Fix target-exit mismatch: correct close reason and executable PnL gate.

Locked premium exits no longer label as fixed_usdt; mark/book optimism no longer triggers close into a realized loss.

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

backend/app/live/live_pnl.py

@@ -73,20 +73,28 @@ def enrich_live_unrealized(
 
     option_upl = float(base.get("option_upl") or 0.0)  # 期权净盈亏（本地）
     option2_upl = float(base.get("option2_upl") or 0.0)  # 期期 Put 腿
-    # 盯盘/达标：离场费 ≈ 入场费 → 合计扣 已付×2
+    # 盯盘/达标：离场费已在 base.net_pnl（盘口可成交价）计入；这里只叠加资金费。
-    est_close = float(fees_paid)
+    # 勿用交易所永续标记 UPL 覆盖净利，否则会虚高触发达标、成交后变亏。
-    # 期期无永续：perp_upl 一般为 0；仍加 option2
+    book_net = base.get("net_pnl")
-    net_pnl = perp_upl + option_upl + option2_upl - fees_paid * 2.0 + funding
+    if book_net is not None:
+        net_pnl = float(book_net) + funding
+    else:
+        fees_est = float(fees_paid) * 2.0
+        net_pnl = perp_upl + option_upl + option2_upl - fees_est + funding
 
     out = dict(base)
-    out["perp_upl"] = perp_upl
+    out["perp_upl"] = float(base.get("perp_upl") or perp_upl)
+    out["perp_upl_exchange"] = perp_upl
     out["option_upl"] = option_upl
     out["option2_upl"] = option2_upl
     out["fees_paid"] = fees_paid
     out["funding_usdt"] = funding
-    out["est_close_fees"] = est_close
+    out["est_close_fees"] = float(base.get("est_close_fees") or fees_paid)
     out["net_pnl"] = net_pnl
-    out["pnl_source"] = "live_exchange"
+    out["net_pnl_exchange"] = (
+        perp_upl + option_upl + option2_upl - float(fees_paid) * 2.0 + funding
+    )
+    out["pnl_source"] = "live_book_plus_funding"
     return out
 
 

backend/app/sim/matcher.py

@@ -2233,12 +2233,18 @@ class Matcher:
             est_opt_close_fee = of.fee
             opt_mark = bid
             opt_bid_sz = float(oq.bid_sz) if oq.bid_sz is not None else None
-            # 浮盈亏：买一×数量 − 初始权利金（对齐可市价卖出）
+            # 与 close_group 一致：用含费率调整的可卖出价（勿用裸买一虚高触发达标）
-            option_upl = bid * opt_qty - initial_premium
+            if opt_entry > 0:
+                option_upl = (float(of.fill_px) - float(opt_entry)) * opt_qty
+            else:
+                option_upl = float(of.fill_px) * opt_qty - initial_premium
         elif oq:
             opt_mark = oq.bid or oq.mark_px
             opt_bid_sz = float(oq.bid_sz) if oq.bid_sz is not None else None
             if opt_mark is not None:
+                if opt_entry > 0:
+                    option_upl = (float(opt_mark) - float(opt_entry)) * opt_qty
+                else:
                     option_upl = float(opt_mark) * opt_qty - initial_premium
 
         book_close_fees = est_perp_close_fee + est_opt_close_fee
@@ -2266,13 +2272,15 @@ class Matcher:
         expiry_ymd = str(g["expiry_ymd"]) if g and g["expiry_ymd"] else None
         open_at_ms = int(g["open_at_ms"]) if g and g["open_at_ms"] else None
         open_fees = abs(float(g["fees"] or 0)) if g else 0.0
-        # 净盈利：浮盈 − 入场手续费×2（离场费按入场估算）；无入场费时退回盘口估平仓费
+        # 净盈利：浮盈 − 已付开仓费 − 预估平仓费（与 close_group 入账口径对齐）
-        if open_fees > 1e-12:
+        if book_close_fees > 1e-12 or open_fees > 1e-12:
-            est_close_fees = open_fees
+            est_close_fees = (
-            net_pnl = perp_upl + option_upl - open_fees * 2.0
+                book_close_fees if book_close_fees > 1e-12 else open_fees
+            )
+            net_pnl = perp_upl + option_upl - open_fees - est_close_fees
         else:
-            est_close_fees = book_close_fees
+            est_close_fees = 0.0
-            net_pnl = perp_upl + option_upl - est_close_fees
+            net_pnl = perp_upl + option_upl
         expiry_ms = None
         if expiry_ymd and len(expiry_ymd) == 6:
             try:

backend/app/strategy/engine.py

@@ -882,6 +882,17 @@ class StrategyEngine:
                 locked_exit_target=locked_exit,
             )
             pending_close = st["phase"] in ("liquidity_wait", "closing")
+            # 曾因达标进入流动性等待，但当前估价已跌破目标：取消挂起，避免硬平出亏损却仍记「达标」
+            if (
+                pending_close
+                and not expired.should_close
+                and not decision.should_close
+            ):
+                self._set_state(
+                    phase="open",
+                    last_error="达标后流动性等待期间浮盈回落，已取消平仓挂起",
+                )
+                return
             if expired.should_close or decision.should_close or pending_close:
                 is_oo = (
                     str(upl.get("hedge_mode") or "") == "option_option"

backend/app/strategy/exits.py

@@ -110,16 +110,17 @@ def check_exits(
     locked_exit_target: float | None = None,
 ) -> ExitDecision:
     """净盈利（预估全平后）≥ 所选模式目标则全平。持仓锁定目标优先。"""
-    if locked_exit_target is not None and float(locked_exit_target) > 0:
+    # 模式始终按设置解析（权利金倍数 vs 固定），勿因锁定目标就改成 fixed_usdt
-        target = float(locked_exit_target)
+    _resolved_target, mode = resolve_exit_target(
-        mode = EXIT_MODE_FIXED
-    else:
-        target, mode = resolve_exit_target(
         exit_mode=exit_mode,
         net_profit_target=net_profit_target,
         premium_exit_multiple=premium_exit_multiple,
         initial_premium=initial_premium,
     )
+    if locked_exit_target is not None and float(locked_exit_target) > 0:
+        target = float(locked_exit_target)
+    else:
+        target = float(_resolved_target)
     if target > 0 and net_pnl + 1e-9 >= target:
         reason = "premium_multiple" if mode == EXIT_MODE_PREMIUM else "fixed_usdt"
         return ExitDecision(True, reason, target)

backend/tests/test_exit_lock.py

@@ -5,6 +5,21 @@ from __future__ import annotations
 from app.strategy.exits import check_exits, resolve_exit_target
 
 
+def test_locked_premium_mode_keeps_premium_reason() -> None:
+    """锁定目标金额后，平仓原因仍应按权利金倍数模式标记，而非写死 fixed_usdt。"""
+    d = check_exits(
+        net_pnl=25.0,
+        exit_mode="premium_multiple",
+        net_profit_target=15.0,
+        premium_exit_multiple=1.0,
+        initial_premium=20.0,
+        locked_exit_target=20.0,
+    )
+    assert d.should_close is True
+    assert d.target == 20.0
+    assert d.reason == "premium_multiple"
+
+
 def test_locked_target_ignores_setting_drift() -> None:
     d = check_exits(
         net_pnl=20.0,

backend/tests/test_live_pnl.py

@@ -45,14 +45,14 @@ class _FakeClient:
         return -1.5
 
 
-def test_enrich_live_unrealized_entry_fee_times_two() -> None:
+def test_enrich_live_unrealized_keeps_book_net_plus_funding() -> None:
     base = {
         "has_position": True,
         "group_id": "G1",
         "perp_side": "short",
         "perp_upl": 1.0,
         "option_upl": 5.0,
-        "est_close_fees": 9.9,
+        "est_close_fees": 0.8,
         "net_pnl": -3.9,
     }
 
@@ -69,12 +69,12 @@ def test_enrich_live_unrealized_entry_fee_times_two() -> None:
         perp_side="short",
         open_at_ms=1,
     )
-    assert out["perp_upl"] == 8.0
+    assert out["perp_upl"] == 1.0  # 盘口可平
+    assert out["perp_upl_exchange"] == 8.0
     assert out["option_upl"] == 5.0
     assert out["fees_paid"] == 0.5
     assert out["funding_usdt"] == -1.5
-    # 离场费按入场估算
+    assert out["est_close_fees"] == 0.8
-    assert out["est_close_fees"] == 0.5
+    # 盯盘净利 = 盘口净利 + 资金费，不用标记 UPL 覆盖
-    # 8 + 5 - 0.5*2 + (-1.5) = 10.5
+    assert abs(out["net_pnl"] - (-3.9 - 1.5)) < 1e-9
-    assert abs(out["net_pnl"] - 10.5) < 1e-9
+    assert out["pnl_source"] == "live_book_plus_funding"
-    assert out["pnl_source"] == "live_exchange"