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