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

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-11 17:02:44 +08:00
parent 77d2effb6d
commit 3520fc0214
4 changed files with 99 additions and 18 deletions
@@ -76,3 +76,57 @@ def test_public_fallback_and_overlay(monkeypatch) -> None:
    view = _overlay_expiry_zero_fills(g, fills, 1877.8)
    assert view[0]["fill_px"] == 0.0  # call OTM
    assert abs(view[1]["fill_px"] - (1920 - 1877.8)) < 1e-9
+
+
+def test_overlay_wrong_near_zero_put_fill() -> None:
+    """账单误写成 0.2 时，应按内在价值 42.2 覆盖，Put 显示盈利。"""
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "strike": 1940.0,
+        "strike2": 1920.0,
+        "close_reason": "expiry",
+    }
+    fills = [
+        {
+            "leg": "option",
+            "action": "open",
+            "fill_px": 12.0,
+            "qty_eth": 7.5,
+            "fee": 0.045,
+            "slip": 0,
+        },
+        {
+            "leg": "option2",
+            "action": "open",
+            "fill_px": 12.8,
+            "qty_eth": 7.0,
+            "fee": 0.045,
+            "slip": 0,
+        },
+        {
+            "leg": "option",
+            "action": "close",
+            "fill_px": 0.0,
+            "qty_eth": 7.5,
+            "fee": 0,
+            "slip": 0,
+        },
+        {
+            "leg": "option2",
+            "action": "close",
+            "fill_px": 0.2,
+            "qty_eth": 7.0,
+            "fee": 0.0007,
+            "slip": 0,
+        },
+    ]
+    from app.sim.pnl import summarize_fills_pnl
+
+    view = _overlay_expiry_zero_fills(g, fills, 1877.8)
+    assert abs(view[3]["fill_px"] - 42.2) < 1e-9
+    s = summarize_fills_pnl(view)
+    # Put: (42.2 - 12.8) * 7 = 205.8
+    assert abs(float(s["option2_pnl"] or 0) - 205.8) < 1e-6
+    assert float(s["option2_pnl"] or 0) > 0