Treat exchange as LIVE SoT: expiry closes perp only, no invented option settles.

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

backend/tests/test_exchange_sot_close.py

@@ -0,0 +1,175 @@
+"""LIVE 交易所 SoT：平仓数量与到期路径。"""
+
+from __future__ import annotations
+
+from types import SimpleNamespace
+
+from app.live.reconcile import perp_close_contracts_okx, perp_close_qty_eth_binance
+
+
+class _FakeOkx:
+    def __init__(self, sz) -> None:
+        self._sz = sz
+
+    def get_perp_pos_sz(self, _inst, pos_side=None):
+        return self._sz
+
+
+class _FakeBn:
+    def __init__(self, sz) -> None:
+        self._sz = sz
+
+    def get_perp_pos_sz(self, _inst, position_side=None):
+        return self._sz
+
+
+def test_perp_close_okx_confirmed_flat_never_uses_db() -> None:
+    # 交易所已空：即使 allow_db_fallback=True 也返回 0
+    assert (
+        perp_close_contracts_okx(
+            _FakeOkx(0.0),
+            perp_inst="ETH-USDT-SWAP",
+            perp_side="short",
+            perp_qty_eth=8.0,
+            ct_val=0.01,
+            allow_db_fallback=True,
+        )
+        == 0
+    )
+
+
+def test_perp_close_okx_unknown_fail_closed_by_default() -> None:
+    assert (
+        perp_close_contracts_okx(
+            _FakeOkx(None),
+            perp_inst="ETH-USDT-SWAP",
+            perp_side="long",
+            perp_qty_eth=8.0,
+            ct_val=0.01,
+        )
+        is None
+    )
+
+
+def test_perp_close_okx_uses_exchange_size() -> None:
+    assert (
+        perp_close_contracts_okx(
+            _FakeOkx(123.0),
+            perp_inst="ETH-USDT-SWAP",
+            perp_side="long",
+            perp_qty_eth=1.0,
+            ct_val=0.01,
+        )
+        == 123
+    )
+
+
+def test_perp_close_bn_confirmed_flat_never_uses_db() -> None:
+    assert (
+        perp_close_qty_eth_binance(
+            _FakeBn(0.0),
+            perp_inst="ETHUSDT",
+            perp_side="short",
+            perp_qty_eth=8.0,
+            allow_db_fallback=True,
+        )
+        == 0.0
+    )
+
+
+def test_matcher_live_residual_no_local_invent(monkeypatch, tmp_path) -> None:
+    monkeypatch.setenv("MODE", "LIVE")
+    from app.models.db import Database
+    from app.sim.matcher import Matcher
+
+    db = Database(tmp_path / "sot.db")
+    m = Matcher(db)
+    monkeypatch.setattr(m, "_try_exchange_flatten_residual", lambda *a, **k: None)
+    row = {
+        "group_id": "G1",
+        "option_inst_id": "ETH-OPT",
+        "option_side": "call",
+        "option_qty_eth": 2.0,
+        "option_qty_contracts": 200.0,
+        "strike": 2000.0,
+        "initial_premium": 10.0,
+    }
+    assert m._settle_one_residual(row, now_ms=1) is None
+    db.close()
+
+
+def test_okx_expiry_skips_option_order(monkeypatch, tmp_path) -> None:
+    monkeypatch.setenv("MODE", "LIVE")
+    from app.live.executor import OkxLiveExecutor
+    from app.models.db import Database
+
+    db = Database(tmp_path / "exp.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-exp",
+                "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-exp", "open", "ETH-OPT", "ETH-USDT-SWAP", 1900.0, 1),
+        )
+        db._conn.commit()
+
+    placed = {"opt": 0, "perp": 0}
+
+    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):
+            if "OPT" in inst_id or "-C" in inst_id or "-P" in inst_id:
+                placed["opt"] += 1
+            else:
+                placed["perp"] += 1
+            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: 0.0
+    )
+    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
+    assert placed["opt"] == 0
+    assert placed["perp"] == 1
+    st = db.fetchone("SELECT status FROM positions WHERE id=1")
+    assert str(st["status"]) == "flat"
+    db.close()