Fix OO expiry Put PnL: overlay wrong near-zero settlement fills with intrinsic.

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

backend/app/api/trades.py

@@ -82,10 +82,14 @@ def _infer_settle_index(g: dict, fills: list) -> float | None:
     return None
 
 
-def _overlay_expiry_zero_fills(
+def _overlay_expiry_intrinsic_fills(
     g: dict, fills: list, settle_index: float | None
 ) -> list:
-    """到期 close 价为 0 且已有结算指数时，用内在价值覆盖展示（响应层，不写库）。"""
+    """到期且已有结算指数：close 成交按内在价值覆盖展示/盈亏（响应层）。
+
+    交易所账单偶发落成近 0 价（如 0.2），与内在价值（如 42.2）严重不符时
+    若只覆盖 fill≈0，Put 仍会按错误价算成巨亏。
+    """
     if settle_index is None or settle_index <= 0:
         return fills
     if str(g.get("close_reason") or "") != "expiry":
@@ -102,17 +106,21 @@ def _overlay_expiry_zero_fills(
                 px = float(f.get("fill_px") or 0)
             except (TypeError, ValueError):
                 px = 0.0
-            if px <= 1e-9:
-                leg = str(f.get("leg") or "")
-                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 not None:
-                    try:
-                        intrinsic = _intrinsic(side, float(settle_index), float(strike))
+            leg = str(f.get("leg") or "")
+            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 not None:
+                try:
+                    intrinsic = float(
+                        _intrinsic(side, float(settle_index), float(strike))
+                    )
+                    # 与内在价值偏差超过 0.5 USDT（或相对 5%）则覆盖
+                    tol = max(0.5, abs(intrinsic) * 0.05)
+                    if abs(px - intrinsic) > tol:
                         qty = float(f.get("qty_eth") or 0)
                         f["fill_px"] = intrinsic
                         f["base_px"] = intrinsic
@@ -120,11 +128,16 @@ def _overlay_expiry_zero_fills(
                         f["slip"] = 0.0
                         f["_overlay_intrinsic"] = True
                         changed = True
-                    except (TypeError, ValueError):
-                        pass
+                except (TypeError, ValueError):
+                    pass
         out.append(f)
     return out if changed else fills
 
+
+# 兼容旧测试名
+_overlay_expiry_zero_fills = _overlay_expiry_intrinsic_fills
+
+
 def _intrinsic(side: str, settle_index: float, strike: float) -> float:
     s = str(side or "").lower()
     if s in ("call", "c"):
@@ -264,7 +277,7 @@ def _enrich_group(g: dict, fills: list) -> dict:
     is_oo = _is_oo_group(g)
     g["is_oo"] = is_oo
     settle = _infer_settle_index(g, fills)
-    view_fills = _overlay_expiry_zero_fills(g, fills, settle)
+    view_fills = _overlay_expiry_intrinsic_fills(g, fills, settle)
     overlaid = any(
         isinstance(f, dict) and f.get("_overlay_intrinsic") for f in view_fills
     )