数；中途卖出的权利金不能当指数
+    if str(g.get("close_reason") or "") == "expiry":
+        inferred = _infer_settle_index(g, fills)
+        if inferred is not None and inferred > 0:
+            return inferred
     for row in fills:
         f = dict(row) if not isinstance(row, dict) else row
         if str(f.get("leg") or "") == "perp" and str(f.get("action") or "") == "close":

backend/app/live/binance_executor.py

@@ -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,
                 ),
             )

backend/app/live/executor.py

@@ -1129,16 +1129,23 @@ class OkxLiveExecutor(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,
                 ),
             )

backend/app/sim/matcher.py

@@ -1000,9 +1000,15 @@ class Matcher:
             now += 1
 
         with self.db._lock:
+            settle_px = None
+            if reason == "expiry":
+                try:
+                    settle_px = self._close_spot_px(get_session().snapshot())
+                except Exception:
+                    settle_px = None
             self.db._conn.execute(
                 """UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
-                   fees=COALESCE(fees,0)+?, note=?
+                   fees=COALESCE(fees,0)+?, note=?, settle_index_px=COALESCE(?, settle_index_px)
                    WHERE group_id=?""",
                 (
                     "closed",
@@ -1011,6 +1017,7 @@ class Matcher:
                     float(total_pnl),
                     float(total_fees),
                     f"oo full close {reason}",
+                    float(settle_px) if settle_px is not None else None,
                     group_id,
                 ),
             )

backend/tests/test_oo_settle_index.py

@@ -0,0 +1,48 @@
+"""期期到期结算指数：虚值 Call fill=0 不得反推成行权价。"""
+
+from __future__ import annotations
+
+from app.api.trades import _infer_settle_index
+
+
+def test_otm_call_zero_fill_does_not_become_strike() -> None:
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "strike": 1920.0,
+        "strike2": 1890.0,
+        "settle_index_px": None,
+    }
+    fills = [
+        {"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
+        {"leg": "option2", "action": "close", "fill_px": 0.0, "slip": 0},
+    ]
+    assert _infer_settle_index(g, fills) is None
+
+
+def test_itm_put_fill_infers_settle_near_1875() -> None:
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "strike": 1920.0,
+        "strike2": 1920.0,
+        "settle_index_px": None,
+    }
+    fills = [
+        {"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
+        {"leg": "option2", "action": "close", "fill_px": 45.0, "slip": 0},
+    ]
+    # put intrinsic 45 → settle = 1920 - 45 = 1875
+    assert _infer_settle_index(g, fills) == 1875.0
+
+
+def test_stored_settle_wins() -> None:
+    g = {
+        "option_side": "call",
+        "strike": 1920.0,
+        "settle_index_px": 1875.2,
+    }
+    fills = [{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0}]
+    assert _infer_settle_index(g, fills) == 1875.2

docs/更新说明.md

@@ -5,6 +5,19 @@
 
 ---
 
+## 2026-08-11 — 期期到期结算指数修正
+
+### 变更
+
+1. 期期 `close_oo_full`（SIM/OKX/BN）到期写入真实 `settle_index_px`（快照指数）。  
+2. 交易详情反推结算价：虚值 Call fill=0 不再误显示为行权价；优先实值 Put 腿反推。
+
+### 审计
+
+今天下午约 1875 到期，详情曾把结算指数显示成行权价（如 1920）：因未落库 settle，且用 Call 内在价值 0 反推成 `strike+0`。
+
+---
+
 ## 2026-08-11 — 期期交易记录展示与盈亏汇总
 
 ### 变更