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 "")
-                leg = str(f.get("leg") or "")
+            if leg == "option":
-                if leg == "option":
+                strike = g.get("strike")
-                    strike = g.get("strike")
+                side = str(g.get("option_side") or "").lower()
-                    side = str(g.get("option_side") or "").lower()
+            else:
-                else:
+                strike = g.get("strike2")
-                    strike = g.get("strike2")
+                side = str(g.get("option2_side") or "put").lower()
-                    side = str(g.get("option2_side") or "put").lower()
+            if strike is not None:
-                if strike is not None:
+                try:
-                    try:
+                    intrinsic = float(
-                        intrinsic = _intrinsic(side, float(settle_index), float(strike))
+                        _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):
+                except (TypeError, ValueError):
-                        pass
+                    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
     )

backend/tests/test_oo_settle_index.py

@@ -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

docs/更新说明.md

@@ -5,6 +5,18 @@
 
 ---
 
+## 2026-08-11 — 期期到期盈亏：错误近零成交按内在价值覆盖
+
+### 变更
+
+到期 close 成交与内在价值偏差过大（如 Put 账单 0.2 vs 内在 42.2）时，详情按内在价值重算腿盈亏；不再只覆盖 fill=0。
+
+### 审计
+
+G-20260810-01：结算指数 1877.8、Put 内在 42.2 正确，但成交仍用 0.2 → Put 显示 −88。
+
+---
+
 ## 2026-08-11 — 期期到期结算指数：公开行情回退 + 零成交覆盖
 
 ### 变更

scripts/repair_oo_settle_index.py

@@ -86,14 +86,16 @@ if REPAIR_FILLS:
         ).fetchone()
         if not row:
             continue
-        if abs(float(row["fill_px"] or 0)) > 1e-9:
+        old_px = float(row["fill_px"] or 0)
+        tol = max(0.5, abs(iv) * 0.05)
+        if abs(old_px - iv) <= tol:
             continue
         qty = float(row["qty_eth"] or 0)
         con.execute(
             "UPDATE fills SET base_px=?, fill_px=?, notional=?, slip=0 WHERE id=?",
             (iv, iv, iv * qty, row["id"]),
         )
-        updated.append((leg, iv, qty))
+        updated.append((leg, old_px, iv, qty))
 # 重算 realized
 fills = list(con.execute("SELECT * FROM fills WHERE group_id=?", (GROUP,)))
 opt = {}