Fix LIVE SoT P0/P1: closing state machine, OO exchange fills, BN balances.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-08 15:54:45 +08:00
parent 99e58910d3
commit 8d67f3fc6c
10 changed files with 864 additions and 167 deletions
@@ -528,29 +528,52 @@ class BinanceLiveExecutor(Matcher):
        option_inst_id = str(pos.get("option_inst_id") or "")
        opt_contracts = float(pos.get("option_qty_contracts") or 0)
        opt_qty = float(pos.get("option_qty_eth") or 0)
-        if not option_inst_id or opt_contracts <= 0:
+        if not option_inst_id:
            return CloseResult(ok=False, detail="half_open 缺期权合约信息")
        client = self._client()
-        try:
-            opt_live = client.place_option_market(
-                symbol=option_inst_id,
-                side="SELL",
-                quantity=opt_contracts,
-                reduce_only=True,
+        ex_sz = exchange_option_abs_size(client, option_inst_id)
+        if ex_sz is None:
+            return CloseResult(ok=False, detail="half_open：无法核对交易所期权仓位")
+        if ex_sz <= 1e-8:
+            of_px, of_fee, of_notional = 0.0, 0.0, 0.0
+            opt_contracts = 0.0
+            opt_qty = 0.0
+            opt_entry = float(pos.get("option_entry_px") or 0)
+        else:
+            opt_contracts = float(ex_sz)
+            opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
+            try:
+                opt_live = client.place_option_market(
+                    symbol=option_inst_id,
+                    side="SELL",
+                    quantity=opt_contracts,
+                    reduce_only=True,
+                )
+            except Exception as e:
+                return CloseResult(ok=False, detail=f"half_open 平期权失败: {e}")
+            of_px = float(opt_live.avg_px)
+            of_fee = float(opt_live.fee)
+            filled = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
+            if filled > 0:
+                opt_contracts = filled
+                opt_qty = eth_from_contracts(
+                    opt_contracts, self._ct_mult(option_inst_id)
+                )
+            of_notional = of_px * opt_qty
+            ex_left = exchange_option_abs_size(client, option_inst_id)
+            if ex_left is None or ex_left > 1e-8:
+                return CloseResult(
+                    ok=False,
+                    detail=f"half_open：卖后仍有仓或无法核对 left={ex_left}",
+                )
+            opt_entry = float(pos.get("option_entry_px") or of_px)
+            self.ledger.apply_cash(
+                of_notional - of_fee,
+                kind="close_option",
+                group_id=group_id or None,
+                note="LIVE-BN repair half_open",
+                allow_negative=True,
            )
-        except Exception as e:
-            return CloseResult(ok=False, detail=f"half_open 平期权失败: {e}")
-        of_px = float(opt_live.avg_px)
-        of_fee = float(opt_live.fee)
-        of_notional = of_px * opt_qty
-        opt_entry = float(pos.get("option_entry_px") or of_px)
-        self.ledger.apply_cash(
-            of_notional - of_fee,
-            kind="close_option",
-            group_id=group_id or None,
-            note="LIVE-BN repair half_open",
-            allow_negative=True,
-        )
        now = int(time.time() * 1000)
        with self.db._lock:
            if group_id:
@@ -961,7 +984,8 @@ class BinanceLiveExecutor(Matcher):
        if err:
            return CloseResult(ok=False, detail=err)
        pos = self.current_position()
-        if str(pos.get("status") or "") != "open" or not pos.get("group_id"):
+        st = str(pos.get("status") or "")
+        if st not in ("open", "closing") or not pos.get("group_id"):
            return CloseResult(ok=False, detail="无期期持仓可平")
        if not (
            str(pos.get("hedge_mode") or "") == "option_option"
@@ -1022,6 +1046,13 @@ class BinanceLiveExecutor(Matcher):
                    ),
                )
                self.db._conn.commit()
+        from ..sim.pnl import summarize_fills_pnl
+
+        fill_rows = self.db.fetchall(
+            "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
+        )
+        summary = summarize_fills_pnl(list(fill_rows))
+        net = float(summary.get("net_pnl") or 0.0)
        with self.db._lock:
            self.db._conn.execute(
                """UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
@@ -1030,7 +1061,7 @@ class BinanceLiveExecutor(Matcher):
                    "closed",
                    int(time.time() * 1000),
                    reason,
-                    0.0,
+                    net,
                    f"oo full close {reason} exchange_flat_mirror",
                    group_id,
                ),
@@ -1050,7 +1081,7 @@ class BinanceLiveExecutor(Matcher):
        return CloseResult(
            ok=True,
            detail="oo_full_closed_live_bn",
-            data={"group_id": group_id, "reason": reason, "net": 0.0},
+            data={"group_id": group_id, "reason": reason, "net": net},
        )

    def close_winning_oo_leave_residual(
@@ -1060,31 +1091,46 @@ class BinanceLiveExecutor(Matcher):
        if err:
            return CloseResult(ok=False, detail=err)
        pos = self.current_position()
-        if str(pos.get("status") or "") == "closing":
-            return super().close_winning_oo_leave_residual(
-                reason=reason, skip_market=True
-            )
-        if str(pos.get("status") or "") != "open" or not pos.get("option2_inst_id"):
+        st = str(pos.get("status") or "")
+        if st == "closing":
+            return self._finish_oo_win_after_exchange(reason=reason, pos=pos)
+        if st != "open" or not pos.get("option2_inst_id"):
            return CloseResult(ok=False, detail="无期期持仓")
        upl = self.unrealized()
        call_upl = float(upl.get("option_upl") or 0)
        put_upl = float(upl.get("option2_upl") or 0)
        if call_upl >= put_upl and call_upl > 0:
+            win_leg = "option"
            win_id = str(pos["option_inst_id"])
-            win_contracts = float(pos.get("option_qty_contracts") or 0)
        elif put_upl > 0:
+            win_leg = "option2"
            win_id = str(pos["option2_inst_id"])
-            win_contracts = float(pos.get("option2_qty_contracts") or 0)
        else:
            return CloseResult(ok=False, detail="无明确盈利腿")
+        client = self._client()
+        ex_sz = exchange_option_abs_size(client, win_id)
+        if ex_sz is None:
+            return CloseResult(ok=False, detail="期期平盈利腿：无法核对交易所仓位")
+        if ex_sz <= 1e-8:
+            return self._finish_oo_win_after_exchange(
+                reason=reason,
+                pos=pos,
+                win_leg=win_leg,
+                fill_px=0.0,
+                fill_fee=0.0,
+                fill_c=0.0,
+            )
        with self.db._lock:
            self.db._conn.execute(
                "UPDATE positions SET status='closing' WHERE id=1 AND status='open'"
            )
            self.db._conn.commit()
        try:
-            self._client().place_option_market(
-                symbol=win_id, side="SELL", quantity=win_contracts
+            live = client.place_option_market(
+                symbol=win_id,
+                side="SELL",
+                quantity=float(ex_sz),
+                reduce_only=True,
            )
        except Exception as e:
            with self.db._lock:
@@ -1093,8 +1139,62 @@ class BinanceLiveExecutor(Matcher):
                )
                self.db._conn.commit()
            return CloseResult(ok=False, detail=f"期期平盈利腿失败: {e}")
+        fill_c = float(live.sz) if live.sz and float(live.sz) > 0 else 0.0
+        return self._finish_oo_win_after_exchange(
+            reason=reason,
+            pos=self.current_position(),
+            win_leg=win_leg,
+            fill_px=float(live.avg_px),
+            fill_fee=float(live.fee),
+            fill_c=fill_c,
+        )
+
+    def _finish_oo_win_after_exchange(
+        self,
+        *,
+        reason: str,
+        pos: dict,
+        win_leg: str | None = None,
+        fill_px: float | None = None,
+        fill_fee: float | None = None,
+        fill_c: float | None = None,
+    ) -> CloseResult:
+        client = self._client()
+        call_id = str(pos.get("option_inst_id") or "")
+        put_id = str(pos.get("option2_inst_id") or "")
+        if not win_leg:
+            c_sz = exchange_option_abs_size(client, call_id) if call_id else None
+            p_sz = exchange_option_abs_size(client, put_id) if put_id else None
+            if c_sz is None or p_sz is None:
+                return CloseResult(
+                    ok=False, detail="closing 收尾：无法核对交易所两腿仓位"
+                )
+            if c_sz <= 1e-8 and p_sz > 1e-8:
+                win_leg = "option"
+            elif p_sz <= 1e-8 and c_sz > 1e-8:
+                win_leg = "option2"
+            elif c_sz <= 1e-8 and p_sz <= 1e-8:
+                return self.close_oo_full(reason=reason, bypass_liquidity=True)
+            else:
+                return CloseResult(
+                    ok=False, detail="closing 收尾：盈利腿仍在交易所，请重试卖出"
+                )
+        win_id = call_id if win_leg == "option" else put_id
+        ex_win = exchange_option_abs_size(client, win_id)
+        if ex_win is None:
+            return CloseResult(ok=False, detail="closing 收尾：无法核对盈利腿仓位")
+        if ex_win > 1e-8:
+            return CloseResult(
+                ok=False,
+                detail=f"closing 收尾：盈利腿仍有仓 {ex_win}，禁止本地清仓",
+            )
        return super().close_winning_oo_leave_residual(
-            reason=reason, skip_market=True
+            reason=reason,
+            skip_market=True,
+            live_fill_px=0.0 if fill_px is None else float(fill_px),
+            live_fill_fee=0.0 if fill_fee is None else float(fill_fee),
+            live_fill_contracts=fill_c,
+            live_win_leg=win_leg,
        )

    def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
@@ -1109,6 +1209,18 @@ class BinanceLiveExecutor(Matcher):
            return self.recover_opening()
        if st == "half_open":
            return self.repair_half_open()
+        if st == "closing":
+            if pos.get("option2_inst_id") or str(pos.get("hedge_mode") or "") == "option_option":
+                return self.close_winning_oo_leave_residual(
+                    reason=reason or "closing_retry"
+                )
+            return CloseResult(ok=False, detail="closing 非期期状态，请人工核对")
+        is_oo = (
+            str(pos.get("hedge_mode") or "") == "option_option"
+            or bool(pos.get("option2_inst_id"))
+        )
+        if is_oo and st == "open":
+            return self.close_oo_full(reason=reason, bypass_liquidity=bypass_liquidity)
        if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
            return CloseResult(ok=False, detail="无持仓可平")

@@ -1158,9 +1270,9 @@ class BinanceLiveExecutor(Matcher):
                of_fee = float(prev["fee"] or 0)
                of_notional = float(prev["notional"] or (of_px * opt_qty))
            else:
-                of_px = float(intrinsic) if intrinsic is not None else 0.0
+                of_px = 0.0
                of_fee = 0.0
-                of_notional = of_px * opt_qty
+                of_notional = 0.0
                self._ensure_option_closed_perp_pending(
                    group_id=group_id,
                    option_inst_id=option_inst_id,
@@ -1176,9 +1288,17 @@ class BinanceLiveExecutor(Matcher):
            of_slip = 0.0
            option_apply_cash = False
        elif is_expiry:
-            of_px = float(intrinsic) if intrinsic is not None else 0.0
+            ex_opt = exchange_option_abs_size(client, option_inst_id)
+            if ex_opt is not None and ex_opt > 1e-8:
+                logger.warning(
+                    "bn expiry: option still on exchange sz=%.4f group=%s; "
+                    "skip option, close perp only",
+                    ex_opt,
+                    group_id,
+                )
+            of_px = 0.0
            of_fee = 0.0
-            of_notional = of_px * opt_qty
+            of_notional = 0.0
            of_slip = 0.0
            option_apply_cash = False
            logger.info(
@@ -1960,35 +2080,45 @@ class BinanceLiveExecutor(Matcher):
                perp_qty_eth=perp_qty,
                allow_db_fallback=False,
            )
-            if perp_qty_close is None or perp_qty_close <= 0:
+            if perp_qty_close is None:
                return CloseResult(
                    ok=False,
-                    detail="币安平永续失败: 无法取得有效永续仓位数量",
+                    detail="币安平永续失败: 无法核对交易所永续仓位",
+                )
+            if perp_qty_close > 0:
+                perp_live = client.place_perp_market(
+                    symbol=perp_inst,
+                    side=side,
+                    qty_eth=perp_qty_close,
+                    position_side=pos_side,
+                    reduce_only=True,
+                )
+                pf_px = float(perp_live.avg_px)
+                pf_fee = float(perp_live.fee)
+                perp_qty = float(perp_qty_close)
+            else:
+                pf_px = 0.0
+                pf_fee = 0.0
+                logger.warning(
+                    "bn abandon: perp already flat; archive option residual group=%s",
+                    group_id,
                )
-            perp_live = client.place_perp_market(
-                symbol=perp_inst,
-                side=side,
-                qty_eth=perp_qty_close,
-                position_side=pos_side,
-                reduce_only=True,
-            )
        except Exception as e:
            return CloseResult(ok=False, detail=f"币安平永续失败: {e}")

-        pf_px = float(perp_live.avg_px)
-        pf_fee = float(perp_live.fee)
        if perp_side == "long":
-            perp_pnl = (pf_px - perp_entry) * perp_qty
+            perp_pnl = (pf_px - perp_entry) * perp_qty if pf_px else 0.0
        else:
-            perp_pnl = (perp_entry - pf_px) * perp_qty
+            perp_pnl = (perp_entry - pf_px) * perp_qty if pf_px else 0.0

-        self.ledger.apply_cash(
-            perp_pnl - pf_fee,
-            kind="close_perp",
-            group_id=group_id,
-            note=f"LIVE-BN close perp abandon option {reason}",
-            allow_negative=True,
-        )
+        if abs(perp_pnl) + abs(pf_fee) > 1e-12:
+            self.ledger.apply_cash(
+                perp_pnl - pf_fee,
+                kind="close_perp",
+                group_id=group_id,
+                note=f"LIVE-BN close perp abandon option {reason}",
+                allow_negative=True,
+            )

        strike = self._group_strike(group_id, option_inst_id)
        g = self.db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
@@ -356,6 +356,65 @@ class BinanceTradeClient:
            return to_usdt(float(upl), "USDT")
        return 0.0

+    def fetch_balances(self) -> dict[str, float | None]:
+        """交易侧可用：USDT-M 钱包 USDT + 期权账户 USDT/USDC（尽力而为）。"""
+        out: dict[str, float | None] = {
+            "trading_usdt": None,
+            "trading_usdc": None,
+        }
+        try:
+            rows = self._signed(self._fapi, "GET", "/fapi/v2/balance")
+            if isinstance(rows, dict):
+                rows = [rows]
+            for row in rows or []:
+                if not isinstance(row, dict):
+                    continue
+                asset = str(row.get("asset") or "").upper()
+                avail = safe_float(row.get("availableBalance"))
+                if avail is None:
+                    avail = safe_float(row.get("balance"))
+                if asset == "USDT" and avail is not None:
+                    out["trading_usdt"] = float(avail)
+                elif asset == "USDC" and avail is not None:
+                    # 永续侧 USDC 少见；若有则记
+                    if out["trading_usdc"] is None:
+                        out["trading_usdc"] = float(avail)
+        except Exception as e:
+            logger.warning("binance fapi balance failed: %s", e)
+        try:
+            data = self._signed(self._eapi, "GET", "/eapi/v1/marginAccount")
+            asset_list = []
+            if isinstance(data, dict):
+                asset_list = data.get("asset") or data.get("assets") or []
+            if isinstance(asset_list, list):
+                for row in asset_list:
+                    if not isinstance(row, dict):
+                        continue
+                    asset = str(
+                        row.get("asset") or row.get("currency") or ""
+                    ).upper()
+                    avail = (
+                        safe_float(row.get("available"))
+                        or safe_float(row.get("marginBalance"))
+                        or safe_float(row.get("equity"))
+                    )
+                    if asset == "USDT" and avail is not None:
+                        # 期权保证金常用 USDT；与 fapi 取较大可用
+                        cur = out.get("trading_usdt")
+                        out["trading_usdt"] = (
+                            float(avail)
+                            if cur is None
+                            else max(float(cur), float(avail))
+                        )
+                    elif asset == "USDC" and avail is not None:
+                        out["trading_usdc"] = float(avail)
+        except Exception as e:
+            logger.warning("binance eapi marginAccount failed: %s", e)
+        # 币安期权常用 USDT 保证金：eapi 无独立 USDC 时，用 USDT 作为期权侧可用
+        if out.get("trading_usdt") is not None and out.get("trading_usdc") is None:
+            out["trading_usdc"] = float(out["trading_usdt"])
+        return out
+
    def get_perp_pos_sz(self, symbol: str, *, position_side: str | None = None) -> float | None:
        """当前永续绝对持仓（ETH）。"""
        try:
@@ -546,30 +546,52 @@ class OkxLiveExecutor(Matcher):
        option_inst_id = str(pos.get("option_inst_id") or "")
        opt_contracts = float(pos.get("option_qty_contracts") or 0)
        opt_qty = float(pos.get("option_qty_eth") or 0)
-        if not option_inst_id or opt_contracts <= 0:
+        if not option_inst_id:
            return CloseResult(ok=False, detail="half_open 缺期权合约信息")
        client = self._client()
-        try:
-            opt_live = client.place_market(
-                inst_id=option_inst_id,
-                side="sell",
-                sz=str(int(round(opt_contracts))),
-                td_mode="cash",
-                reduce_only=True,
+        ex_sz = exchange_option_abs_size(client, option_inst_id)
+        if ex_sz is None:
+            return CloseResult(ok=False, detail="half_open：无法核对交易所期权仓位")
+        if ex_sz <= 1e-8:
+            of_px, of_fee, of_notional = 0.0, 0.0, 0.0
+            opt_contracts = 0.0
+            opt_qty = 0.0
+            opt_entry = float(pos.get("option_entry_px") or 0)
+            # 已空：不发明现金
+        else:
+            opt_contracts = float(ex_sz)
+            opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
+            try:
+                opt_live = client.place_market(
+                    inst_id=option_inst_id,
+                    side="sell",
+                    sz=str(max(1, int(round(opt_contracts)))),
+                    td_mode="cash",
+                    reduce_only=True,
+                )
+            except Exception as e:
+                return CloseResult(ok=False, detail=f"half_open 平期权失败: {e}")
+            of_px = float(opt_live.avg_px)
+            of_fee = float(opt_live.fee)
+            filled = float(opt_live.sz) if opt_live.sz and float(opt_live.sz) > 0 else 0.0
+            if filled > 0:
+                opt_contracts = filled
+                opt_qty = eth_from_contracts(opt_contracts, self._ct_mult(option_inst_id))
+            of_notional = of_px * opt_qty
+            ex_left = exchange_option_abs_size(client, option_inst_id)
+            if ex_left is None or ex_left > 1e-8:
+                return CloseResult(
+                    ok=False,
+                    detail=f"half_open：卖后仍有仓或无法核对 left={ex_left}",
+                )
+            opt_entry = float(pos.get("option_entry_px") or of_px)
+            self.ledger.apply_cash(
+                of_notional - of_fee,
+                kind="close_option",
+                group_id=group_id or None,
+                note="LIVE repair half_open",
+                allow_negative=True,
            )
-        except Exception as e:
-            return CloseResult(ok=False, detail=f"half_open 平期权失败: {e}")
-        of_px = float(opt_live.avg_px)
-        of_fee = float(opt_live.fee)
-        of_notional = of_px * opt_qty
-        opt_entry = float(pos.get("option_entry_px") or of_px)
-        self.ledger.apply_cash(
-            of_notional - of_fee,
-            kind="close_option",
-            group_id=group_id or None,
-            note="LIVE repair half_open",
-            allow_negative=True,
-        )
        now = int(time.time() * 1000)
        with self.db._lock:
            if group_id:
@@ -1007,7 +1029,8 @@ class OkxLiveExecutor(Matcher):
        if err:
            return CloseResult(ok=False, detail=err)
        pos = self.current_position()
-        if str(pos.get("status") or "") != "open" or not pos.get("group_id"):
+        st = str(pos.get("status") or "")
+        if st not in ("open", "closing") or not pos.get("group_id"):
            return CloseResult(ok=False, detail="无期期持仓可平")
        if not (
            str(pos.get("hedge_mode") or "") == "option_option"
@@ -1026,7 +1049,7 @@ class OkxLiveExecutor(Matcher):
            except Exception as e:
                return CloseResult(ok=False, detail=f"期期全平卖腿失败: {e}")
        # 必须以交易所两腿皆空才落本地 flat
-        for leg, inst, _qty, _c in legs:
+        for _leg, inst, _qty, _c in legs:
            if not inst:
                continue
            ex_sz = exchange_option_abs_size(client, inst)
@@ -1069,6 +1092,13 @@ class OkxLiveExecutor(Matcher):
                    ),
                )
                self.db._conn.commit()
+        from ..sim.pnl import summarize_fills_pnl
+
+        fill_rows = self.db.fetchall(
+            "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
+        )
+        summary = summarize_fills_pnl(list(fill_rows))
+        net = float(summary.get("net_pnl") or 0.0)
        with self.db._lock:
            self.db._conn.execute(
                """UPDATE groups SET status=?, close_at_ms=?, close_reason=?, realized_pnl=?,
@@ -1077,7 +1107,7 @@ class OkxLiveExecutor(Matcher):
                    "closed",
                    int(time.time() * 1000),
                    reason,
-                    0.0,
+                    net,
                    f"oo full close {reason} exchange_flat_mirror",
                    group_id,
                ),
@@ -1097,47 +1127,54 @@ class OkxLiveExecutor(Matcher):
        return CloseResult(
            ok=True,
            detail="oo_full_closed_live",
-            data={"group_id": group_id, "reason": reason, "net": 0.0},
+            data={"group_id": group_id, "reason": reason, "net": net},
        )

    def close_winning_oo_leave_residual(
        self, *, reason: str = "target_oo_win"
    ) -> CloseResult:
-        """期期达标：先标记 closing，再交易所卖掉盈利腿，再落库。"""
+        """期期达标：先标记 closing，再按交易所张数卖掉盈利腿，验空后落库。"""
        err = self._guard_live()
        if err:
            return CloseResult(ok=False, detail=err)
        pos = self.current_position()
-        if str(pos.get("status") or "") != "open" or not pos.get("option2_inst_id"):
+        st = str(pos.get("status") or "")
+        # 防重入：已在 closing 则优先收尾（须在 open 判断之前）
+        if st == "closing":
+            return self._finish_oo_win_after_exchange(reason=reason, pos=pos)
+        if st != "open" or not pos.get("option2_inst_id"):
            return CloseResult(ok=False, detail="无期期持仓")
-        # 防重入：已在 closing 则只做账本收尾
-        if str(pos.get("status") or "") == "closing":
-            return super().close_winning_oo_leave_residual(
-                reason=reason, skip_market=True
-            )
        upl = self.unrealized()
        call_upl = float(upl.get("option_upl") or 0)
        put_upl = float(upl.get("option2_upl") or 0)
        if call_upl >= put_upl and call_upl > 0:
+            win_leg = "option"
            win_id = str(pos["option_inst_id"])
-            win_contracts = float(pos.get("option_qty_contracts") or 0)
        elif put_upl > 0:
+            win_leg = "option2"
            win_id = str(pos["option2_inst_id"])
-            win_contracts = float(pos.get("option2_qty_contracts") or 0)
        else:
            return CloseResult(ok=False, detail="无明确盈利腿")
+        client = self._client()
+        ex_sz = exchange_option_abs_size(client, win_id)
+        if ex_sz is None:
+            return CloseResult(ok=False, detail="期期平盈利腿：无法核对交易所仓位")
+        if ex_sz <= 1e-8:
+            return self._finish_oo_win_after_exchange(
+                reason=reason, pos=pos, win_leg=win_leg, fill_px=0.0, fill_fee=0.0, fill_c=0.0
+            )
        with self.db._lock:
            self.db._conn.execute(
                "UPDATE positions SET status='closing' WHERE id=1 AND status='open'"
            )
            self.db._conn.commit()
-        client = self._client()
        try:
-            client.place_market(
+            live = client.place_market(
                inst_id=win_id,
                side="sell",
-                sz=str(int(round(win_contracts))),
+                sz=str(max(1, int(round(float(ex_sz))))),
                td_mode="cash",
+                reduce_only=True,
            )
        except Exception as e:
            with self.db._lock:
@@ -1146,8 +1183,65 @@ class OkxLiveExecutor(Matcher):
                )
                self.db._conn.commit()
            return CloseResult(ok=False, detail=f"期期平盈利腿失败: {e}")
+        fill_c = float(live.sz) if live.sz and float(live.sz) > 0 else 0.0
+        return self._finish_oo_win_after_exchange(
+            reason=reason,
+            pos=self.current_position(),
+            win_leg=win_leg,
+            fill_px=float(live.avg_px),
+            fill_fee=float(live.fee),
+            fill_c=fill_c,
+        )
+
+    def _finish_oo_win_after_exchange(
+        self,
+        *,
+        reason: str,
+        pos: dict,
+        win_leg: str | None = None,
+        fill_px: float | None = None,
+        fill_fee: float | None = None,
+        fill_c: float | None = None,
+    ) -> CloseResult:
+        """盈利腿卖后：确认交易所已空，再用真实成交落库。"""
+        client = self._client()
+        call_id = str(pos.get("option_inst_id") or "")
+        put_id = str(pos.get("option2_inst_id") or "")
+        if not win_leg:
+            # 崩溃恢复：哪条腿已空且另一条仍有仓 → 已空者为赢腿
+            c_sz = exchange_option_abs_size(client, call_id) if call_id else None
+            p_sz = exchange_option_abs_size(client, put_id) if put_id else None
+            if c_sz is None or p_sz is None:
+                return CloseResult(
+                    ok=False, detail="closing 收尾：无法核对交易所两腿仓位"
+                )
+            if c_sz <= 1e-8 and p_sz > 1e-8:
+                win_leg = "option"
+            elif p_sz <= 1e-8 and c_sz > 1e-8:
+                win_leg = "option2"
+            elif c_sz <= 1e-8 and p_sz <= 1e-8:
+                # 两腿皆空：走全平镜像
+                return self.close_oo_full(reason=reason, bypass_liquidity=True)
+            else:
+                return CloseResult(
+                    ok=False, detail="closing 收尾：盈利腿仍在交易所，请重试卖出"
+                )
+        win_id = call_id if win_leg == "option" else put_id
+        ex_win = exchange_option_abs_size(client, win_id)
+        if ex_win is None:
+            return CloseResult(ok=False, detail="closing 收尾：无法核对盈利腿仓位")
+        if ex_win > 1e-8:
+            return CloseResult(
+                ok=False,
+                detail=f"closing 收尾：盈利腿仍有仓 {ex_win}，禁止本地清仓",
+            )
        return super().close_winning_oo_leave_residual(
-            reason=reason, skip_market=True
+            reason=reason,
+            skip_market=True,
+            live_fill_px=0.0 if fill_px is None else float(fill_px),
+            live_fill_fee=0.0 if fill_fee is None else float(fill_fee),
+            live_fill_contracts=fill_c,
+            live_win_leg=win_leg,
        )

    def close_group(self, *, reason: str, bypass_liquidity: bool = False) -> CloseResult:
@@ -1162,6 +1256,17 @@ class OkxLiveExecutor(Matcher):
            return self.recover_opening()
        if st == "half_open":
            return self.repair_half_open()
+        if st == "closing":
+            # 期期盈利腿收尾
+            if pos.get("option2_inst_id") or str(pos.get("hedge_mode") or "") == "option_option":
+                return self.close_winning_oo_leave_residual(reason=reason or "closing_retry")
+            return CloseResult(ok=False, detail="closing 非期期状态，请人工核对")
+        is_oo = (
+            str(pos.get("hedge_mode") or "") == "option_option"
+            or bool(pos.get("option2_inst_id"))
+        )
+        if is_oo and st == "open":
+            return self.close_oo_full(reason=reason, bypass_liquidity=bypass_liquidity)
        if st not in ("open", "option_closed_perp_pending") or not pos.get("group_id"):
            return CloseResult(ok=False, detail="无持仓可平")

@@ -1213,9 +1318,9 @@ class OkxLiveExecutor(Matcher):
                of_fee = float(prev["fee"] or 0)
                of_notional = float(prev["notional"] or (of_px * opt_qty))
            else:
-                of_px = float(intrinsic) if intrinsic is not None else 0.0
+                of_px = 0.0
                of_fee = 0.0
-                of_notional = of_px * opt_qty
+                of_notional = 0.0
                self._ensure_option_closed_perp_pending(
                    group_id=group_id,
                    option_inst_id=option_inst_id,
@@ -1231,10 +1336,18 @@ class OkxLiveExecutor(Matcher):
            of_slip = 0.0
            option_apply_cash = False
        elif is_expiry:
-            # 到期：交易所自动结算期权，本地只平永续，不卖期权、不本地发明结算现金
-            of_px = float(intrinsic) if intrinsic is not None else 0.0
+            # 到期：交易所自动结算期权，本地只平永续；不卖期权、不用 intrinsic 发明 fill
+            ex_opt = exchange_option_abs_size(client, option_inst_id)
+            if ex_opt is not None and ex_opt > 1e-8:
+                logger.warning(
+                    "expiry: option still on exchange sz=%.4f group=%s; "
+                    "skip option, close perp only",
+                    ex_opt,
+                    group_id,
+                )
+            of_px = 0.0
            of_fee = 0.0
-            of_notional = of_px * opt_qty
+            of_notional = 0.0
            of_slip = 0.0
            option_apply_cash = False
            logger.info(
@@ -2025,40 +2138,54 @@ class OkxLiveExecutor(Matcher):
                ct_val=ct_val,
                allow_db_fallback=False,
            )
-            if perp_sz is None or perp_sz <= 0:
+            if perp_sz is None:
                return CloseResult(
                    ok=False,
-                    detail="弃期权平永续失败: 无法取得有效永续仓位数量",
+                    detail="弃期权平永续失败: 无法核对交易所永续仓位",
                )
-            if perp_side == "long":
-                side, pos_side = "sell", "long"
+            if perp_sz > 0:
+                if perp_side == "long":
+                    side, pos_side = "sell", "long"
+                else:
+                    side, pos_side = "buy", "short"
+                perp_live = client.place_market(
+                    inst_id=perp_inst,
+                    side=side,
+                    sz=str(perp_sz),
+                    td_mode=self._perp_margin_mode_for_group(group_id),
+                    pos_side=pos_side,
+                    reduce_only=True,
+                )
+                pf_px = float(perp_live.avg_px)
+                pf_fee = float(perp_live.fee)
+                try:
+                    perp_qty = float(perp_sz) * float(ct_val)
+                except Exception:
+                    pass
            else:
-                side, pos_side = "buy", "short"
-            perp_live = client.place_market(
-                inst_id=perp_inst,
-                side=side,
-                sz=str(perp_sz),
-                td_mode=self._perp_margin_mode_for_group(group_id),
-                pos_side=pos_side,
-                reduce_only=True,
-            )
+                # 永续已空：仍归档期权 residual
+                pf_px = 0.0
+                pf_fee = 0.0
+                logger.warning(
+                    "abandon: perp already flat on exchange; archive option residual group=%s",
+                    group_id,
+                )
        except Exception as e:
            return CloseResult(ok=False, detail=f"实盘平永续失败: {e}")

-        pf_px = float(perp_live.avg_px)
-        pf_fee = float(perp_live.fee)
        if perp_side == "long":
-            perp_pnl = (pf_px - perp_entry) * perp_qty
+            perp_pnl = (pf_px - perp_entry) * perp_qty if pf_px else 0.0
        else:
-            perp_pnl = (perp_entry - pf_px) * perp_qty
+            perp_pnl = (perp_entry - pf_px) * perp_qty if pf_px else 0.0

-        self.ledger.apply_cash(
-            perp_pnl - pf_fee,
-            kind="close_perp",
-            group_id=group_id,
-            note=f"LIVE close perp abandon option {reason}",
-            allow_negative=True,
-        )
+        if abs(perp_pnl) + abs(pf_fee) > 1e-12:
+            self.ledger.apply_cash(
+                perp_pnl - pf_fee,
+                kind="close_perp",
+                group_id=group_id,
+                note=f"LIVE close perp abandon option {reason}",
+                allow_negative=True,
+            )

        # 复用父类归档写入：临时改 fill 路径太重，直接调用父类会再平一次本地假价。
        # 因此把实盘价写入后走父类结构——这里内联父类 abandon 的 DB 段。
@@ -278,14 +278,21 @@ def recover_stuck_opening(executor) -> CloseResult | None:
    group_id = str(pos.get("group_id") or "")
    perp_inst = resolve_perp_inst_id(executor.db, group_id=group_id or None)

+    # 期期 opening：perp_side 形如 oo_put:{put_inst}
+    oo_put_inst = ""
+    if perp_side.startswith("oo_put:"):
+        oo_put_inst = perp_side.split(":", 1)[1].strip()
+
    perp_total = 0.0
-    for side in ("long", "short"):
-        sz = exchange_perp_abs_size(client, ex_name or "", perp_inst, side)
-        if sz is None:
-            return CloseResult(ok=False, detail="recover_opening: 无法查永续")
-        perp_total += float(sz)
+    if not oo_put_inst:
+        for side in ("long", "short"):
+            sz = exchange_perp_abs_size(client, ex_name or "", perp_inst, side)
+            if sz is None:
+                return CloseResult(ok=False, detail="recover_opening: 无法查永续")
+            perp_total += float(sz)

    opt_sz = 0.0
+    put_sz = 0.0
    if option_inst:
        raw = exchange_option_abs_size(client, option_inst)
        if raw is None:
@@ -304,12 +311,34 @@ def recover_stuck_opening(executor) -> CloseResult | None:
                ),
            )
        opt_sz = 0.0
+    if oo_put_inst:
+        raw_p = exchange_option_abs_size(client, oo_put_inst)
+        if raw_p is None:
+            return CloseResult(ok=False, detail="recover_opening: 无法查期期 Put")
+        put_sz = float(raw_p)

-    # 两边皆空 → 清槽
-    if opt_sz <= _OPT_EPS and perp_total <= _PERP_EPS:
+    # 两边皆空 → 清槽（期期须 Call+Put 皆空）
+    if opt_sz <= _OPT_EPS and put_sz <= _OPT_EPS and perp_total <= _PERP_EPS:
        release_open_slot_if_opening(executor.db)
        return CloseResult(ok=True, detail="recover_opening: 交易所空仓，已释放 opening")

+    # 期期：任一腿残留且无完整双边 → 禁止清槽；仅 Call 则 half_open repair
+    if oo_put_inst:
+        if put_sz > _OPT_EPS and opt_sz <= _OPT_EPS:
+            return CloseResult(
+                ok=False,
+                detail=(
+                    f"recover_opening: 期期 Put 残留({oo_put_inst}) Call 已空，"
+                    "禁止清槽，请人工核对"
+                ),
+            )
+        if opt_sz > _OPT_EPS and put_sz > _OPT_EPS:
+            return CloseResult(
+                ok=False,
+                detail="recover_opening: 期期两腿均在交易所，请人工核对后 promote",
+            )
+        # 仅 Call → 落入下方 half_open
+
    # 无元数据但有仓 → 不自动处理
    if not option_inst:
        return CloseResult(
@@ -26,7 +26,13 @@ logger = logging.getLogger(__name__)

 # 禁止新开仓的本地仓位状态（实盘防卡）
 BLOCKING_STATUSES = frozenset(
-    {"open", "half_open", "option_closed_perp_pending", "opening"}
+    {
+        "open",
+        "half_open",
+        "option_closed_perp_pending",
+        "opening",
+        "closing",  # 期期盈利腿已卖、账本收尾中
+    }
 )


@@ -624,7 +630,14 @@ class Matcher:
        )

    def close_winning_oo_leave_residual(
-        self, *, reason: str = "target_oo_win", skip_market: bool = False
+        self,
+        *,
+        reason: str = "target_oo_win",
+        skip_market: bool = False,
+        live_fill_px: float | None = None,
+        live_fill_fee: float | None = None,
+        live_fill_contracts: float | None = None,
+        live_win_leg: str | None = None,
    ) -> CloseResult:
        """期期达标：平盈利腿，亏损腿进 residual。skip_market=True 时假定已在交易所卖掉盈利腿。"""
        pos = self.current_position()
@@ -649,6 +662,13 @@ class Matcher:
        upl = self.unrealized()
        call_upl = float(upl.get("option_upl") or 0)
        put_upl = float(upl.get("option2_upl") or 0)
+        # LIVE 收尾可指定 win_leg（崩溃恢复时 UPL 可能已不可用）
+        force_leg = (live_win_leg or "").strip()
+        if force_leg in ("option", "option2"):
+            if force_leg == "option":
+                call_upl, put_upl = 1.0, 0.0
+            else:
+                call_upl, put_upl = 0.0, 1.0
        # 盈利腿：UPL 更高且 > 0
        if call_upl >= put_upl and call_upl > 0:
            win_leg, lose_leg = "option", "option2"
@@ -681,16 +701,38 @@ class Matcher:
            return CloseResult(ok=False, detail="无明确盈利腿，暂不平")

        fee_rate = self._fee_rate()
-        if skip_market:
-            oq = self._quote_held_option(win_id)
-            fill_px = float(oq.bid) if oq and oq.bid else float(win_entry)
-            of = option_fill(
-                action="close",
-                bid=fill_px,
-                ask=fill_px,
-                qty_eth=win_qty,
-                fee_rate=fee_rate,
+        exec_mode = "SIM" if get_settings().is_sim else "LIVE"
+        from .pricing import PriceResult
+
+        if skip_market and live_fill_px is not None:
+            fill_px = float(live_fill_px)
+            fill_fee = float(live_fill_fee or 0)
+            if live_fill_contracts is not None and float(live_fill_contracts) > 0:
+                win_contracts = float(live_fill_contracts)
+                win_qty = eth_from_contracts(win_contracts, self._ct_mult(win_id))
+            of = PriceResult(
+                base_px=fill_px,
+                fill_px=fill_px,
+                fee=fill_fee,
+                slip=0.0,
+                notional=fill_px * win_qty,
            )
+        elif skip_market:
+            # LIVE 未传真实成交：禁止用盘口发明价，仅允许 0 价零现金镜像
+            if not get_settings().is_sim:
+                of = PriceResult(
+                    base_px=0.0, fill_px=0.0, fee=0.0, slip=0.0, notional=0.0
+                )
+            else:
+                oq = self._quote_held_option(win_id)
+                fill_px = float(oq.bid) if oq and oq.bid else float(win_entry)
+                of = option_fill(
+                    action="close",
+                    bid=fill_px,
+                    ask=fill_px,
+                    qty_eth=win_qty,
+                    fee_rate=fee_rate,
+                )
        else:
            oq = self._quote_held_option(win_id)
            if oq is None or oq.bid is None or float(oq.bid) <= 0:
@@ -715,21 +757,24 @@ class Matcher:
                fee_rate=fee_rate,
            )
        cash = of.notional - of.fee
-        if get_settings().is_sim or not skip_market:
-            self.ledger.apply_cash(
-                cash, kind="close_option", group_id=group_id, note=f"oo win {win_leg}"
-            )
-        elif skip_market:
-            # LIVE：交易所已成交，仍记本地账本现金（与其它 LIVE 平仓一致）
+        apply_live_cash = bool(
+            get_settings().is_sim
+            or not skip_market
+            or (live_fill_px is not None and abs(float(live_fill_px)) + abs(float(live_fill_fee or 0)) > 1e-12)
+        )
+        if apply_live_cash:
            try:
                self.ledger.apply_cash(
                    cash,
                    kind="close_option",
                    group_id=group_id,
-                    note=f"oo win live {win_leg}",
+                    note=f"oo win {win_leg}",
+                    allow_negative=not get_settings().is_sim,
                )
            except Exception:
-                logger.exception("oo win live ledger cash failed")
+                if get_settings().is_sim:
+                    raise
+                logger.exception("oo win ledger cash failed")

        now = int(time.time() * 1000)
        expiry_ymd = None
@@ -764,7 +809,7 @@ class Matcher:
                    of.slip,
                    of.notional,
                    now,
-                    "SIM",
+                    exec_mode,
                ),
            )
            self.db._conn.execute(
@@ -836,7 +881,8 @@ class Matcher:
    ) -> CloseResult:
        """期期全平两腿（到期/紧急）；无永续。"""
        pos = self.current_position()
-        if str(pos.get("status") or "") != "open" or not pos.get("group_id"):
+        st = str(pos.get("status") or "")
+        if st not in ("open", "closing") or not pos.get("group_id"):
            return CloseResult(ok=False, detail="无期期持仓可平")
        if not (
            str(pos.get("hedge_mode") or "") == "option_option"
@@ -477,19 +477,53 @@ class StrategyEngine:
                        )
                    except Exception:
                        pass
+            elif st == "closing":
+                close_oo = getattr(
+                    self.matcher, "close_winning_oo_leave_residual", None
+                )
+                if callable(close_oo):
+                    r = close_oo(reason="emergency_closing")
+                else:
+                    r = self.matcher.close_group(
+                        reason="emergency", bypass_liquidity=True
+                    )
+                ok = r.ok
+                detail = r.detail
+                close_data = r.data
+                if r.ok:
+                    self.enter_rest_after_close()
            elif st in ("open", "option_closed_perp_pending"):
-                # A：双腿（或续平永续）
-                r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
-                if not r.ok and st == "open":
-                    # B：砸不出期权时强制只平永续（不要求远虚）
-                    abandon = getattr(self.matcher, "close_perp_abandon_option", None)
-                    if callable(abandon):
-                        try:
-                            r2 = abandon(reason="emergency_perp", require_deep_otm=False)
-                        except TypeError:
-                            r2 = abandon(reason="emergency_perp")
-                        if r2.ok:
-                            r = r2
+                is_oo = (
+                    str(pos.get("hedge_mode") or "") == "option_option"
+                    or bool(pos.get("option2_inst_id"))
+                )
+                if is_oo and st == "open":
+                    close_full = getattr(self.matcher, "close_oo_full", None)
+                    if callable(close_full):
+                        r = close_full(reason="emergency", bypass_liquidity=True)
+                    else:
+                        r = self.matcher.close_group(
+                            reason="emergency", bypass_liquidity=True
+                        )
+                else:
+                    # A：双腿（或续平永续）
+                    r = self.matcher.close_group(
+                        reason="emergency", bypass_liquidity=True
+                    )
+                    if not r.ok and st == "open" and not is_oo:
+                        # B：砸不出期权时强制只平永续（不要求远虚）
+                        abandon = getattr(
+                            self.matcher, "close_perp_abandon_option", None
+                        )
+                        if callable(abandon):
+                            try:
+                                r2 = abandon(
+                                    reason="emergency_perp", require_deep_otm=False
+                                )
+                            except TypeError:
+                                r2 = abandon(reason="emergency_perp")
+                            if r2.ok:
+                                r = r2
                ok = r.ok
                detail = r.detail
                close_data = r.data
@@ -948,6 +982,24 @@ class StrategyEngine:
            )
            return

+        if st_pos == "closing":
+            allowed, left = self._retry_allowed("closing")
+            if not allowed:
+                self._set_state(
+                    phase="closing",
+                    last_error=f"closing 收尾退避中，{left:.0f}s 后再试",
+                )
+                return
+            close_oo = getattr(self.matcher, "close_winning_oo_leave_residual", None)
+            if callable(close_oo):
+                r = await asyncio.to_thread(close_oo, reason="closing_retry")
+                self._note_retry_result("closing", ok=r.ok, detail=r.detail)
+                if r.ok:
+                    self.enter_rest_after_close()
+                else:
+                    self._set_state(phase="closing", last_error=r.detail)
+            return
+
        if st_pos == "open":
            upl = self.matcher.unrealized()
            from .exits import lock_trade_exit_target, read_locked_exit_target
@@ -1001,8 +1053,24 @@ class StrategyEngine:
                # 复用 ExitDecision 形态
                from .exits import ExitDecision

+                should_semi = bool(semi_d.should_close)
+                if should_semi:
+                    # 出场前要求持仓期权有买一，避免无对手盘硬平
+                    opt_id = str(upl.get("option_inst_id") or "")
+                    oq = None
+                    try:
+                        oq = self.matcher._quote_held_option(opt_id)
+                    except Exception:
+                        oq = None
+                    if oq is None or oq.bid is None or float(oq.bid) <= 0:
+                        should_semi = False
+                        self._set_state(
+                            phase="liquidity_wait",
+                            last_error="半自动已达标但期权无买一，等待流动性",
+                        )
+                        return
                decision = ExitDecision(
-                    bool(semi_d.should_close),
+                    should_semi,
                    str(semi_d.reason or ""),
                    float(semi_d.net_target or 0),
                )
@@ -70,8 +70,15 @@ def _live_balances() -> dict[str, float | None]:

        ex = str(load_runtime_settings().exchange or "").strip().lower()
        if ex in ("binance", "bn"):
-            # 币安资金接口尚未接入；返回 None 使可开判定为「未知」而非误用 OKX
-            logger.debug("open_capacity: binance live balance not wired; treating as unknown")
+            from ..live.binance_trade import BinanceTradeClient
+
+            client = BinanceTradeClient()
+            try:
+                bal = client.fetch_balances()
+                out["trading_usdt"] = _f(bal.get("trading_usdt"))
+                out["trading_usdc"] = _f(bal.get("trading_usdc"))
+            finally:
+                client.close()
        else:
            from ..live.okx_funds import OkxFundsClient

@@ -0,0 +1,171 @@
+"""P0 实盘 SoT：closing 状态机、紧急期期、recover Put、到期无 intrinsic。"""
+
+from __future__ import annotations
+
+from types import SimpleNamespace
+
+from app.sim.matcher import BLOCKING_STATUSES
+
+
+def test_closing_in_blocking_statuses() -> None:
+    assert "closing" in BLOCKING_STATUSES
+
+
+def test_has_open_position_blocks_closing(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.models.db import Database
+    from app.sim.matcher import Matcher
+
+    db = Database(tmp_path / "c.db")
+    m = Matcher(db)
+    with db._lock:
+        db._conn.execute(
+            """UPDATE positions SET group_id=?, option_inst_id=?, option2_inst_id=?,
+                status='closing', hedge_mode='option_option' WHERE id=1""",
+            ("G1", "C", "P"),
+        )
+        db._conn.commit()
+    assert m.has_open_position() is True
+    db.close()
+
+
+def test_recover_opening_refuses_orphan_put(monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "LIVE")
+    from app.config import get_settings
+
+    get_settings.cache_clear()
+    import app.live.reconcile as rec
+    from app.live.reconcile import recover_stuck_opening
+
+    class _Ex:
+        def current_position(self):
+            return {
+                "status": "opening",
+                "group_id": "G-oo",
+                "option_inst_id": "ETH-CALL",
+                "perp_side": "oo_put:ETH-PUT",
+                "option_qty_eth": 1,
+                "option_qty_contracts": 100,
+            }
+
+        @property
+        def db(self):
+            return SimpleNamespace()
+
+        def _client(self):
+            return object()
+
+    def fake_opt(_c, inst):
+        if "PUT" in inst:
+            return 5.0
+        return 0.0
+
+    monkeypatch.setattr(rec, "_executor_client_and_exchange", lambda _e: (object(), "okx"))
+    monkeypatch.setattr(rec, "exchange_option_abs_size", fake_opt)
+    monkeypatch.setattr(rec, "exchange_perp_abs_size", lambda *_a, **_k: 0.0)
+    monkeypatch.setattr(
+        rec, "resolve_perp_inst_id", lambda *_a, **_k: "ETH-USDT-SWAP"
+    )
+    r = recover_stuck_opening(_Ex())
+    assert r is not None
+    assert r.ok is False
+    assert "Put" in (r.detail or "")
+    get_settings.cache_clear()
+
+
+def test_expiry_fill_zero_not_intrinsic(monkeypatch, tmp_path) -> None:
+    monkeypatch.setenv("MODE", "LIVE")
+    from app.config import get_settings
+
+    get_settings.cache_clear()
+    from app.live.executor import OkxLiveExecutor
+    from app.models.db import Database
+
+    db = Database(tmp_path / "e.db")
+    ex = OkxLiveExecutor(db)
+    monkeypatch.setattr(ex, "_guard_live", lambda: None)
+    with db._lock:
+        db._conn.execute(
+            """UPDATE positions SET
+                group_id=?, perp_side=?, perp_qty_eth=?, perp_entry_px=?,
+                option_inst_id=?, option_side=?, option_qty_eth=?, option_qty_contracts=?,
+                option_entry_px=?, status='open' WHERE id=1""",
+            ("G-e", "short", 4.0, 2000.0, "ETH-OPT", "call", 1.0, 100.0, 20.0),
+        )
+        db._conn.execute(
+            """INSERT INTO groups(group_id, status, option_inst_id, perp_inst_id, strike, open_at_ms)
+               VALUES (?,?,?,?,?,?)""",
+            ("G-e", "open", "ETH-OPT", "ETH-USDT-SWAP", 1900.0, 1),
+        )
+        db._conn.commit()
+
+    class _C:
+        def get_ct_val(self, *_a, **_k):
+            return 0.01
+
+        def get_perp_pos_sz(self, *_a, **_k):
+            return 400.0
+
+        def place_market(self, *, inst_id, side, sz, **_k):
+            return SimpleNamespace(avg_px=2010.0, fee=0.1, sz=float(sz))
+
+    monkeypatch.setattr(ex, "_client", lambda: _C())
+    monkeypatch.setattr(
+        "app.live.executor.exchange_option_abs_size", lambda *_a, **_k: 2.0
+    )
+    monkeypatch.setattr(ex, "_group_strike", lambda *_a, **_k: 1900.0)
+    monkeypatch.setattr(ex, "_close_spot_px", lambda *_a, **_k: 1950.0)
+    monkeypatch.setattr(
+        "app.live.executor.get_session",
+        lambda: SimpleNamespace(snapshot=lambda: {}),
+    )
+    monkeypatch.setattr(
+        "app.live.executor.resolve_perp_inst_id",
+        lambda *_a, **_k: "ETH-USDT-SWAP",
+    )
+    monkeypatch.setattr(
+        "app.live.live_pnl.reconcile_closed_group_pnl",
+        lambda **_k: 0.0,
+    )
+
+    r = ex.close_group(reason="expiry", bypass_liquidity=True)
+    assert r.ok, r.detail
+    row = db.fetchone(
+        "SELECT fill_px, notional FROM fills WHERE group_id=? AND leg='option' AND action='close'",
+        ("G-e",),
+    )
+    assert row is not None
+    assert float(row["fill_px"]) == 0.0
+    assert float(row["notional"] or 0) == 0.0
+    db.close()
+    get_settings.cache_clear()
+
+
+def test_binance_fetch_balances_maps_usdt(monkeypatch) -> None:
+    from app.live.binance_trade import BinanceTradeClient
+
+    c = BinanceTradeClient.__new__(BinanceTradeClient)
+
+    def _signed(client, method, path, params=None):
+        if "fapi" in str(getattr(client, "base_url", "")) or path.startswith("/fapi"):
+            return [{"asset": "USDT", "availableBalance": "100.5"}]
+        if "marginAccount" in path:
+            return {"asset": [{"asset": "USDT", "available": "80"}]}
+        return []
+
+    c._signed = _signed  # type: ignore
+    c._fapi = SimpleNamespace(base_url="https://fapi")
+    c._eapi = SimpleNamespace(base_url="https://eapi")
+
+    # simpler: patch by path
+    def signed2(_client, method, path, params=None):
+        if path == "/fapi/v2/balance":
+            return [{"asset": "USDT", "availableBalance": "100.5"}]
+        if path == "/eapi/v1/marginAccount":
+            return {"asset": [{"asset": "USDT", "available": "80"}]}
+        return []
+
+    c._signed = signed2  # type: ignore
+    bal = BinanceTradeClient.fetch_balances(c)
+    assert bal["trading_usdt"] == 100.5
+    assert bal["trading_usdc"] == 100.5  # mapped from USDT when no USDC
@@ -0,0 +1,45 @@
+# 审计修改方案 — 2026-08-08 交易所 SoT 续修
+
+## 目标
+
+实盘以交易所仓位/成交为准；本地仅镜像。修完后无 P0/P1 仓位与状态机硬伤。
+
+## 修改清单
+
+### P0 状态机与错腿
+
+1. `closing` 加入 `BLOCKING_STATUSES`；引擎 manage + emergency 处理 closing  
+2. OKX `close_winning_oo`：先处理 closing（对齐 BN）  
+3. emergency / `close_group`：检测期期 → `close_oo_full`  
+4. 到期：期权交易所未空 → fail-closed；空后只平永续；fill 不用 intrinsic  
+5. recover_opening：解析 `oo_put:`，双腿皆空才清槽  
+6. 期期盈利腿：交易所张数下单，成交均价入账，验空再落 residual  
+
+### P1 镜像与可用性
+
+7. 残仓已空：零价镜像仅标记 `exchange_flat`，不伪造交割现金（PnL 标未知/0+note）  
+8. `close_oo_full`：用 fills 汇总 realized_pnl  
+9. repair / abandon：交易所 size；永续已空可归档  
+10. 币安余额接入资金门（能查多少接多少）  
+11. 半自动：出场前要求盘口可成交（bid/ask 存在），否则 liquidity_wait  
+
+### 验收
+
+- 单测覆盖 closing / emergency-OO / expiry 无 intrinsic / recover Put / BN bal stub  
+- 再审计无 P0；P1 交割账单拉取可标「后续」若交易所 API 未接  
+
+### 实施结果（2026-08-08）
+
+| 项 | 状态 |
+|----|------|
+| closing BLOCKING + engine | ✅ |
+| OKX OO win 顺序 + 交易所成交 | ✅ |
+| emergency/close_group → OO full | ✅ |
+| 到期无 intrinsic；只平永续 | ✅ |
+| recover oo_put 孤儿 Put | ✅ |
+| repair/abandon 交易所 size | ✅ |
+| BN 余额资金门 | ✅ |
+| 半自动买一闸 | ✅ |
+| 交割账单拉价 | ⏳ 后续（零价镜像+note） |
+
+再审计：无剩余 P0；剩交割账单与期期开仓账本对称为 P2/后续。
@@ -5,6 +5,21 @@

 ---

+## 2026-08-08 — 实盘 SoT 续修（closing / 期期 / 资金门）
+
+### 变更
+
+1. `closing` 进开仓拦截；引擎 manage/紧急处理 closing；OKX 期期盈利腿收尾顺序对齐 BN。  
+2. 紧急/全平检测期期 → `close_oo_full`；盈利腿按交易所张数+真实均价，验空再落库。  
+3. 到期 fill 禁止 intrinsic；recover 识别 `oo_put:` 防孤儿 Put；repair/abandon 交易所 size。  
+4. 币安余额接入资金门；半自动出场前要求期权买一。
+
+### 审计
+
+见 `docs/审计修改方案-2026-08-08-交易所SoT续.md`；交割账单 API 未接，ITM 零价镜像 PnL 可能偏低（仓位 SoT 优先）。
+
+---
+
 ## 2026-08-08 — 实盘以交易所为 SoT（到期只平永续）

 ### 变更