Show expiry settlement as index vs strike intrinsic.

Persist settle_index_px and surface formula in trade detail so expiry closes are not mistaken for book fills.

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

backend/app/api/trades.py

@@ -16,6 +16,51 @@ def _row(r: Any) -> dict:
     return dict(r)
 
 
+def _expiry_settle_info(g: dict, fills: list) -> dict | None:
+    """到期结算口径：期权价 = 内在价值（指数 vs 行权价），非盘口。"""
+    if str(g.get("close_reason") or "") != "expiry":
+        return None
+    strike = g.get("strike")
+    side = str(g.get("option_side") or "").lower()
+    settle_index = g.get("settle_index_px")
+    if settle_index is None and strike is not None:
+        for raw in fills:
+            f = dict(raw) if not isinstance(raw, dict) else raw
+            if str(f.get("leg")) != "option" or str(f.get("action")) != "close":
+                continue
+            if abs(float(f.get("slip") or 0)) > 1e-12:
+                continue
+            px = float(f.get("fill_px") or 0)
+            k = float(strike)
+            if side in ("call", "c"):
+                settle_index = k + px
+            elif side in ("put", "p"):
+                settle_index = k - px
+            break
+    intrinsic = None
+    if settle_index is not None and strike is not None:
+        s = float(settle_index)
+        k = float(strike)
+        if side in ("call", "c"):
+            intrinsic = max(s - k, 0.0)
+        elif side in ("put", "p"):
+            intrinsic = max(k - s, 0.0)
+    formula = (
+        "Call: max(指数−行权价, 0)"
+        if side in ("call", "c")
+        else "Put: max(行权价−指数, 0)"
+        if side in ("put", "p")
+        else ""
+    )
+    return {
+        "settle_index_px": float(settle_index) if settle_index is not None else None,
+        "strike": float(strike) if strike is not None else None,
+        "intrinsic": intrinsic,
+        "formula": formula,
+        "perp_note": "永续仍按市价平仓（非指数交割）",
+    }
+
+
 def _enrich_group(g: dict, fills: list) -> dict:
     summary = summarize_fills_pnl(fills)
     # LIVE：优先 groups.realized_pnl（已按交易所回写，含资金费）
@@ -31,6 +76,11 @@ def _enrich_group(g: dict, fills: list) -> dict:
     elif g.get("realized_pnl") is not None:
         g["net_pnl"] = float(g["realized_pnl"])
     g.update(hold_timing(g, fills))
+    info = _expiry_settle_info(g, 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"]
     return g
 
 

backend/app/models/db.py

@@ -42,7 +42,8 @@ CREATE TABLE IF NOT EXISTS groups (
   slip_cost REAL DEFAULT 0,
   note TEXT,
   exec_mode TEXT,
-  funding_usdt REAL
+  funding_usdt REAL,
+  settle_index_px REAL
 );
 
 CREATE TABLE IF NOT EXISTS fills (
@@ -152,6 +153,7 @@ class Database:
             for table, col, decl in (
                 ("groups", "exec_mode", "TEXT"),
                 ("groups", "funding_usdt", "REAL"),
+                ("groups", "settle_index_px", "REAL"),
                 ("fills", "exec_mode", "TEXT"),
                 ("fills", "fee_ccy", "TEXT"),
             ):

backend/app/sim/matcher.py

@@ -566,10 +566,20 @@ class Matcher:
             ).fetchone()
             fees = float(g["fees"] or 0) + pf.fee + of.fee
             slip = float(g["slip_cost"] or 0) + pf.slip + of.slip
+            settle_index = float(spot) if is_expiry and spot is not None else None
             self.db._conn.execute(
                 """UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
-                   fees=?, slip_cost=?, note=NULL WHERE group_id=?""",
-                ("closed", now, reason, net_after_all_fees, fees, slip, group_id),
+                   fees=?, slip_cost=?, note=NULL, settle_index_px=? WHERE group_id=?""",
+                (
+                    "closed",
+                    now,
+                    reason,
+                    net_after_all_fees,
+                    fees,
+                    slip,
+                    settle_index,
+                    group_id,
+                ),
             )
             self.db._conn.execute(
                 """UPDATE positions SET