Backfill OO expiry settle display via public ETHUSDT and intrinsic overlay.

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

backend/app/api/public_index.py

@@ -0,0 +1,65 @@
+"""公开行情辅助：补历史到期结算指数展示（不发明成交现金）。"""
+
+from __future__ import annotations
+
+import json
+import logging
+import urllib.error
+import urllib.request
+from typing import Any
+
+logger = logging.getLogger(__name__)
+
+_CACHE: dict[int, float] = {}
+_CACHE_MAX = 256
+
+
+def looks_binance_option(inst_id: str | None) -> bool:
+    return "USD_UM" in str(inst_id or "")
+
+
+def eth_usdt_close_at_ms(ts_ms: int | None) -> float | None:
+    """币安 ETHUSDT 1m K 线收盘价（近似期权结算指数）。失败返回 None。"""
+    if ts_ms is None:
+        return None
+    try:
+        ms = int(ts_ms)
+    except (TypeError, ValueError):
+        return None
+    if ms <= 0:
+        return None
+    minute = (ms // 60_000) * 60_000
+    cached = _CACHE.get(minute)
+    if cached is not None:
+        return cached
+    url = (
+        "https://api.binance.com/api/v3/klines"
+        f"?symbol=ETHUSDT&interval=1m&startTime={minute}&limit=1"
+    )
+    try:
+        with urllib.request.urlopen(url, timeout=4) as resp:
+            raw = resp.read().decode("utf-8", "replace")
+        rows = json.loads(raw)
+        if not rows:
+            return None
+        close_px = float(rows[0][4])
+        if close_px <= 0:
+            return None
+        if len(_CACHE) >= _CACHE_MAX:
+            _CACHE.clear()
+        _CACHE[minute] = close_px
+        return close_px
+    except (urllib.error.URLError, TimeoutError, ValueError, TypeError, IndexError) as e:
+        logger.debug("eth_usdt_close_at_ms failed ms=%s: %s", minute, e)
+        return None
+
+
+def maybe_public_settle_index(g: dict[str, Any]) -> float | None:
+    """库内无结算价时，币安期权到期组用公开 ETHUSDT 收盘近似。"""
+    if str(g.get("close_reason") or "") != "expiry":
+        return None
+    inst = g.get("option_inst_id") or g.get("option2_inst_id")
+    if not looks_binance_option(str(inst) if inst else None):
+        return None
+    ts = g.get("close_at_ms") or g.get("hold_close_at_ms")
+    return eth_usdt_close_at_ms(ts if ts is not None else None)

backend/app/api/trades.py

@@ -25,7 +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。"""
+    """优先库内 settle_index_px；否则用「实值腿」成交反推；再否则公开指数近似。"""
     settle_index = g.get("settle_index_px")
     if settle_index is not None:
         try:
@@ -68,10 +68,62 @@ def _infer_settle_index(g: dict, fills: list) -> float | None:
             candidates.append(k + px)
         elif side in ("put", "p"):
             candidates.append(k - px)
-    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)
+    if candidates:
+        return round(sum(candidates) / len(candidates), 4)
+
+    try:
+        from .public_index import maybe_public_settle_index
+
+        pub = maybe_public_settle_index(g)
+        if pub is not None and pub > 0:
+            return round(float(pub), 4)
+    except Exception:
+        pass
+    return None
+
+
+def _overlay_expiry_zero_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）。"""
+    if settle_index is None or settle_index <= 0:
+        return fills
+    if str(g.get("close_reason") or "") != "expiry":
+        return fills
+    out: list = []
+    changed = False
+    for raw in fills:
+        f = dict(raw) if not isinstance(raw, dict) else dict(raw)
+        if str(f.get("action") or "") == "close" and str(f.get("leg") or "") in (
+            "option",
+            "option2",
+        ):
+            try:
+                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))
+                        qty = float(f.get("qty_eth") or 0)
+                        f["fill_px"] = intrinsic
+                        f["base_px"] = intrinsic
+                        f["notional"] = intrinsic * qty
+                        f["slip"] = 0.0
+                        f["_overlay_intrinsic"] = True
+                        changed = True
+                    except (TypeError, ValueError):
+                        pass
+        out.append(f)
+    return out if changed else fills
 
 def _intrinsic(side: str, settle_index: float, strike: float) -> float:
     s = str(side or "").lower()
@@ -211,15 +263,26 @@ def _option_leverage_for_leg(
 def _enrich_group(g: dict, fills: list) -> dict:
     is_oo = _is_oo_group(g)
     g["is_oo"] = is_oo
-    summary = summarize_fills_pnl(fills)
-    # LIVE：优先 groups.realized_pnl（已按交易所回写，含资金费）
-    if str(g.get("exec_mode") or "").upper() == "LIVE" and g.get("realized_pnl") is not None:
+    settle = _infer_settle_index(g, fills)
+    view_fills = _overlay_expiry_zero_fills(g, fills, settle)
+    overlaid = any(
+        isinstance(f, dict) and f.get("_overlay_intrinsic") for f in view_fills
+    )
+    summary = summarize_fills_pnl(view_fills)
+    # LIVE 且未做内在价值覆盖：优先 groups.realized_pnl（含资金费）
+    if (
+        not overlaid
+        and str(g.get("exec_mode") or "").upper() == "LIVE"
+        and g.get("realized_pnl") is not None
+    ):
         summary = dict(summary)
         summary["net_pnl"] = float(g["realized_pnl"])
         if g.get("funding_usdt") is not None:
             summary["funding_usdt"] = float(g["funding_usdt"])
         summary["pnl_source"] = "live_exchange"
-    # 期期 SIM：若成交汇总缺腿但组上已有 realized_pnl，用组值兜底
+    elif overlaid:
+        summary = dict(summary)
+        summary["pnl_source"] = "expiry_intrinsic_overlay"
     elif (
         is_oo
         and g.get("realized_pnl") is not None
@@ -240,17 +303,20 @@ def _enrich_group(g: dict, fills: list) -> dict:
     prem2 = float(g.get("initial_premium2") or 0) if is_oo else 0.0
     g["total_initial_premium"] = prem1 + prem2 if is_oo else prem1
     g.update(hold_timing(g, fills))
-    info = _expiry_settle_info(g, fills)
+    if settle is not None and g.get("settle_index_px") is None:
+        g["settle_index_px"] = float(settle)
+    info = _expiry_settle_info(g, view_fills)
     if info:
         g["expiry_settle"] = info
         if g.get("settle_index_px") is None and info.get("settle_index_px") is not None:
             g["settle_index_px"] = info["settle_index_px"]
-    mp = _move_points(g, fills)
+    mp = _move_points(g, view_fills)
     g["move_points"] = mp
-    g["close_index_px"] = _close_index_px(g, fills)
+    g["close_index_px"] = _close_index_px(g, view_fills)
     g["option_leverage"] = _option_leverage_for_leg(g, fills, leg="option")
     if is_oo:
         g["option2_leverage"] = _option_leverage_for_leg(g, fills, leg="option2")
+    g["_view_fills"] = view_fills
     return g
 
 
@@ -265,7 +331,9 @@ async def list_groups(_user: Annotated[str, Depends(require_user)]) -> dict:
             "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC",
             (g["group_id"],),
         )
-        groups.append(_enrich_group(g, fills))
+        gr = _enrich_group(g, fills)
+        gr.pop("_view_fills", None)
+        groups.append(gr)
     return {"groups": groups}
 
 
@@ -281,9 +349,13 @@ async def group_detail(
         "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
     )
     gr = _enrich_group(_row(g), fills)
+    view_fills = gr.pop("_view_fills", None) or fills
     return {
         "group": gr,
-        "fills": [_row(x) for x in fills],
+        "fills": [
+            {k: v for k, v in (dict(x) if not isinstance(x, dict) else x).items() if k != "_overlay_intrinsic"}
+            for x in view_fills
+        ],
         "pnl_summary": gr.get("pnl_summary"),
     }
 

backend/tests/test_oo_settle_index.py

@@ -2,22 +2,28 @@
 
 from __future__ import annotations
 
-from app.api.trades import _infer_settle_index
+from app.api.trades import _infer_settle_index, _overlay_expiry_zero_fills
 
 
-def test_otm_call_zero_fill_does_not_become_strike() -> None:
+def test_otm_call_zero_fill_does_not_become_strike(monkeypatch) -> None:
     g = {
         "hedge_mode": "option_option",
         "option_side": "call",
         "option2_side": "put",
+        "option_inst_id": "ETH-USD-260811-1920-C",  # OKX 样式：不走公开回退
         "strike": 1920.0,
         "strike2": 1890.0,
         "settle_index_px": None,
+        "close_reason": "expiry",
+        "close_at_ms": 1,
     }
     fills = [
         {"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
         {"leg": "option2", "action": "close", "fill_px": 0.0, "slip": 0},
     ]
+    monkeypatch.setattr(
+        "app.api.public_index.maybe_public_settle_index", lambda _g: None
+    )
     assert _infer_settle_index(g, fills) is None
 
 
@@ -34,7 +40,6 @@ def test_itm_put_fill_infers_settle_near_1875() -> None:
         {"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
 
 
@@ -46,3 +51,28 @@ def test_stored_settle_wins() -> None:
     }
     fills = [{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0}]
     assert _infer_settle_index(g, fills) == 1875.2
+
+
+def test_public_fallback_and_overlay(monkeypatch) -> None:
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "option_inst_id": "ETH-USD_UM-260811-1940-C",
+        "strike": 1940.0,
+        "strike2": 1920.0,
+        "settle_index_px": None,
+        "close_reason": "expiry",
+        "close_at_ms": 1786435200000,
+    }
+    fills = [
+        {"leg": "option", "action": "close", "fill_px": 0.0, "qty_eth": 7, "slip": 0},
+        {"leg": "option2", "action": "close", "fill_px": 0.0, "qty_eth": 7, "slip": 0},
+    ]
+    monkeypatch.setattr(
+        "app.api.public_index.maybe_public_settle_index", lambda _g: 1877.8
+    )
+    assert _infer_settle_index(g, fills) == 1877.8
+    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