Implement dual target-close paths and residual option expiry.

Document and enforce: A full dual-leg close, B perp-only when deep OTM with residual archive that does not block next open, and expiry settlement when target is missed.

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

backend/app/strategy/engine.py

@@ -88,6 +88,7 @@ class StrategyEngine:
             "can_open": allow_open,
             "last_error": last_error,
             "position": upl,
+            "residuals": self.matcher.list_residual_options(pending_only=True),
             "ledger": self.ledger.snapshot(),
         }
 
@@ -118,16 +119,24 @@ class StrategyEngine:
 
     async def emergency_close(self) -> dict[str, Any]:
         async with self._lock:
-            # 紧急全平：绕过期权流动性/偏差校验
-            r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
-            if r.ok:
-                self._after_close()
+            close_data: dict[str, Any] | None = None
+            detail = "flat"
+            ok = True
+            pos = self.matcher.current_position()
+            if pos.get("status") == "open":
+                r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
+                ok = r.ok
+                detail = r.detail
+                close_data = r.data
+                if r.ok:
+                    self._after_close()
+            residuals = self.matcher.settle_all_residuals_now()
             return {
                 "close": {
-                    "ok": r.ok,
-                    "detail": r.detail,
-                    "liquidity_wait": r.liquidity_wait,
-                    "data": r.data,
+                    "ok": ok,
+                    "detail": detail,
+                    "data": close_data,
+                    "residuals_settled": residuals,
                 },
                 "state": self.state(),
             }
@@ -175,9 +184,27 @@ class StrategyEngine:
         reason: str,
         bypass_liquidity: bool,
         pending_close: bool,
+        abandon_if_deep_otm: bool = False,
     ) -> None:
         if not pending_close:
             self._set_state(phase="closing", last_error=None)
+
+        # 目标平仓 B：远虚 → 只平永续，期权归档
+        if abandon_if_deep_otm and reason != "expiry" and self.matcher.option_is_deep_otm():
+            r = await asyncio.to_thread(
+                self.matcher.close_perp_abandon_option,
+                reason="target_perp_only",
+            )
+            if r.ok:
+                self._after_close()
+                self._set_state(
+                    last_error=None,
+                    phase="resting",
+                )
+            else:
+                self._set_state(phase="closing", last_error=r.detail)
+            return
+
         r = await asyncio.to_thread(
             self.matcher.close_group,
             reason=reason,
@@ -186,12 +213,25 @@ class StrategyEngine:
         if r.ok:
             self._after_close()
         elif r.liquidity_wait and not bypass_liquidity:
+            # 等待期间若已变成远虚，下一 tick 走归档
+            if self.matcher.option_is_deep_otm():
+                r2 = await asyncio.to_thread(
+                    self.matcher.close_perp_abandon_option,
+                    reason="target_perp_only",
+                )
+                if r2.ok:
+                    self._after_close()
+                    return
             self._set_state(phase="liquidity_wait", last_error=r.detail)
         else:
             self._set_state(phase="closing", last_error=r.detail)
 
+    async def _settle_residuals(self) -> None:
+        await asyncio.to_thread(self.matcher.settle_due_residuals)
+
     async def _maybe_expiry_close(self) -> bool:
         """若持仓已到期则强制全平。返回是否触发到期平仓。"""
+        await self._settle_residuals()
         pos = self.matcher.current_position()
         if pos.get("status") != "open":
             return False
@@ -206,6 +246,7 @@ class StrategyEngine:
             reason="expiry",
             bypass_liquidity=True,
             pending_close=pending,
+            abandon_if_deep_otm=False,
         )
         return True
 
@@ -242,6 +283,9 @@ class StrategyEngine:
             await asyncio.sleep(1)
 
     async def _tick_async(self) -> None:
+        # 残留期权到期结算（与活跃组隔离，不挡开仓）
+        await self._settle_residuals()
+
         s = get_settings()
         st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
         assert st is not None
@@ -260,7 +304,7 @@ class StrategyEngine:
         )
         pos = self.matcher.current_position()
 
-        # 有未平仓：只盯平仓，绝不开下一组
+        # 有活跃持仓：只盯当前组平仓；残留期权不在此扫描
         if pos.get("status") == "open":
             upl = self.matcher.unrealized()
             expired = check_expiry_close(expiry_ms=self._position_expiry_ms(upl))
@@ -276,13 +320,17 @@ class StrategyEngine:
                 if expired.should_close:
                     reason = "expiry"
                     bypass = True
+                    abandon = False
                 else:
                     reason = decision.reason or "liquidity_retry"
                     bypass = False
+                    # 目标达标（或流动性等待重试）时：远虚走只平永续
+                    abandon = bool(decision.should_close or pending_close)
                 await self._close_open_position(
                     reason=reason,
                     bypass_liquidity=bypass,
                     pending_close=pending_close,
+                    abandon_if_deep_otm=abandon,
                 )
             else:
                 self._set_state(phase="open", last_error=None)