Align funds bar and win-rate with OO expiry intrinsic repair; wire Binance balances.

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

.cursor/rules/deliver-and-chat.mdc

@@ -0,0 +1,38 @@
+---
+description: 改完必推送部署；用户说「先聊」则只讨论不改代码
+alwaysApply: true
+---
+
+# 交付与对话模式（硬指令）
+
+## 先聊模式（最高优先）
+
+用户消息含 **「先聊」**（或明确说只讨论、不要改代码、先别动手）时：
+
+- **禁止**改代码、写文件、提交、推送、部署
+- 只做讨论、方案对比、审计结论、问答
+- 用户之后明确说「改吧 / 实现 / 动手」再进入改代码
+
+## 改完必推送 + 部署
+
+在**本仓库**完成一轮实际代码修改后（用户未说「先聊」、且不是纯问答），必须收尾：
+
+1. **提交**：有改动则 `git add` 相关文件并 `git commit`（勿提交 `.env`、密钥、本地临时脚本如 `scripts/_ssh_*`、`_t.py`）
+2. **推送**：`git push origin HEAD`（或当前跟踪分支）
+3. **部署**：用本机脚本更新服务器（git pull + 构建 + pm2），例如：
+
+```powershell
+$env:PYTHONIOENCODING='utf-8'
+# DEPLOY_PASS 须已在环境中配置；勿把密码写进规则或提交到仓库
+& .\.venv\Scripts\python.exe .\scripts\deploy_remote.py
+```
+
+- 服务器：`47.236.184.99`，目录 `/opt/eth_hedge_sim`，进程 `eth-hedge-api`
+- 部署成功后简要回报：commit、push、health 是否 OK
+- 若用户明确说「先别部署 / 只提交不推 / 只推不部署」，则按用户当次要求覆盖本条
+
+## 例外（可不推送部署）
+
+- 「先聊」或只读审计、解释、方案讨论
+- 仅改本地未跟踪的临时探测脚本且用户未要求交付
+- 推送/部署失败时说明原因与已完成步骤，不要假装成功

.env.control.example

@@ -0,0 +1,15 @@
+# 比特骆驼中控（本地服务器）
+# 一键部署会自动补全缺失项；已有非空值不会覆盖
+CONTROL_AUTH_USERNAME=admin
+CONTROL_AUTH_PASSWORD=admin123
+CONTROL_AUTH_SECRET=change-me-control-secret-please
+CONTROL_AUTH_TOKEN_VERSION=1
+CONTROL_TOKEN_TTL_SEC=604800
+CONTROL_POLL_INTERVAL_SEC=8
+# 监控区 SSE 推送间隔（秒）与单机探测超时
+CONTROL_SSE_INTERVAL_SEC=1
+CONTROL_SSE_PROBE_TIMEOUT_SEC=2.5
+CONTROL_HTTP_TIMEOUT_SEC=12
+# 局域网免登录：1=开启（仅私网 IP），0=关闭
+CONTROL_LAN_AUTH_BYPASS=0
+# CONTROL_DB_PATH=/opt/eth_hedge_sim/control/data/control.db

.env.example

@@ -1,6 +1,7 @@
-# eth_hedge_sim — 独立自动对冲模拟盘
-# 复制为 .env 后按需填写。模拟阶段禁止真实下单；真密钥不上库。
+# eth_hedge_sim — 独立自动对冲（SIM 本地撮合 / LIVE 实盘）
+# 复制为 .env 后按需填写。真密钥不上库。
 
+# SIM | LIVE（设置页可改；切 LIVE 须二次确认）
 MODE=SIM
 ENV_NAME=test
 TZ=Asia/Shanghai
@@ -17,7 +18,7 @@ AUTH_PASSWORD=admin123
 AUTH_SECRET=change-me-eth-hedge-sim-secret
 AUTH_TOKEN_TTL_SEC=604800
 
-# OKX（SIM 阶段公共盘口可不填 Key）
+# OKX（SIM 公共盘口可不填；LIVE 下单必填）
 OKX_API_KEY=
 OKX_API_SECRET=
 OKX_API_PASSPHRASE=
@@ -26,6 +27,10 @@ OKX_WS_PUBLIC=wss://ws.okx.com:8443/ws/v5/public
 # 云上一般直连留空；本机受限时再填代理
 OKX_HTTP_PROXY=
 
+# 币安私有交易密钥（可落盘；实盘下单后续接入）
+BINANCE_API_KEY=
+BINANCE_API_SECRET=
+
 # 币安公共行情（SIM）
 BINANCE_FAPI_BASE=https://fapi.binance.com
 BINANCE_EAPI_BASE=https://eapi.binance.com
@@ -50,3 +55,9 @@ CLOSE_BID_MARK_MAX_PCT=30
 REST_SECONDS=300
 PERP_QTY_ETH=1
 OPTION_QTY_ETH=2
+
+# 企业微信群机器人（系统设置页可改）
+WECOM_ENABLED=0
+WECOM_WEBHOOK_URL=
+# 推送标题前缀，多机时区分，如 云A / 云B
+WECOM_MACHINE_NAME=

.gitattributes

@@ -0,0 +1,3 @@
+# Shell scripts must use LF on Ubuntu deploy hosts
+*.sh text eol=lf
+deploy/**/*.sh text eol=lf

.gitignore

@@ -1,6 +1,7 @@
 # env / secrets
 .env
 .env.local
+.env.control
 *.pem
 
 # python
@@ -18,6 +19,10 @@ backend/data/*.db
 backend/data/*.sqlite
 backend/data/*.sqlite3
 !backend/data/.gitkeep
+control/data/*
+!control/data/.gitkeep
+control/frontend/node_modules/
+control/frontend/dist/
 
 # frontend
 frontend/node_modules/

README.md

@@ -1,26 +1,45 @@
-# eth_hedge_sim
+# 比特骆驼自动化对冲系统（eth_hedge_sim）
 
-独立自动对冲**模拟盘**：OKX 实盘只读行情 + 本地虚拟资金撮合。  
+**产品名：比特骆驼自动化对冲系统**  
+工程仓库 / 目录名：`eth_hedge_sim`（与产品名分离，部署路径不变）。
+
+独立自动对冲系统：OKX / 币安行情 + 本地 SIM 撮合，可选 LIVE 实盘。  
 与现网 `crypto_monitor` **无代码、进程、密钥共用**。
 
 仓库：<https://git.bz121.com/dekun/eth_hedge_sim.git>
 
+## 运行环境
+
+| 项 | 约定 |
+|----|------|
+| 操作系统 | **Ubuntu 22.04** LTS |
+| 进程管理 | PM2（`eth-hedge-api`） |
+| 安装目录 | `/opt/eth_hedge_sim` |
+| 端口 | **5155** |
+| 云服务器（推荐） | **2 vCPU / 2 GB / 40 GB SSD**；地域优先香港、新加坡等低延迟区 |
+
+云服务器最低/推荐/余量规格、地域与带宽选择见 **[开发方案 §6.0 云服务器配置选择说明](docs/开发方案.md#60-云服务器配置选择说明)**。
+
 ## 文档
 
 - [开发方案](docs/开发方案.md)
 - [代码结构](docs/代码结构.md)
 - [商业化与授权方案](docs/商业化与授权方案.md)
 - [策略说明](docs/策略说明.md)
+- [实盘策略说明](docs/实盘策略说明.md)
+- [中控 Fleet 说明](docs/中控Fleet说明.md)（本地中控：多机监控 / 启停 / 更新 / 免密登录）
+- [更新说明](docs/更新说明.md)（每次发版追加）
 
 ## 访问（测试机）
 
 - 反代：[`https://dc.hyf2.cc`](https://dc.hyf2.cc) → 本机 `5155`（PM2: `eth-hedge-api`）
-- 默认登录：见服务器 `/opt/eth_hedge_sim/.env` 的 `AUTH_USERNAME` / `AUTH_PASSWORD`（示例 `admin` / `admin123`）
+- 登录账号：见服务器 `/opt/eth_hedge_sim/.env` 的 `AUTH_USERNAME` / `AUTH_PASSWORD`
 - 可在「系统设置」修改用户名/密码；前端固定同源 API，无 API 地址配置项
+- **本地中控**：`http://<局域网IP>:5160`（PM2: `eth-hedge-control`）；说明见 [中控 Fleet 说明](docs/中控Fleet说明.md)
 
 ## 一键部署 / 更新（禁止 scp 传代码）
 
-服务器目录：`/opt/eth_hedge_sim`  
+目标机：**Ubuntu 22.04**，目录 `/opt/eth_hedge_sim`。  
 更新方式：**只允许 `git pull`**，然后构建并 `pm2 startOrReload` 本项目进程。
 
 ### 推荐：curl 一键管理器（菜单）
@@ -31,9 +50,11 @@ curl -fsSL https://git.bz121.com/dekun/eth_hedge_sim/raw/branch/main/deploy/mana
 
 菜单：
 
-1. 一键部署  
-2. 一键卸载（仅停删 `eth-hedge-api`，移走目录并备份 `.env`）  
-3. 更新（`git pull` + 构建 + reload）  
+1. 一键部署策略机  
+2. 一键部署中控机  
+3. 一键卸载  
+4. 更新策略机  
+5. 更新中控机  
 0. 退出  
 
 已安装后也可：
@@ -42,30 +63,34 @@ curl -fsSL https://git.bz121.com/dekun/eth_hedge_sim/raw/branch/main/deploy/mana
 bash /opt/eth_hedge_sim/deploy/manage.sh
 ```
 
-### 本机触发远程更新
+### 从开发机触发远程更新（可选）
+
+在能 SSH 到 Ubuntu 服务器的机器上：
 
 ```bash
 pip install paramiko
-set DEPLOY_PASS=***   # Windows PowerShell: $env:DEPLOY_PASS='***'
-python scripts/deploy_remote.py
+export DEPLOY_PASS='***'
+python scripts/deploy_remote.py          # 策略机
+# python scripts/deploy_control.py       # 中控（需 CONTROL_HOST / CONTROL_PASS）
 ```
 
-PM2 进程名：`eth-hedge-api`（端口 **5155**）。禁止 `pm2 restart all`。
+PM2 进程名：`eth-hedge-api`（端口 **5155**）、`eth-hedge-control`（端口 **5160**）。禁止 `pm2 restart all`。
 
-## 本地开发
+## 服务器上本地开发 / 调试（Ubuntu 22.04）
 
 ```bash
-python -m venv .venv
-.venv\Scripts\activate
+cd /opt/eth_hedge_sim
+python3 -m venv .venv
+source .venv/bin/activate
 pip install -r requirements.txt
-copy .env.example .env
+cp .env.example .env
 
 python scripts/smoke_market.py
 cd backend
 uvicorn app.main:app --host 0.0.0.0 --port 5155 --reload
 
 # 另开终端
-cd frontend
+cd /opt/eth_hedge_sim/frontend
 npm ci
 npm run dev
 ```
@@ -76,3 +101,4 @@ npm run dev
 - 永续市价；期权只吃买卖一；滑点 = 1×手续费
 - 仓位：永续 1 ETH，期权 2 ETH 名义
 - 部署更新只用 git pull，不用 scp
+- 部署环境固定为 Ubuntu 22.04

backend/app/api/__init__.py

@@ -1,6 +1,9 @@
 from fastapi import APIRouter
 
 from .auth_routes import router as auth_router
+from .backup_routes import router as backup_router
+from .fleet import router as fleet_router
+from .funds import router as funds_router
 from .market import router as market_router
 from .plan import router as plan_router
 from .settings import router as settings_router
@@ -15,4 +18,7 @@ router.include_router(sim_router)
 router.include_router(plan_router)
 router.include_router(trades_router)
 router.include_router(stats_router)
+router.include_router(funds_router)
 router.include_router(settings_router)
+router.include_router(backup_router)
+router.include_router(fleet_router)

backend/app/api/auth.py

@@ -42,7 +42,11 @@ def _b64url_decode(s: str) -> bytes:
 
 def issue_token(username: str, settings: Settings) -> tuple[str, int]:
     exp = int(time.time()) + int(settings.auth_token_ttl_sec)
-    payload = {"u": username, "exp": exp}
+    payload = {
+        "u": username,
+        "exp": exp,
+        "v": int(settings.auth_token_version),
+    }
     raw = _b64url(json.dumps(payload, separators=(",", ":")).encode("utf-8"))
     sig = hmac.new(
         settings.auth_secret.encode("utf-8"),
@@ -70,6 +74,8 @@ def verify_token(token: str, settings: Settings) -> str:
         raise HTTPException(status_code=status.HTTP_401_UNAUTHORIZED, detail="invalid token") from e
     if int(payload.get("exp") or 0) < int(time.time()):
         raise HTTPException(status_code=status.HTTP_401_UNAUTHORIZED, detail="token expired")
+    if int(payload.get("v") or 0) != int(settings.auth_token_version):
+        raise HTTPException(status_code=status.HTTP_401_UNAUTHORIZED, detail="token revoked")
     username = str(payload.get("u") or "")
     if not username:
         raise HTTPException(status_code=status.HTTP_401_UNAUTHORIZED, detail="invalid token")

backend/app/api/auth_routes.py

@@ -1,28 +1,93 @@
 from __future__ import annotations
 
+import hmac
+import time
+from collections import defaultdict
 from typing import Annotated
 
-from fastapi import APIRouter, Depends, HTTPException, status
+from fastapi import APIRouter, Depends, HTTPException, Request, status
 from pydantic import BaseModel, Field
 
 from ..config import Settings, get_settings
-from ..credentials import get_credentials, update_credentials
+from ..credentials import get_credentials, update_credentials, upsert_env_file
 from .auth import LoginRequest, LoginResponse, issue_token, require_user
+from .fleet import consume_login_ticket
 
 router = APIRouter(prefix="/api/auth", tags=["auth"])
 
 
+class FleetExchangeRequest(BaseModel):
+    ticket: str = Field(min_length=8, max_length=256)
+
+_login_hits: dict[str, list[float]] = defaultdict(list)
+
+
 class ChangeCredentialsRequest(BaseModel):
     current_password: str = Field(min_length=1)
     new_username: str = Field(min_length=1, max_length=64)
-    new_password: str = Field(min_length=4, max_length=128)
+    new_password: str = Field(min_length=8, max_length=128)
+
+
+def _client_ip(request: Request) -> str:
+    xff = request.headers.get("x-forwarded-for") or ""
+    if xff.strip():
+        return xff.split(",")[0].strip()
+    if request.client:
+        return request.client.host or "unknown"
+    return "unknown"
+
+
+def _rate_limit_login(ip: str, settings: Settings) -> None:
+    now = time.time()
+    window = float(settings.login_window_sec)
+    max_n = int(settings.login_max_attempts)
+    hits = [t for t in _login_hits[ip] if now - t < window]
+    _login_hits[ip] = hits
+    if len(hits) >= max_n:
+        raise HTTPException(
+            status_code=status.HTTP_429_TOO_MANY_REQUESTS,
+            detail=f"登录过于频繁，请 {int(window)} 秒后再试",
+        )
+
+
+@router.post("/fleet-exchange", response_model=LoginResponse)
+async def fleet_exchange(
+    body: FleetExchangeRequest,
+    settings: Annotated[Settings, Depends(get_settings)],
+) -> LoginResponse:
+    """中控签发的一次性 ticket 兑换为普通登录会话（免密）。"""
+    username = consume_login_ticket(body.ticket)
+    token, ttl = issue_token(username, settings)
+    return LoginResponse(
+        token=token,
+        username=username,
+        expires_in=ttl,
+        env_name=settings.env_name,
+        mode=settings.mode,
+    )
 
 
 @router.post("/login", response_model=LoginResponse)
-async def login(body: LoginRequest, settings: Annotated[Settings, Depends(get_settings)]) -> LoginResponse:
+async def login(
+    body: LoginRequest,
+    request: Request,
+    settings: Annotated[Settings, Depends(get_settings)],
+) -> LoginResponse:
+    ip = _client_ip(request)
+    _rate_limit_login(ip, settings)
     user, pwd = get_credentials()
-    if body.username != user or body.password != pwd:
-        raise HTTPException(status_code=status.HTTP_401_UNAUTHORIZED, detail="用户名或密码错误")
+    user_ok = hmac.compare_digest(
+        body.username.encode("utf-8"), user.encode("utf-8")
+    )
+    pwd_ok = hmac.compare_digest(
+        body.password.encode("utf-8"), pwd.encode("utf-8")
+    )
+    if not (user_ok and pwd_ok):
+        _login_hits[ip].append(time.time())
+        raise HTTPException(
+            status_code=status.HTTP_401_UNAUTHORIZED, detail="用户名或密码错误"
+        )
+    _login_hits.pop(ip, None)
     token, ttl = issue_token(body.username, settings)
     return LoginResponse(
         token=token,
@@ -33,16 +98,46 @@ async def login(body: LoginRequest, settings: Annotated[Settings, Depends(get_se
     )
 
 
+@router.get("/branding")
+async def branding() -> dict:
+    """登录页/顶栏展示用（无敏感信息）：与企微通知同一机器名。"""
+    from ..notify import wecom
+
+    return {"machine_name": wecom.wecom_machine_name() or ""}
+
+
 @router.get("/me")
-async def me(username: Annotated[str, Depends(require_user)], settings: Annotated[Settings, Depends(get_settings)]) -> dict:
+async def me(
+    username: Annotated[str, Depends(require_user)],
+    settings: Annotated[Settings, Depends(get_settings)],
+) -> dict:
+    from ..notify import wecom
+
     return {
         "username": username,
         "env_name": settings.env_name,
         "mode": settings.mode,
         "sim": settings.is_sim,
+        "machine_name": wecom.wecom_machine_name() or "",
     }
 
 
+@router.post("/refresh", response_model=LoginResponse)
+async def refresh_token(
+    username: Annotated[str, Depends(require_user)],
+    settings: Annotated[Settings, Depends(get_settings)],
+) -> LoginResponse:
+    """用仍有效的 Bearer 换发新 HMAC token（自动轮换，无需重登）。"""
+    token, ttl = issue_token(username, settings)
+    return LoginResponse(
+        token=token,
+        username=username,
+        expires_in=ttl,
+        env_name=settings.env_name,
+        mode=settings.mode,
+    )
+
+
 @router.post("/change-credentials", response_model=LoginResponse)
 async def change_credentials(
     body: ChangeCredentialsRequest,
@@ -50,17 +145,30 @@ async def change_credentials(
     settings: Annotated[Settings, Depends(get_settings)],
 ) -> LoginResponse:
     _cur_user, cur_pwd = get_credentials()
-    if body.current_password != cur_pwd:
-        raise HTTPException(status_code=status.HTTP_400_BAD_REQUEST, detail="当前密码不正确")
+    if not hmac.compare_digest(
+        body.current_password.encode("utf-8"), cur_pwd.encode("utf-8")
+    ):
+        raise HTTPException(
+            status_code=status.HTTP_400_BAD_REQUEST, detail="当前密码不正确"
+        )
     try:
-        update_credentials(new_username=body.new_username, new_password=body.new_password)
+        update_credentials(
+            new_username=body.new_username, new_password=body.new_password
+        )
+        # 作废旧 token
+        new_ver = int(settings.auth_token_version) + 1
+        upsert_env_file("AUTH_TOKEN_VERSION", str(new_ver))
+        get_settings.cache_clear()
     except ValueError as e:
-        raise HTTPException(status_code=status.HTTP_400_BAD_REQUEST, detail=str(e)) from e
-    token, ttl = issue_token(body.new_username.strip(), settings)
+        raise HTTPException(
+            status_code=status.HTTP_400_BAD_REQUEST, detail=str(e)
+        ) from e
+    settings2 = get_settings()
+    token, ttl = issue_token(body.new_username.strip(), settings2)
     return LoginResponse(
         token=token,
         username=body.new_username.strip(),
         expires_in=ttl,
-        env_name=settings.env_name,
-        mode=settings.mode,
+        env_name=settings2.env_name,
+        mode=settings2.mode,
     )

backend/app/api/backup_routes.py

@@ -0,0 +1,163 @@
+"""备份下载 / 上传恢复 API。"""
+
+from __future__ import annotations
+
+import asyncio
+import logging
+import os
+import tempfile
+from pathlib import Path
+from typing import Annotated
+
+from fastapi import APIRouter, Depends, Header, HTTPException, Request
+from fastapi.responses import FileResponse
+from pydantic import BaseModel, Field
+
+from ..backup import (
+    backup_settings,
+    create_backup,
+    list_backups,
+    prune_backups,
+    read_backup_file,
+    restore_from_zip,
+    validate_backup_zip,
+)
+from ..models.db import get_db
+from ..strategy import get_engine
+from .auth import require_user
+
+logger = logging.getLogger(__name__)
+
+router = APIRouter(prefix="/api/backup", tags=["backup"])
+
+
+class BackupSettingsBody(BaseModel):
+    auto_enabled: bool | None = None
+    interval_hours: int | None = Field(default=None, ge=1, le=168)
+    keep_count: int | None = Field(default=None, ge=1, le=90)
+
+
+@router.get("/status")
+async def backup_status(_user: Annotated[str, Depends(require_user)]) -> dict:
+    cfg = backup_settings()
+    return {
+        **cfg,
+        "items": list_backups(),
+    }
+
+
+@router.put("/settings")
+async def put_backup_settings(
+    body: BackupSettingsBody,
+    _user: Annotated[str, Depends(require_user)],
+) -> dict:
+    db = get_db()
+    data = body.model_dump(exclude_none=True)
+    if "auto_enabled" in data:
+        db.set_setting("backup_auto_enabled", "1" if data["auto_enabled"] else "0")
+    if "interval_hours" in data:
+        db.set_setting("backup_interval_hours", str(int(data["interval_hours"])))
+    if "keep_count" in data:
+        db.set_setting("backup_keep_count", str(int(data["keep_count"])))
+        prune_backups(int(data["keep_count"]))
+    return await backup_status(_user)
+
+
+@router.post("/now")
+async def backup_now(_user: Annotated[str, Depends(require_user)]) -> dict:
+    try:
+        return await asyncio.to_thread(create_backup, reason="manual")
+    except Exception as e:
+        logger.exception("backup now failed")
+        raise HTTPException(status_code=500, detail=f"备份失败: {e}") from e
+
+
+@router.get("/download/{name}")
+async def download_backup(
+    name: str,
+    _user: Annotated[str, Depends(require_user)],
+) -> FileResponse:
+    try:
+        path = read_backup_file(name)
+    except ValueError as e:
+        raise HTTPException(status_code=400, detail=str(e)) from e
+    except FileNotFoundError as e:
+        raise HTTPException(status_code=404, detail=str(e)) from e
+    from starlette.background import BackgroundTask
+
+    from ..backup import materialize_download_zip
+
+    # 下载包剥离 .env，机内完整备份仍保留供恢复
+    safe = materialize_download_zip(path)
+    return FileResponse(
+        safe,
+        media_type="application/zip",
+        filename=path.name.replace(".zip", "_noenv.zip"),
+        background=BackgroundTask(lambda: safe.unlink(missing_ok=True)),
+    )
+
+
+@router.post("/restore")
+async def restore_backup(
+    request: Request,
+    _user: Annotated[str, Depends(require_user)],
+    x_confirm_phrase: Annotated[str, Header(alias="X-Confirm-Phrase")] = "",
+) -> dict:
+    """上传 zip 原始字节恢复数据库与 .env（新服务器迁移）。成功后进程退出由 PM2 拉起。"""
+    if (x_confirm_phrase or "").strip() != "RESTORE":
+        raise HTTPException(
+            status_code=400,
+            detail="请输入确认串 RESTORE（大写）后再恢复（请求头 X-Confirm-Phrase）",
+        )
+
+    try:
+        eng = get_engine()
+        if eng.matcher.has_open_position():
+            raise HTTPException(
+                status_code=409,
+                detail="有未平仓，请先平仓或紧急全平后再恢复备份",
+            )
+        await eng.pause()
+    except HTTPException:
+        raise
+    except Exception as e:
+        logger.warning("pause before restore: %s", e)
+
+    raw = await request.body()
+    if not raw:
+        raise HTTPException(status_code=400, detail="请上传 .zip 备份包")
+    if len(raw) > 80 * 1024 * 1024:
+        raise HTTPException(status_code=400, detail="备份包过大（上限 80MB）")
+    if raw[:2] != b"PK":
+        raise HTTPException(status_code=400, detail="文件不是有效的 zip 备份包")
+
+    tmp = Path(tempfile.mkstemp(prefix="restore_", suffix=".zip")[1])
+    try:
+        tmp.write_bytes(raw)
+        try:
+            validate_backup_zip(tmp)
+        except ValueError as e:
+            raise HTTPException(status_code=400, detail=str(e)) from e
+
+        result = await asyncio.to_thread(restore_from_zip, tmp, make_safety_backup=True)
+
+        async def _exit_soon() -> None:
+            await asyncio.sleep(1.2)
+            logger.warning("exiting after backup restore for process restart")
+            os._exit(0)
+
+        asyncio.create_task(_exit_soon())
+        return {
+            **result,
+            "detail": "恢复成功，服务即将自动重启以加载 .env 与数据库；请数秒后刷新页面",
+        }
+    except HTTPException:
+        raise
+    except Exception as e:
+        logger.exception("restore failed")
+        raise HTTPException(status_code=500, detail=f"恢复失败: {e}") from e
+    finally:
+        try:
+            tmp.unlink(missing_ok=True)
+        except Exception:
+            pass

backend/app/api/fleet.py

@@ -0,0 +1,520 @@
+"""中控（Fleet）专用 API：X-Fleet-Token 鉴权，不开放资金/下单。"""
+
+from __future__ import annotations
+
+import asyncio
+import hashlib
+import hmac
+import logging
+import os
+import secrets
+import subprocess
+import threading
+import time
+from pathlib import Path
+from typing import Annotated
+
+from fastapi import APIRouter, Depends, Header, HTTPException, status
+from pydantic import BaseModel, Field
+
+from ..config import get_settings
+from ..credentials import get_credentials
+from ..models.db import get_db
+from ..strategy import get_engine
+from .auth import require_user
+
+logger = logging.getLogger(__name__)
+
+router = APIRouter(prefix="/api/fleet", tags=["fleet"])
+
+_SETTING_HASH = "fleet_api_token_hash"
+_TICKET_TTL_SEC = 60
+_tickets: dict[str, dict] = {}
+_tickets_lock = threading.Lock()
+_update_lock = threading.Lock()
+_update_state: dict = {"running": False, "started_at_ms": 0, "last_error": ""}
+
+
+def _hash_token(token: str) -> str:
+    return hashlib.sha256(token.encode("utf-8")).hexdigest()
+
+
+def fleet_token_configured(db=None) -> bool:
+    db = db or get_db()
+    h = (db.get_setting(_SETTING_HASH, "") or "").strip()
+    return bool(h)
+
+
+def set_fleet_token(plain: str, db=None) -> None:
+    db = db or get_db()
+    plain = (plain or "").strip()
+    if not plain:
+        db.set_setting(_SETTING_HASH, "")
+        return
+    if len(plain) < 16:
+        raise ValueError("中控 API Token 至少 16 位")
+    db.set_setting(_SETTING_HASH, _hash_token(plain))
+
+
+def clear_fleet_token(db=None) -> None:
+    set_fleet_token("", db)
+
+
+def require_fleet_token(
+    x_fleet_token: Annotated[str | None, Header(alias="X-Fleet-Token")] = None,
+    authorization: Annotated[str | None, Header()] = None,
+) -> str:
+    db = get_db()
+    stored = (db.get_setting(_SETTING_HASH, "") or "").strip()
+    if not stored:
+        raise HTTPException(
+            status_code=status.HTTP_401_UNAUTHORIZED,
+            detail="策略机未配置中控 API Token",
+        )
+    provided = (x_fleet_token or "").strip()
+    if not provided and authorization:
+        auth = authorization.strip()
+        if auth.lower().startswith("fleet "):
+            provided = auth[6:].strip()
+    if not provided or not hmac.compare_digest(stored, _hash_token(provided)):
+        raise HTTPException(
+            status_code=status.HTTP_401_UNAUTHORIZED,
+            detail="invalid fleet token",
+        )
+    return provided
+
+
+def _repo_root() -> Path:
+    return Path(__file__).resolve().parents[3]
+
+
+def _purge_tickets() -> None:
+    now = time.time()
+    dead = [k for k, v in _tickets.items() if float(v.get("exp", 0)) < now]
+    for k in dead:
+        _tickets.pop(k, None)
+
+
+def create_login_ticket(username: str) -> tuple[str, int]:
+    with _tickets_lock:
+        _purge_tickets()
+        ticket = secrets.token_urlsafe(32)
+        _tickets[ticket] = {"exp": time.time() + _TICKET_TTL_SEC, "u": username}
+    return ticket, _TICKET_TTL_SEC
+
+
+def consume_login_ticket(ticket: str) -> str:
+    ticket = (ticket or "").strip()
+    if not ticket:
+        raise HTTPException(status_code=401, detail="invalid ticket")
+    with _tickets_lock:
+        _purge_tickets()
+        meta = _tickets.pop(ticket, None)
+    if not meta:
+        raise HTTPException(status_code=401, detail="ticket invalid or used")
+    if float(meta.get("exp", 0)) < time.time():
+        raise HTTPException(status_code=401, detail="ticket expired")
+    username = str(meta.get("u") or "").strip()
+    if not username:
+        raise HTTPException(status_code=401, detail="invalid ticket")
+    return username
+
+
+class FleetTokenBody(BaseModel):
+    token: str = Field(default="", max_length=256)
+
+
+@router.get("/meta")
+async def fleet_meta(_user: Annotated[str, Depends(require_user)]) -> dict:
+    return {
+        "configured": fleet_token_configured(),
+        "hint": "在中控生成 Token 后粘贴到此保存；用于远程启停、更新与免密登录。",
+    }
+
+
+@router.put("/token")
+async def put_fleet_token(
+    body: FleetTokenBody,
+    _user: Annotated[str, Depends(require_user)],
+) -> dict:
+    try:
+        set_fleet_token(body.token)
+    except ValueError as e:
+        raise HTTPException(status_code=400, detail=str(e)) from e
+    return {"ok": True, "configured": fleet_token_configured()}
+
+
+@router.delete("/token")
+async def delete_fleet_token(_user: Annotated[str, Depends(require_user)]) -> dict:
+    clear_fleet_token()
+    return {"ok": True, "configured": False}
+
+
+@router.get("/status")
+async def fleet_status(_tok: Annotated[str, Depends(require_fleet_token)]) -> dict:
+    settings = get_settings()
+    try:
+        from ..exchange.runtime import load_runtime_settings
+        from ..strategy.session import get_session
+
+        rt = load_runtime_settings()
+        exchange_name = rt.exchange
+        sess = get_session()
+        snap = sess.snapshot() if sess else None
+    except Exception:
+        exchange_name = settings.exchange
+        snap = None
+    try:
+        st = get_engine().state()
+    except Exception:
+        st = {}
+    pos = st.get("position") if isinstance(st.get("position"), dict) else {}
+    hedge_mode = str(
+        pos.get("hedge_mode")
+        or st.get("hedge_mode")
+        or ""
+    ).strip().lower()
+    is_oo = hedge_mode == "option_option" or bool(pos.get("option2_inst_id"))
+    legs: list[dict] = []
+    if pos.get("has_position") or str(pos.get("status") or "") in (
+        "open",
+        "half_open",
+        "option_closed_perp_pending",
+        "opening",
+    ):
+        # 期期无永续腿；有 perp 才展示
+        if not is_oo and (pos.get("perp_side") or pos.get("perp_inst_id")):
+            legs.append(
+                {
+                    "kind": "perp",
+                    "side": pos.get("perp_side"),
+                    "inst_id": pos.get("perp_inst_id"),
+                    "qty": pos.get("perp_qty_eth"),
+                    "avg_px": pos.get("perp_entry_px"),
+                    "mark_px": pos.get("perp_mark_px"),
+                    "upl": pos.get("perp_upl"),
+                    "margin": pos.get("perp_margin"),
+                    "premium": None,
+                }
+            )
+        if pos.get("option_side") or pos.get("option_inst_id"):
+            legs.append(
+                {
+                    "kind": "option",
+                    "side": pos.get("option_side") or ("call" if is_oo else None),
+                    "inst_id": pos.get("option_inst_id"),
+                    "qty": pos.get("option_qty_eth"),
+                    "avg_px": pos.get("option_entry_px"),
+                    "mark_px": pos.get("option_mark_px"),
+                    "upl": pos.get("option_upl"),
+                    "margin": None,
+                    "premium": pos.get("initial_premium"),
+                    "strike": pos.get("strike"),
+                }
+            )
+        if pos.get("option2_inst_id") or pos.get("option2_side"):
+            legs.append(
+                {
+                    "kind": "option",
+                    "side": pos.get("option2_side") or "put",
+                    "inst_id": pos.get("option2_inst_id"),
+                    "qty": pos.get("option2_qty_eth"),
+                    "avg_px": pos.get("option2_entry_px"),
+                    "mark_px": pos.get("option2_mark_px"),
+                    "upl": pos.get("option2_upl"),
+                    "margin": None,
+                    "premium": pos.get("initial_premium2"),
+                    "strike": pos.get("strike2"),
+                }
+            )
+
+    # 风控展示字段以引擎 state 为准；缺省时回落 settings 表（避免旧进程漏字段）
+    db = get_db()
+
+    def _sf(key: str, default: float) -> float:
+        try:
+            return float(db.get_setting(key, str(default)) or default)
+        except Exception:
+            return float(default)
+
+    def _pick(key: str, default: float | None = None):
+        if key in st and st.get(key) is not None:
+            return st.get(key)
+        if default is None:
+            return None
+        return _sf(key, default)
+
+    latest_funds = 0.0
+    try:
+        from ..sim.funds_wallets import FundsWallets
+
+        latest_funds = float(FundsWallets(db).total_usdt_equiv())
+    except Exception:
+        try:
+            from ..sim.ledger import Ledger
+
+            latest_funds = float(Ledger(db).snapshot().get("equity") or 0)
+        except Exception:
+            latest_funds = 0.0
+
+    residuals: list[dict] = []
+    try:
+        residuals = get_engine().matcher.list_residual_options_enriched()
+    except Exception:
+        residuals = []
+
+    return {
+        "ok": True,
+        "mode": settings.mode,
+        "env_name": settings.env_name,
+        "exchange": exchange_name,
+        "sim": settings.is_sim,
+        "latest_funds": latest_funds,
+        "residuals": residuals,
+        "market_connected": bool(snap.connected) if snap else False,
+        "pair": snap.pair.to_dict() if snap and snap.pair else None,
+        "index_px": (
+            pos.get("index_px")
+            if pos.get("index_px") is not None
+            else (getattr(snap, "index_px", None) if snap else None)
+        ),
+        "updated_at_ms": snap.updated_at_ms if snap else None,
+        "strategy": {
+            "running": st.get("running"),
+            "phase": st.get("phase"),
+            "rounds_done": st.get("rounds_done"),
+            "last_error": st.get("last_error"),
+            "group_id": pos.get("group_id"),
+            "rest_left_sec": st.get("rest_left_sec"),
+            "exit_mode": st.get("exit_mode"),
+            "exit_target_usdt": st.get("exit_target_usdt"),
+            "net_profit_target": st.get("net_profit_target"),
+            "premium_exit_multiple": _pick("premium_exit_multiple"),
+            "semi_auto_enabled": st.get("semi_auto_enabled"),
+            "semi_armed": st.get("semi_armed"),
+            "semi_view_side": st.get("semi_view_side"),
+            "semi_option_move_points": st.get("semi_option_move_points"),
+            "semi_perp_exit_unit": st.get("semi_perp_exit_unit"),
+            "semi_net_exit_target": st.get("semi_net_exit_target"),
+            "semi_min_option_hours": st.get("semi_min_option_hours"),
+            "semi_min_option_leverage": st.get("semi_min_option_leverage"),
+            "semi_moneyness": st.get("semi_moneyness"),
+            "semi_otm_max_offset": st.get("semi_otm_max_offset"),
+            "semi_perp_unit": st.get("semi_perp_unit"),
+            "semi_option_unit": st.get("semi_option_unit"),
+            "leverage": _pick("leverage", float(settings.leverage)),
+            "min_option_leverage": _pick(
+                "min_option_leverage", float(settings.min_option_leverage)
+            ),
+            "min_option_hours": _pick(
+                "min_option_hours", float(settings.min_option_hours)
+            ),
+            "perp_margin_mode": st.get("perp_margin_mode"),
+            "perp_qty_eth": st.get("perp_qty_eth"),
+            "option_qty_eth": st.get("option_qty_eth"),
+            "oo_put_qty_eth": (
+                st.get("oo_put_qty_eth")
+                if st.get("oo_put_qty_eth") is not None
+                else _sf("oo_put_qty_eth", 0.0) or None
+            ),
+            "sizing_mode": st.get("sizing_mode"),
+            "risk_last_k": st.get("risk_last_k"),
+            "risk_sizing_locked": st.get("risk_sizing_locked"),
+            "risk_sizing_preview": st.get("risk_sizing_preview"),
+            "risk_loss_pct": _pick("risk_loss_pct", 1.0),
+            "risk_perp_unit": _pick("risk_perp_unit", 1.0),
+            "risk_option_unit": _pick("risk_option_unit", 2.0),
+            "risk_exit_unit": _pick("risk_exit_unit", 15.0),
+            "martingale_enabled": st.get("martingale_enabled"),
+            "martingale_doubles": st.get("martingale_doubles"),
+            "risk_effective_loss_pct": st.get("risk_effective_loss_pct"),
+            "oo_amplitude_pct": _pick(
+                "oo_amplitude_pct", float(settings.oo_amplitude_pct)
+            ),
+            "oo_amplitude_hours": _pick(
+                "oo_amplitude_hours", float(settings.oo_amplitude_hours)
+            ),
+            "oo_amplitude_filter_enabled": (
+                str(
+                    st.get("oo_amplitude_filter_enabled")
+                    if "oo_amplitude_filter_enabled" in st
+                    else db.get_setting(
+                        "oo_amplitude_filter_enabled",
+                        str(settings.oo_amplitude_filter_enabled),
+                    )
+                )
+                .strip()
+                .lower()
+                in ("1", "true", "yes", "on")
+            ),
+            "oo_min_option_hours": _pick(
+                "oo_min_option_hours", float(settings.oo_min_option_hours)
+            ),
+            "oo_min_leverage": _pick(
+                "oo_min_leverage", float(settings.oo_min_leverage)
+            ),
+            "oo_reward_ratio": _pick(
+                "oo_reward_ratio", float(settings.oo_reward_ratio)
+            ),
+            "hedge_mode": (
+                hm
+                if (
+                    hm := str(
+                        st.get("hedge_mode")
+                        or ("option_option" if is_oo else None)
+                        or db.get_setting("hedge_mode", settings.hedge_mode)
+                        or settings.hedge_mode
+                        or "perp_option"
+                    )
+                    .strip()
+                    .lower()
+                )
+                in ("perp_option", "option_option")
+                else "perp_option"
+            ),
+        },
+        "position": {
+            "status": pos.get("status") or ("open" if pos.get("has_position") else "flat"),
+            "has_position": bool(pos.get("has_position")),
+            "hedge_mode": "option_option" if is_oo else "perp_option",
+            "group_id": pos.get("group_id"),
+            "open_at_ms": pos.get("open_at_ms"),
+            "initial_premium": pos.get("initial_premium"),
+            "initial_premium2": pos.get("initial_premium2"),
+            "perp_margin": pos.get("perp_margin"),
+            "exit_target_usdt": pos.get("exit_target_usdt"),
+            "net_pnl": pos.get("net_pnl"),
+            "perp_upl": pos.get("perp_upl"),
+            "option_upl": pos.get("option_upl"),
+            "option2_upl": pos.get("option2_upl"),
+            "strike": pos.get("strike"),
+            "strike2": pos.get("strike2"),
+            "expiry_ymd": pos.get("expiry_ymd"),
+            "legs": legs,
+        },
+        "update": {
+            "running": bool(_update_state.get("running")),
+            "started_at_ms": _update_state.get("started_at_ms") or 0,
+            "last_error": _update_state.get("last_error") or "",
+        },
+    }
+
+
+@router.get("/stats")
+async def fleet_stats(_tok: Annotated[str, Depends(require_fleet_token)]) -> dict:
+    """中控拉取策略机整体统计（同 /api/stats/summary，Fleet Token 鉴权）。"""
+    from .stats import build_stats_summary
+
+    return build_stats_summary()
+
+
+@router.post("/start")
+async def fleet_start(_tok: Annotated[str, Depends(require_fleet_token)]) -> dict:
+    return await get_engine().start()
+
+
+@router.post("/pause")
+async def fleet_pause(_tok: Annotated[str, Depends(require_fleet_token)]) -> dict:
+    return await get_engine().pause()
+
+
+class ResidualCloseBody(BaseModel):
+    group_id: str = Field(min_length=1, max_length=128)
+
+
+@router.post("/residual/close")
+async def fleet_residual_close(
+    body: ResidualCloseBody,
+    _tok: Annotated[str, Depends(require_fleet_token)],
+) -> dict:
+    """中控手动平单条残留：只验流动性，不验权利金回收比例。"""
+    matcher = get_engine().matcher
+    result = await asyncio.to_thread(matcher.close_residual_manual, body.group_id)
+    if not result.ok:
+        raise HTTPException(
+            status_code=status.HTTP_400_BAD_REQUEST,
+            detail=result.detail or "平残留失败",
+        )
+    return {
+        "ok": True,
+        "detail": result.detail,
+        "data": result.data,
+        "liquidity_wait": result.liquidity_wait,
+    }
+
+
+@router.post("/issue-login")
+async def fleet_issue_login(_tok: Annotated[str, Depends(require_fleet_token)]) -> dict:
+    username, _ = get_credentials()
+    ticket, ttl = create_login_ticket(username)
+    return {
+        "ok": True,
+        "ticket": ticket,
+        "expires_in": ttl,
+        "login_path": f"/fleet-login?ticket={ticket}",
+    }
+
+
+def _run_update_job() -> None:
+    root = _repo_root()
+    script = root / "deploy" / "lib" / "update.sh"
+    if not script.is_file():
+        script = root / "deploy" / "pull_and_restart.sh"
+    try:
+        if os.name == "nt":
+            _update_state["last_error"] = "update script requires bash (Linux deploy host)"
+            logger.error("fleet update skipped: not a Linux deploy host")
+            return
+        if not script.is_file():
+            _update_state["last_error"] = f"update script missing: {script}"
+            logger.error("fleet update: %s", _update_state["last_error"])
+            return
+        logger.info("fleet update starting: %s", script)
+        proc = subprocess.run(
+            ["bash", str(script)],
+            cwd=str(root),
+            capture_output=True,
+            text=True,
+            timeout=600,
+            env={**os.environ, "DEBIAN_FRONTEND": "noninteractive"},
+        )
+        if proc.returncode != 0:
+            err = (proc.stderr or proc.stdout or "")[-2000:]
+            _update_state["last_error"] = f"exit={proc.returncode} {err}"
+            logger.error("fleet update failed: %s", _update_state["last_error"])
+        else:
+            _update_state["last_error"] = ""
+            logger.info("fleet update finished ok")
+    except Exception as e:
+        _update_state["last_error"] = str(e)
+        logger.exception("fleet update exception")
+    finally:
+        _update_state["running"] = False
+
+
+@router.post("/update")
+async def fleet_update(_tok: Annotated[str, Depends(require_fleet_token)]) -> dict:
+    """接受更新请求：后台跑 deploy update（会 reload 本进程）。"""
+    with _update_lock:
+        if _update_state.get("running"):
+            return {
+                "ok": True,
+                "accepted": False,
+                "running": True,
+                "msg": "更新已在进行中",
+            }
+        _update_state["running"] = True
+        _update_state["started_at_ms"] = int(time.time() * 1000)
+        _update_state["last_error"] = ""
+
+    def _deferred() -> None:
+        time.sleep(0.8)
+        _run_update_job()
+
+    threading.Thread(target=_deferred, name="fleet-update", daemon=True).start()
+    return {
+        "ok": True,
+        "accepted": True,
+        "running": True,
+        "msg": "已接受更新，进程即将 reload，请稍后探活",
+    }

backend/app/api/funds.py

@@ -0,0 +1,278 @@
+"""资金摘要 / 兑换 / 划转（SIM 本地钱包 + LIVE OKX）。"""
+
+from __future__ import annotations
+
+from datetime import datetime, timezone
+from typing import Annotated, Any, Literal
+from zoneinfo import ZoneInfo
+
+from fastapi import APIRouter, Depends, HTTPException
+from pydantic import BaseModel, Field
+
+from ..config import get_settings
+from ..live.okx_funds import OkxFundsClient, usdc_usdt_mid_rate
+from ..models.db import get_db
+from ..sim.funds_wallets import SimFundsWallets
+from ..sim.ledger import Ledger
+from ..strategy.engine import get_engine
+from .auth import require_user
+
+router = APIRouter(prefix="/api/funds", tags=["funds"])
+
+SH = ZoneInfo("Asia/Shanghai")
+
+
+def _pl_ratio(pnls: list[float]) -> float | None:
+    wins = [x for x in pnls if x > 0]
+    losses = [abs(x) for x in pnls if x < 0]
+    if not wins or not losses:
+        return None
+    avg_w = sum(wins) / len(wins)
+    avg_l = sum(losses) / len(losses)
+    if avg_l <= 1e-12:
+        return None
+    return round(avg_w / avg_l, 2)
+
+
+def _fmt_acct(usdt: float | None, usdc: float | None) -> str:
+    parts: list[str] = []
+    if usdt is not None:
+        parts.append(f"{usdt:.2f}U")
+    if usdc is not None and abs(usdc) > 1e-8:
+        parts.append(f"{usdc:.2f} USDC")
+    return " + ".join(parts) if parts else "—"
+
+
+class ConvertBody(BaseModel):
+    direction: Literal["usdt_to_usdc", "usdc_to_usdt"]
+    amount: float = Field(gt=0)
+
+
+class TransferBody(BaseModel):
+    ccy: Literal["USDT", "USDC", "usdt", "usdc"] = "USDC"
+    amount: float = Field(gt=0)
+    from_account: Literal["funding", "trading"] = "funding"
+    to_account: Literal["funding", "trading"] = "trading"
+
+
+@router.get("/summary")
+async def funds_summary(_user: Annotated[str, Depends(require_user)]) -> dict[str, Any]:
+    s = get_settings()
+    db = get_db()
+    eng = get_engine()
+    st = eng.state()
+    # 不在摘要里强调 SIM/LIVE 文案；仅给前端内部用
+    mode = "LIVE" if not s.is_sim else "SIM"
+    exchange = str(st.get("exchange") or s.exchange or "okx").upper()
+    trading_day = datetime.now(SH).strftime("%Y-%m-%d")
+
+    # 顶栏「总交易 / 胜率 / 盈亏比」：用展示口径净盈亏（含到期内在价值修复）
+    closed = db.fetchall("SELECT * FROM groups WHERE status='closed'")
+    pnls: list[float] = []
+    try:
+        from .trades import _enrich_group, persist_expiry_overlay_if_needed
+
+        for r in closed:
+            g = dict(r)
+            fills = db.fetchall(
+                "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC",
+                (g["group_id"],),
+            )
+            gr = _enrich_group(g, fills)
+            try:
+                persist_expiry_overlay_if_needed(db, gr, list(fills))
+            except Exception:
+                pass
+            pnls.append(float(gr.get("net_pnl") or gr.get("realized_pnl") or 0))
+    except Exception:
+        pnls = [float(r["realized_pnl"] or 0) for r in closed]
+    n = len(pnls)
+    wins = sum(1 for x in pnls if x > 0)
+    win_rate = (wins / n) if n else 0.0
+
+    pos = st.get("position") or {}
+    realtime = None
+    pos_st = str(pos.get("status") or "")
+    if pos_st in ("open", "half_open", "option_closed_perp_pending"):
+        realtime = float(pos.get("net_pnl") or 0)
+
+    if s.is_sim:
+        wallets = SimFundsWallets(db)
+        w = wallets.snapshot()
+        # 若钱包全 0 但账本有权益，补种一次
+        if wallets.total_usdt_equiv(w) < 1e-9:
+            eq = float(Ledger(db).snapshot().get("equity") or 0)
+            if eq > 0:
+                w = wallets.reset_from_equity(eq)
+        v = wallets.view()
+        funding_usdt = float(v["funding_usdt"])
+        trading_usdt = float(v["trading_usdt"])
+        funding_usdc = float(v["funding_usdc"])
+        trading_usdc = float(v["trading_usdc"])
+        total = wallets.total_usdt_equiv()
+        rate = usdc_usdt_mid_rate()
+    else:
+        rate = usdc_usdt_mid_rate()
+        funding_usdt = trading_usdt = funding_usdc = trading_usdc = None
+        total = None
+        if exchange == "OKX":
+            client = OkxFundsClient()
+            try:
+                bal = client.fetch_balances()
+                funding_usdt = bal.get("funding_usdt")
+                trading_usdt = bal.get("trading_usdt")
+                funding_usdc = bal.get("funding_usdc")
+                trading_usdc = bal.get("trading_usdc")
+                r = float(rate) if rate and rate > 0 else 1.0
+                total = round(
+                    (funding_usdt or 0.0)
+                    + (trading_usdt or 0.0)
+                    + ((funding_usdc or 0.0) + (trading_usdc or 0.0)) * r,
+                    2,
+                )
+            except Exception as e:
+                return {
+                    "ok": False,
+                    "mode": mode,
+                    "exchange": exchange,
+                    "detail": str(e),
+                }
+            finally:
+                client.close()
+        elif exchange in ("BINANCE", "BN"):
+            from ..live.binance_trade import BinanceTradeClient
+
+            client = BinanceTradeClient()
+            try:
+                bal = client.fetch_balances()
+                funding_usdt = bal.get("funding_usdt")
+                trading_usdt = bal.get("trading_usdt")
+                funding_usdc = bal.get("funding_usdc")
+                trading_usdc = bal.get("trading_usdc")
+                r = float(rate) if rate and rate > 0 else 1.0
+                total = round(
+                    (funding_usdt or 0.0)
+                    + (trading_usdt or 0.0)
+                    + ((funding_usdc or 0.0) + (trading_usdc or 0.0)) * r,
+                    2,
+                )
+            except Exception as e:
+                return {
+                    "ok": False,
+                    "mode": mode,
+                    "exchange": exchange,
+                    "detail": str(e),
+                }
+            finally:
+                try:
+                    client.close()
+                except Exception:
+                    pass
+        else:
+            # 其它交易所：不回退模拟账本（避免实盘显示假资金）
+            return {
+                "ok": False,
+                "mode": mode,
+                "exchange": exchange,
+                "detail": f"{exchange} 实盘资金摘要暂未接入，请用交易所 App 查看",
+            }
+    return {
+        "ok": True,
+        "mode": mode,
+        "exchange": exchange,
+        "trading_day": trading_day,
+        "total_trades": n,
+        "win_rate": win_rate,
+        "profit_loss_ratio": _pl_ratio(pnls),
+        "total_funds": total,
+        "funding_usdt": funding_usdt,
+        "trading_usdt": trading_usdt,
+        "funding_usdc": funding_usdc,
+        "trading_usdc": trading_usdc,
+        "funding_label": _fmt_acct(funding_usdt, funding_usdc),
+        "trading_label": _fmt_acct(trading_usdt, trading_usdc),
+        "realtime_pnl": realtime,
+        "usdc_usdt_rate": rate,
+        "perp_inst_id": str(
+            db.get_setting("perp_inst_id") or s.perp_inst_id or "ETH-USDT-SWAP"
+        ),
+        "updated_at_ms": int(datetime.now(timezone.utc).timestamp() * 1000),
+    }
+
+
+@router.post("/convert")
+async def funds_convert(
+    body: ConvertBody, _user: Annotated[str, Depends(require_user)]
+) -> dict[str, Any]:
+    """USDT↔USDC 市价兑换：一律在交易账户（对齐 OKX 现货 cash；SIM 同口径）。"""
+    s = get_settings()
+    rate = usdc_usdt_mid_rate()
+    if s.is_sim:
+        r = SimFundsWallets(get_db()).convert(
+            direction=body.direction,
+            amount=float(body.amount),
+            rate=rate,
+            account="trading",
+        )
+        if not r.get("ok"):
+            raise HTTPException(status_code=400, detail=r.get("detail") or "兑换失败")
+        return r
+
+    if str(s.exchange).lower() != "okx":
+        raise HTTPException(status_code=400, detail="当前仅 OKX 支持 USDC/USDT 兑换")
+    client = OkxFundsClient()
+    try:
+        r = client.spot_swap_usdt_usdc(
+            direction=body.direction, amount=float(body.amount)
+        )
+    finally:
+        client.close()
+    try:
+        from ..strategy.open_capacity import invalidate_live_balance_cache
+
+        invalidate_live_balance_cache()
+    except Exception:
+        pass
+    if not r.get("ok"):
+        raise HTTPException(status_code=400, detail=r.get("detail") or "兑换失败")
+    return r
+
+
+@router.post("/transfer")
+async def funds_transfer(
+    body: TransferBody, _user: Annotated[str, Depends(require_user)]
+) -> dict[str, Any]:
+    s = get_settings()
+    ccy = str(body.ccy).upper()
+    if s.is_sim:
+        r = SimFundsWallets(get_db()).transfer(
+            ccy=ccy,
+            amount=float(body.amount),
+            from_account=body.from_account,
+            to_account=body.to_account,
+        )
+        if not r.get("ok"):
+            raise HTTPException(status_code=400, detail=r.get("detail") or "划转失败")
+        return r
+
+    if str(s.exchange).lower() != "okx":
+        raise HTTPException(status_code=400, detail="当前仅 OKX 支持账户划转")
+    client = OkxFundsClient()
+    try:
+        r = client.transfer(
+            ccy=ccy,
+            amount=float(body.amount),
+            from_account=body.from_account,
+            to_account=body.to_account,
+        )
+    finally:
+        client.close()
+    try:
+        from ..strategy.open_capacity import invalidate_live_balance_cache
+
+        invalidate_live_balance_cache()
+    except Exception:
+        pass
+    if not r.get("ok"):
+        raise HTTPException(status_code=400, detail=r.get("detail") or "划转失败")
+    return r

backend/app/api/hold_timing.py

@@ -0,0 +1,87 @@
+"""交易组持仓周期：目标出场以策略平仓时刻为准；永续先平则以永续平仓为准。"""
+
+from __future__ import annotations
+
+from typing import Any, Mapping, Sequence
+
+# 目标平仓（含 15U / 权利金倍数 / 只平永续）
+_TARGET_REASONS = frozenset({"fixed_usdt", "premium_multiple", "target_perp_only"})
+
+
+def _ts(v: Any) -> int | None:
+    if v is None:
+        return None
+    try:
+        n = int(v)
+    except (TypeError, ValueError):
+        return None
+    return n if n > 0 else None
+
+
+def _as_map(row: Mapping[str, Any] | Any) -> Mapping[str, Any]:
+    if isinstance(row, Mapping):
+        return row
+    try:
+        return dict(row)
+    except Exception:
+        return {}
+
+
+def first_perp_close_ts_ms(fills: Sequence[Mapping[str, Any] | Any]) -> int | None:
+    """永续平仓成交时间（目标只平永续时作为持仓结束时刻）。"""
+    best: int | None = None
+    for raw in fills:
+        f = _as_map(raw)
+        if str(f.get("leg") or "") != "perp":
+            continue
+        if str(f.get("action") or "") != "close":
+            continue
+        ts = _ts(f.get("ts_ms"))
+        if ts is None:
+            continue
+        if best is None or ts < best:
+            best = ts
+    return best
+
+
+def hold_timing(
+    group: Mapping[str, Any] | Any, fills: Sequence[Mapping[str, Any] | Any]
+) -> dict[str, Any]:
+    """
+    返回展示用开仓/平仓/持仓时长。
+
+    - 开仓：groups.open_at_ms
+    - 平仓（策略持仓周期）：
+      - `target_perp_only` / `option_residual`：永续平仓 fill 时间
+      - 其它已平：groups.close_at_ms（缺则回退成交）
+    """
+    g = _as_map(group)
+    open_ms = _ts(g.get("open_at_ms"))
+    status = str(g.get("status") or "")
+    reason = str(g.get("close_reason") or "")
+    group_close = _ts(g.get("close_at_ms"))
+    perp_close = first_perp_close_ts_ms(fills)
+
+    use_perp = reason == "target_perp_only" or status == "option_residual"
+    if use_perp:
+        close_ms = perp_close or group_close
+        basis = "perp"
+    elif status == "open":
+        close_ms = None
+        basis = "open"
+    else:
+        close_ms = group_close
+        if close_ms is None and reason in _TARGET_REASONS:
+            close_ms = perp_close
+        basis = "group"
+
+    hold_ms: int | None = None
+    if open_ms is not None and close_ms is not None and close_ms >= open_ms:
+        hold_ms = close_ms - open_ms
+
+    return {
+        "hold_open_at_ms": open_ms,
+        "hold_close_at_ms": close_ms,
+        "hold_ms": hold_ms,
+        "hold_basis": basis,
+    }

backend/app/api/market.py

@@ -2,7 +2,7 @@ from __future__ import annotations
 
 from typing import Annotated
 
-from fastapi import APIRouter, Depends, HTTPException
+from fastapi import APIRouter, Depends, HTTPException, Query
 
 from ..market import get_gateway
 from .auth import require_user
@@ -18,6 +18,21 @@ async def market_snapshot(_user: Annotated[str, Depends(require_user)]) -> dict:
     return snap
 
 
+@router.get("/option-ladder")
+async def market_option_ladder(
+    _user: Annotated[str, Depends(require_user)],
+    wings: int = Query(default=5, ge=1, le=12),
+    side: str = Query(default="call", pattern="^(call|put)$"),
+    min_hours: float = Query(default=30, ge=1, le=720),
+) -> dict:
+    """半自动页单边报价：选剩余时长≥min_hours 的最近到期。"""
+    gw = get_gateway()
+    ladder = getattr(gw, "option_ladder", None)
+    if not callable(ladder):
+        raise HTTPException(status_code=501, detail="当前会话不支持 option-ladder")
+    return ladder(wings=wings, side=side, min_hours=min_hours)
+
+
 @router.post("/realign")
 async def market_realign(_user: Annotated[str, Depends(require_user)]) -> dict:
     """手动重对齐次日到期 ATM 合约（运维/调试用）。"""

backend/app/api/plan.py

@@ -1,9 +1,12 @@
 from __future__ import annotations
 
-from typing import Annotated
+import asyncio
+from typing import Annotated, Literal
 
-from fastapi import APIRouter, Depends
+from fastapi import APIRouter, Depends, HTTPException, status
+from pydantic import BaseModel, Field
 
+from ..models.db import get_db
 from ..strategy import get_engine
 from .auth import require_user
 
@@ -28,3 +31,86 @@ async def plan_pause(_user: Annotated[str, Depends(require_user)]) -> dict:
 @router.post("/emergency-close")
 async def plan_emergency(_user: Annotated[str, Depends(require_user)]) -> dict:
     return await get_engine().emergency_close()
+
+
+class SemiArmBody(BaseModel):
+    armed: bool = True
+
+
+class SemiParamsBody(BaseModel):
+    """首页半自动本单参数（不进系统设置表单主路径，但落同一 settings 表）。"""
+
+    semi_view_side: Literal["long", "short"] | None = None
+    semi_option_move_points: float | None = Field(default=None, ge=1, le=5000)
+    semi_perp_exit_unit: float | None = Field(default=None, ge=0.1, le=1_000_000)
+    semi_min_option_hours: float | None = Field(default=None, ge=1, le=720)
+    semi_min_option_leverage: float | None = Field(default=None, ge=1, le=10000)
+    semi_moneyness: Literal["itm", "atm", "otm"] | None = None
+    semi_otm_max_offset: float | None = Field(default=None, ge=1, le=5000)
+    semi_perp_unit: float | None = Field(default=None, ge=0.01, le=100)
+    semi_option_unit: float | None = Field(default=None, ge=0.01, le=100)
+
+
+@router.post("/semi/arm")
+async def plan_semi_arm(
+    body: SemiArmBody,
+    _user: Annotated[str, Depends(require_user)],
+) -> dict:
+    return get_engine().arm_semi(armed=bool(body.armed))
+
+
+@router.put("/semi/params")
+async def plan_semi_params(
+    body: SemiParamsBody,
+    _user: Annotated[str, Depends(require_user)],
+) -> dict:
+    eng = get_engine()
+    if eng.matcher.has_open_position():
+        raise HTTPException(
+            status_code=status.HTTP_409_CONFLICT,
+            detail="有未平仓，禁止修改半自动本单参数",
+        )
+    from ..strategy.semi_auto import is_armed
+
+    if is_armed(eng.ledger):
+        raise HTTPException(
+            status_code=status.HTTP_409_CONFLICT,
+            detail="已授权盯开，禁止改本单参数；请先取消授权",
+        )
+    st = eng.db.fetchone("SELECT phase FROM strategy_state WHERE id=1")
+    phase = str(st["phase"] or "") if st else ""
+    if phase in ("wait_signal", "opening", "open", "closing", "liquidity_wait"):
+        raise HTTPException(
+            status_code=status.HTTP_409_CONFLICT,
+            detail=f"当前阶段 {phase} 禁止修改半自动本单参数",
+        )
+    db = get_db()
+    data = body.model_dump(exclude_none=True)
+    for k, v in data.items():
+        db.set_setting(k, str(v))
+    return eng.state()
+
+
+class ResidualCloseBody(BaseModel):
+    group_id: str = Field(min_length=1, max_length=128)
+
+
+@router.post("/residual/close")
+async def plan_residual_close(
+    body: ResidualCloseBody,
+    _user: Annotated[str, Depends(require_user)],
+) -> dict:
+    """手动平单条残留：只验流动性，不验权利金回收比例。"""
+    matcher = get_engine().matcher
+    result = await asyncio.to_thread(matcher.close_residual_manual, body.group_id)
+    if not result.ok:
+        raise HTTPException(
+            status_code=status.HTTP_400_BAD_REQUEST,
+            detail=result.detail or "平残留失败",
+        )
+    return {
+        "ok": True,
+        "detail": result.detail,
+        "data": result.data,
+        "liquidity_wait": result.liquidity_wait,
+    }

backend/app/api/public_index.py

@@ -0,0 +1,65 @@
+"""公开行情辅助：补历史到期结算指数展示（不发明成交现金）。"""
+
+from __future__ import annotations
+
+import json
+import logging
+import urllib.error
+import urllib.request
+from typing import Any
+
+logger = logging.getLogger(__name__)
+
+_CACHE: dict[int, float] = {}
+_CACHE_MAX = 256
+
+
+def looks_binance_option(inst_id: str | None) -> bool:
+    return "USD_UM" in str(inst_id or "")
+
+
+def eth_usdt_close_at_ms(ts_ms: int | None) -> float | None:
+    """币安 ETHUSDT 1m K 线收盘价（近似期权结算指数）。失败返回 None。"""
+    if ts_ms is None:
+        return None
+    try:
+        ms = int(ts_ms)
+    except (TypeError, ValueError):
+        return None
+    if ms <= 0:
+        return None
+    minute = (ms // 60_000) * 60_000
+    cached = _CACHE.get(minute)
+    if cached is not None:
+        return cached
+    url = (
+        "https://api.binance.com/api/v3/klines"
+        f"?symbol=ETHUSDT&interval=1m&startTime={minute}&limit=1"
+    )
+    try:
+        with urllib.request.urlopen(url, timeout=4) as resp:
+            raw = resp.read().decode("utf-8", "replace")
+        rows = json.loads(raw)
+        if not rows:
+            return None
+        close_px = float(rows[0][4])
+        if close_px <= 0:
+            return None
+        if len(_CACHE) >= _CACHE_MAX:
+            _CACHE.clear()
+        _CACHE[minute] = close_px
+        return close_px
+    except (urllib.error.URLError, TimeoutError, ValueError, TypeError, IndexError) as e:
+        logger.debug("eth_usdt_close_at_ms failed ms=%s: %s", minute, e)
+        return None
+
+
+def maybe_public_settle_index(g: dict[str, Any]) -> float | None:
+    """库内无结算价时，币安期权到期组用公开 ETHUSDT 收盘近似。"""
+    if str(g.get("close_reason") or "") != "expiry":
+        return None
+    inst = g.get("option_inst_id") or g.get("option2_inst_id")
+    if not looks_binance_option(str(inst) if inst else None):
+        return None
+    ts = g.get("close_at_ms") or g.get("hold_close_at_ms")
+    return eth_usdt_close_at_ms(ts if ts is not None else None)

backend/app/api/settings.py

@@ -1,11 +1,18 @@
 from __future__ import annotations
 
-from typing import Annotated
+from typing import Annotated, Literal
 
 from fastapi import APIRouter, Depends, HTTPException
 from pydantic import BaseModel, Field
 
 from ..config import get_settings
+from ..env_store import (
+    binance_keys_configured,
+    live_ready,
+    mask_secret,
+    okx_keys_configured,
+    upsert_env_keys,
+)
 from ..exchange.runtime import (
     load_runtime_settings,
     normalize_exchange_name,
@@ -26,16 +33,57 @@ KEYS = (
     "net_profit_target",
     "premium_exit_multiple",
     "rest_seconds",
+    "live_order_interval_sec",
     "skip_weekends",
+    "one_expiry_per_day",
     "initial_equity",
     "leverage",
+    "perp_margin_mode",
     "min_option_hours",
     "min_option_leverage",
     "atm_open_offset_enabled",
     "max_atm_open_offset",
+    "fixed_direction_enabled",
+    "fixed_perp_side",
+    "semi_auto_enabled",
+    "semi_armed",
+    "semi_view_side",
+    "semi_option_move_points",
+    "semi_perp_exit_unit",
+    "semi_min_option_hours",
+    "semi_min_option_leverage",
+    "semi_moneyness",
+    "semi_otm_max_offset",
+    "semi_perp_unit",
+    "semi_option_unit",
     "close_bid_mark_max_pct",
+    "residual_min_premium_pct",
+    "residual_close_check_sec",
     "perp_qty_eth",
     "option_qty_eth",
+    "show_manual_trade_buttons",
+    "sizing_mode",
+    "risk_leverage_basis",
+    "risk_loss_mode",
+    "risk_loss_pct",
+    "risk_loss_usdt",
+    "risk_capital_source",
+    "risk_manual_capital_usdt",
+    "risk_perp_unit",
+    "risk_option_unit",
+    "risk_exit_unit",
+    "martingale_enabled",
+    "martingale_start_after_loss_days",
+    "martingale_max_doubles",
+    "hedge_mode",
+    "oo_amplitude_pct",
+    "oo_amplitude_hours",
+    "oo_amplitude_filter_enabled",
+    "oo_min_option_hours",
+    "oo_min_leverage",
+    "oo_reward_ratio",
+    "oo_budget_cushion",
+    "oo_strike_max_dev_pct",
 )
 
 
@@ -46,17 +94,64 @@ class StrategySettingsBody(BaseModel):
     net_profit_target: float | None = Field(default=None, ge=0.1, le=1_000_000)
     premium_exit_multiple: float | None = Field(default=None, ge=0.1, le=100)
     rest_seconds: int | None = Field(default=None, ge=0, le=3600)
+    live_order_interval_sec: float | None = Field(default=None, ge=0.2, le=30)
     skip_weekends: bool | None = None
+    one_expiry_per_day: bool | None = None
     initial_equity: float | None = Field(default=None, ge=1000, le=10_000_000)
     leverage: float | None = Field(default=None, ge=1, le=125)
+    perp_margin_mode: str | None = Field(default=None, pattern="^(cross|isolated)$")
     min_option_hours: float | None = Field(default=None, ge=1, le=720)
     min_option_leverage: float | None = Field(default=None, ge=1, le=10000)
     atm_open_offset_enabled: bool | None = None
     max_atm_open_offset: float | None = Field(default=None, ge=0, le=100)
+    fixed_direction_enabled: bool | None = None
+    fixed_perp_side: str | None = Field(default=None, pattern="^(long|short)$")
+    semi_auto_enabled: bool | None = None
+    # semi_armed 仅允许经 /api/plan/semi/arm，不接受设置接口写入
+    semi_view_side: str | None = Field(default=None, pattern="^(long|short)$")
+    semi_option_move_points: float | None = Field(default=None, ge=1, le=5000)
+    semi_perp_exit_unit: float | None = Field(default=None, ge=0.1, le=1_000_000)
+    semi_min_option_hours: float | None = Field(default=None, ge=1, le=720)
+    semi_min_option_leverage: float | None = Field(default=None, ge=1, le=10000)
+    semi_moneyness: str | None = Field(default=None, pattern="^(itm|atm|otm)$")
+    semi_otm_max_offset: float | None = Field(default=None, ge=1, le=5000)
+    semi_perp_unit: float | None = Field(default=None, ge=0.01, le=100)
+    semi_option_unit: float | None = Field(default=None, ge=0.01, le=100)
     close_bid_mark_max_pct: float | None = Field(default=None, ge=1, le=100)
+    residual_min_premium_pct: float | None = Field(default=None, ge=1, le=100)
+    residual_close_check_sec: int | None = Field(default=None, ge=30, le=86400)
     perp_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
     option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
+    show_manual_trade_buttons: bool | None = None
     exchange: str | None = Field(default=None, pattern="^(okx|binance|bn)$")
+    sizing_mode: str | None = Field(default=None, pattern="^(manual|risk_based)$")
+    risk_leverage_basis: str | None = Field(
+        default=None, pattern="^(actual|selection)$"
+    )
+    risk_loss_mode: str | None = Field(default=None, pattern="^(percent|absolute)$")
+    risk_loss_pct: float | None = Field(default=None, ge=0.01, le=100)
+    risk_loss_usdt: float | None = Field(default=None, ge=0.1, le=1_000_000)
+    risk_capital_source: str | None = Field(
+        default=None, pattern="^(trading_account|manual)$"
+    )
+    risk_manual_capital_usdt: float | None = Field(default=None, ge=1, le=100_000_000)
+    risk_perp_unit: float | None = Field(default=None, ge=0.01, le=100)
+    risk_option_unit: float | None = Field(default=None, ge=0.01, le=100)
+    risk_exit_unit: float | None = Field(default=None, ge=0.1, le=1_000_000)
+    martingale_enabled: bool | None = None
+    martingale_start_after_loss_days: int | None = Field(default=None, ge=1, le=30)
+    martingale_max_doubles: int | None = Field(default=None, ge=1, le=10)
+    hedge_mode: str | None = Field(
+        default=None, pattern="^(perp_option|option_option)$"
+    )
+    oo_amplitude_pct: float | None = Field(default=None, ge=0.1, le=50)
+    oo_amplitude_hours: float | None = Field(default=None, ge=1, le=168)
+    oo_amplitude_filter_enabled: bool | None = None
+    oo_min_option_hours: float | None = Field(default=None, ge=1, le=720)
+    oo_min_leverage: float | None = Field(default=None, ge=1, le=10000)
+    oo_reward_ratio: float | None = Field(default=None, ge=0.5, le=20)
+    oo_budget_cushion: float | None = Field(default=None, ge=0.5, le=1.0)
+    oo_strike_max_dev_pct: float | None = Field(default=None, ge=0.1, le=10)
 
 
 def _as_bool(raw: str | None, default: bool) -> bool:
@@ -65,6 +160,15 @@ def _as_bool(raw: str | None, default: bool) -> bool:
     return str(raw).strip().lower() in ("1", "true", "yes", "on")
 
 
+def _risk_preview_safe() -> dict:
+    try:
+        from ..strategy.risk_sizing import preview_risk_sizing
+
+        return preview_risk_sizing()
+    except Exception as e:
+        return {"ok": False, "detail": f"预览失败: {e}", "risk_based": False}
+
+
 def _read_settings() -> dict:
     db = get_db()
     s = get_settings()
@@ -89,13 +193,37 @@ def _read_settings() -> dict:
         "rest_seconds": int(
             float(db.get_setting("rest_seconds", str(s.rest_seconds)) or s.rest_seconds)
         ),
+        "live_order_interval_sec": float(
+            db.get_setting(
+                "live_order_interval_sec", str(s.live_order_interval_sec)
+            )
+            or s.live_order_interval_sec
+        ),
         "skip_weekends": _as_bool(
             db.get_setting("skip_weekends", str(s.skip_weekends)), s.skip_weekends
         ),
+        "one_expiry_per_day": _as_bool(
+            db.get_setting("one_expiry_per_day", str(s.one_expiry_per_day)),
+            s.one_expiry_per_day,
+        ),
         "initial_equity": float(
             db.get_setting("initial_equity", str(s.initial_equity)) or s.initial_equity
         ),
         "leverage": float(db.get_setting("leverage", str(s.leverage)) or s.leverage),
+        "perp_margin_mode": (
+            mm
+            if (
+                mm := str(
+                    db.get_setting("perp_margin_mode", s.perp_margin_mode)
+                    or s.perp_margin_mode
+                    or "cross"
+                )
+                .strip()
+                .lower()
+            )
+            in ("cross", "isolated")
+            else "cross"
+        ),
         "min_option_hours": float(
             db.get_setting("min_option_hours", str(s.min_option_hours))
             or s.min_option_hours
@@ -114,16 +242,248 @@ def _read_settings() -> dict:
             db.get_setting("max_atm_open_offset", str(s.max_atm_open_offset))
             or s.max_atm_open_offset
         ),
+        "fixed_direction_enabled": _as_bool(
+            db.get_setting(
+                "fixed_direction_enabled", str(s.fixed_direction_enabled)
+            ),
+            s.fixed_direction_enabled,
+        ),
+        "fixed_perp_side": (
+            side
+            if (
+                side := str(
+                    db.get_setting("fixed_perp_side", s.fixed_perp_side)
+                    or s.fixed_perp_side
+                )
+                .strip()
+                .lower()
+            )
+            in ("long", "short")
+            else "long"
+        ),
+        "semi_auto_enabled": _as_bool(
+            db.get_setting("semi_auto_enabled", str(s.semi_auto_enabled)),
+            s.semi_auto_enabled,
+        ),
+        "semi_armed": _as_bool(
+            db.get_setting("semi_armed", str(s.semi_armed)),
+            s.semi_armed,
+        ),
+        "semi_view_side": (
+            sv
+            if (
+                sv := str(
+                    db.get_setting("semi_view_side", s.semi_view_side)
+                    or s.semi_view_side
+                )
+                .strip()
+                .lower()
+            )
+            in ("long", "short")
+            else "long"
+        ),
+        "semi_option_move_points": float(
+            db.get_setting(
+                "semi_option_move_points", str(s.semi_option_move_points)
+            )
+            or s.semi_option_move_points
+        ),
+        "semi_perp_exit_unit": float(
+            db.get_setting("semi_perp_exit_unit", str(s.semi_perp_exit_unit))
+            or s.semi_perp_exit_unit
+        ),
+        "semi_min_option_hours": float(
+            db.get_setting(
+                "semi_min_option_hours", str(s.semi_min_option_hours)
+            )
+            or s.semi_min_option_hours
+        ),
+        "semi_min_option_leverage": float(
+            db.get_setting(
+                "semi_min_option_leverage", str(s.semi_min_option_leverage)
+            )
+            or s.semi_min_option_leverage
+        ),
+        "semi_moneyness": (
+            lambda m: m
+            if m in ("itm", "atm", "otm")
+            else "otm"
+        )(
+            str(
+                db.get_setting("semi_moneyness", s.semi_moneyness) or s.semi_moneyness
+            )
+            .strip()
+            .lower()
+        ),
+        "semi_otm_max_offset": float(
+            db.get_setting("semi_otm_max_offset", str(s.semi_otm_max_offset))
+            or s.semi_otm_max_offset
+        ),
+        "semi_perp_unit": float(
+            db.get_setting("semi_perp_unit", str(s.semi_perp_unit)) or s.semi_perp_unit
+        ),
+        "semi_option_unit": float(
+            db.get_setting("semi_option_unit", str(s.semi_option_unit))
+            or s.semi_option_unit
+        ),
         "close_bid_mark_max_pct": float(
             db.get_setting("close_bid_mark_max_pct", str(s.close_bid_mark_max_pct))
             or s.close_bid_mark_max_pct
         ),
+        "residual_min_premium_pct": float(
+            db.get_setting(
+                "residual_min_premium_pct", str(s.residual_min_premium_pct)
+            )
+            or s.residual_min_premium_pct
+        ),
+        "residual_close_check_sec": int(
+            float(
+                db.get_setting(
+                    "residual_close_check_sec", str(s.residual_close_check_sec)
+                )
+                or s.residual_close_check_sec
+            )
+        ),
         "perp_qty_eth": float(
             db.get_setting("perp_qty_eth", str(s.perp_qty_eth)) or s.perp_qty_eth
         ),
         "option_qty_eth": float(
             db.get_setting("option_qty_eth", str(s.option_qty_eth)) or s.option_qty_eth
         ),
+        "show_manual_trade_buttons": _as_bool(
+            db.get_setting("show_manual_trade_buttons", "0"), False
+        ),
+        "sizing_mode": (
+            sm
+            if (
+                sm := str(db.get_setting("sizing_mode", "manual") or "manual")
+                .strip()
+                .lower()
+            )
+            in ("manual", "risk_based")
+            else "manual"
+        ),
+        "risk_leverage_basis": (
+            rb
+            if (
+                rb := str(
+                    db.get_setting(
+                        "risk_leverage_basis",
+                        str(s.risk_leverage_basis),
+                    )
+                    or s.risk_leverage_basis
+                    or "selection"
+                )
+                .strip()
+                .lower()
+            )
+            in ("actual", "selection")
+            else "selection"
+        ),
+        "risk_loss_mode": (
+            lm
+            if (
+                lm := str(db.get_setting("risk_loss_mode", "percent") or "percent")
+                .strip()
+                .lower()
+            )
+            in ("percent", "absolute")
+            else "percent"
+        ),
+        "risk_loss_pct": float(db.get_setting("risk_loss_pct", "1") or 1),
+        "risk_loss_usdt": float(db.get_setting("risk_loss_usdt", "15") or 15),
+        "risk_capital_source": (
+            cs
+            if (
+                cs := str(
+                    db.get_setting("risk_capital_source", "trading_account")
+                    or "trading_account"
+                )
+                .strip()
+                .lower()
+            )
+            in ("trading_account", "manual")
+            else "trading_account"
+        ),
+        "risk_manual_capital_usdt": float(
+            db.get_setting("risk_manual_capital_usdt", "10000") or 10000
+        ),
+        "risk_perp_unit": float(db.get_setting("risk_perp_unit", "1") or 1),
+        "risk_option_unit": float(db.get_setting("risk_option_unit", "2") or 2),
+        "risk_exit_unit": float(db.get_setting("risk_exit_unit", "15") or 15),
+        "martingale_enabled": _as_bool(
+            db.get_setting(
+                "martingale_enabled", str(s.martingale_enabled)
+            ),
+            s.martingale_enabled,
+        ),
+        "martingale_start_after_loss_days": int(
+            float(
+                db.get_setting(
+                    "martingale_start_after_loss_days",
+                    str(s.martingale_start_after_loss_days),
+                )
+                or s.martingale_start_after_loss_days
+            )
+        ),
+        "martingale_max_doubles": int(
+            float(
+                db.get_setting(
+                    "martingale_max_doubles", str(s.martingale_max_doubles)
+                )
+                or s.martingale_max_doubles
+            )
+        ),
+        "hedge_mode": (
+            hm
+            if (
+                hm := str(
+                    db.get_setting("hedge_mode", s.hedge_mode) or s.hedge_mode
+                )
+                .strip()
+                .lower()
+            )
+            in ("perp_option", "option_option")
+            else "perp_option"
+        ),
+        "oo_amplitude_pct": float(
+            db.get_setting("oo_amplitude_pct", str(s.oo_amplitude_pct))
+            or s.oo_amplitude_pct
+        ),
+        "oo_amplitude_hours": float(
+            db.get_setting("oo_amplitude_hours", str(s.oo_amplitude_hours))
+            or s.oo_amplitude_hours
+        ),
+        "oo_amplitude_filter_enabled": _as_bool(
+            db.get_setting(
+                "oo_amplitude_filter_enabled",
+                str(s.oo_amplitude_filter_enabled),
+            ),
+            s.oo_amplitude_filter_enabled,
+        ),
+        "oo_min_option_hours": float(
+            db.get_setting("oo_min_option_hours", str(s.oo_min_option_hours))
+            or s.oo_min_option_hours
+        ),
+        "oo_min_leverage": float(
+            db.get_setting("oo_min_leverage", str(s.oo_min_leverage))
+            or s.oo_min_leverage
+        ),
+        "oo_reward_ratio": float(
+            db.get_setting("oo_reward_ratio", str(s.oo_reward_ratio))
+            or s.oo_reward_ratio
+        ),
+        "oo_budget_cushion": float(
+            db.get_setting("oo_budget_cushion", str(s.oo_budget_cushion))
+            or s.oo_budget_cushion
+        ),
+        "oo_strike_max_dev_pct": float(
+            db.get_setting(
+                "oo_strike_max_dev_pct", str(s.oo_strike_max_dev_pct)
+            )
+            or s.oo_strike_max_dev_pct
+        ),
+        "risk_sizing_preview": _risk_preview_safe(),
         "exchange": rt.exchange,
         "perp_inst_id": rt.perp_inst_id,
         "option_inst_family": rt.option_inst_family,
@@ -145,8 +505,13 @@ async def put_strategy_settings(
     db = get_db()
     s = get_settings()
     data = body.model_dump(exclude_none=True)
+    # 授权态只经 /api/plan/semi/arm；设置接口不可伪造 armed=true
+    data.pop("semi_armed", None)
     equity_to_apply: float | None = None
     switch_to: str | None = None
+    old_hedge = str(
+        db.get_setting("hedge_mode", s.hedge_mode) or s.hedge_mode or "perp_option"
+    ).strip().lower()
 
     if "exchange" in data:
         new_ex = normalize_exchange_name(str(data.pop("exchange")))
@@ -174,6 +539,189 @@ async def put_strategy_settings(
                 )
             equity_to_apply = new_eq
 
+    if "perp_margin_mode" in data:
+        new_mm = str(data["perp_margin_mode"]).strip().lower()
+        old_mm = str(
+            db.get_setting("perp_margin_mode", s.perp_margin_mode) or s.perp_margin_mode
+        ).strip().lower()
+        if new_mm != old_mm and Matcher(db).has_open_position():
+            raise HTTPException(
+                status_code=409,
+                detail="有未平仓，无法切换永续保证金模式；请先平仓后再改",
+            )
+
+    # 持仓中禁止改动会影响本组成交/出场的参数（基线：运行中无人工开平仓，策略锁定本组成交）
+    if Matcher(db).has_open_position():
+        locked_keys = (
+            "net_profit_target",
+            "exit_mode",
+            "premium_exit_multiple",
+            "perp_qty_eth",
+            "option_qty_eth",
+            "leverage",
+            "sizing_mode",
+            "risk_perp_unit",
+            "risk_option_unit",
+            "risk_exit_unit",
+            "risk_loss_mode",
+            "risk_loss_pct",
+            "risk_loss_usdt",
+            "risk_capital_source",
+            "risk_manual_capital_usdt",
+            "martingale_enabled",
+            "martingale_start_after_loss_days",
+            "martingale_max_doubles",
+            "hedge_mode",
+            "oo_amplitude_pct",
+            "oo_amplitude_hours",
+            "oo_amplitude_filter_enabled",
+            "oo_min_option_hours",
+            "oo_min_leverage",
+            "oo_reward_ratio",
+            "oo_budget_cushion",
+            "oo_strike_max_dev_pct",
+            "semi_view_side",
+            "semi_option_move_points",
+            "semi_perp_exit_unit",
+            "semi_min_option_hours",
+            "semi_min_option_leverage",
+            "semi_moneyness",
+            "semi_otm_max_offset",
+            "semi_perp_unit",
+            "semi_option_unit",
+            "semi_auto_enabled",
+        )
+        hit = [k for k in locked_keys if k in data]
+        if hit:
+            raise HTTPException(
+                status_code=409,
+                detail=f"有未平仓，禁止修改本组成交相关参数：{', '.join(hit)}；请先平仓",
+            )
+
+    # 以损定仓 ↔ 手动仓位互斥；开启以损定仓时强制 fixed_usdt，并忽略手填名义/出场
+    hedge_mode = str(
+        data.get(
+            "hedge_mode",
+            db.get_setting("hedge_mode", s.hedge_mode) or s.hedge_mode,
+        )
+    ).strip().lower()
+    if hedge_mode not in ("perp_option", "option_option"):
+        hedge_mode = "perp_option"
+    data["hedge_mode"] = hedge_mode
+    if hedge_mode == "option_option":
+        # 期期：强制以损定仓 + 亏损幅度%
+        data["sizing_mode"] = "risk_based"
+        data["risk_loss_mode"] = "percent"
+        data["exit_mode"] = "fixed_usdt"
+        data.pop("perp_qty_eth", None)
+        data["fixed_direction_enabled"] = False
+        data["semi_auto_enabled"] = False
+        data["semi_armed"] = False
+
+    # 开关半自动时强制清授权，避免陈旧 armed 或关半自动后落入全自动误开
+    if "semi_auto_enabled" in data:
+        data["semi_armed"] = False
+
+    sizing_mode = str(
+        data.get(
+            "sizing_mode",
+            db.get_setting("sizing_mode", "manual") or "manual",
+        )
+    ).strip().lower()
+    if sizing_mode == "risk_based":
+        # 永期以损：允许 exit_mode=fixed_usdt（基数×k）或 premium_multiple（权利金×倍）
+        # 期期仍强制 fixed（目标由预算×盈亏比写入）
+        if hedge_mode == "option_option":
+            data["exit_mode"] = "fixed_usdt"
+        data.pop("perp_qty_eth", None)
+        data.pop("option_qty_eth", None)
+        if str(data.get("exit_mode") or db.get_setting("exit_mode", "") or "").strip().lower() != "premium_multiple":
+            data.pop("net_profit_target", None)
+        loss_mode = str(
+            data.get(
+                "risk_loss_mode",
+                db.get_setting("risk_loss_mode", "percent") or "percent",
+            )
+        ).strip().lower()
+        if loss_mode == "absolute":
+            loss_u = data.get("risk_loss_usdt")
+            if loss_u is None:
+                loss_u = float(db.get_setting("risk_loss_usdt", "0") or 0)
+            if float(loss_u) <= 0:
+                raise HTTPException(
+                    status_code=400,
+                    detail="以损定仓选用亏损值时，须填写 risk_loss_usdt > 0",
+                )
+        else:
+            src = str(
+                data.get(
+                    "risk_capital_source",
+                    db.get_setting("risk_capital_source", "trading_account")
+                    or "trading_account",
+                )
+            ).strip().lower()
+            if src == "manual":
+                cap = data.get("risk_manual_capital_usdt")
+                if cap is None:
+                    cap = float(db.get_setting("risk_manual_capital_usdt", "0") or 0)
+                if float(cap) <= 0:
+                    raise HTTPException(
+                        status_code=400,
+                        detail="以损定仓选用单独本金时，须填写 risk_manual_capital_usdt > 0",
+                    )
+            pct = data.get("risk_loss_pct")
+            if pct is None:
+                pct = float(db.get_setting("risk_loss_pct", "0") or 0)
+            if float(pct) <= 0:
+                raise HTTPException(
+                    status_code=400,
+                    detail="以损定仓选用亏损幅度时，须填写 risk_loss_pct > 0",
+                )
+
+    # 倍投：仅以损定仓 + 亏损幅度% + 基础幅度≤3%；条件不满足则强制关闭
+    from ..strategy.risk_sizing import MARTINGALE_MAX_BASE_PCT
+
+    loss_mode_final = str(
+        data.get(
+            "risk_loss_mode",
+            db.get_setting("risk_loss_mode", "percent") or "percent",
+        )
+    ).strip().lower()
+    pct_final = data.get("risk_loss_pct")
+    if pct_final is None:
+        pct_final = float(db.get_setting("risk_loss_pct", "1") or 1)
+    else:
+        pct_final = float(pct_final)
+    existing_mg = _as_bool(
+        db.get_setting("martingale_enabled", str(s.martingale_enabled)),
+        s.martingale_enabled,
+    )
+    want_mg = (
+        bool(data["martingale_enabled"])
+        if "martingale_enabled" in data
+        else existing_mg
+    )
+    mg_eligible = (
+        sizing_mode == "risk_based"
+        and loss_mode_final in ("percent", "pct", "%", "幅度")
+        and float(pct_final) <= MARTINGALE_MAX_BASE_PCT + 1e-12
+    )
+    if want_mg and not mg_eligible:
+        explicit_on = "martingale_enabled" in data and bool(data["martingale_enabled"])
+        if explicit_on:
+            if sizing_mode != "risk_based":
+                reason = "倍投模式仅可在以损定仓下开启"
+            elif loss_mode_final not in ("percent", "pct", "%", "幅度"):
+                reason = "倍投模式仅可在「亏损幅度%」下开启"
+            else:
+                reason = (
+                    f"以损定仓亏损幅度超过 {MARTINGALE_MAX_BASE_PCT:g}% 时不可启用倍投"
+                )
+            raise HTTPException(status_code=400, detail=reason)
+        data["martingale_enabled"] = False
+    elif not mg_eligible:
+        data["martingale_enabled"] = False
+
     for k, v in data.items():
         if k in KEYS:
             db.set_setting(k, str(v))
@@ -194,4 +742,211 @@ async def put_strategy_settings(
                 detail=f"交易所已切换为 {switch_to}，但行情重连失败: {e}",
             ) from e
 
+    new_hedge = str(
+        db.get_setting("hedge_mode", s.hedge_mode) or s.hedge_mode or "perp_option"
+    ).strip().lower()
+    if new_hedge != old_hedge and switch_to is None:
+        # 对冲模式切换：强制按新模式重对齐监控合约（ATM ↔ 虚值）
+        try:
+            from ..strategy.session import get_session
+
+            await get_session().ensure_atm_async(force=True)
+        except Exception:
+            pass
+
     return _read_settings()
+
+
+class RuntimeSettingsBody(BaseModel):
+    mode: Literal["SIM", "LIVE"] | None = None
+    confirm_live: bool | None = False
+    confirm_live_phrase: str | None = None
+    okx_api_key: str | None = None
+    okx_api_secret: str | None = None
+    okx_api_passphrase: str | None = None
+    binance_api_key: str | None = None
+    binance_api_secret: str | None = None
+
+
+def _runtime_payload() -> dict:
+    s = get_settings()
+    rt = load_runtime_settings()
+    mode = "SIM" if s.is_sim else "LIVE"
+    ready, reason = live_ready(exchange=rt.exchange)
+    return {
+        "mode": mode,
+        "exchange": rt.exchange,
+        "okx_configured": okx_keys_configured(s),
+        "binance_configured": binance_keys_configured(s),
+        "okx_api_key_masked": mask_secret(s.okx_api_key),
+        "okx_api_secret_masked": mask_secret(s.okx_api_secret),
+        "okx_api_passphrase_masked": mask_secret(s.okx_api_passphrase),
+        "binance_api_key_masked": mask_secret(s.binance_api_key),
+        "binance_api_secret_masked": mask_secret(s.binance_api_secret),
+        "live_ready": bool(ready) if mode == "LIVE" else True,
+        "live_ready_reason": reason if mode == "LIVE" else "sim",
+        "sim": s.is_sim,
+    }
+
+
+@router.get("/runtime")
+async def get_runtime_settings(_user: Annotated[str, Depends(require_user)]) -> dict:
+    return _runtime_payload()
+
+
+@router.put("/runtime")
+async def put_runtime_settings(
+    body: RuntimeSettingsBody,
+    _user: Annotated[str, Depends(require_user)],
+) -> dict:
+    db = get_db()
+    s = get_settings()
+    cur_mode = "SIM" if s.is_sim else "LIVE"
+    new_mode = (body.mode or cur_mode).strip().upper()
+    if new_mode not in ("SIM", "LIVE"):
+        raise HTTPException(status_code=400, detail="mode 须为 SIM 或 LIVE")
+
+    if new_mode != cur_mode and Matcher(db).has_open_position():
+        raise HTTPException(
+            status_code=409,
+            detail="有未平仓，无法切换 SIM/LIVE；请先平仓后再改",
+        )
+
+    if new_mode == "LIVE" and cur_mode != "LIVE":
+        if not body.confirm_live:
+            raise HTTPException(
+                status_code=400,
+                detail="切换到 LIVE 须二次确认（confirm_live=true）",
+            )
+        phrase = (body.confirm_live_phrase or "").strip()
+        if phrase != "LIVE":
+            raise HTTPException(
+                status_code=400,
+                detail="切换到 LIVE 须在 confirm_live_phrase 传入 LIVE",
+            )
+        secret = (s.auth_secret or "").strip()
+        if not secret or secret == "change-me-eth-hedge-sim-secret":
+            raise HTTPException(
+                status_code=400,
+                detail="切到 LIVE 前请在 .env 设置非默认 AUTH_SECRET",
+            )
+
+    updates: dict[str, str] = {}
+    if body.okx_api_key is not None and body.okx_api_key.strip():
+        updates["OKX_API_KEY"] = body.okx_api_key.strip()
+    if body.okx_api_secret is not None and body.okx_api_secret.strip():
+        updates["OKX_API_SECRET"] = body.okx_api_secret.strip()
+    if body.okx_api_passphrase is not None and body.okx_api_passphrase.strip():
+        updates["OKX_API_PASSPHRASE"] = body.okx_api_passphrase.strip()
+    if body.binance_api_key is not None and body.binance_api_key.strip():
+        updates["BINANCE_API_KEY"] = body.binance_api_key.strip()
+    if body.binance_api_secret is not None and body.binance_api_secret.strip():
+        updates["BINANCE_API_SECRET"] = body.binance_api_secret.strip()
+
+    if new_mode != cur_mode:
+        updates["MODE"] = new_mode
+
+    if updates:
+        upsert_env_keys(updates)
+
+    s2 = get_settings()
+    if new_mode == "LIVE":
+        rt = load_runtime_settings()
+        if rt.exchange == "okx" and not okx_keys_configured(s2):
+            if cur_mode == "SIM":
+                upsert_env_keys({"MODE": "SIM"})
+            raise HTTPException(
+                status_code=400,
+                detail="切到 LIVE 前请先配置完整 OKX API Key/Secret/Passphrase",
+            )
+        if rt.exchange == "binance" and not binance_keys_configured(s2):
+            if cur_mode == "SIM":
+                upsert_env_keys({"MODE": "SIM"})
+            raise HTTPException(
+                status_code=400,
+                detail="切到 LIVE 前请先配置完整币安 API Key/Secret",
+            )
+
+    # 热切 LIVE：强制暂停策略（对齐冷启动护栏；运行中禁止人工开平仓基线）
+    if new_mode == "LIVE" and cur_mode != "LIVE":
+        db.execute(
+            "UPDATE strategy_state SET running=0, phase=?, last_error=? WHERE id=1",
+            ("paused", "已切换 LIVE，策略已强制暂停；确认就绪后再启动"),
+        )
+        try:
+            from ..strategy import get_engine
+
+            # 同步停循环标志（pause 为 async，此处只写状态）
+            get_engine()._set_state(
+                running=0,
+                phase="paused",
+                last_error="已切换 LIVE，策略已强制暂停；确认就绪后再启动",
+            )
+        except Exception:
+            pass
+
+    try:
+        from ..strategy import get_engine
+
+        get_engine().refresh_executor()
+    except Exception:
+        pass
+
+    return _runtime_payload()
+
+
+class NotifySettingsBody(BaseModel):
+    enabled: bool | None = None
+    webhook_url: str | None = None
+    machine_name: str | None = Field(default=None, max_length=64)
+
+
+def _notify_payload() -> dict:
+    from ..notify import wecom
+    from ..env_store import mask_secret
+
+    url = wecom.wecom_webhook_url()
+    return {
+        "enabled": wecom.wecom_enabled(),
+        "webhook_configured": bool(url),
+        "webhook_url_masked": mask_secret(url) if url else None,
+        "venue_label": wecom.venue_label(),
+        "machine_name": wecom.wecom_machine_name() or "",
+    }
+
+
+@router.get("/notify")
+async def get_notify_settings(_user: Annotated[str, Depends(require_user)]) -> dict:
+    return _notify_payload()
+
+
+@router.put("/notify")
+async def put_notify_settings(
+    body: NotifySettingsBody,
+    _user: Annotated[str, Depends(require_user)],
+) -> dict:
+    updates: dict[str, str] = {}
+    if body.enabled is not None:
+        updates["WECOM_ENABLED"] = "1" if body.enabled else "0"
+        get_db().set_setting("wecom_enabled", "1" if body.enabled else "0")
+    if body.webhook_url is not None and body.webhook_url.strip():
+        updates["WECOM_WEBHOOK_URL"] = body.webhook_url.strip()
+        get_db().set_setting("wecom_webhook_url", body.webhook_url.strip())
+    if body.machine_name is not None:
+        name = body.machine_name.strip()[:64]
+        updates["WECOM_MACHINE_NAME"] = name
+        get_db().set_setting("wecom_machine_name", name)
+    if updates:
+        upsert_env_keys(updates)
+        get_settings.cache_clear()
+    return _notify_payload()
+
+
+@router.post("/notify/test")
+async def test_notify(_user: Annotated[str, Depends(require_user)]) -> dict:
+    from ..notify import wecom
+
+    ok, msg = wecom.notify_test()
+    if not ok:
+        raise HTTPException(status_code=400, detail=f"推送失败: {msg}")
+    return {"ok": True, "detail": "测试消息已发送", **_notify_payload()}

backend/app/api/sim.py

@@ -6,10 +6,11 @@ from fastapi import APIRouter, Depends, HTTPException
 from pydantic import BaseModel, Field
 
 from ..config import get_settings
+from ..env_store import live_ready
+from ..live import get_executor
 from ..market import get_gateway
 from ..models.db import get_db
 from ..sim.ledger import Ledger
-from ..sim.matcher import Matcher
 from ..strategy.clock import can_open_new, window_key
 from ..strategy.group import next_group_id
 from .auth import require_user
@@ -29,7 +30,7 @@ async def sim_ledger(_user: Annotated[str, Depends(require_user)]) -> dict:
 
 @router.get("/position")
 async def sim_position(_user: Annotated[str, Depends(require_user)]) -> dict:
-    m = Matcher()
+    m = get_executor()
     return {"position": m.current_position(), "unrealized": m.unrealized()}
 
 
@@ -38,10 +39,28 @@ async def sim_open_group(
     _user: Annotated[str, Depends(require_user)],
     body: ManualOpenBody | None = None,
 ) -> dict:
-    if Matcher().has_open_position():
+    ok, reason = live_ready()
+    if not get_settings().is_sim and not ok:
+        raise HTTPException(status_code=400, detail=reason)
+    from ..strategy import get_engine
+
+    st = get_engine().state()
+    if st.get("running"):
+        raise HTTPException(
+            status_code=409,
+            detail="策略自动运行中，禁止手动开仓；请先暂停",
+        )
+    if not Ledger().get_setting_bool("show_manual_trade_buttons", False):
+        raise HTTPException(
+            status_code=403,
+            detail="未开启「显示手动开仓」；请在策略设置中开启后再用",
+        )
+    ex = get_executor()
+    if ex.has_open_position():
         raise HTTPException(status_code=409, detail="有未平仓，禁止开下一组")
     s = get_settings()
-    skip_weekends = Ledger().get_setting_bool("skip_weekends", s.skip_weekends)
+    ledger = Ledger()
+    skip_weekends = ledger.get_setting_bool("skip_weekends", s.skip_weekends)
     if not can_open_new(skip_weekends=skip_weekends):
         raise HTTPException(
             status_code=409,
@@ -54,6 +73,22 @@ async def sim_open_group(
             status_code=409,
             detail="无合格期权：请检查剩余时长、ATM开仓偏差(若已开启)与杠杆(现价/卖一)",
         )
+    one_expiry = ledger.get_setting_bool("one_expiry_per_day", s.one_expiry_per_day)
+    if one_expiry:
+        from ..strategy.clock import (
+            expiry_blocked_by_one_per_day,
+            used_expiry_ymds,
+        )
+
+        used = used_expiry_ymds(get_db())
+        if expiry_blocked_by_one_per_day(pick.pair.expiry_ymd, used, enabled=True):
+            raise HTTPException(
+                status_code=409,
+                detail=(
+                    f"每个到期只开一次：已用过 {pick.pair.expiry_ymd}，"
+                    "请等下一到期日"
+                ),
+            )
 
     force = (body.force_option_side if body else None) or None
     if force in ("call", "put"):
@@ -78,14 +113,34 @@ async def sim_open_group(
     option_inst = (
         pick.pair.call_inst_id if option_side == "call" else pick.pair.put_inst_id
     )
+    # 强制方向时用该腿卖一估权利金；否则用选向结果
+    sizing_ask = float(
+        option_ask
+        if force in ("call", "put")
+        else pick.option_ask
+    )
 
     wkey = window_key()
     db = get_db()
+    from ..strategy.open_pipeline import size_and_gate
+
+    prep = size_and_gate(
+        index_px=float(pick.underlying_px),
+        option_ask=sizing_ask,
+        db=db,
+    )
+    if not prep.ok:
+        raise HTTPException(status_code=409, detail=prep.detail)
+
     count = len(
         db.fetchall("SELECT group_id FROM groups WHERE group_id LIKE ?", (f"G-{wkey}-%",))
     )
     gid = next_group_id(count)
-    r = Matcher().open_group(
+    engine = get_engine()
+    async with engine._lock:
+        if ex.has_open_position():
+            raise HTTPException(status_code=409, detail="有未平仓，禁止开下一组")
+        r = ex.open_group(
             group_id=gid,
             bias=bias,
             option_side=option_side,
@@ -97,6 +152,24 @@ async def sim_open_group(
         )
     if not r.ok:
         raise HTTPException(status_code=400, detail=r.detail)
+    try:
+        from ..notify import wecom
+
+        wecom.notify_open(
+            group_id=gid,
+            detail=r.detail,
+            extra={
+                "bias": bias,
+                "option_side": option_side,
+                "perp_side": perp_side,
+                "option_inst_id": option_inst,
+                "strike": pick.pair.strike,
+                "expiry_ymd": pick.pair.expiry_ymd,
+                **(r.data or {}),
+            },
+        )
+    except Exception:
+        pass
     return {
         "ok": True,
         **(r.data or {}),
@@ -110,9 +183,32 @@ async def sim_open_group(
 
 @router.post("/close-group")
 async def sim_close_group(_user: Annotated[str, Depends(require_user)]) -> dict:
-    r = Matcher().close_group(reason="manual")
+    if not Ledger().get_setting_bool("show_manual_trade_buttons", False):
+        raise HTTPException(
+            status_code=403,
+            detail="未开启「显示手动开仓」；请在策略设置中开启后再用",
+        )
+    from ..strategy import get_engine
+
+    engine = get_engine()
+    # 与策略引擎共用锁，避免与自动平仓/开仓竞态
+    async with engine._lock:
+        r = get_executor().close_group(reason="manual")
         if not r.ok and not r.liquidity_wait:
             raise HTTPException(status_code=400, detail=r.detail)
+        if r.ok:
+            # 与自动/紧急全平一致：成功全平后进入组间休息
+            engine.enter_rest_after_close()
+            try:
+                from ..notify import wecom
+
+                wecom.notify_close(
+                    reason="manual",
+                    detail=r.detail,
+                    data=r.data or {},
+                )
+            except Exception:
+                pass
     return {
         "ok": r.ok,
         "liquidity_wait": r.liquidity_wait,

backend/app/api/stats.py

@@ -1,24 +1,59 @@
 from __future__ import annotations
 
-from typing import Annotated
+from typing import Annotated, Any
 
 from fastapi import APIRouter, Depends
 
+from ..config import get_settings
 from ..models.db import get_db
+from ..sim.pnl import summarize_fills_pnl
 from .auth import require_user
 
 router = APIRouter(prefix="/api/stats", tags=["stats"])
 
 
-@router.get("/summary")
-async def stats_summary(_user: Annotated[str, Depends(require_user)]) -> dict:
-    db = get_db()
-    rows = db.fetchall("SELECT * FROM groups WHERE status='closed'")
+def _current_loss_streak(curve: list[dict[str, Any]]) -> int:
+    """从最近已平仓组往前数连续亏损次数。"""
+    streak = 0
+    for item in reversed(curve):
+        if float(item.get("realized_pnl") or 0) < 0:
+            streak += 1
+        else:
+            break
+    return streak
+
+
+def build_stats_summary(db: Any | None = None) -> dict[str, Any]:
+    """已平仓组汇总（策略页统计 / 中控 Fleet 共用）。"""
+    database = db or get_db()
+    s = get_settings()
+    mode = "LIVE" if not s.is_sim else "SIM"
+    rows = database.fetchall("SELECT * FROM groups WHERE status='closed'")
     n = len(rows)
     wins = sum(1 for r in rows if float(r["realized_pnl"] or 0) > 0)
     total_pnl = sum(float(r["realized_pnl"] or 0) for r in rows)
-    total_fees = sum(float(r["fees"] or 0) for r in rows)
-    total_slip = sum(float(r["slip_cost"] or 0) for r in rows)
+    pnls = [float(r["realized_pnl"] or 0) for r in rows]
+    max_single_loss = min(pnls) if pnls else 0.0
+    if max_single_loss > 0:
+        max_single_loss = 0.0
+
+    fees_perp = 0.0
+    fees_option = 0.0
+    total_slip = 0.0
+    for r in rows:
+        fills = database.fetchall(
+            "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC",
+            (r["group_id"],),
+        )
+        summary = summarize_fills_pnl(list(fills))
+        fees_perp += float(summary.get("fees_perp") or 0)
+        fees_option += float(summary.get("fees_option") or 0)
+        # LIVE 不展示、不计入滑点；按组成交模式判断（可混有历史 SIM 组）
+        exec_mode = str(r["exec_mode"] or mode).upper()
+        if exec_mode != "LIVE":
+            total_slip += float(summary.get("slip_total") or 0)
+
+    total_fees = fees_perp + fees_option
     reasons: dict[str, int] = {}
     for r in rows:
         k = str(r["close_reason"] or "unknown")
@@ -31,13 +66,47 @@ async def stats_summary(_user: Annotated[str, Depends(require_user)]) -> dict:
         }
         for r in sorted(rows, key=lambda x: int(x["close_at_ms"] or 0))
     ]
+    latest_funds = 0.0
+    try:
+        from ..sim.funds_wallets import FundsWallets
+
+        latest_funds = float(FundsWallets(database).total_usdt_equiv())
+    except Exception:
+        try:
+            from ..sim.ledger import Ledger
+
+            latest_funds = float(Ledger(database).snapshot().get("equity") or 0)
+        except Exception:
+            latest_funds = 0.0
+
+    try:
+        initial_funds = float(
+            database.get_setting("initial_equity", str(s.initial_equity))
+            or s.initial_equity
+        )
+    except Exception:
+        initial_funds = float(s.initial_equity)
+
     return {
+        "mode": mode,
+        "show_slip": mode == "SIM",
         "groups": n,
         "wins": wins,
         "win_rate": (wins / n) if n else 0.0,
         "total_pnl": total_pnl,
+        "fees_perp": fees_perp,
+        "fees_option": fees_option,
         "total_fees": total_fees,
-        "total_slip": total_slip,
+        "total_slip": total_slip if mode == "SIM" else 0.0,
         "close_reasons": reasons,
         "equity_curve": curve,
+        "initial_funds": initial_funds,
+        "latest_funds": latest_funds,
+        "max_single_loss": max_single_loss,
+        "loss_streak": _current_loss_streak(curve),
     }
+
+
+@router.get("/summary")
+async def stats_summary(_user: Annotated[str, Depends(require_user)]) -> dict:
+    return build_stats_summary()

backend/app/api/trades.py

@@ -5,7 +5,9 @@ from typing import Annotated, Any
 from fastapi import APIRouter, Depends, HTTPException
 
 from ..models.db import get_db
+from ..sim.pnl import summarize_fills_pnl
 from .auth import require_user
+from .hold_timing import hold_timing
 
 router = APIRouter(prefix="/api/trades", tags=["trades"])
 
@@ -14,16 +16,463 @@ def _row(r: Any) -> dict:
     return dict(r)
 
 
+def _is_oo_group(g: dict) -> bool:
+    return (
+        str(g.get("hedge_mode") or "") == "option_option"
+        or bool(g.get("option2_inst_id"))
+        or str(g.get("bias") or "") == "option_option"
+    )
+
+
+def _infer_settle_index(g: dict, fills: list) -> float | None:
+    """优先库内 settle_index_px；否则用「实值腿」成交反推；再否则公开指数近似。"""
+    settle_index = g.get("settle_index_px")
+    if settle_index is not None:
+        try:
+            v = float(settle_index)
+            if v > 0:
+                return v
+        except (TypeError, ValueError):
+            pass
+
+    candidates: list[float] = []
+    for raw in fills:
+        f = dict(raw) if not isinstance(raw, dict) else raw
+        if str(f.get("action") or "") != "close":
+            continue
+        leg = str(f.get("leg") or "")
+        if leg not in ("option", "option2"):
+            continue
+        if abs(float(f.get("slip") or 0)) > 1e-12:
+            continue
+        try:
+            px = float(f.get("fill_px") or 0)
+        except (TypeError, ValueError):
+            continue
+        # 虚值到期 fill=0：k+0 / k-0 会得到行权价，不是真实结算指数
+        if px <= 1e-9:
+            continue
+        if leg == "option":
+            strike = g.get("strike")
+            side = str(g.get("option_side") or "").lower()
+        else:
+            strike = g.get("strike2")
+            side = str(g.get("option2_side") or "put").lower()
+        if strike is None:
+            continue
+        try:
+            k = float(strike)
+        except (TypeError, ValueError):
+            continue
+        if side in ("call", "c"):
+            candidates.append(k + px)
+        elif side in ("put", "p"):
+            candidates.append(k - px)
+    if candidates:
+        return round(sum(candidates) / len(candidates), 4)
+
+    try:
+        from .public_index import maybe_public_settle_index
+
+        pub = maybe_public_settle_index(g)
+        if pub is not None and pub > 0:
+            return round(float(pub), 4)
+    except Exception:
+        pass
+    return None
+
+
+def _overlay_expiry_intrinsic_fills(
+    g: dict, fills: list, settle_index: float | None
+) -> list:
+    """到期且已有结算指数：close 成交按内在价值覆盖展示/盈亏（响应层）。
+
+    交易所账单偶发落成近 0 价（如 0.2），与内在价值（如 42.2）严重不符时
+    若只覆盖 fill≈0，Put 仍会按错误价算成巨亏。
+    """
+    if settle_index is None or settle_index <= 0:
+        return fills
+    if str(g.get("close_reason") or "") != "expiry":
+        return fills
+    out: list = []
+    changed = False
+    for raw in fills:
+        f = dict(raw) if not isinstance(raw, dict) else dict(raw)
+        if str(f.get("action") or "") == "close" and str(f.get("leg") or "") in (
+            "option",
+            "option2",
+        ):
+            try:
+                px = float(f.get("fill_px") or 0)
+            except (TypeError, ValueError):
+                px = 0.0
+            leg = str(f.get("leg") or "")
+            if leg == "option":
+                strike = g.get("strike")
+                side = str(g.get("option_side") or "").lower()
+            else:
+                strike = g.get("strike2")
+                side = str(g.get("option2_side") or "put").lower()
+            if strike is not None:
+                try:
+                    intrinsic = float(
+                        _intrinsic(side, float(settle_index), float(strike))
+                    )
+                    # 与内在价值偏差超过 0.5 USDT（或相对 5%）则覆盖
+                    tol = max(0.5, abs(intrinsic) * 0.05)
+                    if abs(px - intrinsic) > tol:
+                        qty = float(f.get("qty_eth") or 0)
+                        f["fill_px"] = intrinsic
+                        f["base_px"] = intrinsic
+                        f["notional"] = intrinsic * qty
+                        f["slip"] = 0.0
+                        f["_overlay_intrinsic"] = True
+                        changed = True
+                except (TypeError, ValueError):
+                    pass
+        out.append(f)
+    return out if changed else fills
+
+
+# 兼容旧测试名
+_overlay_expiry_zero_fills = _overlay_expiry_intrinsic_fills
+
+
+def _intrinsic(side: str, settle_index: float, strike: float) -> float:
+    s = str(side or "").lower()
+    if s in ("call", "c"):
+        return max(settle_index - strike, 0.0)
+    if s in ("put", "p"):
+        return max(strike - settle_index, 0.0)
+    return 0.0
+
+
+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
+    settle_index = _infer_settle_index(g, fills)
+    strike = g.get("strike")
+    side = str(g.get("option_side") or "").lower()
+    intrinsic = None
+    if settle_index is not None and strike is not None:
+        intrinsic = _intrinsic(side, float(settle_index), float(strike))
+    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 ""
+    )
+    is_oo = _is_oo_group(g)
+    out: dict[str, Any] = {
+        "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": (
+            "期期无永续腿；两腿均按内在价值结算"
+            if is_oo
+            else "永续仍按市价平仓（非指数交割）"
+        ),
+        "is_oo": is_oo,
+    }
+    if is_oo:
+        strike2 = g.get("strike2")
+        side2 = str(g.get("option2_side") or "put").lower()
+        intrinsic2 = None
+        if settle_index is not None and strike2 is not None:
+            intrinsic2 = _intrinsic(side2, float(settle_index), float(strike2))
+        out["strike2"] = float(strike2) if strike2 is not None else None
+        out["intrinsic2"] = intrinsic2
+        out["formula2"] = (
+            "Put: max(行权价−指数, 0)"
+            if side2 in ("put", "p")
+            else "Call: max(指数−行权价, 0)"
+            if side2 in ("call", "c")
+            else ""
+        )
+        out["option2_side"] = side2
+    return out
+
+
+def _close_index_px(g: dict, fills: list) -> float | None:
+    """平仓时标的指数：优先库内 settle；到期才用实值腿反推；否则永续平仓价。"""
+    raw = g.get("settle_index_px")
+    if raw is not None:
+        try:
+            v = float(raw)
+            if v > 0:
+                return v
+        except (TypeError, ValueError):
+            pass
+    # 仅到期：期权平仓价=内在价值，可反推指数；中途卖出的权利金不能当指数
+    if str(g.get("close_reason") or "") == "expiry":
+        inferred = _infer_settle_index(g, fills)
+        if inferred is not None and inferred > 0:
+            return inferred
+    for row in fills:
+        f = dict(row) if not isinstance(row, dict) else row
+        if str(f.get("leg") or "") == "perp" and str(f.get("action") or "") == "close":
+            try:
+                v = float(f.get("fill_px") or 0)
+                if v > 0:
+                    return v
+            except (TypeError, ValueError):
+                pass
+            break
+    return None
+
+
+def _move_points(g: dict, fills: list) -> float | None:
+    """开仓指数 → 平仓指数的点数（带符号：上涨为正）。持仓中无平仓价则空。"""
+    entry = g.get("entry_index_px")
+    if entry is None:
+        return None
+    try:
+        e = float(entry)
+    except (TypeError, ValueError):
+        return None
+    if e <= 0:
+        return None
+    close_px = _close_index_px(g, fills)
+    if close_px is None:
+        return None
+    return round(float(close_px) - e, 2)
+
+
+def _option_entry_px(fills: list, *, leg: str = "option") -> float | None:
+    for row in fills:
+        f = dict(row) if not isinstance(row, dict) else row
+        if str(f.get("leg") or "") != leg or str(f.get("action") or "") != "open":
+            continue
+        try:
+            v = float(f.get("fill_px") or 0)
+            if v > 0:
+                return v
+        except (TypeError, ValueError):
+            pass
+        break
+    return None
+
+
+def _option_leverage_for_leg(
+    g: dict, fills: list, *, leg: str = "option"
+) -> float | None:
+    """开仓期权杠杆 = 开仓指数 ÷ 期权开仓均价（与选约门限口径一致）。"""
+    from ..strategy.selection import option_leverage
+
+    try:
+        entry = float(g.get("entry_index_px") or 0)
+    except (TypeError, ValueError):
+        return None
+    opt_px = _option_entry_px(fills, leg=leg)
+    if entry <= 0 or opt_px is None:
+        return None
+    lev = option_leverage(entry, opt_px)
+    return round(float(lev), 1) if lev is not None else None
+
+
+def _enrich_group(g: dict, fills: list) -> dict:
+    is_oo = _is_oo_group(g)
+    g["is_oo"] = is_oo
+    settle = _infer_settle_index(g, fills)
+    view_fills = _overlay_expiry_intrinsic_fills(g, fills, settle)
+    overlaid = any(
+        isinstance(f, dict) and f.get("_overlay_intrinsic") for f in view_fills
+    )
+    summary = summarize_fills_pnl(view_fills)
+    # LIVE 且未做内在价值覆盖：优先 groups.realized_pnl（含资金费）
+    if (
+        not overlaid
+        and str(g.get("exec_mode") or "").upper() == "LIVE"
+        and g.get("realized_pnl") is not None
+    ):
+        summary = dict(summary)
+        summary["net_pnl"] = float(g["realized_pnl"])
+        if g.get("funding_usdt") is not None:
+            summary["funding_usdt"] = float(g["funding_usdt"])
+        summary["pnl_source"] = "live_exchange"
+    elif overlaid:
+        summary = dict(summary)
+        summary["pnl_source"] = "expiry_intrinsic_overlay"
+    elif (
+        is_oo
+        and g.get("realized_pnl") is not None
+        and (
+            summary.get("option_pnl") is None
+            or summary.get("option2_pnl") is None
+        )
+    ):
+        summary = dict(summary)
+        summary["net_pnl"] = float(g["realized_pnl"])
+        summary["pnl_source"] = "group_realized"
+    g["pnl_summary"] = summary
+    if summary.get("net_pnl") is not None:
+        g["net_pnl"] = summary["net_pnl"]
+    elif g.get("realized_pnl") is not None:
+        g["net_pnl"] = float(g["realized_pnl"])
+    prem1 = float(g.get("initial_premium") or 0)
+    prem2 = float(g.get("initial_premium2") or 0) if is_oo else 0.0
+    g["total_initial_premium"] = prem1 + prem2 if is_oo else prem1
+    g.update(hold_timing(g, fills))
+    if settle is not None and g.get("settle_index_px") is None:
+        g["settle_index_px"] = float(settle)
+    info = _expiry_settle_info(g, view_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"]
+    mp = _move_points(g, view_fills)
+    g["move_points"] = mp
+    g["close_index_px"] = _close_index_px(g, view_fills)
+    g["option_leverage"] = _option_leverage_for_leg(g, fills, leg="option")
+    if is_oo:
+        g["option2_leverage"] = _option_leverage_for_leg(g, fills, leg="option2")
+    g["_view_fills"] = view_fills
+    g["_overlay_settle"] = float(settle) if settle is not None else None
+    g["_overlaid"] = overlaid
+    return g
+
+
+def persist_expiry_overlay_if_needed(db: Any, g: dict, raw_fills: list) -> None:
+    """把内在价值覆盖写回库：fills / realized_pnl / settle_index，并补本地账本差额。"""
+    if not g.get("_overlaid"):
+        return
+    view_fills = g.get("_view_fills") or []
+    net = g.get("net_pnl")
+    if net is None:
+        return
+    settle = g.get("_overlay_settle")
+    group_id = str(g.get("group_id") or "")
+    if not group_id:
+        return
+    old_net = float(g.get("realized_pnl") or 0)
+    # 已对齐则跳过（避免每次列表刷库）
+    if abs(old_net - float(net)) < 0.02:
+        stored = g.get("settle_index_px")
+        try:
+            if settle is None or (
+                stored is not None and abs(float(stored) - float(settle)) < 0.05
+            ):
+                # 仍可能 fills 未写回；检查是否还有 overlay 标记需要落库
+                pass
+            else:
+                pass
+        except (TypeError, ValueError):
+            pass
+
+    raw_close = {
+        str(dict(f).get("leg")): dict(f)
+        for f in raw_fills
+        if str(dict(f).get("action") or "") == "close"
+        and str(dict(f).get("leg") or "") in ("option", "option2")
+    }
+    cash_delta = 0.0
+    updates: list[tuple] = []
+    for vf in view_fills:
+        if not isinstance(vf, dict) or not vf.get("_overlay_intrinsic"):
+            continue
+        leg = str(vf.get("leg") or "")
+        old = raw_close.get(leg)
+        if not old or old.get("id") is None:
+            continue
+        try:
+            old_px = float(old.get("fill_px") or 0)
+            new_px = float(vf.get("fill_px") or 0)
+            qty = float(vf.get("qty_eth") or old.get("qty_eth") or 0)
+        except (TypeError, ValueError):
+            continue
+        if abs(old_px - new_px) <= 1e-9:
+            continue
+        cash_delta += (new_px - old_px) * qty
+        updates.append(
+            (
+                new_px,
+                new_px,
+                new_px * qty,
+                int(old["id"]),
+            )
+        )
+
+    if not updates and abs(old_net - float(net)) < 0.02:
+        # 只缺 settle
+        if settle is None:
+            return
+        try:
+            if g.get("settle_index_px") is not None and abs(
+                float(g["settle_index_px"]) - float(settle)
+            ) < 0.05:
+                return
+        except (TypeError, ValueError):
+            pass
+
+    with db._lock:
+        for base, fill, notional, fid in updates:
+            db._conn.execute(
+                "UPDATE fills SET base_px=?, fill_px=?, notional=?, slip=0 WHERE id=?",
+                (base, fill, notional, fid),
+            )
+        db._conn.execute(
+            """UPDATE groups SET realized_pnl=?,
+               settle_index_px=COALESCE(?, settle_index_px),
+               note=CASE
+                 WHEN instr(COALESCE(note,''), 'expiry_intrinsic_repair')>0 THEN note
+                 ELSE trim(COALESCE(note,'') || ' | expiry_intrinsic_repair')
+               END
+               WHERE group_id=? AND status='closed'""",
+            (
+                float(net),
+                float(settle) if settle is not None else None,
+                group_id,
+            ),
+        )
+        db._conn.commit()
+
+    if abs(cash_delta) > 1e-9:
+        try:
+            from ..sim.ledger import Ledger
+
+            Ledger(db).apply_cash(
+                cash_delta,
+                kind="repair_option_intrinsic",
+                group_id=group_id,
+                note=f"expiry intrinsic overlay cash_delta={cash_delta:.4f}",
+                allow_negative=True,
+            )
+        except Exception:
+            pass
+    # 刷新内存中的 realized，供同请求后续使用
+    g["realized_pnl"] = float(net)
+
+
 @router.get("/groups")
 async def list_groups(_user: Annotated[str, Depends(require_user)]) -> dict:
-    rows = get_db().fetchall(
-        "SELECT * FROM groups ORDER BY open_at_ms DESC LIMIT 200"
+    db = get_db()
+    rows = db.fetchall("SELECT * FROM groups ORDER BY open_at_ms DESC LIMIT 200")
+    groups = []
+    for r in rows:
+        g = _row(r)
+        fills = db.fetchall(
+            "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC",
+            (g["group_id"],),
         )
-    return {"groups": [_row(x) for x in rows]}
+        gr = _enrich_group(g, fills)
+        try:
+            persist_expiry_overlay_if_needed(db, gr, list(fills))
+        except Exception:
+            pass
+        gr.pop("_view_fills", None)
+        gr.pop("_overlay_settle", None)
+        gr.pop("_overlaid", None)
+        groups.append(gr)
+    return {"groups": groups}
 
 
 @router.get("/groups/{group_id}")
-async def group_detail(group_id: str, _user: Annotated[str, Depends(require_user)]) -> dict:
+async def group_detail(
+    group_id: str, _user: Annotated[str, Depends(require_user)]
+) -> dict:
     db = get_db()
     g = db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
     if g is None:
@@ -31,4 +480,66 @@ async def group_detail(group_id: str, _user: Annotated[str, Depends(require_user
     fills = db.fetchall(
         "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
     )
-    return {"group": _row(g), "fills": [_row(x) for x in fills]}
+    gr = _enrich_group(_row(g), fills)
+    try:
+        persist_expiry_overlay_if_needed(db, gr, list(fills))
+    except Exception:
+        pass
+    view_fills = gr.pop("_view_fills", None) or fills
+    gr.pop("_overlay_settle", None)
+    gr.pop("_overlaid", None)
+    return {
+        "group": gr,
+        "fills": [
+            {
+                k: v
+                for k, v in (dict(x) if not isinstance(x, dict) else x).items()
+                if k != "_overlay_intrinsic"
+            }
+            for x in view_fills
+        ],
+        "pnl_summary": gr.get("pnl_summary"),
+    }
+
+
+@router.delete("/groups/{group_id}")
+async def delete_group(
+    group_id: str, _user: Annotated[str, Depends(require_user)]
+) -> dict:
+    """删除一条已平仓交易记录（组/成交/残留/相关账本流水）。不回滚权益。"""
+    db = get_db()
+    g = db.fetchone("SELECT * FROM groups WHERE group_id=?", (group_id,))
+    if g is None:
+        raise HTTPException(status_code=404, detail="group not found")
+    status = str(g["status"] or "").lower()
+    if status != "closed":
+        raise HTTPException(
+            status_code=409,
+            detail="只能删除已平仓记录；持仓中或开仓中的组不可删",
+        )
+    pos = db.fetchone("SELECT group_id FROM positions WHERE id=1")
+    if pos and str(pos["group_id"] or "") == group_id:
+        raise HTTPException(
+            status_code=409,
+            detail="当前持仓仍引用该组，不可删除",
+        )
+    with db._lock:
+        db._conn.execute("DELETE FROM fills WHERE group_id=?", (group_id,))
+        db._conn.execute(
+            "DELETE FROM residual_options WHERE group_id=?", (group_id,)
+        )
+        db._conn.execute(
+            "DELETE FROM ledger_entries WHERE group_id=?", (group_id,)
+        )
+        cur = db._conn.execute(
+            "DELETE FROM groups WHERE group_id=? AND status='closed'",
+            (group_id,),
+        )
+        if cur.rowcount <= 0:
+            db._conn.rollback()
+            raise HTTPException(
+                status_code=409,
+                detail="删除失败：组状态已变更",
+            )
+        db._conn.commit()
+    return {"ok": True, "group_id": group_id}

backend/app/backup.py

@@ -0,0 +1,351 @@
+"""数据库 + .env 备份 / 恢复（自动落盘到 /root/eth_hedge_backups）。"""
+
+from __future__ import annotations
+
+import asyncio
+import json
+import logging
+import os
+import shutil
+import sqlite3
+import tempfile
+import time
+import zipfile
+from pathlib import Path
+from typing import Any
+
+from .config import get_settings
+from .credentials import resolve_env_file_path
+from .models.db import Database, get_db
+
+logger = logging.getLogger(__name__)
+
+MANIFEST_NAME = "manifest.json"
+DB_ARCNAME = "hedge.db"
+ENV_ARCNAME = ".env"
+BACKUP_PREFIX = "eth_hedge_backup_"
+DEFAULT_KEEP = 14
+DEFAULT_INTERVAL_HOURS = 24
+
+
+def resolve_backup_dir() -> Path:
+    """优先 BACKUP_DIR；Linux 默认 /root/eth_hedge_backups；否则用户目录。"""
+    override = (os.environ.get("BACKUP_DIR") or "").strip()
+    if override:
+        p = Path(override)
+        p.mkdir(parents=True, exist_ok=True)
+        return p
+    if os.name != "nt":
+        root = Path("/root/eth_hedge_backups")
+        try:
+            if Path("/root").is_dir():
+                root.mkdir(parents=True, exist_ok=True)
+                return root
+        except OSError as e:
+            logger.warning("cannot use /root/eth_hedge_backups: %s", e)
+    p = Path.home() / "eth_hedge_backups"
+    p.mkdir(parents=True, exist_ok=True)
+    return p
+
+
+def resolve_env_path() -> Path | None:
+    p = resolve_env_file_path()
+    return p
+
+
+def _settings_int(db: Database, key: str, default: int) -> int:
+    raw = db.get_setting(key, str(default))
+    try:
+        return int(float(raw or default))
+    except (TypeError, ValueError):
+        return default
+
+
+def _settings_bool(db: Database, key: str, default: bool) -> bool:
+    raw = db.get_setting(key, "1" if default else "0")
+    if raw is None or raw == "":
+        return default
+    return str(raw).strip().lower() in ("1", "true", "yes", "on")
+
+
+def backup_settings(db: Database | None = None) -> dict[str, Any]:
+    db = db or get_db()
+    return {
+        "auto_enabled": _settings_bool(db, "backup_auto_enabled", True),
+        "interval_hours": max(1, _settings_int(db, "backup_interval_hours", DEFAULT_INTERVAL_HOURS)),
+        "keep_count": max(1, min(90, _settings_int(db, "backup_keep_count", DEFAULT_KEEP))),
+        "last_at_ms": _settings_int(db, "backup_last_at_ms", 0) or None,
+        "backup_dir": str(resolve_backup_dir()),
+    }
+
+
+def list_backups() -> list[dict[str, Any]]:
+    d = resolve_backup_dir()
+    items: list[dict[str, Any]] = []
+    if not d.is_dir():
+        return items
+    for p in sorted(d.glob(f"{BACKUP_PREFIX}*.zip"), key=lambda x: x.stat().st_mtime, reverse=True):
+        st = p.stat()
+        items.append(
+            {
+                "name": p.name,
+                "path": str(p),
+                "size_bytes": st.st_size,
+                "mtime_ms": int(st.st_mtime * 1000),
+            }
+        )
+    return items
+
+
+def prune_backups(keep: int | None = None) -> int:
+    keep_n = keep if keep is not None else backup_settings()["keep_count"]
+    items = list_backups()
+    removed = 0
+    for old in items[int(keep_n) :]:
+        try:
+            Path(old["path"]).unlink(missing_ok=True)
+            removed += 1
+        except OSError as e:
+            logger.warning("prune backup failed %s: %s", old.get("name"), e)
+    return removed
+
+
+def _sqlite_snapshot(db: Database, dest: Path) -> None:
+    dest.parent.mkdir(parents=True, exist_ok=True)
+    if dest.exists():
+        dest.unlink()
+    with db._lock:
+        dst = sqlite3.connect(str(dest))
+        try:
+            db._conn.backup(dst)
+            dst.commit()
+        finally:
+            dst.close()
+
+
+def create_backup(
+    *,
+    db: Database | None = None,
+    reason: str = "manual",
+    include_env: bool | None = None,
+) -> dict[str, Any]:
+    db = db or get_db()
+    backup_dir = resolve_backup_dir()
+    ts = time.strftime("%Y%m%d_%H%M%S")
+    out = backup_dir / f"{BACKUP_PREFIX}{ts}.zip"
+    env_path = resolve_env_path()
+    db_path = Path(db.path)
+    # 机内备份默认可含 .env；BACKUP_INCLUDE_ENV=0 可关。HTTP 下载另做剥离。
+    if include_env is None:
+        include_env = (os.environ.get("BACKUP_INCLUDE_ENV") or "1").strip() != "0"
+
+    with tempfile.TemporaryDirectory(prefix="eth_hedge_bak_") as td:
+        tmp_db = Path(td) / "hedge.db"
+        _sqlite_snapshot(db, tmp_db)
+        has_env = bool(include_env and env_path and env_path.is_file())
+        manifest = {
+            "product": "比特骆驼自动化对冲系统",
+            "version": 1,
+            "created_at_ms": int(time.time() * 1000),
+            "reason": reason,
+            "db_source": str(db_path),
+            "env_source": str(env_path) if has_env else None,
+            "has_env": has_env,
+            "mode": get_settings().mode,
+            "env_name": get_settings().env_name,
+        }
+        with zipfile.ZipFile(out, "w", compression=zipfile.ZIP_DEFLATED) as zf:
+            zf.write(tmp_db, DB_ARCNAME)
+            if has_env and env_path is not None:
+                zf.write(env_path, ENV_ARCNAME)
+            zf.writestr(
+                MANIFEST_NAME,
+                json.dumps(manifest, ensure_ascii=False, indent=2),
+            )
+
+    db.set_setting("backup_last_at_ms", str(int(time.time() * 1000)))
+    prune_backups()
+    st = out.stat()
+    logger.info("backup created path=%s reason=%s size=%s has_env=%s", out, reason, st.st_size, has_env)
+    return {
+        "ok": True,
+        "name": out.name,
+        "path": str(out),
+        "size_bytes": st.st_size,
+        "mtime_ms": int(st.st_mtime * 1000),
+        "backup_dir": str(backup_dir),
+        "manifest": manifest,
+    }
+
+
+def materialize_download_zip(src: Path) -> Path:
+    """HTTP 下载用：去掉包内 .env，避免令牌失窃带走交易所密钥。"""
+    fd, name = tempfile.mkstemp(prefix="eth_hedge_dl_", suffix=".zip")
+    os.close(fd)
+    dest = Path(name)
+    with zipfile.ZipFile(src, "r") as zin, zipfile.ZipFile(
+        dest, "w", compression=zipfile.ZIP_DEFLATED
+    ) as zout:
+        for info in zin.infolist():
+            base = Path(info.filename).name
+            if base == ENV_ARCNAME or base.endswith(".env"):
+                continue
+            zout.writestr(info, zin.read(info.filename))
+    return dest
+
+
+def read_backup_file(name: str) -> Path:
+    safe = Path(name).name
+    if not safe.startswith(BACKUP_PREFIX) or not safe.endswith(".zip"):
+        raise ValueError("非法备份文件名")
+    path = resolve_backup_dir() / safe
+    if not path.is_file():
+        raise FileNotFoundError(f"备份不存在: {safe}")
+    return path
+
+
+def _extract_backup_zip(zip_path: Path, dest_dir: Path) -> dict[str, Path]:
+    with zipfile.ZipFile(zip_path, "r") as zf:
+        names = set(zf.namelist())
+        if DB_ARCNAME not in names:
+            # 兼容偶发相对路径
+            db_candidates = [n for n in names if n.endswith("hedge.db") or n.endswith(".db")]
+            if not db_candidates:
+                raise ValueError("备份包缺少 hedge.db")
+            db_name = db_candidates[0]
+        else:
+            db_name = DB_ARCNAME
+        env_name = ENV_ARCNAME if ENV_ARCNAME in names else (
+            next((n for n in names if n.endswith(".env") or n == "env"), None)
+        )
+        zf.extract(db_name, dest_dir)
+        db_out = dest_dir / db_name
+        if not db_out.is_file():
+            # zip 内可能带目录
+            found = list(dest_dir.rglob("*.db"))
+            if not found:
+                raise ValueError("解压后未找到数据库文件")
+            db_out = found[0]
+        env_out: Path | None = None
+        if env_name:
+            zf.extract(env_name, dest_dir)
+            env_out = dest_dir / env_name
+            if not env_out.is_file():
+                found_env = list(dest_dir.rglob(".env")) + list(dest_dir.rglob("*.env"))
+                env_out = found_env[0] if found_env else None
+        return {"db": db_out, "env": env_out}  # type: ignore[dict-item]
+
+
+def validate_backup_zip(zip_path: Path) -> dict[str, Any]:
+    with zipfile.ZipFile(zip_path, "r") as zf:
+        names = zf.namelist()
+        has_db = any(n.endswith("hedge.db") or n == DB_ARCNAME or n.endswith(".db") for n in names)
+        has_env = any(n.endswith(".env") or n == ENV_ARCNAME for n in names)
+        manifest = None
+        if MANIFEST_NAME in names:
+            try:
+                manifest = json.loads(zf.read(MANIFEST_NAME).decode("utf-8"))
+            except Exception:
+                manifest = None
+        if not has_db:
+            raise ValueError("备份包无效：缺少数据库")
+        return {"has_db": has_db, "has_env": has_env, "manifest": manifest, "files": names}
+
+
+def restore_from_zip(
+    zip_path: Path,
+    *,
+    db: Database | None = None,
+    make_safety_backup: bool = True,
+) -> dict[str, Any]:
+    """用备份包覆盖当前 hedge.db 与 .env。调用方应在此前后暂停策略并准备重启进程。"""
+    db = db or get_db()
+    info = validate_backup_zip(zip_path)
+    safety = None
+    if make_safety_backup:
+        try:
+            safety = create_backup(db=db, reason="pre_restore")
+        except Exception as e:
+            logger.warning("pre_restore backup failed: %s", e)
+
+    with tempfile.TemporaryDirectory(prefix="eth_hedge_restore_") as td:
+        extracted = _extract_backup_zip(zip_path, Path(td))
+        src_db = extracted["db"]
+        src_env = extracted.get("env")
+
+        db_path = Path(db.path)
+        bak_live: Path | None = None
+        db.close()
+
+        if db_path.is_file():
+            bak_live = db_path.with_suffix(db_path.suffix + f".pre_restore_{int(time.time())}")
+            shutil.copy2(db_path, bak_live)
+        shutil.copy2(src_db, db_path)
+
+        env_written = None
+        if src_env and Path(src_env).is_file():
+            env_target = resolve_env_file_path()
+            env_target.parent.mkdir(parents=True, exist_ok=True)
+            if env_target.is_file():
+                shutil.copy2(env_target, env_target.with_suffix(".env.pre_restore"))
+            shutil.copy2(src_env, env_target)
+            try:
+                env_target.chmod(0o600)
+            except Exception:
+                pass
+            env_written = str(env_target)
+
+    return {
+        "ok": True,
+        "db_path": str(db_path),
+        "env_path": env_written,
+        "had_env_in_backup": bool(info.get("has_env")),
+        "safety_backup": safety.get("name") if safety else None,
+        "local_db_copy": str(bak_live) if bak_live and Path(bak_live).exists() else None,
+        "restart_required": True,
+        "manifest": info.get("manifest"),
+    }
+
+
+_auto_task: asyncio.Task[None] | None = None
+
+
+async def auto_backup_loop() -> None:
+    """后台定时备份；默认开启。"""
+    logger.info("auto backup loop started dir=%s", resolve_backup_dir())
+    while True:
+        try:
+            await asyncio.sleep(60)
+            db = get_db()
+            cfg = backup_settings(db)
+            if not cfg["auto_enabled"]:
+                continue
+            interval_ms = int(cfg["interval_hours"]) * 3600 * 1000
+            last = int(cfg["last_at_ms"] or 0)
+            now = int(time.time() * 1000)
+            if last and now - last < interval_ms:
+                continue
+            await asyncio.to_thread(create_backup, db=db, reason="auto")
+        except asyncio.CancelledError:
+            raise
+        except Exception:
+            logger.exception("auto backup tick failed")
+            await asyncio.sleep(30)
+
+
+def start_auto_backup_task() -> asyncio.Task[None]:
+    global _auto_task
+    if _auto_task is None or _auto_task.done():
+        _auto_task = asyncio.create_task(auto_backup_loop(), name="auto-backup")
+    return _auto_task
+
+
+async def stop_auto_backup_task() -> None:
+    global _auto_task
+    if _auto_task and not _auto_task.done():
+        _auto_task.cancel()
+        try:
+            await _auto_task
+        except Exception:
+            pass
+    _auto_task = None

backend/app/config.py

@@ -25,6 +25,10 @@ class Settings(BaseSettings):
     auth_password: str = "admin123"
     auth_secret: str = "change-me-eth-hedge-sim-secret"
     auth_token_ttl_sec: int = 60 * 60 * 24 * 7
+    auth_token_version: int = 1  # 改密时递增，作废旧 token
+    disable_api_docs: bool = True  # 生产默认关闭 /docs
+    login_max_attempts: int = 8
+    login_window_sec: int = 300
 
     okx_api_key: str = ""
     okx_api_secret: str = ""
@@ -33,6 +37,10 @@ class Settings(BaseSettings):
     okx_ws_public: str = "wss://ws.okx.com:8443/ws/v5/public"
     okx_http_proxy: str = ""
 
+    # 币安私有交易密钥（LIVE 真下单：fapi 永续 + eapi 期权）
+    binance_api_key: str = ""
+    binance_api_secret: str = ""
+
     # 币安公共行情（SIM 只读）
     binance_fapi_base: str = "https://fapi.binance.com"
     binance_eapi_base: str = "https://eapi.binance.com"
@@ -57,17 +65,61 @@ class Settings(BaseSettings):
     net_profit_target: float = 15.0  # fixed_usdt：净盈利 ≥ 该值（USDT）
     premium_exit_multiple: float = 1.0  # premium_multiple：净盈利 ≥ 权利金×倍数
     rest_seconds: int = 300
+    live_order_interval_sec: float = 1.0  # LIVE 私有下单/查单最小间隔（秒）
     skip_weekends: bool = True  # 上海时区周六日禁止新开仓（已有仓仍可平）
+    # 每个到期只开一次（跨日）：历史上已开过某 expiry_ymd 后不可再开同到期，只能盯下一档
+    one_expiry_per_day: bool = True
     leverage: float = 3.0  # 永续杠杆
+    # 永续保证金模式：cross=全仓（默认）| isolated=逐仓；期权仍固定 cash（OKX 逐仓/现金）
+    perp_margin_mode: str = "cross"
     min_option_hours: float = 12.0  # 期权最小剩余小时
     min_option_leverage: float = 100.0  # 现价/卖一权利金 下限
+    # 以损定仓权利金口径：actual=盘口卖一；selection=指数/选约杠杆（控节奏，默认）
+    risk_leverage_basis: str = "selection"
+    # 倍投：默认关；仅以损定仓+亏损幅度%且基础幅度≤3% 可开
+    martingale_enabled: bool = False
+    martingale_start_after_loss_days: int = 2  # 连续亏损 N 天后开始翻倍
+    martingale_max_doubles: int = 3  # 最多翻倍次数（如 2→4→8→16 为 3 次）
+    # 对冲模式：perp_option=永期（默认）| option_option=期期
+    hedge_mode: str = "perp_option"
+    oo_amplitude_pct: float = 1.5  # 振幅最大 %（过滤开启时：超过则不开）
+    oo_amplitude_hours: float = 12.0  # 振幅回看小时（选约高低点；过滤关也用）
+    oo_amplitude_filter_enabled: bool = False  # 振幅过滤开关（默认关）
+    oo_min_option_hours: float = 24.0  # 期期：最短剩余到期小时
+    oo_min_leverage: float = 200.0  # 期期：单腿最低杠杆
+    oo_reward_ratio: float = 2.0  # 盈亏比：出场目标 = 预算 × 比
+    oo_budget_cushion: float = 0.92  # 定仓预留余地（用于权利金的预算比例）
+    oo_strike_max_dev_pct: float = 1.0  # 虚值行权价相对振幅高低点最大偏离 %
     atm_open_offset_enabled: bool = False  # 开仓 ATM 偏差限制开关（默认关）
     max_atm_open_offset: float = 3.0  # 开启后：|ATM行权价−标的| 上限（点）
+    # 固定方向：关=现有 ATM/比价规则；开=指定永续多/空，期权 Put/Call 且须实值或平值
+    fixed_direction_enabled: bool = False
+    fixed_perp_side: str = "long"  # long|short；long→买Put，short→买Call
+    # 半自动：系统设置开关；首页授权后盯开盯平，平完停
+    semi_auto_enabled: bool = False
+    semi_armed: bool = False  # 是否已授权本单（平完清零）
+    semi_view_side: str = "long"  # long=买Call+永续空；short=买Put+永续多
+    semi_option_move_points: float = 50.0  # 顺方向：标的波动点数
+    semi_perp_exit_unit: float = 5.0  # 净利出场基数（×k）
+    semi_min_option_hours: float = 30.0
+    semi_min_option_leverage: float = 200.0  # 虚值默认 200（虚值门仍强制≥180）
+    semi_moneyness: str = "otm"  # itm|atm|otm
+    semi_otm_max_offset: float = 25.0  # 虚值 |K−S| 上限（可配）
+    semi_perp_unit: float = 1.0  # 半自动永续:期权 配比分子
+    semi_option_unit: float = 4.0  # 配比分母，默认 1:4
     close_bid_mark_max_pct: float = 30.0  # 平仓：买一相对标记最大偏差%
+    # 残留期权中途平：当前买一权利金 ≥ 初始权利金 × 该% 才尝试卖出
+    residual_min_premium_pct: float = 20.0
+    residual_close_check_sec: int = 300  # 残留巡检间隔（秒）
     perp_qty_eth: float = 1.0
     option_qty_eth: float = 2.0
     db_path: str = ""  # empty -> backend/data/hedge.db
 
+    # 企业微信群机器人
+    wecom_enabled: bool = False
+    wecom_webhook_url: str = ""
+    wecom_machine_name: str = ""
+
     @property
     def is_sim(self) -> bool:
         return self.mode.strip().upper() != "LIVE"

backend/app/credentials.py

@@ -20,6 +20,12 @@ def _env_paths() -> list[Path]:
     return [root / ".env", Path.cwd() / ".env", Path.cwd().parent / ".env"]
 
 
+def resolve_env_file_path() -> Path:
+    """第一个已存在的 .env；都不存在则返回仓库根 .env 路径（可写入）。"""
+    paths = _env_paths()
+    return next((p for p in paths if p.is_file()), paths[0])
+
+
 def _ensure_loaded() -> None:
     global _username, _password
     if _username is not None and _password is not None:
@@ -38,11 +44,15 @@ def get_credentials() -> tuple[str, str]:
 
 def upsert_env_file(key: str, value: str) -> Path | None:
     """写入第一个已存在的 .env；都不存在则写仓库根 .env。"""
+    if "\n" in value or "\r" in value:
+        raise ValueError(f"{key} 值不能包含换行")
     paths = _env_paths()
     target = next((p for p in paths if p.is_file()), paths[0])
     target.parent.mkdir(parents=True, exist_ok=True)
     text = target.read_text(encoding="utf-8") if target.is_file() else ""
-    line = f"{key}={value}"
+    # 简单引号，避免空格/特殊字符破坏解析
+    safe = value.replace("\\", "\\\\").replace('"', '\\"')
+    line = f'{key}="{safe}"'
     pattern = re.compile(rf"(?m)^{re.escape(key)}=.*$")
     if pattern.search(text):
         text = pattern.sub(line, text)
@@ -51,6 +61,10 @@ def upsert_env_file(key: str, value: str) -> Path | None:
             text += "\n"
         text += line + "\n"
     target.write_text(text, encoding="utf-8")
+    try:
+        target.chmod(0o600)
+    except Exception:
+        pass
     return target
 
 

backend/app/env_store.py

@@ -0,0 +1,65 @@
+"""批量写入 .env 并刷新 Settings 缓存。"""
+
+from __future__ import annotations
+
+from pathlib import Path
+
+from .config import get_settings
+from .credentials import upsert_env_file
+
+
+def upsert_env_keys(updates: dict[str, str]) -> Path | None:
+    """写入多项；空 value 跳过。返回最后写入的 .env 路径。"""
+    target: Path | None = None
+    for key, value in updates.items():
+        if value is None:
+            continue
+        # 允许显式清空密钥（传空串以外的 sentinel 由调用方决定）；空串表示跳过
+        if value == "":
+            continue
+        target = upsert_env_file(key, value)
+    get_settings.cache_clear()
+    return target
+
+
+def mask_secret(raw: str | None, *, keep: int = 0) -> str | None:
+    """脱敏：仅返回是否已配置（不再泄露末尾字符）。"""
+    s = (raw or "").strip()
+    if not s:
+        return None
+    return "********"
+
+
+def okx_keys_configured(s=None) -> bool:
+    st = s or get_settings()
+    return bool(
+        (st.okx_api_key or "").strip()
+        and (st.okx_api_secret or "").strip()
+        and (st.okx_api_passphrase or "").strip()
+    )
+
+
+def binance_keys_configured(s=None) -> bool:
+    st = s or get_settings()
+    return bool(
+        (st.binance_api_key or "").strip() and (st.binance_api_secret or "").strip()
+    )
+
+
+def live_ready(*, exchange: str | None = None) -> tuple[bool, str]:
+    """LIVE 是否可下单。返回 (ok, reason)。"""
+    from .exchange.runtime import load_runtime_settings, normalize_exchange_name
+
+    st = get_settings()
+    if st.is_sim:
+        return True, "sim"
+    ex = normalize_exchange_name(exchange or load_runtime_settings().exchange)
+    if ex == "binance":
+        if not binance_keys_configured(st):
+            return False, "币安 API Key/Secret 未配置"
+        return True, "ok"
+    if ex == "okx":
+        if not okx_keys_configured(st):
+            return False, "OKX API Key/Secret/Passphrase 未配置"
+        return True, "ok"
+    return False, f"未知交易所: {ex}"

backend/app/exchange/candles.py

@@ -0,0 +1,185 @@
+"""指数/永续 K 线高低点：期期对冲振幅回看。"""
+
+from __future__ import annotations
+
+import logging
+from dataclasses import dataclass
+from typing import Any
+
+from .okx.parse import safe_float as okx_safe_float
+from .binance.parse import safe_float as bn_safe_float
+
+logger = logging.getLogger(__name__)
+
+
+@dataclass(frozen=True, slots=True)
+class AmplitudeHL:
+    high: float
+    low: float
+    mid: float
+    hours: float
+    bar_count: int
+
+    @property
+    def range_pct(self) -> float:
+        if self.mid <= 0:
+            return 0.0
+        return (self.high - self.low) / self.mid * 100.0
+
+
+def _hl_from_okx_candles(rows: list[Any]) -> tuple[float, float] | None:
+    """OKX candle row: [ts, o, h, l, c, ...] newest first."""
+    highs: list[float] = []
+    lows: list[float] = []
+    for row in rows:
+        if not isinstance(row, (list, tuple)) or len(row) < 5:
+            continue
+        h = okx_safe_float(row[2])
+        lo = okx_safe_float(row[3])
+        if h is None or lo is None or h <= 0 or lo <= 0:
+            continue
+        highs.append(float(h))
+        lows.append(float(lo))
+    if not highs or not lows:
+        return None
+    return max(highs), min(lows)
+
+
+def _hl_from_binance_klines(rows: list[Any]) -> tuple[float, float] | None:
+    """Binance kline: [openTime, o, h, l, c, ...] oldest first."""
+    highs: list[float] = []
+    lows: list[float] = []
+    for row in rows:
+        if not isinstance(row, (list, tuple)) or len(row) < 5:
+            continue
+        h = bn_safe_float(row[2])
+        lo = bn_safe_float(row[3])
+        if h is None or lo is None or h <= 0 or lo <= 0:
+            continue
+        highs.append(float(h))
+        lows.append(float(lo))
+    if not highs or not lows:
+        return None
+    return max(highs), min(lows)
+
+
+def fetch_okx_amplitude_hl(
+    *,
+    inst_id: str,
+    hours: float,
+    base_url: str = "https://www.okx.com",
+    proxy: str | None = None,
+) -> AmplitudeHL | None:
+    """用 1H K 线回看 hours；inst 可用指数 ETH-USD 或永续 ETH-USDT-SWAP。"""
+    import math
+
+    import httpx
+
+    hrs = max(1.0, float(hours))
+    limit = int(min(300, max(2, math.ceil(hrs) + 1)))
+    try:
+        with httpx.Client(
+            base_url=base_url.rstrip("/"),
+            timeout=15.0,
+            proxy=(proxy or "").strip() or None,
+            headers={"Accept": "application/json", "User-Agent": "eth-hedge-sim/0.1"},
+        ) as client:
+            r = client.get(
+                "/api/v5/market/candles",
+                params={"instId": inst_id, "bar": "1H", "limit": str(limit)},
+            )
+            r.raise_for_status()
+            body = r.json()
+            if str(body.get("code")) != "0":
+                logger.warning("OKX candles error: %s", body.get("msg"))
+                return None
+            data = body.get("data") or []
+    except Exception as e:
+        logger.warning("OKX candles fetch failed: %s", e)
+        return None
+    hl = _hl_from_okx_candles(data)
+    if hl is None:
+        return None
+    high, low = hl
+    mid = (high + low) / 2.0
+    return AmplitudeHL(
+        high=high, low=low, mid=mid, hours=hrs, bar_count=len(data)
+    )
+
+
+def fetch_binance_amplitude_hl(
+    *,
+    symbol: str,
+    hours: float,
+    fapi_base: str = "https://fapi.binance.com",
+    proxy: str | None = None,
+) -> AmplitudeHL | None:
+    """USDT 永续 1h klines。"""
+    import math
+
+    import httpx
+
+    hrs = max(1.0, float(hours))
+    limit = int(min(500, max(2, math.ceil(hrs) + 1)))
+    sym = str(symbol or "ETHUSDT").upper().replace("-", "")
+    try:
+        with httpx.Client(
+            base_url=fapi_base.rstrip("/"),
+            timeout=15.0,
+            proxy=(proxy or "").strip() or None,
+            headers={"Accept": "application/json", "User-Agent": "eth-hedge-sim/0.1"},
+            trust_env=False,
+        ) as client:
+            r = client.get(
+                "/fapi/v1/klines",
+                params={"symbol": sym, "interval": "1h", "limit": limit},
+            )
+            r.raise_for_status()
+            data = r.json()
+            if not isinstance(data, list):
+                return None
+    except Exception as e:
+        logger.warning("Binance klines fetch failed: %s", e)
+        return None
+    hl = _hl_from_binance_klines(data)
+    if hl is None:
+        return None
+    high, low = hl
+    mid = (high + low) / 2.0
+    return AmplitudeHL(
+        high=high, low=low, mid=mid, hours=hrs, bar_count=len(data)
+    )
+
+
+def fetch_amplitude_hl_for_runtime(hours: float) -> AmplitudeHL | None:
+    """按当前交易所 runtime 拉振幅高低点。"""
+    from ..config import get_settings
+    from .runtime import load_runtime_settings
+
+    s = get_settings()
+    rt = load_runtime_settings()
+    ex = str(rt.exchange or "okx").strip().lower()
+    hrs = float(hours)
+    if ex in ("binance", "bn"):
+        return fetch_binance_amplitude_hl(
+            symbol=str(rt.perp_inst_id or "ETHUSDT"),
+            hours=hrs,
+            fapi_base=s.binance_fapi_base,
+            proxy=s.binance_http_proxy or None,
+        )
+    # OKX：优先指数，失败再试永续
+    idx = str(rt.index_inst_id or "ETH-USD")
+    amp = fetch_okx_amplitude_hl(
+        inst_id=idx,
+        hours=hrs,
+        base_url=s.okx_rest_base,
+        proxy=s.okx_http_proxy or None,
+    )
+    if amp is not None:
+        return amp
+    return fetch_okx_amplitude_hl(
+        inst_id=str(rt.perp_inst_id or "ETH-USDT-SWAP"),
+        hours=hrs,
+        base_url=s.okx_rest_base,
+        proxy=s.okx_http_proxy or None,
+    )

backend/app/exchange/option_ids.py

@@ -0,0 +1,53 @@
+"""期权合约 ID 工具：从持仓合约还原同到期同行权价的 Call/Put 对。"""
+
+from __future__ import annotations
+
+from .expiry import expiry_ms_from_ymd
+from .types import OptionPair
+
+
+def flip_option_side(inst_id: str) -> str | None:
+    """ETH-...-1880-P ↔ ...-C；币安 ETH-YYMMDD-STRIKE-P ↔ -C。"""
+    s = (inst_id or "").strip()
+    if not s:
+        return None
+    if s.endswith("-C"):
+        return s[:-1] + "P"
+    if s.endswith("-P"):
+        return s[:-1] + "C"
+    if s.endswith("-c"):
+        return s[:-1] + "p"
+    if s.endswith("-p"):
+        return s[:-1] + "c"
+    return None
+
+
+def pair_from_option_inst(inst_id: str) -> OptionPair | None:
+    """由任一腿合约 ID 还原同 strike/expiry 的 OptionPair。"""
+    from .okx.parse import parse_option_inst_id
+    from .binance.parse import parse_option_symbol
+
+    s = (inst_id or "").strip()
+    if not s:
+        return None
+    ymd, strike, side = parse_option_inst_id(s)
+    if ymd is None:
+        ymd, strike, side = parse_option_symbol(s)
+    if ymd is None or strike is None or side not in ("C", "P"):
+        return None
+    other = flip_option_side(s)
+    if not other:
+        return None
+    call_id = s if side == "C" else other
+    put_id = s if side == "P" else other
+    try:
+        ems = expiry_ms_from_ymd(ymd)
+    except ValueError:
+        return None
+    return OptionPair(
+        expiry_ymd=ymd,
+        expiry_ms=int(ems),
+        strike=float(strike),
+        call_inst_id=call_id,
+        put_inst_id=put_id,
+    )

backend/app/exchange/types.py

@@ -43,12 +43,20 @@ class OptionPair:
     strike: float
     call_inst_id: str
     put_inst_id: str
+    put_strike: float | None = None  # 期期：Put 行权价；None=与 strike 同（ATM）
 
     def to_dict(self) -> dict[str, Any]:
+        put_k = (
+            float(self.put_strike)
+            if self.put_strike is not None
+            else float(self.strike)
+        )
         return {
             "expiry_ymd": self.expiry_ymd,
             "expiry_ms": self.expiry_ms,
             "strike": self.strike,
+            "call_strike": float(self.strike),
+            "put_strike": put_k,
             "call_inst_id": self.call_inst_id,
             "put_inst_id": self.put_inst_id,
         }
@@ -88,7 +96,26 @@ def _open_bias(
     call: Quote | None,
     put: Quote | None,
 ) -> str:
-    """与开仓 decide 一致：先按 ATM 相对现价，贴平时再卖一比价。"""
+    """与开仓 decide 一致；固定方向开启时显示 fixed_*。"""
+    try:
+        from ..config import get_settings
+        from ..models.db import get_db
+
+        s = get_settings()
+        db = get_db()
+        raw = db.get_setting(
+            "fixed_direction_enabled", str(s.fixed_direction_enabled)
+        )
+        on = str(raw or "").strip().lower() in ("1", "true", "yes", "on")
+        if on:
+            side = str(
+                db.get_setting("fixed_perp_side", s.fixed_perp_side)
+                or s.fixed_perp_side
+                or "long"
+            ).strip().lower()
+            return "fixed_long_put" if side == "long" else "fixed_short_call"
+    except Exception:
+        pass
     mark = None
     if index_px is not None and index_px > 0:
         mark = float(index_px)

backend/app/live/__init__.py

@@ -1 +1,6 @@
-# Placeholder: live OKX trade adapter (P5). Default off.
+"""实盘执行适配层。"""
+
+from .binance_executor import BinanceLiveExecutor
+from .executor import OkxLiveExecutor, get_executor
+
+__all__ = ["get_executor", "OkxLiveExecutor", "BinanceLiveExecutor"]

backend/app/live/binance_trade.py

@@ -0,0 +1,604 @@
+"""币安私有交易：USDT-M 永续 (fapi) + 欧洲期权 (eapi)。"""
+
+from __future__ import annotations
+
+import hashlib
+import hmac
+import logging
+import time
+from typing import Any
+from urllib.parse import urlencode
+
+import httpx
+
+from ..config import Settings, get_settings
+from ..exchange.okx.parse import safe_float
+from .okx_trade import LiveFill
+from .rate_limit import RateLimitError, get_throttle, parse_retry_after_header
+
+logger = logging.getLogger(__name__)
+
+
+class BinanceTradeClient:
+    def __init__(self, settings: Settings | None = None) -> None:
+        self.settings = settings or get_settings()
+        proxy = (self.settings.binance_http_proxy or "").strip() or None
+        headers = {
+            "Accept": "application/json",
+            "User-Agent": "eth-hedge-live/0.1",
+            "X-MBX-APIKEY": self.settings.binance_api_key or "",
+        }
+        self._fapi = httpx.Client(
+            base_url=self.settings.binance_fapi_base.rstrip("/"),
+            timeout=20.0,
+            proxy=proxy,
+            headers=headers,
+            trust_env=False,
+        )
+        self._eapi = httpx.Client(
+            base_url=self.settings.binance_eapi_base.rstrip("/"),
+            timeout=20.0,
+            proxy=proxy,
+            headers=headers,
+            trust_env=False,
+        )
+        self._hedge: bool | None = None
+        self._fapi_throttle = get_throttle("binance_fapi_trade", min_interval_sec=1.0)
+        self._eapi_throttle = get_throttle(
+            "binance_eapi_trade",
+            min_interval_sec=1.0,
+            cooldown_429_sec=20.0,
+            cooldown_418_sec=120.0,
+        )
+
+    def close(self) -> None:
+        self._fapi.close()
+        self._eapi.close()
+
+    def _sign(self, params: dict[str, Any]) -> str:
+        qs = urlencode(params, doseq=True)
+        secret = (self.settings.binance_api_secret or "").encode("utf-8")
+        return hmac.new(secret, qs.encode("utf-8"), hashlib.sha256).hexdigest()
+
+    def _throttle_for(self, client: httpx.Client):
+        if client is self._eapi:
+            return self._eapi_throttle
+        return self._fapi_throttle
+
+    def _signed(
+        self,
+        client: httpx.Client,
+        method: str,
+        path: str,
+        params: dict[str, Any] | None = None,
+    ) -> Any:
+        throttle = self._throttle_for(client)
+        throttle.before_request()
+        p = dict(params or {})
+        p["timestamp"] = int(time.time() * 1000)
+        p["signature"] = self._sign(p)
+        r = client.request(method.upper(), path, params=p)
+        if r.status_code in (418, 429):
+            ra = parse_retry_after_header(r.headers)
+            throttle.mark_http(r.status_code, ra)
+            raise RateLimitError(
+                f"Binance {path} HTTP {r.status_code}: {r.text[:200]}",
+                retry_after=throttle.remaining_cooldown(),
+            )
+        if r.status_code >= 400:
+            raise RuntimeError(f"Binance {path} HTTP {r.status_code}: {r.text[:400]}")
+        data = r.json()
+        if isinstance(data, dict) and "code" in data and "orderId" not in data:
+            code = data.get("code")
+            try:
+                code_i = int(code)
+            except (TypeError, ValueError):
+                code_i = None
+            msg = str(data.get("msg") or "")
+            # -1003 too many requests; -1015 too many orders
+            if code_i in (-1003, -1015) or "too many" in msg.lower():
+                throttle.mark_seconds(20.0)
+                raise RateLimitError(
+                    f"Binance rate-limited code={code} msg={msg}",
+                    retry_after=throttle.remaining_cooldown(),
+                )
+            if code_i is not None and code_i != 0:
+                raise RuntimeError(f"Binance error code={code} msg={msg}")
+            if code_i is None:
+                raise RuntimeError(f"Binance error code={code} msg={msg}")
+        return data
+
+    def is_hedge_mode(self) -> bool:
+        if self._hedge is not None:
+            return self._hedge
+        try:
+            data = self._signed(self._fapi, "GET", "/fapi/v1/positionSide/dual")
+            self._hedge = bool(data.get("dualSidePosition") in (True, "true", "True"))
+        except Exception as e:
+            logger.warning("binance hedge mode probe failed: %s; assume one-way", e)
+            self._hedge = False
+        return self._hedge
+
+    def place_perp_market(
+        self,
+        *,
+        symbol: str,
+        side: str,  # BUY|SELL
+        qty_eth: float,
+        position_side: str | None = None,  # LONG|SHORT|None
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        # ETHUSDT 数量单位为 ETH
+        qty = f"{float(qty_eth):.3f}".rstrip("0").rstrip(".")
+        if not qty or qty == "0":
+            qty = "0.001"
+        params: dict[str, Any] = {
+            "symbol": symbol,
+            "side": side.upper(),
+            "type": "MARKET",
+            "quantity": qty,
+        }
+        hedge = self.is_hedge_mode()
+        if hedge:
+            ps = (position_side or ("LONG" if side.upper() == "BUY" else "SHORT")).upper()
+            params["positionSide"] = ps
+        elif reduce_only:
+            params["reduceOnly"] = "true"
+        data = self._signed(self._fapi, "POST", "/fapi/v1/order", params)
+        return self._fill_from_fapi(symbol, data)
+
+    def _fill_from_fapi(self, symbol: str, data: dict[str, Any]) -> LiveFill:
+        ord_id = str(data.get("orderId") or "")
+        avg = safe_float(data.get("avgPrice"))
+        sz = safe_float(data.get("executedQty"))
+        if (not avg or avg <= 0) and ord_id:
+            q = self._signed(
+                self._fapi,
+                "GET",
+                "/fapi/v1/order",
+                {"symbol": symbol, "orderId": ord_id},
+            )
+            avg = safe_float(q.get("avgPrice")) or avg
+            sz = safe_float(q.get("executedQty")) or sz
+            data = q
+        if not avg or avg <= 0:
+            raise RuntimeError(f"币安永续无成交均价 orderId={ord_id} last={data}")
+        from .money import abs_fee_usdt
+
+        fee = abs(safe_float(data.get("cumCommission")) or 0.0)
+        fee_asset = str(data.get("commissionAsset") or "USDT")
+        if fee <= 0 and ord_id:
+            fee, fee_asset = self.sum_perp_trade_fees(symbol, ord_id)
+        return LiveFill(
+            inst_id=symbol,
+            side=str(data.get("side") or "").lower(),
+            avg_px=float(avg),
+            sz=float(sz or 0),
+            fee=abs_fee_usdt(fee, fee_asset),
+            ord_id=ord_id,
+            raw=data if isinstance(data, dict) else {},
+        )
+
+    def place_option_market(
+        self,
+        *,
+        symbol: str,
+        side: str,  # BUY|SELL
+        quantity: float,
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        qty = str(int(round(quantity)))
+        if qty == "0":
+            qty = "1"
+        params: dict[str, Any] = {
+            "symbol": symbol,
+            "side": side.upper(),
+            "type": "MARKET",
+            "quantity": qty,
+        }
+        if reduce_only:
+            params["reduceOnly"] = "true"
+        data = self._signed(self._eapi, "POST", "/eapi/v1/order", params)
+        return self._fill_from_eapi(symbol, data)
+
+    def place_option_ioc(
+        self,
+        *,
+        symbol: str,
+        side: str,  # BUY|SELL
+        quantity: float,
+        price: float,
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        """期权限价 IOC：按买一/卖一价吃单，未成交部分取消。"""
+        qty = str(int(round(quantity)))
+        if qty == "0":
+            qty = "1"
+        px = f"{float(price):.8f}".rstrip("0").rstrip(".")
+        if not px or px == "0":
+            raise RuntimeError("币安期权 IOC 价格无效")
+        params: dict[str, Any] = {
+            "symbol": symbol,
+            "side": side.upper(),
+            "type": "LIMIT",
+            "timeInForce": "IOC",
+            "quantity": qty,
+            "price": px,
+        }
+        if reduce_only:
+            params["reduceOnly"] = "true"
+        data = self._signed(self._eapi, "POST", "/eapi/v1/order", params)
+        return self._fill_from_eapi(symbol, data, allow_partial=True)
+
+    def _fill_from_eapi(
+        self, symbol: str, data: dict[str, Any], *, allow_partial: bool = False
+    ) -> LiveFill:
+        ord_id = str(data.get("orderId") or data.get("id") or "")
+        avg = safe_float(data.get("avgPrice")) or safe_float(data.get("price"))
+        sz = safe_float(data.get("executedQty")) or safe_float(data.get("quantity"))
+        if (not avg or avg <= 0) and ord_id:
+            # 轮询几轮
+            for _ in range(8):
+                time.sleep(0.2)
+                q = self._signed(
+                    self._eapi,
+                    "GET",
+                    "/eapi/v1/order",
+                    {"symbol": symbol, "orderId": ord_id},
+                )
+                avg = safe_float(q.get("avgPrice")) or safe_float(q.get("price"))
+                sz = safe_float(q.get("executedQty")) or safe_float(q.get("quantity"))
+                st = str(q.get("status") or "").upper()
+                data = q
+                if avg and avg > 0 and st == "FILLED":
+                    break
+                if st in ("CANCELED", "REJECTED", "EXPIRED"):
+                    if allow_partial and sz and sz > 1e-12 and avg and avg > 0:
+                        break
+                    raise RuntimeError(f"币安期权订单失败 status={st} {q}")
+                if st == "PARTIALLY_FILLED":
+                    continue
+        if not avg or avg <= 0:
+            raise RuntimeError(f"币安期权无成交均价 orderId={ord_id} last={data}")
+        st_final = str(data.get("status") or "").upper()
+        executed = safe_float(data.get("executedQty")) or float(sz or 0)
+        if st_final and st_final != "FILLED":
+            if not (
+                allow_partial
+                and executed > 1e-12
+                and st_final in ("CANCELED", "EXPIRED", "PARTIALLY_FILLED")
+            ):
+                raise RuntimeError(
+                    f"币安期权未完全成交 status={st_final} orderId={ord_id} last={data}"
+                )
+            sz = executed
+        from .money import abs_fee_usdt
+
+        fee = abs(safe_float(data.get("fee")) or 0.0)
+        fee_asset = "USDT"
+        if fee <= 0 and ord_id:
+            fee, fee_asset = self.sum_option_trade_fees(symbol, ord_id)
+        return LiveFill(
+            inst_id=symbol,
+            side=str(data.get("side") or "").lower(),
+            avg_px=float(avg),
+            sz=float(sz or 0),
+            fee=abs_fee_usdt(fee, fee_asset),
+            ord_id=ord_id,
+            raw=data if isinstance(data, dict) else {},
+        )
+
+    def sum_perp_trade_fees(self, symbol: str, order_id: str) -> tuple[float, str]:
+        try:
+            rows = self._signed(
+                self._fapi,
+                "GET",
+                "/fapi/v1/userTrades",
+                {"symbol": symbol, "orderId": order_id},
+            )
+        except Exception as e:
+            logger.warning("binance perp userTrades fee failed: %s", e)
+            return 0.0, "USDT"
+        if not isinstance(rows, list):
+            rows = [rows] if isinstance(rows, dict) else []
+        total = 0.0
+        asset = "USDT"
+        for row in rows:
+            total += abs(safe_float(row.get("commission")) or 0.0)
+            if row.get("commissionAsset"):
+                asset = str(row.get("commissionAsset"))
+        return total, asset
+
+    def sum_option_trade_fees(self, symbol: str, order_id: str) -> tuple[float, str]:
+        try:
+            rows = self._signed(
+                self._eapi,
+                "GET",
+                "/eapi/v1/userTrades",
+                {"symbol": symbol, "orderId": order_id},
+            )
+        except Exception as e:
+            logger.warning("binance option userTrades fee failed: %s", e)
+            return 0.0, "USDT"
+        if not isinstance(rows, list):
+            rows = [rows] if isinstance(rows, dict) else []
+        total = 0.0
+        asset = "USDT"
+        for row in rows:
+            total += abs(safe_float(row.get("commission")) or safe_float(row.get("fee")) or 0.0)
+            if row.get("commissionAsset") or row.get("feeAsset"):
+                asset = str(row.get("commissionAsset") or row.get("feeAsset"))
+        return total, asset
+
+    def get_perp_upl_usdt(self, symbol: str, *, position_side: str | None = None) -> float | None:
+        from .money import to_usdt
+
+        try:
+            rows = self._signed(
+                self._fapi, "GET", "/fapi/v2/positionRisk", {"symbol": symbol}
+            )
+        except Exception as e:
+            logger.warning("binance positionRisk failed: %s", e)
+            return None
+        if isinstance(rows, dict):
+            rows = [rows]
+        want = (position_side or "").strip().upper()
+        for row in rows:
+            amt = safe_float(row.get("positionAmt")) or 0.0
+            if abs(amt) < 1e-12:
+                continue
+            ps = str(row.get("positionSide") or "").upper()
+            if want and ps and ps not in ("BOTH",) and ps != want:
+                continue
+            upl = safe_float(row.get("unRealizedProfit"))
+            if upl is None:
+                continue
+            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:
+            rows = self._signed(
+                self._fapi, "GET", "/fapi/v2/positionRisk", {"symbol": symbol}
+            )
+        except Exception as e:
+            logger.warning("binance get_perp_pos_sz failed: %s", e)
+            return None
+        if isinstance(rows, dict):
+            rows = [rows]
+        want = (position_side or "").strip().upper()
+        for row in rows:
+            amt = safe_float(row.get("positionAmt")) or 0.0
+            if abs(amt) < 1e-12:
+                continue
+            ps = str(row.get("positionSide") or "").upper()
+            if want and ps and ps not in ("BOTH",) and ps != want:
+                continue
+            return abs(float(amt))
+        return 0.0
+
+    def get_option_pos_sz(self, symbol: str) -> float | None:
+        """期权持仓绝对张数；查不到接口时返回 None。"""
+        try:
+            rows = self._signed(self._eapi, "GET", "/eapi/v1/position", {"symbol": symbol})
+        except Exception as e:
+            logger.warning("binance get_option_pos_sz failed: %s", e)
+            return None
+        if isinstance(rows, dict):
+            rows = [rows]
+        total = 0.0
+        hit = False
+        for row in rows:
+            if not isinstance(row, dict):
+                continue
+            if str(row.get("symbol") or "") and str(row.get("symbol")) != symbol:
+                continue
+            qty = safe_float(row.get("quantity")) or safe_float(row.get("positionAmt")) or 0.0
+            hit = True
+            total += abs(float(qty))
+        return total if hit else 0.0
+
+    def any_option_pos_abs(self) -> float | None:
+        """账户任意期权绝对持仓合计（ETH 期权）。"""
+        try:
+            rows = self._signed(self._eapi, "GET", "/eapi/v1/position", {})
+        except Exception as e:
+            logger.warning("binance any_option_pos_abs failed: %s", e)
+            return None
+        if isinstance(rows, dict):
+            rows = [rows]
+        total = 0.0
+        for row in rows:
+            if not isinstance(row, dict):
+                continue
+            sym = str(row.get("symbol") or "")
+            if sym and not sym.upper().startswith("ETH"):
+                continue
+            qty = safe_float(row.get("quantity")) or safe_float(row.get("positionAmt")) or 0.0
+            total += abs(float(qty))
+        return total
+
+    def set_margin_type(self, symbol: str, margin_type: str) -> None:
+        """ISOLATED | CROSSED。"""
+        mt = "ISOLATED" if str(margin_type).lower() == "isolated" else "CROSSED"
+        try:
+            self._signed(
+                self._fapi,
+                "POST",
+                "/fapi/v1/marginType",
+                {"symbol": symbol, "marginType": mt},
+            )
+        except Exception as e:
+            # 已是目标模式时币安常报错，忽略
+            msg = str(e).lower()
+            if "no need to change" in msg or "-4046" in msg:
+                return
+            raise
+
+    def set_leverage(self, symbol: str, leverage: int | float) -> None:
+        lev = int(round(float(leverage)))
+        if lev < 1:
+            lev = 1
+        self._signed(
+            self._fapi,
+            "POST",
+            "/fapi/v1/leverage",
+            {"symbol": symbol, "leverage": lev},
+        )
+
+    def get_option_exercise_records(
+        self, symbol: str, *, begin_ms: int, end_ms: int | None = None
+    ) -> list[dict] | None:
+        """用户期权行权/到期结算记录 GET /eapi/v1/exerciseRecord。"""
+        end = int(end_ms or int(time.time() * 1000))
+        begin = int(begin_ms)
+        try:
+            rows = self._signed(
+                self._eapi,
+                "GET",
+                "/eapi/v1/exerciseRecord",
+                {
+                    "symbol": symbol,
+                    "startTime": begin,
+                    "endTime": end,
+                    "limit": 100,
+                },
+            )
+        except Exception as e:
+            logger.warning("binance exerciseRecord failed: %s", e)
+            return None
+        if isinstance(rows, dict):
+            rows = [rows]
+        if not isinstance(rows, list):
+            return []
+        return [r for r in rows if isinstance(r, dict)]
+
+    def get_funding_usdt(
+        self, symbol: str, *, begin_ms: int, end_ms: int | None = None
+    ) -> float:
+        from .money import to_usdt
+
+        end = int(end_ms or int(time.time() * 1000))
+        try:
+            rows = self._signed(
+                self._fapi,
+                "GET",
+                "/fapi/v1/income",
+                {
+                    "symbol": symbol,
+                    "incomeType": "FUNDING_FEE",
+                    "startTime": int(begin_ms),
+                    "endTime": end,
+                    "limit": 1000,
+                },
+            )
+        except Exception as e:
+            logger.warning("binance funding income failed: %s", e)
+            return 0.0
+        if isinstance(rows, dict):
+            rows = [rows]
+        total = 0.0
+        for row in rows:
+            raw = safe_float(row.get("income"))
+            if raw is None:
+                continue
+            asset = str(row.get("asset") or "USDT")
+            total += to_usdt(float(raw), asset)
+        return total
+
+    def get_closed_perp_pnl_usdt(
+        self, symbol: str, *, begin_ms: int, end_ms: int | None = None
+    ) -> float | None:
+        """用 REALIZED_PNL income 近似已实现（含部分平仓）；资金费另计。"""
+        from .money import to_usdt
+
+        end = int(end_ms or int(time.time() * 1000))
+        try:
+            rows = self._signed(
+                self._fapi,
+                "GET",
+                "/fapi/v1/income",
+                {
+                    "symbol": symbol,
+                    "incomeType": "REALIZED_PNL",
+                    "startTime": int(begin_ms),
+                    "endTime": end,
+                    "limit": 1000,
+                },
+            )
+        except Exception as e:
+            logger.warning("binance realized income failed: %s", e)
+            return None
+        if isinstance(rows, dict):
+            rows = [rows]
+        if not rows:
+            return None
+        total = 0.0
+        for row in rows:
+            raw = safe_float(row.get("income"))
+            if raw is None:
+                continue
+            asset = str(row.get("asset") or "USDT")
+            total += to_usdt(float(raw), asset)
+        return total
+

backend/app/live/live_pnl.py

@@ -0,0 +1,204 @@
+"""LIVE 组净盈亏：交易所永续 UPL/资金费 + 本地期权净盈亏 − 真实手续费。"""
+
+from __future__ import annotations
+
+import logging
+import time
+from typing import Any, Protocol
+
+logger = logging.getLogger(__name__)
+
+
+class _FeeFundingClient(Protocol):
+    def get_perp_upl_usdt(self, *args: Any, **kwargs: Any) -> float | None: ...
+
+    def get_funding_usdt(self, *args: Any, **kwargs: Any) -> float: ...
+
+    def get_closed_perp_pnl_usdt(self, *args: Any, **kwargs: Any) -> float | None: ...
+
+
+def group_paid_fees_usdt(db: Any, group_id: str) -> float:
+    rows = db.fetchall(
+        "SELECT fee FROM fills WHERE group_id=?",
+        (group_id,),
+    )
+    return sum(abs(float(r["fee"] or 0)) for r in rows)
+
+
+def enrich_live_unrealized(
+    *,
+    base: dict[str, Any],
+    db: Any,
+    client: Any,
+    exchange: str,
+    perp_inst_id: str,
+    perp_side: str,
+    open_at_ms: int | None,
+) -> dict[str, Any]:
+    """
+    在 Matcher.unrealized 结果上覆盖 LIVE 口径：
+    net = 永续交易所UPL + 期权净盈亏(本地) − 入场手续费×2 + 资金费(signed)
+    离场手续费按入场手续费估算（开+平 ≈ 已付×2）。
+    """
+    if not base.get("has_position"):
+        return base
+    group_id = str(base.get("group_id") or "")
+    fees_paid = group_paid_fees_usdt(db, group_id) if group_id else 0.0
+
+    begin = int(open_at_ms or 0)
+    funding = 0.0
+    perp_upl = float(base.get("perp_upl") or 0.0)
+    ex = (exchange or "").lower()
+
+    try:
+        if ex == "binance":
+            side = "LONG" if perp_side == "long" else "SHORT"
+            upl = client.get_perp_upl_usdt(perp_inst_id, position_side=side)
+            if upl is not None:
+                perp_upl = float(upl)
+            if begin > 0:
+                funding = float(
+                    client.get_funding_usdt(perp_inst_id, begin_ms=begin) or 0.0
+                )
+        else:
+            upl = client.get_perp_upl_usdt(perp_inst_id, pos_side=perp_side)
+            if upl is not None:
+                perp_upl = float(upl)
+            if begin > 0:
+                funding = float(
+                    client.get_funding_usdt(perp_inst_id, begin_ms=begin) or 0.0
+                )
+    except Exception as e:
+        logger.warning("live unrealized exchange overlay failed: %s", e)
+
+    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：离场费已在 base.net_pnl（盘口可成交价）计入；这里只叠加资金费。
+    # 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。
+    book_net = base.get("net_pnl")
+    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"] = 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"] = float(base.get("est_close_fees") or fees_paid)
+    out["net_pnl"] = net_pnl
+    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
+
+
+def reconcile_closed_group_pnl(
+    *,
+    db: Any,
+    client: Any,
+    exchange: str,
+    group_id: str,
+    perp_inst_id: str,
+    open_at_ms: int | None,
+    local_net: float | None,
+) -> float:
+    """
+    平仓后回写：净盈亏优先用 交易所永续已实现 + 本地期权腿盈亏 − 手续费 + 资金费。
+    失败则退回 local_net。
+    """
+    from ..sim.pnl import summarize_fills_pnl
+
+    fills = db.fetchall(
+        "SELECT * FROM fills WHERE group_id=? ORDER BY id ASC", (group_id,)
+    )
+    summary = summarize_fills_pnl(list(fills))
+    fees = float(summary.get("fees_total") or 0.0)
+    option_pnl = summary.get("option_pnl")
+    local_perp = summary.get("perp_pnl")
+
+    begin = int(open_at_ms or 0)
+    end = int(time.time() * 1000)
+    funding = 0.0
+    exch_perp: float | None = None
+    ex = (exchange or "").lower()
+    try:
+        if begin > 0:
+            funding = float(client.get_funding_usdt(perp_inst_id, begin_ms=begin, end_ms=end) or 0.0)
+        exch_perp = client.get_closed_perp_pnl_usdt(
+            perp_inst_id, begin_ms=begin, end_ms=end
+        )
+    except Exception as e:
+        logger.warning("reconcile exchange pnl failed: %s", e)
+
+    perp_pnl = float(exch_perp) if exch_perp is not None else (
+        float(local_perp) if local_perp is not None else 0.0
+    )
+    opt = float(option_pnl) if option_pnl is not None else 0.0
+
+    # 期权平仓 fill 为 0 价镜像时：尝试用交易所交割账单补期权腿
+    try:
+        zero_opt_close = False
+        for fr in fills:
+            if str(fr["leg"] or "") in ("option", "option2") and str(
+                fr["action"] or ""
+            ) == "close":
+                if abs(float(fr["notional"] or 0)) < 1e-12 and abs(
+                    float(fr["fill_px"] or 0)
+                ) < 1e-12:
+                    zero_opt_close = True
+                    break
+        if zero_opt_close:
+            from .option_settle import fetch_option_settlement
+
+            g = db.fetchone(
+                "SELECT option_inst_id, option2_inst_id FROM groups WHERE group_id=?",
+                (group_id,),
+            )
+            settle_cash = 0.0
+            for inst_key in ("option_inst_id", "option2_inst_id"):
+                inst = str((g[inst_key] if g else None) or "")
+                if not inst:
+                    continue
+                st = fetch_option_settlement(
+                    client,
+                    exchange=ex,
+                    option_inst_id=inst,
+                    qty_eth=1.0,
+                    begin_ms=begin,
+                    end_ms=end,
+                )
+                if st.found:
+                    settle_cash += float(st.cash)
+            if abs(settle_cash) > 1e-12:
+                # 用交割净现金替换本地 0 价期权盈亏近似：仍减 fees（交割费若已在 cash 内则可能双计，保守保留）
+                opt = float(settle_cash)
+    except Exception as e:
+        logger.warning("reconcile option settlement overlay failed: %s", e)
+
+    net = perp_pnl + opt - fees + funding
+
+    if local_net is not None and exch_perp is None and abs(funding) < 1e-12:
+        # 交易所永续已实现拉不到且无资金费 → 保持本地
+        net = float(local_net)
+
+    with db._lock:
+        try:
+            db._conn.execute(
+                "UPDATE groups SET realized_pnl=?, funding_usdt=?, fees=? WHERE group_id=?",
+                (float(net), float(funding), float(fees), group_id),
+            )
+            db._conn.commit()
+        except Exception:
+            # funding_usdt 列未迁移时降级
+            db._conn.execute(
+                "UPDATE groups SET realized_pnl=?, fees=? WHERE group_id=?",
+                (float(net), float(fees), group_id),
+            )
+            db._conn.commit()
+    return float(net)

backend/app/live/money.py

@@ -0,0 +1,20 @@
+"""实盘金额口径：统一折 USDT（USDC 等 1:1）。"""
+
+from __future__ import annotations
+
+
+def to_usdt(amount: float, ccy: str | None = None) -> float:
+    """按约定将币种金额折成 USDT；USDC/USD/USDT 一律 1:1。"""
+    a = float(amount or 0.0)
+    if a == 0.0:
+        return 0.0
+    c = (ccy or "USDT").strip().upper()
+    if c in ("USDT", "USDC", "USD", ""):
+        return a
+    # 其他币种暂按面值记（极少见）；后续可扩汇率
+    return a
+
+
+def abs_fee_usdt(fee: float, ccy: str | None = None) -> float:
+    """手续费记为正成本（USDT）。"""
+    return abs(to_usdt(fee, ccy))

backend/app/live/okx_funds.py

@@ -0,0 +1,181 @@
+"""OKX 资金：余额 / USDT↔USDC 现货兑换 / 账户划转（对齐 crypto_monitor）。"""
+
+from __future__ import annotations
+
+import logging
+from typing import Any
+
+from .okx_trade import OkxTradeClient
+
+logger = logging.getLogger(__name__)
+
+# OKX acct: 6=资金, 18=交易
+_ACCT_CODE = {
+    "funding": "6",
+    "trading": "18",
+    "spot": "18",
+}
+
+
+def _f(v: Any) -> float | None:
+    try:
+        if v is None or v == "":
+            return None
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+class OkxFundsClient:
+    def __init__(self, trade: OkxTradeClient | None = None) -> None:
+        self.trade = trade or OkxTradeClient()
+
+    def close(self) -> None:
+        self.trade.close()
+
+    def fetch_balances(self) -> dict[str, float | None]:
+        """
+        拉取资金账户 + 交易账户 USDT/USDC。
+        资金：GET /api/v5/asset/balances
+        交易：GET /api/v5/account/balance
+        """
+        out: dict[str, float | None] = {
+            "funding_usdt": None,
+            "funding_usdc": None,
+            "trading_usdt": None,
+            "trading_usdc": None,
+        }
+        try:
+            rows = self.trade._request("GET", "/api/v5/asset/balances")
+            for row in rows:
+                ccy = str(row.get("ccy") or "").upper()
+                bal = _f(row.get("bal")) or _f(row.get("availBal"))
+                if ccy == "USDT":
+                    out["funding_usdt"] = bal
+                elif ccy == "USDC":
+                    out["funding_usdc"] = bal
+        except Exception as e:
+            logger.warning("OKX asset balances failed: %s", e)
+
+        try:
+            rows = self.trade._request("GET", "/api/v5/account/balance")
+            for block in rows:
+                details = block.get("details") or []
+                if not isinstance(details, list):
+                    continue
+                for row in details:
+                    if not isinstance(row, dict):
+                        continue
+                    ccy = str(row.get("ccy") or "").upper()
+                    eq = _f(row.get("eq")) or _f(row.get("cashBal")) or _f(row.get("availBal"))
+                    if ccy == "USDT":
+                        out["trading_usdt"] = eq
+                    elif ccy == "USDC":
+                        out["trading_usdc"] = eq
+        except Exception as e:
+            logger.warning("OKX account balance failed: %s", e)
+
+        return out
+
+    def spot_swap_usdt_usdc(self, *, direction: str, amount: float) -> dict[str, Any]:
+        """现货市价兑换 USDC-USDT（与 crypto_monitor spot_market_swap_usdt_usdc 同口径）。"""
+        amt = float(amount)
+        if amt <= 0:
+            return {"ok": False, "detail": "数量须大于 0"}
+        d = (direction or "").strip().lower()
+        inst_id = "USDC-USDT"
+        if d == "usdt_to_usdc":
+            body = {
+                "instId": inst_id,
+                "tdMode": "cash",
+                "side": "buy",
+                "ordType": "market",
+                "sz": str(amt),
+                "tgtCcy": "quote_ccy",
+            }
+        elif d == "usdc_to_usdt":
+            body = {
+                "instId": inst_id,
+                "tdMode": "cash",
+                "side": "sell",
+                "ordType": "market",
+                "sz": str(amt),
+                "tgtCcy": "base_ccy",
+            }
+        else:
+            return {"ok": False, "detail": "direction 须为 usdt_to_usdc 或 usdc_to_usdt"}
+        try:
+            rows = self.trade._request("POST", "/api/v5/trade/order", body)
+            if not rows:
+                return {"ok": False, "detail": "兑换下单无返回"}
+            row = rows[0]
+            if str(row.get("sCode") or "0") not in ("0", ""):
+                return {
+                    "ok": False,
+                    "detail": str(row.get("sMsg") or row.get("sCode") or "兑换失败"),
+                    "raw": row,
+                }
+            return {"ok": True, "detail": "converted", "data": row}
+        except Exception as e:
+            return {"ok": False, "detail": str(e)}
+
+    def transfer(
+        self,
+        *,
+        ccy: str,
+        amount: float,
+        from_account: str,
+        to_account: str,
+    ) -> dict[str, Any]:
+        """同一 API Key 下资金↔交易划转。"""
+        amt = float(amount)
+        if amt <= 0:
+            return {"ok": False, "detail": "划转金额须大于 0"}
+        fa = (from_account or "").strip().lower()
+        ta = (to_account or "").strip().lower()
+        if fa == ta:
+            return {"ok": False, "detail": "来源与目标账户不能相同"}
+        from_code = _ACCT_CODE.get(fa)
+        to_code = _ACCT_CODE.get(ta)
+        if not from_code or not to_code:
+            return {"ok": False, "detail": "账户须为 funding / trading"}
+        body = {
+            "ccy": str(ccy).upper(),
+            "amt": str(amt),
+            "from": from_code,
+            "to": to_code,
+            "type": "0",
+        }
+        try:
+            rows = self.trade._request("POST", "/api/v5/asset/transfer", body)
+            if not rows:
+                return {"ok": False, "detail": "划转无返回"}
+            return {"ok": True, "detail": "transferred", "data": rows[0]}
+        except Exception as e:
+            return {"ok": False, "detail": str(e)}
+
+
+def usdc_usdt_mid_rate() -> float:
+    """公共盘口中间价：1 USDC ≈ ? USDT；失败则 1.0。"""
+    try:
+        import httpx
+        from ..config import get_settings
+
+        s = get_settings()
+        proxy = (s.okx_http_proxy or "").strip() or None
+        with httpx.Client(base_url=s.okx_rest_base.rstrip("/"), timeout=8.0, proxy=proxy) as c:
+            r = c.get("/api/v5/market/ticker", params={"instId": "USDC-USDT"})
+            r.raise_for_status()
+            rows = (r.json() or {}).get("data") or []
+            if not rows:
+                return 1.0
+            bid = _f(rows[0].get("bidPx"))
+            ask = _f(rows[0].get("askPx"))
+            last = _f(rows[0].get("last"))
+            if bid and ask and bid > 0 and ask > 0:
+                return (bid + ask) / 2.0
+            if last and last > 0:
+                return last
+    except Exception as e:
+        logger.warning("USDC-USDT mid failed: %s", e)
+    return 1.0

backend/app/live/okx_trade.py

@@ -0,0 +1,473 @@
+"""OKX V5 私有交易 REST（下单）。"""
+
+from __future__ import annotations
+
+import base64
+import hashlib
+import hmac
+import json
+import logging
+import time
+from dataclasses import dataclass
+from typing import Any
+
+import httpx
+
+from ..config import Settings, get_settings
+from ..exchange.okx.parse import safe_float
+from .rate_limit import RateLimitError, get_throttle, parse_retry_after_header
+
+logger = logging.getLogger(__name__)
+
+
+@dataclass(slots=True)
+class LiveFill:
+    inst_id: str
+    side: str
+    avg_px: float
+    sz: float  # 张或币，取决于合约
+    fee: float
+    ord_id: str
+    raw: dict[str, Any]
+
+
+class OkxTradeClient:
+    def __init__(self, settings: Settings | None = None) -> None:
+        self.settings = settings or get_settings()
+        proxy = (self.settings.okx_http_proxy or "").strip() or None
+        self._client = httpx.Client(
+            base_url=self.settings.okx_rest_base.rstrip("/"),
+            timeout=20.0,
+            proxy=proxy,
+            headers={"Accept": "application/json", "User-Agent": "eth-hedge-live/0.1"},
+        )
+        self._ct_val_cache: dict[str, float] = {}
+        self._throttle = get_throttle("okx_trade", min_interval_sec=1.0)
+
+    def close(self) -> None:
+        self._client.close()
+
+    def _ts(self) -> str:
+        # OKX: ISO8601 with milliseconds
+        return (
+            time.strftime("%Y-%m-%dT%H:%M:%S", time.gmtime())
+            + f".{int(time.time() * 1000) % 1000:03d}Z"
+        )
+
+    def _sign(self, ts: str, method: str, path: str, body: str) -> str:
+        secret = (self.settings.okx_api_secret or "").encode("utf-8")
+        msg = f"{ts}{method.upper()}{path}{body}".encode("utf-8")
+        dig = hmac.new(secret, msg, hashlib.sha256).digest()
+        return base64.b64encode(dig).decode("utf-8")
+
+    def _headers(self, ts: str, sign: str) -> dict[str, str]:
+        return {
+            "OK-ACCESS-KEY": self.settings.okx_api_key or "",
+            "OK-ACCESS-SIGN": sign,
+            "OK-ACCESS-TIMESTAMP": ts,
+            "OK-ACCESS-PASSPHRASE": self.settings.okx_api_passphrase or "",
+            "Content-Type": "application/json",
+        }
+
+    def _request(
+        self, method: str, path: str, body: dict[str, Any] | None = None
+    ) -> list[dict[str, Any]]:
+        self._throttle.before_request()
+        payload = "" if body is None else json.dumps(body, separators=(",", ":"))
+        ts = self._ts()
+        sign = self._sign(ts, method, path, payload)
+        headers = self._headers(ts, sign)
+        if method.upper() == "GET":
+            r = self._client.get(path, headers=headers)
+        else:
+            r = self._client.request(method.upper(), path, content=payload, headers=headers)
+        if r.status_code in (418, 429):
+            ra = parse_retry_after_header(r.headers)
+            self._throttle.mark_http(r.status_code, ra)
+            raise RateLimitError(
+                f"OKX HTTP {r.status_code}: {r.text[:200]}",
+                retry_after=self._throttle.remaining_cooldown(),
+            )
+        try:
+            r.raise_for_status()
+        except httpx.HTTPStatusError as e:
+            raise RuntimeError(f"OKX HTTP {r.status_code}: {r.text[:300]}") from e
+        data = r.json()
+        code = str(data.get("code") or "")
+        msg = str(data.get("msg") or "")
+        # OKX 业务层频率类错误
+        if code != "0":
+            low = f"{code} {msg}".lower()
+            if code in ("50011", "50061") or "too many" in low or "频率" in msg:
+                self._throttle.mark_seconds(20.0)
+                raise RateLimitError(
+                    f"OKX trade rate-limited code={code} msg={msg}",
+                    retry_after=self._throttle.remaining_cooldown(),
+                )
+            raise RuntimeError(
+                f"OKX trade error code={code} msg={msg} data={data.get('data')}"
+            )
+        rows = data.get("data") or []
+        return [x for x in rows if isinstance(x, dict)]
+
+    def get_ct_val(self, inst_id: str, *, inst_type: str) -> float:
+        if inst_id in self._ct_val_cache:
+            return self._ct_val_cache[inst_id]
+        r = self._client.get(
+            "/api/v5/public/instruments",
+            params={"instType": inst_type, "instId": inst_id},
+        )
+        r.raise_for_status()
+        body = r.json()
+        rows = body.get("data") or []
+        for row in rows:
+            if str(row.get("instId")) == inst_id:
+                v = safe_float(row.get("ctVal")) or safe_float(row.get("ctMult"))
+                if v and v > 0:
+                    self._ct_val_cache[inst_id] = float(v)
+                    return float(v)
+        raise RuntimeError(f"OKX 无法取得合约面值 ctVal: {inst_id} instType={inst_type}")
+
+    def place_market(
+        self,
+        *,
+        inst_id: str,
+        side: str,  # buy|sell
+        sz: str,
+        td_mode: str,
+        pos_side: str | None = None,
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        body: dict[str, Any] = {
+            "instId": inst_id,
+            "tdMode": td_mode,
+            "side": side,
+            "ordType": "market",
+            "sz": str(sz),
+        }
+        if pos_side:
+            body["posSide"] = pos_side
+        if reduce_only:
+            body["reduceOnly"] = True
+        rows = self._request("POST", "/api/v5/trade/order", body)
+        if not rows:
+            raise RuntimeError("OKX 下单无返回")
+        ord_id = str(rows[0].get("ordId") or "")
+        # 查单取均价
+        fill = self._wait_fill(inst_id, ord_id)
+        return fill
+
+    def place_ioc(
+        self,
+        *,
+        inst_id: str,
+        side: str,  # buy|sell
+        sz: str,
+        px: float | str,
+        td_mode: str,
+        pos_side: str | None = None,
+        reduce_only: bool = False,
+    ) -> LiveFill:
+        """限价 IOC：残留回收等场景按指定买一/卖一吃单，不成交部分立即取消。"""
+        body: dict[str, Any] = {
+            "instId": inst_id,
+            "tdMode": td_mode,
+            "side": side,
+            "ordType": "ioc",
+            "sz": str(sz),
+            "px": str(px),
+        }
+        if pos_side:
+            body["posSide"] = pos_side
+        if reduce_only:
+            body["reduceOnly"] = True
+        rows = self._request("POST", "/api/v5/trade/order", body)
+        if not rows:
+            raise RuntimeError("OKX IOC 下单无返回")
+        ord_id = str(rows[0].get("ordId") or "")
+        return self._wait_fill(inst_id, ord_id, allow_partial=True)
+
+    def _fill_from_order_row(self, inst_id: str, ord_id: str, row: dict[str, Any]) -> LiveFill:
+        avg = safe_float(row.get("avgPx")) or 0.0
+        sz = safe_float(row.get("accFillSz")) or safe_float(row.get("sz")) or 0.0
+        fee = abs(safe_float(row.get("fee")) or 0.0)
+        fee_ccy = str(row.get("feeCcy") or "USDT")
+        if fee <= 0 and ord_id:
+            fee, fee_ccy = self.sum_fill_fees(inst_id, ord_id)
+        from .money import abs_fee_usdt
+
+        return LiveFill(
+            inst_id=inst_id,
+            side=str(row.get("side") or ""),
+            avg_px=float(avg),
+            sz=float(sz),
+            fee=abs_fee_usdt(fee, fee_ccy),
+            ord_id=ord_id,
+            raw=row,
+        )
+
+    def _wait_fill(
+        self,
+        inst_id: str,
+        ord_id: str,
+        *,
+        tries: int = 40,
+        allow_partial: bool = False,
+    ) -> LiveFill:
+        path = f"/api/v5/trade/order?instId={inst_id}&ordId={ord_id}"
+        last: dict[str, Any] = {}
+        for _ in range(tries):
+            rows = self._request("GET", path)
+            if rows:
+                last = rows[0]
+                state = str(last.get("state") or "")
+                avg = safe_float(last.get("avgPx"))
+                acc = safe_float(last.get("accFillSz")) or 0.0
+                # 仅完全成交；部分成交继续等，避免账本张数与交易所不一致
+                if state == "filled" and avg and avg > 0:
+                    return self._fill_from_order_row(inst_id, ord_id, last)
+                if state in ("canceled", "failed"):
+                    # IOC：未成交部分取消；若已有成交量则按部分成交入账
+                    if (
+                        allow_partial
+                        and acc > 1e-12
+                        and avg
+                        and avg > 0
+                    ):
+                        return self._fill_from_order_row(inst_id, ord_id, last)
+                    raise RuntimeError(f"OKX 订单失败 state={state} {last}")
+            time.sleep(0.3)
+        # 超时兜底：仅接受完全成交；部分成交不得当全成记账（会错张数/对冲）
+        state = str(last.get("state") or "")
+        avg = safe_float(last.get("avgPx"))
+        acc = safe_float(last.get("accFillSz")) or 0.0
+        if state == "filled" and avg and avg > 0:
+            logger.warning(
+                "OKX fill wait timeout but order filled ordId=%s",
+                ord_id,
+            )
+            return self._fill_from_order_row(inst_id, ord_id, last)
+        if allow_partial and acc > 1e-12 and avg and avg > 0:
+            logger.warning(
+                "OKX IOC partial fill on timeout ordId=%s acc=%s",
+                ord_id,
+                acc,
+            )
+            return self._fill_from_order_row(inst_id, ord_id, last)
+        raise RuntimeError(f"OKX 订单未完全成交 ordId={ord_id} last={last}")
+
+    def sum_fill_fees(self, inst_id: str, ord_id: str) -> tuple[float, str]:
+        """成交明细手续费合计（原币种金额, 币种）。"""
+        path = f"/api/v5/trade/fills?instId={inst_id}&ordId={ord_id}"
+        try:
+            rows = self._request("GET", path)
+        except Exception as e:
+            logger.warning("okx fills fee query failed: %s", e)
+            return 0.0, "USDT"
+        total = 0.0
+        ccy = "USDT"
+        for row in rows:
+            f = abs(safe_float(row.get("fee")) or 0.0)
+            total += f
+            if row.get("feeCcy"):
+                ccy = str(row.get("feeCcy"))
+        return total, ccy
+
+    def get_perp_upl_usdt(self, inst_id: str, *, pos_side: str | None = None) -> float | None:
+        """当前永续未实现盈亏（USDT，1:1）。"""
+        from .money import to_usdt
+
+        try:
+            rows = self._request(
+                "GET", f"/api/v5/account/positions?instId={inst_id}"
+            )
+        except Exception as e:
+            logger.warning("okx positions failed: %s", e)
+            return None
+        want = (pos_side or "").strip().lower()
+        for row in rows:
+            ps = str(row.get("posSide") or "").lower()
+            pos = safe_float(row.get("pos")) or 0.0
+            if abs(pos) < 1e-12:
+                continue
+            if want and want not in ("net", "") and ps and ps != want and ps != "net":
+                continue
+            upl = safe_float(row.get("upl"))
+            if upl is None:
+                continue
+            ccy = str(row.get("ccy") or row.get("settleCcy") or "USDT")
+            return to_usdt(float(upl), ccy)
+        return 0.0
+
+    def get_perp_pos_sz(self, inst_id: str, *, pos_side: str | None = None) -> float | None:
+        """当前永续绝对持仓张数。"""
+        try:
+            rows = self._request(
+                "GET", f"/api/v5/account/positions?instId={inst_id}"
+            )
+        except Exception as e:
+            logger.warning("okx get_perp_pos_sz failed: %s", e)
+            return None
+        want = (pos_side or "").strip().lower()
+        for row in rows:
+            ps = str(row.get("posSide") or "").lower()
+            pos = safe_float(row.get("pos")) or 0.0
+            if abs(pos) < 1e-12:
+                continue
+            if want and want not in ("net", "") and ps and ps != want and ps != "net":
+                continue
+            return abs(float(pos))
+        return 0.0
+
+    def get_option_pos_sz(self, inst_id: str) -> float | None:
+        """期权绝对持仓张数。"""
+        try:
+            rows = self._request(
+                "GET",
+                f"/api/v5/account/positions?instType=OPTION&instId={inst_id}",
+            )
+        except Exception as e:
+            logger.warning("okx get_option_pos_sz failed: %s", e)
+            return None
+        total = 0.0
+        for row in rows:
+            pos = safe_float(row.get("pos")) or 0.0
+            total += abs(float(pos))
+        return total
+
+    def any_option_pos_abs(self) -> float | None:
+        """账户任意期权绝对持仓张数合计。"""
+        try:
+            rows = self._request("GET", "/api/v5/account/positions?instType=OPTION")
+        except Exception as e:
+            logger.warning("okx any_option_pos_abs failed: %s", e)
+            return None
+        total = 0.0
+        for row in rows:
+            pos = safe_float(row.get("pos")) or 0.0
+            total += abs(float(pos))
+        return total
+
+    def set_leverage(
+        self,
+        inst_id: str,
+        leverage: float,
+        *,
+        mgn_mode: str = "cross",
+        pos_side: str | None = None,
+    ) -> None:
+        body: dict[str, Any] = {
+            "instId": inst_id,
+            "lever": str(leverage),
+            "mgnMode": mgn_mode,
+        }
+        if pos_side:
+            body["posSide"] = pos_side
+        self._request("POST", "/api/v5/account/set-leverage", body)
+
+    def get_funding_usdt(
+        self, inst_id: str, *, begin_ms: int, end_ms: int | None = None
+    ) -> float:
+        """资金费合计（已计入账户的 signed 金额，USDT 1:1）。付费为负。"""
+        from .money import to_usdt
+
+        end = int(end_ms or int(time.time() * 1000))
+        # type=8 funding fee
+        path = (
+            f"/api/v5/account/bills?instType=SWAP&instId={inst_id}"
+            f"&type=8&begin={int(begin_ms)}&end={end}"
+        )
+        total = 0.0
+        try:
+            rows = self._request("GET", path)
+        except Exception as e:
+            logger.warning("okx funding bills failed: %s", e)
+            return 0.0
+        for row in rows:
+            # balChg / pnl 视接口；资金费常用 pnl 或 balChg
+            raw = safe_float(row.get("pnl"))
+            if raw is None:
+                raw = safe_float(row.get("balChg"))
+            if raw is None:
+                continue
+            ccy = str(row.get("ccy") or "USDT")
+            total += to_usdt(float(raw), ccy)
+        return total
+
+    def get_option_settlement_bills(
+        self, inst_id: str, *, begin_ms: int, end_ms: int | None = None
+    ) -> list[dict] | None:
+        """期权交割/行权相关账单（近 7 日 bills；失败再试 archive）。"""
+        end = int(end_ms or int(time.time() * 1000))
+        begin = int(begin_ms)
+        # type=3 Delivery；再本地按 subType 170/171/172 过滤
+        path = (
+            f"/api/v5/account/bills?instType=OPTION&instId={inst_id}"
+            f"&type=3&begin={begin}&end={end}"
+        )
+        try:
+            rows = self._request("GET", path)
+        except Exception as e:
+            logger.warning("okx option bills type=3 failed: %s; try all types", e)
+            try:
+                rows = self._request(
+                    "GET",
+                    f"/api/v5/account/bills?instType=OPTION&instId={inst_id}"
+                    f"&begin={begin}&end={end}",
+                )
+            except Exception as e2:
+                logger.warning("okx option bills failed: %s; try archive", e2)
+                try:
+                    rows = self._request(
+                        "GET",
+                        f"/api/v5/account/bills-archive?instType=OPTION&instId={inst_id}"
+                        f"&begin={begin}&end={end}",
+                    )
+                except Exception as e3:
+                    logger.warning("okx option bills-archive failed: %s", e3)
+                    return None
+        if not isinstance(rows, list):
+            return []
+        return [r for r in rows if isinstance(r, dict)]
+
+    def get_closed_perp_pnl_usdt(
+        self, inst_id: str, *, begin_ms: int, end_ms: int | None = None
+    ) -> float | None:
+        """平仓后从历史仓位取已实现盈亏（不含手续费；含部分仓位盈亏）。"""
+        from .money import to_usdt
+
+        end = int(end_ms or int(time.time() * 1000))
+        begin = int(begin_ms)
+        # OKX：after=更早时间戳边界，before=更晚；再本地按 uTime 过滤兜底
+        path = (
+            f"/api/v5/account/positions-history?instType=SWAP&instId={inst_id}"
+            f"&after={begin}&before={end}"
+        )
+        try:
+            rows = self._request("GET", path)
+        except Exception as e:
+            logger.warning("okx positions-history failed: %s", e)
+            try:
+                rows = self._request(
+                    "GET",
+                    f"/api/v5/account/positions-history?instType=SWAP&instId={inst_id}",
+                )
+            except Exception as e2:
+                logger.warning("okx positions-history fallback failed: %s", e2)
+                return None
+        total = 0.0
+        hit = False
+        for row in rows:
+            u_time = int(safe_float(row.get("uTime")) or safe_float(row.get("cTime")) or 0)
+            if u_time and (u_time < begin - 60_000 or u_time > end + 60_000):
+                continue
+            rpnl = safe_float(row.get("realizedPnl"))
+            if rpnl is None:
+                rpnl = safe_float(row.get("pnl"))
+            if rpnl is None:
+                continue
+            hit = True
+            ccy = str(row.get("ccy") or "USDT")
+            total += to_usdt(float(rpnl), ccy)
+        return total if hit else None
+

backend/app/live/option_settle.py

@@ -0,0 +1,180 @@
+"""LIVE 期权到期交割：从交易所账单/行权记录取结算现金，禁止本地 intrinsic 发明。"""
+
+from __future__ import annotations
+
+import logging
+import time
+from dataclasses import dataclass
+from typing import Any
+
+logger = logging.getLogger(__name__)
+
+# OKX bills subType：行权 / 对手行权 / 虚值到期
+_OKX_EXERCISE_SUBTYPES = frozenset({"170", "171", "172"})
+
+
+@dataclass(slots=True)
+class OptionSettlement:
+    """qty_eth>0 时 fill_px = notional/qty_eth；cash 为入账净额(已扣费)。"""
+
+    found: bool
+    notional: float = 0.0  # 结算毛额（入账前）
+    fee: float = 0.0
+    cash: float = 0.0  # notional - fee
+    fill_px: float = 0.0
+    source: str = ""
+    detail: str = ""
+
+
+def settlement_to_fill(
+    st: OptionSettlement, *, qty_eth: float
+) -> tuple[float, float, float]:
+    """返回 (fill_px, fee, notional)。未找到则全 0。"""
+    if not st.found:
+        return 0.0, 0.0, 0.0
+    q = float(qty_eth)
+    if q > 1e-12 and st.fill_px <= 0 and st.notional > 0:
+        return float(st.notional) / q, float(st.fee), float(st.notional)
+    return float(st.fill_px), float(st.fee), float(st.notional)
+
+
+def fetch_option_settlement(
+    client: Any,
+    *,
+    exchange: str,
+    option_inst_id: str,
+    qty_eth: float,
+    begin_ms: int | None,
+    end_ms: int | None = None,
+) -> OptionSettlement:
+    """查交易所期权交割/行权入账。查不到 → found=False（调用方零价镜像、不发明）。"""
+    inst = str(option_inst_id or "").strip()
+    if not inst or client is None:
+        return OptionSettlement(found=False, detail="no_inst_or_client")
+    begin = int(begin_ms or 0)
+    end = int(end_ms or int(time.time() * 1000))
+    if begin <= 0:
+        # 无开仓时间：收窄到近 48h，避免扫全量
+        begin = end - 48 * 3600 * 1000
+    ex = (exchange or "").strip().lower()
+    try:
+        if ex in ("binance", "bn"):
+            return _bn_settlement(client, inst, qty_eth=qty_eth, begin=begin, end=end)
+        return _okx_settlement(client, inst, qty_eth=qty_eth, begin=begin, end=end)
+    except Exception as e:
+        logger.warning("fetch_option_settlement failed %s %s: %s", ex, inst, e)
+        return OptionSettlement(found=False, detail=str(e)[:160])
+
+
+def _okx_settlement(
+    client: Any, inst_id: str, *, qty_eth: float, begin: int, end: int
+) -> OptionSettlement:
+    from .money import to_usdt
+    from ..exchange.okx.parse import safe_float
+
+    getter = getattr(client, "get_option_settlement_bills", None)
+    if callable(getter):
+        rows = getter(inst_id, begin_ms=begin, end_ms=end)
+    else:
+        rows = None
+    if rows is None:
+        return OptionSettlement(found=False, detail="okx_bills_unavailable")
+
+    cash = 0.0
+    fee = 0.0
+    hit = False
+    for row in rows:
+        if not isinstance(row, dict):
+            continue
+        sub = str(row.get("subType") or "")
+        typ = str(row.get("type") or "")
+        if sub not in _OKX_EXERCISE_SUBTYPES and typ not in ("3",):
+            continue
+        ts = int(safe_float(row.get("ts")) or 0)
+        if ts and (ts < begin - 120_000 or ts > end + 120_000):
+            continue
+        hit = True
+        raw = safe_float(row.get("balChg"))
+        if raw is None:
+            raw = safe_float(row.get("pnl"))
+        ccy = str(row.get("ccy") or "USDT")
+        if raw is not None:
+            cash += to_usdt(float(raw), ccy)
+        fraw = safe_float(row.get("fee"))
+        if fraw is not None:
+            # OKX fee 常为负
+            fee += abs(to_usdt(float(fraw), ccy))
+        # 有些账单 pnl 已含费，fee 字段为 0
+
+    if not hit:
+        return OptionSettlement(found=False, detail="okx_no_exercise_bill")
+
+    # balChg/pnl 视为账户净变动；fee 另计时用净额+费还原毛额作 fill notional
+    net_cash = float(cash)
+    fee = float(fee)
+    if net_cash >= 0:
+        notional = float(net_cash) + fee
+    else:
+        notional = 0.0
+
+    q = float(qty_eth)
+    fill_px = (notional / q) if q > 1e-12 and notional > 0 else 0.0
+    return OptionSettlement(
+        found=True,
+        notional=float(notional),
+        fee=float(fee),
+        cash=float(net_cash),
+        fill_px=float(fill_px),
+        source="okx_bills",
+        detail=f"subTypes exercise bills cash={net_cash:.6f}",
+    )
+
+
+def _bn_settlement(
+    client: Any, symbol: str, *, qty_eth: float, begin: int, end: int
+) -> OptionSettlement:
+    from .money import to_usdt
+    from ..exchange.okx.parse import safe_float
+
+    getter = getattr(client, "get_option_exercise_records", None)
+    if not callable(getter):
+        return OptionSettlement(found=False, detail="bn_exercise_api_missing")
+    rows = getter(symbol, begin_ms=begin, end_ms=end)
+    if rows is None:
+        return OptionSettlement(found=False, detail="bn_exercise_unavailable")
+    if not rows:
+        return OptionSettlement(found=False, detail="bn_no_exercise_record")
+
+    amount = 0.0
+    fee = 0.0
+    hit = False
+    for row in rows:
+        if not isinstance(row, dict):
+            continue
+        if str(row.get("symbol") or "") and str(row.get("symbol")) != symbol:
+            continue
+        hit = True
+        ccy = str(row.get("currency") or row.get("quoteAsset") or "USDT")
+        am = safe_float(row.get("amount"))
+        if am is not None:
+            amount += to_usdt(float(am), ccy)
+        fr = safe_float(row.get("fee"))
+        if fr is not None:
+            fee += abs(to_usdt(float(fr), ccy))
+
+    if not hit:
+        return OptionSettlement(found=False, detail="bn_no_matching_record")
+
+    notional = max(0.0, float(amount))
+    net = float(amount) - float(fee)
+    q = float(qty_eth)
+    fill_px = (notional / q) if q > 1e-12 and notional > 0 else 0.0
+    return OptionSettlement(
+        found=True,
+        notional=notional,
+        fee=float(fee),
+        cash=float(net),
+        fill_px=float(fill_px),
+        source="binance_exerciseRecord",
+        detail=f"amount={amount:.6f} fee={fee:.6f}",
+    )

backend/app/live/rate_limit.py

@@ -0,0 +1,196 @@
+"""实盘交易限流：私有 REST 冷却 + 失败退避。"""
+
+from __future__ import annotations
+
+import logging
+import threading
+import time
+from typing import Any
+
+logger = logging.getLogger(__name__)
+
+_DEFAULT_429_SEC = 20.0
+_DEFAULT_418_SEC = 120.0
+_INTERVAL_MIN = 0.2
+_INTERVAL_MAX = 30.0
+
+
+def resolve_live_order_interval_sec() -> float:
+    """读取前端可配的 LIVE 下单最小间隔（秒），默认 1。"""
+    try:
+        from ..config import get_settings
+        from ..models.db import get_db
+
+        s = get_settings()
+        default = float(s.live_order_interval_sec)
+        raw = get_db().get_setting("live_order_interval_sec", str(default))
+        v = float(raw if raw not in (None, "") else default)
+        if v != v:  # NaN
+            return 1.0
+        return max(_INTERVAL_MIN, min(_INTERVAL_MAX, v))
+    except Exception:
+        return 1.0
+
+
+class RateLimitError(RuntimeError):
+    """处于限流/冷却中，调用方应退避，勿立即重试下单。"""
+
+    def __init__(self, message: str, *, retry_after: float = 0.0) -> None:
+        super().__init__(message)
+        self.retry_after = float(retry_after)
+
+
+class TradeThrottle:
+    """按通道节流：最小间隔 + 418/429 冷却。"""
+
+    def __init__(
+        self,
+        name: str,
+        *,
+        min_interval_sec: float = 1.0,
+        cooldown_429_sec: float = _DEFAULT_429_SEC,
+        cooldown_418_sec: float = _DEFAULT_418_SEC,
+    ) -> None:
+        self.name = name
+        self.min_interval_sec = float(min_interval_sec)
+        self.cooldown_429_sec = float(cooldown_429_sec)
+        self.cooldown_418_sec = float(cooldown_418_sec)
+        self._lock = threading.Lock()
+        self._last_at = 0.0
+        self._cool_until = 0.0
+
+    def remaining_cooldown(self) -> float:
+        with self._lock:
+            return max(0.0, self._cool_until - time.monotonic())
+
+    def before_request(self) -> None:
+        """请求前调用：冷却中抛 RateLimitError；否则等待最小间隔（可读设置）。"""
+        interval = resolve_live_order_interval_sec()
+        with self._lock:
+            self.min_interval_sec = interval
+            now = time.monotonic()
+            if now < self._cool_until:
+                left = self._cool_until - now
+                raise RateLimitError(
+                    f"{self.name} rate-limit cooldown {left:.1f}s",
+                    retry_after=left,
+                )
+            gap = now - self._last_at
+            wait = interval - gap
+        if wait > 0:
+            time.sleep(wait)
+        with self._lock:
+            self._last_at = time.monotonic()
+
+    def mark_http(self, status_code: int, retry_after: float | None = None) -> None:
+        if status_code not in (418, 429):
+            return
+        if status_code == 418:
+            wait = self.cooldown_418_sec
+        else:
+            wait = float(retry_after) if retry_after and retry_after > 0 else self.cooldown_429_sec
+            wait = max(wait, self.cooldown_429_sec)
+        with self._lock:
+            self._cool_until = time.monotonic() + wait
+        logger.warning("%s HTTP %s → cooldown %.0fs", self.name, status_code, wait)
+
+    def mark_seconds(self, seconds: float) -> None:
+        wait = max(1.0, float(seconds))
+        with self._lock:
+            self._cool_until = max(self._cool_until, time.monotonic() + wait)
+        logger.warning("%s cooldown %.0fs (manual)", self.name, wait)
+
+
+_THROTTLES: dict[str, TradeThrottle] = {}
+_THROTTLES_LOCK = threading.Lock()
+
+
+def get_throttle(name: str, **kwargs: Any) -> TradeThrottle:
+    with _THROTTLES_LOCK:
+        t = _THROTTLES.get(name)
+        if t is None:
+            t = TradeThrottle(name, **kwargs)
+            _THROTTLES[name] = t
+        return t
+
+
+def is_rate_limit_error(exc: BaseException | str) -> bool:
+    if isinstance(exc, RateLimitError):
+        return True
+    text = str(exc).lower()
+    needles = (
+        "429",
+        "418",
+        "rate limit",
+        "rate-limit",
+        "ratelimit",
+        "too many request",
+        "cooldown",
+        "banned",
+        "frequency",
+        "请求过于频繁",
+        "超出频率",
+    )
+    return any(n in text for n in needles)
+
+
+def parse_retry_after_header(headers: Any) -> float | None:
+    try:
+        raw = headers.get("Retry-After") if headers is not None else None
+        if raw is None:
+            return None
+        return float(raw)
+    except (TypeError, ValueError):
+        return None
+
+
+class LiveRetryGate:
+    """引擎侧失败退避：避免 half_open / pending / liquidity 每秒砸单。"""
+
+    def __init__(
+        self,
+        *,
+        base_sec: float = 2.0,
+        max_sec: float = 60.0,
+        rate_limit_min_sec: float = 20.0,
+        trip_after: int = 12,
+        trip_cooldown_sec: float = 180.0,
+    ) -> None:
+        self.base_sec = float(base_sec)
+        self.max_sec = float(max_sec)
+        self.rate_limit_min_sec = float(rate_limit_min_sec)
+        self.trip_after = int(trip_after)
+        self.trip_cooldown_sec = float(trip_cooldown_sec)
+        self._fails: dict[str, int] = {}
+        self._next_at: dict[str, float] = {}
+
+    def allow(self, key: str) -> tuple[bool, float]:
+        """返回 (可否执行, 剩余等待秒)。"""
+        left = max(0.0, self._next_at.get(key, 0.0) - time.monotonic())
+        return left <= 0.0, left
+
+    def success(self, key: str) -> None:
+        self._fails.pop(key, None)
+        self._next_at.pop(key, None)
+
+    def fail(self, key: str, *, rate_limited: bool = False) -> float:
+        n = int(self._fails.get(key, 0)) + 1
+        self._fails[key] = n
+        if rate_limited:
+            delay = max(self.rate_limit_min_sec, self.rate_limit_min_sec * (1.5 ** min(n - 1, 4)))
+            delay = min(delay, 120.0)
+        elif n >= self.trip_after:
+            delay = self.trip_cooldown_sec
+            logger.error(
+                "live retry gate tripped key=%s fails=%s cooldown=%.0fs",
+                key,
+                n,
+                delay,
+            )
+        else:
+            delay = min(self.max_sec, self.base_sec * (2 ** min(n - 1, 5)))
+        self._next_at[key] = time.monotonic() + delay
+        return delay
+
+    def fails(self, key: str) -> int:
+        return int(self._fails.get(key, 0))

backend/app/live/reconcile.py

@@ -0,0 +1,408 @@
+"""LIVE 开仓对账：占槽、交易所持仓核对、平永续数量解析、stuck opening 恢复。"""
+
+from __future__ import annotations
+
+import logging
+from typing import Any
+
+from ..config import get_settings
+from ..exchange.runtime import load_runtime_settings
+from ..sim.matcher import BLOCKING_STATUSES, CloseResult
+from .symbols import resolve_perp_inst_id
+
+logger = logging.getLogger(__name__)
+
+_PERP_EPS = 1e-8
+_OPT_EPS = 1e-8
+
+
+def claim_open_slot(db) -> tuple[bool, str]:
+    """原子占用开仓槽：flat/空 → opening；已有 blocking 状态则拒绝。"""
+    with db._lock:
+        row = db._conn.execute("SELECT status FROM positions WHERE id=1").fetchone()
+        st = str(row["status"] or "") if row else ""
+        if st in BLOCKING_STATUSES:
+            return False, f"已有持仓/半仓状态({st})，请先修复或平仓"
+        cur = db._conn.execute(
+            """UPDATE positions SET status='opening'
+               WHERE id=1 AND (status IS NULL OR status='' OR status='flat')"""
+        )
+        if cur.rowcount != 1:
+            st2 = st or "unknown"
+            return False, f"无法占用开仓槽(当前 status={st2})"
+        db._conn.commit()
+    return True, "ok"
+
+
+def stamp_opening_intent(
+    db,
+    *,
+    group_id: str,
+    option_inst_id: str,
+    option_side: str,
+    perp_side: str,
+    option_qty_eth: float,
+    option_qty_contracts: float,
+    entry_index_px: float | None = None,
+    option_entry_px: float | None = None,
+) -> None:
+    """开仓意图落库：崩溃后仍可按 option_inst_id 恢复，禁止「opening 无元数据」。"""
+    with db._lock:
+        self_row = db._conn.execute(
+            "SELECT status FROM positions WHERE id=1"
+        ).fetchone()
+        st = str(self_row["status"] or "") if self_row else ""
+        if st != "opening":
+            return
+        db._conn.execute(
+            """UPDATE positions SET
+                group_id=?, option_inst_id=?, option_side=?, perp_side=?,
+                option_qty_eth=?, option_qty_contracts=?,
+                entry_index_px=COALESCE(?, entry_index_px),
+                option_entry_px=COALESCE(?, option_entry_px),
+                status='opening'
+               WHERE id=1 AND status='opening'""",
+            (
+                group_id,
+                option_inst_id,
+                option_side,
+                perp_side,
+                float(option_qty_eth),
+                float(option_qty_contracts),
+                entry_index_px,
+                option_entry_px,
+            ),
+        )
+        db._conn.commit()
+
+
+def release_open_slot_if_opening(db) -> None:
+    """开仓失败且未落 half_open/open 时，释放 opening 占槽。"""
+    with db._lock:
+        db._conn.execute(
+            """UPDATE positions SET
+                status='flat', group_id=NULL, option_inst_id=NULL,
+                option_side=NULL, perp_side=NULL,
+                option_qty_eth=0, option_qty_contracts=0,
+                option_entry_px=NULL, perp_qty_eth=0, perp_entry_px=NULL,
+                entry_index_px=NULL, initial_premium=0
+               WHERE id=1 AND status='opening'"""
+        )
+        db._conn.commit()
+
+
+def exchange_perp_abs_size(
+    client: Any,
+    exchange: str,
+    perp_inst_id: str,
+    perp_side: str,
+) -> float | None:
+    """查询交易所永续绝对持仓：OKX 张数，Binance ETH。"""
+    ex = (exchange or "").strip().lower()
+    try:
+        if ex in ("binance", "bn"):
+            ps = "LONG" if perp_side == "long" else "SHORT"
+            return client.get_perp_pos_sz(perp_inst_id, position_side=ps)
+        ps = "long" if perp_side == "long" else "short"
+        return client.get_perp_pos_sz(perp_inst_id, pos_side=ps)
+    except Exception as e:
+        logger.warning("exchange_perp_abs_size failed exchange=%s: %s", ex, e)
+        return None
+
+
+def exchange_option_abs_size(
+    client: Any, option_inst_id: str
+) -> float | None:
+    try:
+        return client.get_option_pos_sz(option_inst_id)
+    except Exception as e:
+        logger.warning("exchange_option_abs_size failed: %s", e)
+        return None
+
+
+def exchange_any_option_abs(client: Any) -> float | None:
+    try:
+        return client.any_option_pos_abs()
+    except Exception as e:
+        logger.warning("exchange_any_option_abs failed: %s", e)
+        return None
+
+
+def assert_safe_to_open_live(executor) -> tuple[bool, str]:
+    """LIVE 开仓前：本地无 blocking 仓，且交易所无残留永续/期权（flat/opening 时）。"""
+    if get_settings().is_sim:
+        return True, "ok"
+
+    pos = executor.current_position()
+    st = str(pos.get("status") or "")
+    if st in BLOCKING_STATUSES and st != "opening":
+        return False, f"已有持仓/半仓状态({st})，请先修复或平仓"
+
+    client, ex_name = _executor_client_and_exchange(executor)
+    if client is None:
+        return False, "无法核对交易所持仓"
+
+    perp_inst = resolve_perp_inst_id(executor.db)
+    if st in ("flat", "", "opening"):
+        sides = ("long", "short")
+    else:
+        sides = (str(pos.get("perp_side") or "long"),)
+    total = 0.0
+    for side in sides:
+        ex_sz = exchange_perp_abs_size(client, ex_name or "", perp_inst, side)
+        if ex_sz is None:
+            return False, "无法核对交易所持仓"
+        total += float(ex_sz)
+
+    if total > _PERP_EPS and st in ("flat", "", "opening"):
+        return (
+            False,
+            "交易所有永续仓但本地无持仓，禁止新开，请人工核对",
+        )
+
+    # 期权：有具体合约则查该合约；flat 时查账户任意期权残留
+    opt_inst = str(pos.get("option_inst_id") or "")
+    if opt_inst:
+        opt_sz = exchange_option_abs_size(client, opt_inst)
+        if opt_sz is None:
+            return False, "无法核对交易所期权持仓"
+        if opt_sz > _OPT_EPS and st in ("flat", "", "opening"):
+            return (
+                False,
+                f"交易所有期权仓({opt_inst})但本地未确认持仓，禁止新开，请人工核对",
+            )
+    elif st in ("flat", "", "opening"):
+        # opening 且尚未 stamp option_inst_id 时仍须扫任意期权残留
+        any_opt = exchange_any_option_abs(client)
+        if any_opt is None:
+            return False, "无法核对交易所期权持仓"
+        if any_opt > _OPT_EPS:
+            return (
+                False,
+                "交易所有期权残留仓但本地无持仓，禁止新开，请人工核对",
+            )
+    return True, "ok"
+
+
+def log_exchange_db_mismatch(executor) -> None:
+    """LIVE 启动时记录交易所 vs 本地持仓不一致（仅日志，不阻断）。"""
+    if get_settings().is_sim:
+        return
+    ok, msg = assert_safe_to_open_live(executor)
+    if ok:
+        logger.info("LIVE startup reconcile: exchange/DB OK")
+    else:
+        logger.warning("LIVE startup reconcile mismatch: %s", msg)
+    # 启动时尝试恢复 stuck opening
+    try:
+        r = recover_stuck_opening(executor)
+        if r is not None:
+            logger.info("LIVE startup recover_opening: ok=%s detail=%s", r.ok, r.detail)
+    except Exception:
+        logger.exception("LIVE startup recover_opening failed")
+
+
+def perp_close_contracts_okx(
+    client: Any,
+    *,
+    perp_inst: str,
+    perp_side: str,
+    perp_qty_eth: float,
+    ct_val: float,
+    allow_db_fallback: bool = False,
+) -> int | None:
+    """平永续张数：以交易所持仓为准。
+
+    返回 >0 应下单；0=已确认空仓；None=查仓失败（调用方不得当空仓 finalize）。
+    交易所已确认空仓时绝不回退 DB。allow_db_fallback 仅在查仓失败时可用。
+    """
+    ps = "long" if perp_side == "long" else "short"
+    ex_sz = client.get_perp_pos_sz(perp_inst, pos_side=ps)
+    if ex_sz is None:
+        if not allow_db_fallback:
+            return None
+        return max(1, int(round(perp_qty_eth / ct_val)))
+    if ex_sz > _PERP_EPS:
+        return max(1, int(round(ex_sz)))
+    return 0
+
+
+def perp_close_qty_eth_binance(
+    client: Any,
+    *,
+    perp_inst: str,
+    perp_side: str,
+    perp_qty_eth: float,
+    allow_db_fallback: bool = False,
+) -> float | None:
+    """平永续 ETH：>0 下单；0=已确认空；None=查仓失败。已空绝不回退 DB。"""
+    ps = "LONG" if perp_side == "long" else "SHORT"
+    ex_sz = client.get_perp_pos_sz(perp_inst, position_side=ps)
+    if ex_sz is None:
+        if not allow_db_fallback:
+            return None
+        return float(perp_qty_eth)
+    if ex_sz > _PERP_EPS:
+        return float(ex_sz)
+    return 0.0
+
+
+def perp_open_contracts_okx(*, perp_qty_eth: float, ct_val: float) -> int:
+    """开仓张数：仅按设置名义/面值，不跟交易所残留。"""
+    if ct_val <= 0:
+        raise RuntimeError("ct_val invalid")
+    return max(1, int(round(float(perp_qty_eth) / float(ct_val))))
+
+
+def recover_stuck_opening(executor) -> CloseResult | None:
+    """恢复本地 status=opening：
+
+    - 交易所期权+永续皆空 → 清槽
+    - 仅期权 → half_open 并尝试 repair
+    - 期权+永续 → 提升为 open（用本地已 stamp 的数量/均价）
+    - 无元数据且交易所仍有仓 → 保持 opening，返回失败详情
+    """
+    if get_settings().is_sim:
+        return None
+    pos = executor.current_position()
+    st = str(pos.get("status") or "")
+    if st != "opening":
+        return None
+
+    client, ex_name = _executor_client_and_exchange(executor)
+    if client is None:
+        return CloseResult(ok=False, detail="recover_opening: 无交易客户端")
+
+    option_inst = str(pos.get("option_inst_id") or "")
+    perp_side = str(pos.get("perp_side") or "long")
+    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
+    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:
+            return CloseResult(ok=False, detail="recover_opening: 无法查期权")
+        opt_sz = float(raw)
+    else:
+        any_opt = exchange_any_option_abs(client)
+        if any_opt is None:
+            return CloseResult(ok=False, detail="recover_opening: 无法查期权")
+        if any_opt > _OPT_EPS:
+            return CloseResult(
+                ok=False,
+                detail=(
+                    "recover_opening: opening 无 option_inst_id 但交易所有期权仓，"
+                    "禁止自动清槽，请人工核对"
+                ),
+            )
+        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（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(
+            ok=False,
+            detail="recover_opening: 交易所有仓但本地 opening 缺 option_inst_id",
+        )
+
+    # 仅期权 → half_open + repair
+    if opt_sz > _OPT_EPS and perp_total <= _PERP_EPS:
+        persist = getattr(executor, "_persist_half_open", None)
+        if not callable(persist):
+            return CloseResult(ok=False, detail="recover_opening: 无 half_open 落库")
+        of_px = float(pos.get("option_entry_px") or 0) or 0.0
+        # 数量以交易所为准
+        opt_contracts = float(opt_sz)
+        opt_qty = float(pos.get("option_qty_eth") or 0)
+        if hasattr(executor, "_ct_mult"):
+            from ..sim.liquidity import eth_from_contracts
+
+            opt_qty = eth_from_contracts(opt_contracts, executor._ct_mult(option_inst))
+        elif opt_qty <= 0:
+            opt_qty = float(opt_sz)
+        persist(
+            group_id=group_id or f"RCV-{option_inst[-12:]}",
+            bias="recover",
+            option_side=str(pos.get("option_side") or "call"),
+            perp_side=perp_side,
+            option_inst_id=option_inst,
+            entry_index_px=float(pos.get("entry_index_px") or 0) or 0.0,
+            strike=None,
+            expiry_ymd=None,
+            opt_qty=opt_qty,
+            opt_contracts=opt_contracts or opt_sz,
+            of_px=of_px,
+            of_fee=0.0,
+            detail="recover_opening option-only → half_open",
+        )
+        repair = getattr(executor, "repair_half_open", None)
+        if callable(repair):
+            return repair()
+        return CloseResult(ok=True, detail="recover_opening: 已落 half_open")
+
+    # 期权+永续 → 提升为 open
+    promote = getattr(executor, "_promote_opening_to_open", None)
+    if callable(promote):
+        return promote(pos=pos, perp_inst=perp_inst, opt_sz=opt_sz, perp_total=perp_total)
+    return CloseResult(
+        ok=False,
+        detail="recover_opening: 双边有仓但执行器无 promote，请人工核对",
+    )
+
+
+def _executor_client_and_exchange(executor) -> tuple[Any | None, str | None]:
+    if get_settings().is_sim:
+        return None, None
+    try:
+        ex_name = load_runtime_settings().exchange
+    except Exception:
+        ex_name = get_settings().exchange
+    client = None
+    if hasattr(executor, "_client"):
+        try:
+            client = executor._client()
+        except Exception as e:
+            logger.warning("live executor client unavailable: %s", e)
+            return None, ex_name
+    return client, ex_name

backend/app/live/symbols.py

@@ -0,0 +1,26 @@
+"""LIVE 下单用的运行时合约解析（禁止只用 env 默认 perp_inst_id）。"""
+
+from __future__ import annotations
+
+from ..config import Settings
+from ..exchange.runtime import load_runtime_settings
+
+
+def live_settings() -> Settings:
+    return load_runtime_settings()
+
+
+def resolve_perp_inst_id(db, *, group_id: str | None = None) -> str:
+    """优先组内落库合约，否则 DB/交易所默认（load_runtime_settings）。"""
+    s = live_settings()
+    if group_id:
+        try:
+            row = db.fetchone(
+                "SELECT perp_inst_id FROM groups WHERE group_id=?",
+                (group_id,),
+            )
+            if row and row["perp_inst_id"]:
+                return str(row["perp_inst_id"])
+        except Exception:
+            pass
+    return str(s.perp_inst_id)

backend/app/main.py

@@ -36,17 +36,57 @@ async def lifespan(app: FastAPI):
     # 而 health 显示 DB 里的 binance → 合约号/盘口错乱（期权一直 -/-）
     from .exchange.runtime import load_runtime_settings
 
+    app_settings = get_settings()
+    if not app_settings.is_sim:
+        secret = (app_settings.auth_secret or "").strip()
+        if not secret or secret == "change-me-eth-hedge-sim-secret":
+            raise RuntimeError(
+                "LIVE 拒绝启动：请在 .env 设置非默认 AUTH_SECRET（勿用 change-me-eth-hedge-sim-secret）"
+            )
+
     settings = load_runtime_settings()
     engine = StrategyEngine()
     set_engine(engine)
+    # 半自动：无仓时清陈旧授权，须首页重新「授权开下一单」
+    try:
+        from .strategy.semi_auto import clear_armed_if_flat
+
+        clear_armed_if_flat(
+            db, has_open_position=engine.matcher.has_open_position()
+        )
+    except Exception:
+        logger.exception("clear stale semi_armed on startup failed")
+    # LIVE：进程启动后不自动真下单，须人工点「启动」
+    if not get_settings().is_sim:
+        try:
+            db._conn.execute(
+                "UPDATE strategy_state SET running=0, phase=? WHERE id=1",
+                ("paused",),
+            )
+            db._conn.commit()
+            logger.info("LIVE startup: forced strategy pause (manual start required)")
+        except Exception:
+            logger.exception("LIVE startup force-pause failed")
+        try:
+            from .live import get_executor
+            from .live.reconcile import log_exchange_db_mismatch
+
+            log_exchange_db_mismatch(get_executor(db))
+        except Exception:
+            logger.exception("LIVE startup reconcile log failed")
     engine.ensure_loop()
 
+    from .backup import start_auto_backup_task
+
+    start_auto_backup_task()
+
     session = bootstrap_session(settings)
     try:
         await session.start()
         logger.info(
-            "exchange=%s strategy session started (SIM)",
+            "exchange=%s strategy session started mode=%s",
             settings.exchange,
+            "SIM" if get_settings().is_sim else "LIVE",
         )
     except Exception:
         logger.exception("strategy session failed to start")
@@ -60,6 +100,9 @@ async def lifespan(app: FastAPI):
             await engine._task
         except Exception:
             pass
+    from .backup import stop_auto_backup_task
+
+    await stop_auto_backup_task()
     await session.stop()
     from .exchange import set_exchange
     from .strategy.session import set_session
@@ -72,15 +115,18 @@ async def lifespan(app: FastAPI):
 
 
 app = FastAPI(
-    title="eth_hedge_sim",
-    version="0.3.0",
-    description="ETH 自动对冲模拟盘 P1/P2",
+    title="比特骆驼自动化对冲系统",
+    version="0.3.1",
+    description="比特骆驼自动化对冲系统（eth_hedge_sim）",
     lifespan=lifespan,
+    docs_url=None if get_settings().disable_api_docs else "/docs",
+    redoc_url=None if get_settings().disable_api_docs else "/redoc",
+    openapi_url=None if get_settings().disable_api_docs else "/openapi.json",
 )
 app.add_middleware(
     CORSMiddleware,
-    allow_origins=["*"],
-    allow_credentials=True,
+    allow_origins=[],
+    allow_credentials=False,
     allow_methods=["*"],
     allow_headers=["*"],
 )
@@ -127,6 +173,41 @@ _DIST = resolve_frontend_dist()
 if (_DIST / "assets").is_dir():
     app.mount("/assets", StaticFiles(directory=str(_DIST / "assets")), name="assets")
 
+_ICONS = _DIST / "icons"
+if _ICONS.is_dir():
+    app.mount("/icons", StaticFiles(directory=str(_ICONS)), name="icons")
+
+
+def _dist_file(name: str) -> Path:
+    return _DIST / name
+
+
+@app.get("/manifest.webmanifest")
+async def web_manifest():
+    path = _dist_file("manifest.webmanifest")
+    if not path.exists():
+        raise HTTPException(status_code=404, detail="manifest missing")
+    return FileResponse(
+        path,
+        media_type="application/manifest+json",
+        headers={"Cache-Control": "no-cache"},
+    )
+
+
+@app.get("/sw.js")
+async def service_worker():
+    path = _dist_file("sw.js")
+    if not path.exists():
+        raise HTTPException(status_code=404, detail="service worker missing")
+    return FileResponse(
+        path,
+        media_type="application/javascript",
+        headers={
+            "Cache-Control": "no-cache",
+            "Service-Worker-Allowed": "/",
+        },
+    )
+
 
 @app.get("/")
 async def index_page():
@@ -146,6 +227,7 @@ async def index_page():
 @app.get("/stats")
 @app.get("/settings")
 @app.get("/login")
+@app.get("/fleet-login")
 async def spa_pages(full_path: str = ""):
     index = _DIST / "index.html"
     if not index.exists():

backend/app/market/instruments.py

@@ -40,6 +40,7 @@ def select_option_pair(
     expiry_ymd: str | None = None,
     min_hours: float | None = None,
     now=None,
+    option_side: str | None = None,
 ) -> OptionPair | None:
     contracts = normalize_contracts(instruments)
     return _select_pair(
@@ -48,6 +49,7 @@ def select_option_pair(
         expiry_ymd=expiry_ymd,
         min_hours=min_hours,
         now=now,
+        option_side=option_side,
     )
 
 

backend/app/models/db.py

@@ -34,13 +34,18 @@ CREATE TABLE IF NOT EXISTS groups (
   expiry_ymd TEXT,
   entry_index_px REAL,
   initial_premium REAL DEFAULT 0,
+  exit_target_usdt REAL,
   open_at_ms INTEGER,
   close_at_ms INTEGER,
   close_reason TEXT,
   realized_pnl REAL DEFAULT 0,
   fees REAL DEFAULT 0,
   slip_cost REAL DEFAULT 0,
-  note TEXT
+  note TEXT,
+  exec_mode TEXT,
+  funding_usdt REAL,
+  settle_index_px REAL,
+  perp_margin_mode TEXT
 );
 
 CREATE TABLE IF NOT EXISTS fills (
@@ -58,6 +63,7 @@ CREATE TABLE IF NOT EXISTS fills (
   slip REAL NOT NULL,
   notional REAL NOT NULL,
   ts_ms INTEGER NOT NULL,
+  exec_mode TEXT,
   FOREIGN KEY(group_id) REFERENCES groups(group_id)
 );
 
@@ -74,6 +80,7 @@ CREATE TABLE IF NOT EXISTS positions (
   option_entry_px REAL,
   entry_index_px REAL,
   initial_premium REAL DEFAULT 0,
+  exit_target_usdt REAL,
   status TEXT
 );
 
@@ -97,6 +104,38 @@ CREATE TABLE IF NOT EXISTS strategy_state (
   last_error TEXT,
   updated_at_ms INTEGER NOT NULL
 );
+
+CREATE TABLE IF NOT EXISTS residual_options (
+  id INTEGER PRIMARY KEY AUTOINCREMENT,
+  group_id TEXT NOT NULL UNIQUE,
+  option_inst_id TEXT NOT NULL,
+  option_side TEXT NOT NULL,
+  option_qty_eth REAL NOT NULL,
+  option_qty_contracts REAL,
+  option_entry_px REAL NOT NULL,
+  strike REAL,
+  expiry_ymd TEXT,
+  expiry_ms INTEGER,
+  entry_index_px REAL,
+  initial_premium REAL DEFAULT 0,
+  status TEXT NOT NULL DEFAULT 'pending',
+  created_at_ms INTEGER NOT NULL,
+  settled_at_ms INTEGER,
+  settle_px REAL,
+  settle_pnl REAL,
+  note TEXT,
+  FOREIGN KEY(group_id) REFERENCES groups(group_id)
+);
+CREATE TABLE IF NOT EXISTS funds_wallets (
+  id INTEGER PRIMARY KEY CHECK (id = 1),
+  funding_usdt REAL NOT NULL DEFAULT 0,
+  trading_usdt REAL NOT NULL DEFAULT 0,
+  options_funding_usdc REAL NOT NULL DEFAULT 0,
+  options_trading_usdc REAL NOT NULL DEFAULT 0,
+  options_funding_usdt REAL NOT NULL DEFAULT 0,
+  options_trading_usdt REAL NOT NULL DEFAULT 0,
+  updated_at_ms INTEGER NOT NULL
+);
 """
 
 
@@ -118,8 +157,45 @@ class Database:
         self._conn.execute("PRAGMA journal_mode=WAL;")
         self._conn.executescript(_SCHEMA)
         self._conn.commit()
+        self._migrate_columns()
         self._ensure_seed()
 
+    def _migrate_columns(self) -> None:
+        """幂等补列：exec_mode。"""
+        with self._lock:
+            for table, col, decl in (
+                ("groups", "exec_mode", "TEXT"),
+                ("groups", "funding_usdt", "REAL"),
+                ("groups", "settle_index_px", "REAL"),
+                ("groups", "perp_margin_mode", "TEXT"),
+                ("groups", "exit_target_usdt", "REAL"),
+                ("groups", "hedge_mode", "TEXT"),
+                ("groups", "option2_inst_id", "TEXT"),
+                ("groups", "option2_side", "TEXT"),
+                ("groups", "strike2", "REAL"),
+                ("groups", "initial_premium2", "REAL"),
+                ("positions", "exit_target_usdt", "REAL"),
+                ("positions", "hedge_mode", "TEXT"),
+                ("positions", "option2_inst_id", "TEXT"),
+                ("positions", "option2_side", "TEXT"),
+                ("positions", "option2_qty_eth", "REAL"),
+                ("positions", "option2_qty_contracts", "REAL"),
+                ("positions", "option2_entry_px", "REAL"),
+                ("positions", "strike2", "REAL"),
+                ("positions", "initial_premium2", "REAL"),
+                ("fills", "exec_mode", "TEXT"),
+                ("fills", "fee_ccy", "TEXT"),
+            ):
+                cols = {
+                    str(r[1])
+                    for r in self._conn.execute(f"PRAGMA table_info({table})").fetchall()
+                }
+                if col not in cols:
+                    self._conn.execute(
+                        f"ALTER TABLE {table} ADD COLUMN {col} {decl}"
+                    )
+            self._conn.commit()
+
     def close(self) -> None:
         with self._lock:
             self._conn.close()
@@ -145,6 +221,19 @@ class Database:
                     "INSERT INTO strategy_state(id, running, phase, rounds_done, updated_at_ms) VALUES (1,0,'idle',0,?)",
                     (now,),
                 )
+            fw = self._conn.execute("SELECT id FROM funds_wallets WHERE id=1").fetchone()
+            if fw is None:
+                led = self._conn.execute(
+                    "SELECT equity FROM ledger_meta WHERE id=1"
+                ).fetchone()
+                eq = float(led["equity"]) if led else float(s.initial_equity)
+                self._conn.execute(
+                    """INSERT INTO funds_wallets(
+                        id, funding_usdt, trading_usdt, options_funding_usdc, options_trading_usdc,
+                        options_funding_usdt, options_trading_usdt, updated_at_ms
+                    ) VALUES (1,?,0,0,0,0,0,?)""",
+                    (eq, now),
+                )
             defaults = {
                 "fee_rate": str(s.fee_rate),
                 "initial_equity": str(s.initial_equity),
@@ -154,13 +243,19 @@ class Database:
                 "net_profit_target": str(s.net_profit_target),
                 "premium_exit_multiple": str(s.premium_exit_multiple),
                 "rest_seconds": str(s.rest_seconds),
+                "live_order_interval_sec": str(s.live_order_interval_sec),
                 "skip_weekends": str(s.skip_weekends),
+                "one_expiry_per_day": str(s.one_expiry_per_day),
                 "max_rounds": str(s.max_rounds),
                 "leverage": str(s.leverage),
+                "perp_margin_mode": str(s.perp_margin_mode),
                 "min_option_hours": str(s.min_option_hours),
                 "min_option_leverage": str(s.min_option_leverage),
+                "risk_leverage_basis": str(s.risk_leverage_basis),
                 "atm_open_offset_enabled": str(s.atm_open_offset_enabled),
                 "max_atm_open_offset": str(s.max_atm_open_offset),
+                "fixed_direction_enabled": str(s.fixed_direction_enabled),
+                "fixed_perp_side": str(s.fixed_perp_side),
                 "close_bid_mark_max_pct": str(s.close_bid_mark_max_pct),
                 "perp_qty_eth": str(s.perp_qty_eth),
                 "option_qty_eth": str(s.option_qty_eth),

backend/app/notify/__init__.py

@@ -0,0 +1,5 @@
+"""通知子系统。"""
+
+from . import wecom
+
+__all__ = ["wecom"]

backend/app/notify/wecom.py

@@ -0,0 +1,386 @@
+"""企业微信群机器人通知（独立模块）。"""
+
+from __future__ import annotations
+
+import asyncio
+import logging
+import time
+from typing import Any
+
+import httpx
+
+from ..config import get_settings
+from ..exchange.runtime import load_runtime_settings
+from ..models.db import get_db
+
+logger = logging.getLogger(__name__)
+
+# 消息标识（Markdown 内展示，便于检索）
+TAG_OPEN = "OPEN"
+TAG_CLOSE = "CLOSE"
+TAG_START = "START"
+TAG_PAUSE = "PAUSE"
+TAG_FAULT = "FAULT"
+TAG_TEST = "TEST"
+
+_last_fault_key: str | None = None
+_last_fault_ms: float = 0.0
+_FAULT_DEDUP_SEC = 300.0
+
+CLOSE_REASON_ZH: dict[str, str] = {
+    "expiry": "到期结算全平",
+    "target_perp_only": "净盈利达标·只平永续（期权归档到期）",
+    "semi_target_points": "半自动·标的到点且组合净利>0",
+    "semi_perp_exit": "半自动·净利基数达标",
+    "fixed_usdt": "固定净盈利达标·双腿全平",
+    "premium_multiple": "权利金倍数达标·双腿全平",
+    "emergency": "紧急全平",
+    "emergency_perp": "紧急·只平永续",
+    "manual": "手动全平",
+    "perp_pending_retry": "续平永续",
+    "liquidity_retry": "等待流动性后全平",
+    "residual_premium_close": "残留期权·权利金回收中途平",
+    "unknown": "未知原因",
+}
+
+BIAS_ZH: dict[str, str] = {
+    "call_ask_gt_put": "买Call + 永续空",
+    "put_ask_gt_call": "买Put + 永续多",
+    "strike_below_spot": "买Call + 永续空",
+    "strike_above_spot": "买Put + 永续多",
+    "fixed_long_put": "固定方向·买Put + 永续多",
+    "fixed_short_call": "固定方向·买Call + 永续空",
+    "manual_call": "手动·买Call + 永续空",
+    "manual_put": "手动·买Put + 永续多",
+}
+
+
+def _as_bool(raw: str | None, default: bool = False) -> bool:
+    if raw is None or raw == "":
+        return default
+    return str(raw).strip().lower() in ("1", "true", "yes", "on")
+
+
+def wecom_enabled() -> bool:
+    s = get_settings()
+    if getattr(s, "wecom_enabled", False):
+        return True
+    try:
+        return _as_bool(get_db().get_setting("wecom_enabled", "0"), False)
+    except Exception:
+        return False
+
+
+def wecom_webhook_url() -> str:
+    s = get_settings()
+    url = (getattr(s, "wecom_webhook_url", None) or "").strip()
+    if url:
+        return url
+    try:
+        return (get_db().get_setting("wecom_webhook_url", "") or "").strip()
+    except Exception:
+        return ""
+
+
+def wecom_machine_name() -> str:
+    """多机推送区分用的机器名（设置页 / WECOM_MACHINE_NAME）。"""
+    s = get_settings()
+    name = (getattr(s, "wecom_machine_name", None) or "").strip()
+    if name:
+        return name[:64]
+    try:
+        return (get_db().get_setting("wecom_machine_name", "") or "").strip()[:64]
+    except Exception:
+        return ""
+
+
+def venue_label() -> str | None:
+    """实盘时返回「实盘·交易所」；SIM 不展示盘口标签。"""
+    s = get_settings()
+    if s.is_sim:
+        return None
+    try:
+        ex = load_runtime_settings().exchange
+    except Exception:
+        ex = s.exchange or "okx"
+    ex_u = str(ex).strip().lower()
+    if ex_u in ("binance", "bn"):
+        return "实盘·币安"
+    if ex_u in ("gate", "gateio"):
+        return "实盘·Gate"
+    return "实盘·OKX"
+
+
+def close_reason_zh(reason: str | None) -> str:
+    r = str(reason or "").strip()
+    if not r:
+        return "未知原因"
+    return CLOSE_REASON_ZH.get(r, r)
+
+
+def direction_zh(extra: dict[str, Any]) -> str:
+    bias = str(extra.get("bias") or "").strip()
+    if bias in BIAS_ZH:
+        return BIAS_ZH[bias]
+    opt = str(extra.get("option_side") or "").strip().lower()
+    perp = str(extra.get("perp_side") or "").strip().lower()
+    if opt == "put" and perp == "long":
+        return "买Put + 永续多"
+    if opt == "call" and perp == "short":
+        return "买Call + 永续空"
+    if opt == "put":
+        return "买Put"
+    if opt == "call":
+        return "买Call"
+    if bias:
+        return bias
+    return "—"
+
+
+def _fmt_num(x: Any, digits: int = 2) -> str:
+    try:
+        if x is None or x == "":
+            return "—"
+        return f"{float(x):.{digits}f}"
+    except (TypeError, ValueError):
+        return "—"
+
+
+def _fmt_money(x: Any, *, signed: bool = False) -> str:
+    try:
+        if x is None or x == "":
+            return "—"
+        v = float(x)
+        if signed:
+            return f"{v:+.2f}U"
+        return f"{v:.2f}U"
+    except (TypeError, ValueError):
+        return "—"
+
+
+def _pick_float(data: dict[str, Any], *keys: str) -> float | None:
+    for k in keys:
+        if k not in data or data[k] is None or data[k] == "":
+            continue
+        try:
+            return float(data[k])
+        except (TypeError, ValueError):
+            continue
+    return None
+
+
+def build_markdown(*, tag: str, title: str, lines: list[str] | None = None) -> str:
+    body = "\n".join(f"> {ln}" if not ln.startswith(">") else ln for ln in (lines or []))
+    machine = wecom_machine_name()
+    venue = venue_label()
+    prefix_parts: list[str] = []
+    if machine:
+        prefix_parts.append(f"【{machine}】")
+    if venue:
+        prefix_parts.append(f"【{venue}】")
+    head = f"## {''.join(prefix_parts)}{title}"
+    parts = [
+        head,
+        f"> **标识**: `{tag}`",
+        f"> **时间**: {time.strftime('%Y-%m-%d %H:%M:%S')}",
+    ]
+    if machine:
+        parts.append(f"> **机器**: {machine}")
+    if body:
+        parts.append("")
+        parts.append(body)
+    return "\n".join(parts)
+
+
+def _post_markdown_sync(content: str) -> tuple[bool, str]:
+    if not wecom_enabled():
+        return False, "未开启企业微信通知"
+    url = wecom_webhook_url()
+    if not url:
+        return False, "未配置 Webhook"
+    # 企业微信 markdown 上限约 4096 字节
+    raw = content.encode("utf-8")
+    if len(raw) > 4000:
+        content = raw[:3900].decode("utf-8", errors="ignore") + "\n…"
+    payload = {"msgtype": "markdown", "markdown": {"content": content}}
+    try:
+        with httpx.Client(timeout=8.0) as client:
+            r = client.post(url, json=payload)
+            data = r.json() if r.content else {}
+            if r.status_code != 200 or int(data.get("errcode") or 0) != 0:
+                return False, str(data.get("errmsg") or r.text or r.status_code)
+            return True, "ok"
+    except Exception as e:
+        return False, str(e)
+
+
+async def send_markdown(content: str) -> tuple[bool, str]:
+    return await asyncio.to_thread(_post_markdown_sync, content)
+
+
+def notify_async(content: str) -> None:
+    """火忘：不阻塞策略循环。"""
+    try:
+        loop = asyncio.get_running_loop()
+    except RuntimeError:
+        ok, msg = _post_markdown_sync(content)
+        if not ok:
+            logger.warning("wecom sync send failed: %s", msg)
+        return
+
+    async def _run() -> None:
+        ok, msg = await send_markdown(content)
+        if not ok:
+            logger.warning("wecom send failed: %s", msg)
+
+    loop.create_task(_run())
+
+
+def notify_start() -> None:
+    notify_async(
+        build_markdown(
+            tag=TAG_START,
+            title="策略启动",
+            lines=["策略已启动，可新开仓并盯目标平仓。"],
+        )
+    )
+
+
+def notify_pause() -> None:
+    notify_async(
+        build_markdown(
+            tag=TAG_PAUSE,
+            title="策略暂停",
+            lines=[
+                "策略已暂停：**不再新开仓**。",
+                "仍会盯盘：**目标平仓 + 到期平仓**。",
+            ],
+        )
+    )
+
+
+def notify_open(*, group_id: str, detail: str = "", extra: dict[str, Any] | None = None) -> None:
+    extra = dict(extra or {})
+    perp = extra.get("perp") if isinstance(extra.get("perp"), dict) else {}
+    option = extra.get("option") if isinstance(extra.get("option"), dict) else {}
+
+    perp_qty = _pick_float(extra, "perp_qty_eth") or _pick_float(perp, "qty_eth")
+    opt_qty = _pick_float(extra, "option_qty_eth") or _pick_float(option, "qty_eth")
+    premium = _pick_float(extra, "initial_premium", "premium")
+    margin = _pick_float(extra, "perp_margin", "margin")
+    leverage = _pick_float(extra, "leverage")
+    perp_px = _pick_float(extra, "perp_entry_px") or _pick_float(perp, "fill_px")
+    opt_px = _pick_float(extra, "option_entry_px") or _pick_float(option, "fill_px")
+
+    # 缺保证金时用成交价×数量÷杠杆估算
+    if margin is None and perp_px is not None and perp_qty is not None:
+        try:
+            from ..sim.ledger import Ledger
+
+            s = get_settings()
+            lev = float(leverage) if leverage and leverage > 0 else float(
+                Ledger().get_setting_float("leverage", s.leverage) or s.leverage or 1
+            )
+            if lev > 0:
+                margin = abs(perp_px * perp_qty) / lev
+                leverage = lev
+        except Exception:
+            pass
+
+    lines = [
+        f"**组号**: `{group_id}`",
+        f"**方向**: {direction_zh(extra)}",
+        f"**期权合约**: `{extra.get('option_inst_id') or '—'}`",
+        f"**行权价 / 到期**: {_fmt_num(extra.get('strike'), 0)} / {extra.get('expiry_ymd') or '—'}",
+        f"**开仓数量**: 永续 {_fmt_num(perp_qty, 4)} ETH · 期权 {_fmt_num(opt_qty, 4)} ETH",
+        f"**成交均价**: 永续 {_fmt_num(perp_px, 4)} · 期权 {_fmt_num(opt_px, 4)}",
+        f"**权利金占用**: {_fmt_money(premium)}",
+        f"**保证金占用**: {_fmt_money(margin)}"
+        + (f"（杠杆 {_fmt_num(leverage, 0)}x）" if leverage else ""),
+    ]
+    # 说明仅在非模板英文码时展示
+    d = str(detail or "").strip()
+    if d and d not in ("opened", "opened_live", "ok"):
+        lines.append(f"**说明**: {d}")
+    notify_async(build_markdown(tag=TAG_OPEN, title="开仓成功", lines=lines))
+
+
+def notify_close(
+    *,
+    reason: str,
+    detail: str = "",
+    group_id: str | None = None,
+    data: dict[str, Any] | None = None,
+) -> None:
+    data = dict(data or {})
+    reason_zh = close_reason_zh(reason)
+    gid = group_id or data.get("group_id") or "—"
+
+    perp_pnl = _pick_float(data, "perp_pnl")
+    opt_pnl = _pick_float(data, "option_pnl", "opt_pnl")
+    net = _pick_float(data, "net", "net_pnl", "interim_net", "realized_pnl")
+    # 只平永续时 interim_net 可能是净利口径
+    if data.get("option_abandoned") and opt_pnl is None:
+        opt_note = "期权已归档，待到期结算（本组未计入期权最终盈亏）"
+    else:
+        opt_note = None
+
+    lines = [
+        f"**组号**: `{gid}`",
+        f"**平仓方式**: {reason_zh}",
+        f"**永续盈亏**: {_fmt_money(perp_pnl, signed=True)}",
+        f"**期权盈亏**: {_fmt_money(opt_pnl, signed=True)}",
+        f"**净利润**: {_fmt_money(net, signed=True)}",
+    ]
+    if opt_note:
+        lines.append(f"**备注**: {opt_note}")
+    fees = _pick_float(data, "fees", "fees_total")
+    if fees is None:
+        fo = _pick_float(data, "fees_open")
+        fc = _pick_float(data, "fees_close")
+        if fo is not None or fc is not None:
+            fees = (fo or 0.0) + (fc or 0.0)
+    if fees is not None:
+        lines.append(f"**手续费合计**: {_fmt_money(fees)}")
+    d = str(detail or "").strip()
+    if d and d not in (
+        "closed",
+        "perp_closed_option_residual",
+        "ok",
+        "manual",
+    ):
+        lines.append(f"**说明**: {d}")
+    notify_async(build_markdown(tag=TAG_CLOSE, title=f"平仓 · {reason_zh}", lines=lines))
+
+
+def notify_fault(*, title: str, detail: str, dedupe_key: str | None = None) -> None:
+    global _last_fault_key, _last_fault_ms
+    key = dedupe_key or f"{title}:{detail[:120]}"
+    now = time.time()
+    if key == _last_fault_key and now - _last_fault_ms < _FAULT_DEDUP_SEC:
+        return
+    _last_fault_key = key
+    _last_fault_ms = now
+    notify_async(
+        build_markdown(
+            tag=TAG_FAULT,
+            title=f"故障 · {title}",
+            lines=[f"**详情**: {detail[:500]}"],
+        )
+    )
+
+
+def notify_test() -> tuple[bool, str]:
+    venue = venue_label()
+    machine = wecom_machine_name()
+    lines = ["企业微信通知已连通。"]
+    if machine:
+        lines.append(f"机器名称: **{machine}**")
+    if venue:
+        lines.append(f"当前盘口标签: **{venue}**")
+    content = build_markdown(
+        tag=TAG_TEST,
+        title="测试推送",
+        lines=lines,
+    )
+    return _post_markdown_sync(content)

backend/app/sim/funds_wallets.py

@@ -0,0 +1,224 @@
+"""SIM 资金钱包：资金账户 / 交易账户 × USDT|USDC（对齐 OKX，无期权分账户）。"""
+
+from __future__ import annotations
+
+import time
+from typing import Any
+
+from ..models.db import Database, get_db
+
+# DB 列名（历史兼容：USDC 存在 options_*_usdc 列，语义为资金/交易账户 USDC）
+WALLET_KEYS = (
+    "funding_usdt",
+    "trading_usdt",
+    "options_funding_usdc",  # = funding_usdc
+    "options_trading_usdc",  # = trading_usdc
+    "options_funding_usdt",  # 废弃，恒为 0
+    "options_trading_usdt",  # 废弃，恒为 0
+)
+
+_ACCT_MAP = {
+    ("funding", "usdt"): "funding_usdt",
+    ("trading", "usdt"): "trading_usdt",
+    ("funding", "usdc"): "options_funding_usdc",
+    ("trading", "usdc"): "options_trading_usdc",
+}
+
+
+def _now_ms() -> int:
+    return int(time.time() * 1000)
+
+
+class SimFundsWallets:
+    def __init__(self, db: Database | None = None) -> None:
+        self.db = db or get_db()
+
+    def snapshot(self) -> dict[str, float]:
+        row = self.db.fetchone("SELECT * FROM funds_wallets WHERE id=1")
+        if row is None:
+            return {k: 0.0 for k in WALLET_KEYS}
+        return {k: float(row[k] or 0) for k in WALLET_KEYS}
+
+    def view(self) -> dict[str, float]:
+        """对外口径：funding/trading × usdt/usdc。"""
+        s = self.snapshot()
+        return {
+            "funding_usdt": float(s["funding_usdt"]),
+            "trading_usdt": float(s["trading_usdt"]),
+            "funding_usdc": float(s["options_funding_usdc"]),
+            "trading_usdc": float(s["options_trading_usdc"]),
+        }
+
+    def total_usdt_equiv(self, snap: dict[str, float] | None = None) -> float:
+        """USDC 按 1:1 计入总资金。"""
+        if snap is None:
+            v = self.view()
+        elif "funding_usdc" in snap:
+            v = snap
+        else:
+            v = {
+                "funding_usdt": float(snap.get("funding_usdt") or 0),
+                "trading_usdt": float(snap.get("trading_usdt") or 0),
+                "funding_usdc": float(snap.get("options_funding_usdc") or 0),
+                "trading_usdc": float(snap.get("options_trading_usdc") or 0),
+            }
+        return round(
+            float(v.get("funding_usdt") or 0)
+            + float(v.get("trading_usdt") or 0)
+            + float(v.get("funding_usdc") or 0)
+            + float(v.get("trading_usdc") or 0),
+            8,
+        )
+
+    def reset_from_equity(self, equity: float) -> dict[str, float]:
+        """重置：全部放入资金账户 USDT。"""
+        amt = max(0.0, float(equity))
+        now = _now_ms()
+        self.db.execute(
+            """UPDATE funds_wallets SET
+                funding_usdt=?, trading_usdt=0, options_funding_usdc=0, options_trading_usdc=0,
+                options_funding_usdt=0, options_trading_usdt=0, updated_at_ms=?
+             WHERE id=1""",
+            (amt, now),
+        )
+        return self.snapshot()
+
+    def _set(self, **kwargs: float) -> dict[str, float]:
+        snap = self.snapshot()
+        for k, v in kwargs.items():
+            if k in WALLET_KEYS:
+                snap[k] = float(v)
+        now = _now_ms()
+        self.db.execute(
+            """UPDATE funds_wallets SET
+                funding_usdt=?, trading_usdt=?, options_funding_usdc=?, options_trading_usdc=?,
+                options_funding_usdt=0, options_trading_usdt=0, updated_at_ms=?
+             WHERE id=1""",
+            (
+                snap["funding_usdt"],
+                snap["trading_usdt"],
+                snap["options_funding_usdc"],
+                snap["options_trading_usdc"],
+                now,
+            ),
+        )
+        return snap
+
+    def mirror_cash(self, amount: float, *, kind: str) -> None:
+        """策略账本变动镜像到交易账户（永续 USDT / 期权 USDC）。"""
+        amt = float(amount)
+        if abs(amt) < 1e-12:
+            return
+        snap = self.snapshot()
+        k = (kind or "").lower()
+        if "option" in k:
+            key = "options_trading_usdc"
+        else:
+            key = "trading_usdt"
+        snap[key] = float(snap.get(key) or 0) + amt
+        self._set(**snap)
+
+    def sync_ledger_equity(self) -> float:
+        total = self.total_usdt_equiv()
+        now = _now_ms()
+        self.db.execute(
+            "UPDATE ledger_meta SET equity=?, available=?, updated_at_ms=? WHERE id=1",
+            (total, total, now),
+        )
+        return total
+
+    def convert(
+        self,
+        *,
+        direction: str,
+        amount: float,
+        rate: float = 1.0,
+        account: str = "funding",
+    ) -> dict[str, Any]:
+        """USDT↔USDC 兑换。默认资金账户；account=trading 时在交易账户内兑（对齐 OKX 现货）。"""
+        amt = float(amount)
+        if amt <= 0:
+            return {"ok": False, "detail": "数量须大于 0"}
+        r = float(rate) if rate and rate > 0 else 1.0
+        d = (direction or "").strip().lower()
+        acct = (account or "funding").strip().lower()
+        if acct not in ("funding", "trading"):
+            return {"ok": False, "detail": "account 须为 funding / trading"}
+        snap = self.snapshot()
+        if acct == "funding":
+            usdt_key, usdc_key = "funding_usdt", "options_funding_usdc"
+            label = "资金账户"
+        else:
+            usdt_key, usdc_key = "trading_usdt", "options_trading_usdc"
+            label = "交易账户"
+        if d == "usdt_to_usdc":
+            src = float(snap[usdt_key])
+            if amt > src + 1e-9:
+                return {"ok": False, "detail": f"{label} USDT 不足（可用 {src:.4f}）"}
+            usdc = amt / r
+            snap[usdt_key] = src - amt
+            snap[usdc_key] = float(snap[usdc_key]) + usdc
+        elif d == "usdc_to_usdt":
+            src = float(snap[usdc_key])
+            if amt > src + 1e-9:
+                return {"ok": False, "detail": f"{label} USDC 不足（可用 {src:.4f}）"}
+            usdt = amt * r
+            snap[usdc_key] = src - amt
+            snap[usdt_key] = float(snap[usdt_key]) + usdt
+        else:
+            return {"ok": False, "detail": "direction 须为 usdt_to_usdc 或 usdc_to_usdt"}
+        self._set(**snap)
+        total = self.sync_ledger_equity()
+        return {
+            "ok": True,
+            "detail": "converted",
+            "direction": d,
+            "amount": amt,
+            "rate": r,
+            "account": acct,
+            "wallets": self.view(),
+            "total_usdt_equiv": total,
+        }
+
+    def transfer(
+        self,
+        *,
+        ccy: str,
+        amount: float,
+        from_account: str,
+        to_account: str,
+    ) -> dict[str, Any]:
+        """仅资金账户 ↔ 交易账户。"""
+        amt = float(amount)
+        if amt <= 0:
+            return {"ok": False, "detail": "划转金额须大于 0"}
+        ccy_l = (ccy or "USDC").strip().lower()
+        fa = (from_account or "").strip().lower()
+        ta = (to_account or "").strip().lower()
+        allowed = {"funding", "trading"}
+        if fa not in allowed or ta not in allowed:
+            return {"ok": False, "detail": "账户仅支持 funding / trading"}
+        if fa == ta:
+            return {"ok": False, "detail": "来源与目标账户不能相同"}
+        src_key = _ACCT_MAP.get((fa, ccy_l))
+        dst_key = _ACCT_MAP.get((ta, ccy_l))
+        if not src_key or not dst_key:
+            return {"ok": False, "detail": "币种须为 USDT 或 USDC"}
+        snap = self.snapshot()
+        src_bal = float(snap[src_key])
+        if amt > src_bal + 1e-9:
+            return {"ok": False, "detail": f"余额不足（可用 {src_bal:.4f}）"}
+        snap[src_key] = src_bal - amt
+        snap[dst_key] = float(snap[dst_key]) + amt
+        self._set(**snap)
+        total = self.sync_ledger_equity()
+        return {
+            "ok": True,
+            "detail": "transferred",
+            "ccy": ccy_l.upper(),
+            "amount": amt,
+            "from": fa,
+            "to": ta,
+            "wallets": self.view(),
+            "total_usdt_equiv": total,
+        }

backend/app/sim/ledger.py

@@ -27,15 +27,21 @@ class Ledger:
         kind: str,
         group_id: str | None = None,
         note: str = "",
+        allow_negative: bool = False,
+        commit: bool = True,
     ) -> float:
-        """amount>0 入账；amount<0 出账。返回余额。"""
+        """amount>0 入账；amount<0 出账。返回余额。
+
+        LIVE 实盘成交后本地账本仅作镜像，须 allow_negative=True，避免「交易所已成交、本地拒记」导致卡仓。
+        commit=False：由调用方持锁并统一提交（与持仓/残留状态同事务）。
+        """
         now = int(time.time() * 1000)
         with self.db._lock:
             row = self.db._conn.execute("SELECT * FROM ledger_meta WHERE id=1").fetchone()
             assert row is not None
             equity = float(row["equity"]) + float(amount)
             available = float(row["available"]) + float(amount)
-            if available < -1e-9:
+            if not allow_negative and available < -1e-9:
                 raise RuntimeError("可用资金不足")
             self.db._conn.execute(
                 "UPDATE ledger_meta SET equity=?, available=?, updated_at_ms=? WHERE id=1",
@@ -45,15 +51,55 @@ class Ledger:
                 "INSERT INTO ledger_entries(group_id, kind, amount, balance_after, note, ts_ms) VALUES (?,?,?,?,?,?)",
                 (group_id, kind, float(amount), equity, note, now),
             )
+            if commit:
                 self.db._conn.commit()
+        if commit:
+            try:
+                from ..config import get_settings
+                from .funds_wallets import SimFundsWallets
+
+                if get_settings().is_sim:
+                    SimFundsWallets(self.db).mirror_cash(float(amount), kind=kind)
+            except Exception:
+                pass
         return equity
 
+    def clear_trade_history(self) -> None:
+        """清空交易记录与持仓痕迹（组/成交/残留/账本流水），仓位置 flat。"""
+        now = int(time.time() * 1000)
+        with self.db._lock:
+            self.db._conn.execute("DELETE FROM fills")
+            self.db._conn.execute("DELETE FROM residual_options")
+            self.db._conn.execute("DELETE FROM groups")
+            self.db._conn.execute("DELETE FROM ledger_entries")
+            self.db._conn.execute(
+                """UPDATE positions SET
+                    group_id=NULL, perp_side=NULL, perp_qty_eth=0, perp_entry_px=NULL,
+                    option_inst_id=NULL, option_side=NULL, option_qty_eth=0,
+                    option_qty_contracts=0, option_entry_px=NULL, entry_index_px=NULL,
+                    initial_premium=0, exit_target_usdt=NULL, status='flat'
+                    WHERE id=1"""
+            )
+            self.db._conn.execute(
+                """UPDATE strategy_state SET
+                    rounds_done=0, window_key=NULL, rest_until_ms=NULL,
+                    last_error=NULL, phase=CASE WHEN running=1 THEN phase ELSE 'idle' END,
+                    updated_at_ms=?
+                    WHERE id=1""",
+                (now,),
+            )
+            self.db._conn.execute(
+                "DELETE FROM settings WHERE key=?", ("risk_last_k",)
+            )
+            self.db._conn.commit()
+
     def reset_equity(self, amount: float, *, note: str = "重置模拟资金") -> float:
-        """将权益与可用资金重置为 amount（reserved 清零）。须在无持仓时调用。"""
+        """将权益与可用资金重置为 amount（reserved 清零），并清空交易记录。须在无持仓时调用。"""
         now = int(time.time() * 1000)
         amt = float(amount)
         if amt < 0:
             raise ValueError("模拟资金不能为负")
+        self.clear_trade_history()
         with self.db._lock:
             self.db._conn.execute(
                 "UPDATE ledger_meta SET equity=?, available=?, reserved=0, updated_at_ms=? WHERE id=1",
@@ -64,6 +110,14 @@ class Ledger:
                 (None, "reset", amt, amt, note, now),
             )
             self.db._conn.commit()
+        try:
+            from ..config import get_settings
+            from .funds_wallets import SimFundsWallets
+
+            if get_settings().is_sim:
+                SimFundsWallets(self.db).reset_from_equity(amt)
+        except Exception:
+            pass
         return amt
 
     def get_setting_float(self, key: str, default: float) -> float:

backend/app/sim/pnl.py

@@ -0,0 +1,102 @@
+"""从成交明细汇总腿盈亏与净盈亏。"""
+
+from __future__ import annotations
+
+from typing import Any
+
+
+def _as_map(x: Any) -> dict[str, Any]:
+    if isinstance(x, dict):
+        return x
+    try:
+        return dict(x)
+    except Exception:
+        return {}
+
+
+def _leg_option_pnl(rows: list[dict[str, Any]], leg: str) -> float | None:
+    opt_open = next(
+        (f for f in rows if f.get("leg") == leg and f.get("action") == "open"),
+        None,
+    )
+    opt_close = next(
+        (f for f in rows if f.get("leg") == leg and f.get("action") == "close"),
+        None,
+    )
+    if not opt_open or not opt_close:
+        return None
+    qty = float(opt_open.get("qty_eth") or opt_close.get("qty_eth") or 0)
+    return (float(opt_close["fill_px"]) - float(opt_open["fill_px"])) * qty
+
+
+def summarize_fills_pnl(fills: list[Any]) -> dict[str, float | None]:
+    """
+    价差盈亏按 fill_px；手续费另扣。
+    净盈亏 = 各腿盈亏之和 − 全部手续费（开+平）。
+    支持永期（option+perp）与期期（option+option2）。
+
+    手续费拆：fees_perp / fees_option（含 option2）/ fees_option2；
+    滑点合计 slip_total（SIM 记账；LIVE 应为 0）。
+    """
+    rows = [_as_map(x) for x in fills]
+
+    option_pnl = _leg_option_pnl(rows, "option")
+    option2_pnl = _leg_option_pnl(rows, "option2")
+
+    perp_open = next(
+        (f for f in rows if f.get("leg") == "perp" and f.get("action") == "open"),
+        None,
+    )
+    perp_close = next(
+        (f for f in rows if f.get("leg") == "perp" and f.get("action") == "close"),
+        None,
+    )
+
+    perp_pnl: float | None = None
+    if perp_open and perp_close:
+        qty = float(perp_open.get("qty_eth") or perp_close.get("qty_eth") or 0)
+        side = str(perp_open.get("side") or "")
+        o = float(perp_open["fill_px"])
+        c = float(perp_close["fill_px"])
+        if side == "long":
+            perp_pnl = (c - o) * qty
+        else:
+            perp_pnl = (o - c) * qty
+
+    fees_perp = sum(
+        float(f.get("fee") or 0) for f in rows if str(f.get("leg") or "") == "perp"
+    )
+    fees_option = sum(
+        float(f.get("fee") or 0)
+        for f in rows
+        if str(f.get("leg") or "") in ("option", "option2")
+    )
+    fees_option2 = sum(
+        float(f.get("fee") or 0) for f in rows if str(f.get("leg") or "") == "option2"
+    )
+    fees_total = fees_perp + fees_option
+    slip_total = sum(float(f.get("slip") or 0) for f in rows)
+
+    parts: list[float] = []
+    if option_pnl is not None:
+        parts.append(option_pnl)
+    if option2_pnl is not None:
+        parts.append(option2_pnl)
+    if perp_pnl is not None:
+        parts.append(perp_pnl)
+
+    gross = sum(parts) if parts else None
+    net = (gross - fees_total) if gross is not None else None
+
+    return {
+        "option_pnl": option_pnl,
+        "option2_pnl": option2_pnl,
+        "perp_pnl": perp_pnl,
+        "fees_perp": fees_perp,
+        "fees_option": fees_option,
+        "fees_option2": fees_option2,
+        "fees_total": fees_total,
+        "slip_total": slip_total,
+        "gross_pnl": gross,
+        "net_pnl": net,
+    }

backend/app/sim/pricing.py

@@ -17,6 +17,75 @@ class PriceResult:
         return asdict(self)
 
 
+def option_intrinsic(*, option_side: str, strike: float, spot: float) -> float:
+    """多头期权内在价值（USDT/ETH）。call=max(S−K,0)，put=max(K−S,0)。"""
+    s = float(spot)
+    k = float(strike)
+    side = str(option_side).lower().strip()
+    if side in ("call", "c"):
+        return max(s - k, 0.0)
+    if side in ("put", "p"):
+        return max(k - s, 0.0)
+    return 0.0
+
+
+def is_deep_otm(
+    *,
+    option_side: str,
+    strike: float,
+    spot: float,
+    max_intrinsic: float = 0.01,
+) -> bool:
+    """
+    远虚：内在价值≈0（多头期权已无行权价值）。
+    100×杠杆 ATM 在标的波动约1%后常落入此状态。
+    """
+    return option_intrinsic(
+        option_side=option_side, strike=strike, spot=spot
+    ) <= float(max_intrinsic)
+
+
+def option_expiry_settle(
+    *,
+    intrinsic: float,
+    qty_eth: float,
+    fee_rate: float,
+) -> PriceResult:
+    """到期结算：按内在价值入账（对齐实盘），无买卖价差滑点，仅扣手续费。"""
+    base = max(float(intrinsic), 0.0)
+    fill = base
+    f = float(fee_rate)
+    notional = abs(fill * float(qty_eth))
+    fee = notional * f
+    return PriceResult(base_px=base, fill_px=fill, fee=fee, slip=0.0, notional=notional)
+
+
+def resolve_option_close_bid(
+    *,
+    bid: float | None,
+    mark: float | None,
+    intrinsic: float | None,
+    bypass_liquidity: bool,
+) -> float | None:
+    """
+    非到期平仓价（SIM）。
+    - 常规：买一，且多头卖出不低于内在价值。
+    - 紧急 bypass：对齐 OKX 市价卖，**只按买一**（不用标记/内在价值抬价；
+      标记无法在交易所成交）。bypass 只绕过深度/偏差闸门。
+    到期请用 option_expiry_settle，不要走本函数。
+    """
+    _ = mark  # 保留参数兼容调用方；紧急不再用标记定价
+    if bypass_liquidity:
+        if bid is None or bid < 0:
+            return None
+        return float(bid)
+    if bid is None:
+        return None
+    if intrinsic is not None and intrinsic >= 0:
+        return max(float(bid), float(intrinsic))
+    return float(bid)
+
+
 def perp_fill(
     *,
     side: str,

backend/app/strategy/amplitude_gate.py

@@ -0,0 +1,69 @@
+"""振幅过滤门：回看窗内 range% 须 ≤ 上限（可关）。永期开仓第一关 / 期期共用。"""
+
+from __future__ import annotations
+
+from typing import Any
+
+from ..exchange.candles import AmplitudeHL
+
+
+def evaluate_amplitude_gate(
+    *,
+    filter_enabled: bool,
+    amp: AmplitudeHL | None,
+    max_pct: float,
+    hours: float,
+) -> dict[str, Any]:
+    """
+    返回:
+      blocked: 过滤开启且未过关（无K线或超限）
+      ok: 展示用是否过关（过滤关视为 True）
+      reason: 拒开文案（未拒则为 None）
+      snapshot: 写入 session._oo_amp 的字典（amp 为 None 时仅含元数据）
+    """
+    max_p = float(max_pct)
+    hrs = float(hours)
+    filt = bool(filter_enabled)
+    if amp is None:
+        snap = {
+            "high": None,
+            "low": None,
+            "mid": None,
+            "range_pct": None,
+            "hours": hrs,
+            "max_pct": max_p,
+            "filter_enabled": filt,
+            "ok": False if filt else True,
+        }
+        if filt:
+            return {
+                "blocked": True,
+                "ok": False,
+                "reason": f"振幅未过关：无法获取近 {hrs:g}h K 线高低",
+                "snapshot": snap,
+            }
+        return {"blocked": False, "ok": True, "reason": None, "snapshot": snap}
+
+    range_pct = float(amp.range_pct)
+    over = range_pct > max_p + 1e-12
+    ok = (not filt) or (not over)
+    snap = {
+        "high": float(amp.high),
+        "low": float(amp.low),
+        "mid": float(amp.mid),
+        "range_pct": range_pct,
+        "hours": hrs,
+        "max_pct": max_p,
+        "filter_enabled": filt,
+        "ok": ok,
+    }
+    if filt and over:
+        return {
+            "blocked": True,
+            "ok": False,
+            "reason": (
+                f"振幅未过关：{hrs:g}h 内 {range_pct:.2f}% > {max_p:g}%"
+            ),
+            "snapshot": snap,
+        }
+    return {"blocked": False, "ok": ok, "reason": None, "snapshot": snap}

backend/app/strategy/auto_usdc.py

@@ -0,0 +1,248 @@
+"""OKX：交易账户 USDC 不足时市价 USDT→USDC（目标=期权所需×2）。
+
+仅 OKX SIM/LIVE。资金账户不参与；期权已可开则跳过。
+等待选约阶段只用预览名义检测（不落库）；落库定仓在 open_pipeline.size_and_gate。
+"""
+
+from __future__ import annotations
+
+import logging
+import math
+import time
+from typing import Any
+
+from ..config import get_settings
+from ..models.db import Database, get_db
+from .open_capacity import assess_open_capacity, invalidate_live_balance_cache
+
+logger = logging.getLogger(__name__)
+
+_TARGET_MULTIPLE = 2.0
+_MIN_CONVERT_USDT = 1.0
+_RETRY_COOLDOWN_SEC = 45.0
+_last_attempt_ts: float = 0.0
+
+
+def _is_okx(exchange: str | None = None) -> bool:
+    from ..exchange.runtime import load_runtime_settings, normalize_exchange_name
+
+    ex = exchange
+    if not ex:
+        try:
+            ex = load_runtime_settings().exchange
+        except Exception:
+            ex = get_settings().exchange
+    return normalize_exchange_name(ex) == "okx"
+
+
+def _round_down(n: float, nd: int = 2) -> float:
+    if n <= 0:
+        return 0.0
+    f = 10**nd
+    return math.floor(n * f + 1e-12) / f
+
+
+def preview_capacity_for_convert(db: Database | None = None) -> dict[str, Any]:
+    """
+    用预览以损定仓名义评估资金门（不写 settings）。
+    - 选约杠杆：用定仓卖一（指数/杠杆下限），与预算/k 一致，勿用监控未达标贵卖一
+    - 实际杠杆：用盘口卖一
+    手动仓位则直接 assess 当前账本名义。
+    """
+    database = db or get_db()
+    try:
+        from .risk_sizing import preview_risk_sizing
+
+        prev = preview_risk_sizing(database)
+        if prev.get("risk_based") and prev.get("ok"):
+            # option_ask 在 preview 里已是定仓口径（selection=隐含 / actual=盘口）
+            cap = assess_open_capacity(
+                database,
+                option_ask=float(prev["option_ask"])
+                if prev.get("option_ask") is not None
+                else None,
+                option_qty_eth=float(prev["option_qty_eth"])
+                if prev.get("option_qty_eth") is not None
+                else None,
+                perp_qty_eth=float(prev["perp_qty_eth"])
+                if prev.get("perp_qty_eth") is not None
+                else None,
+                call_ask=float(prev["call_ask"])
+                if prev.get("call_ask") is not None
+                else None,
+                put_ask=float(prev["put_ask"])
+                if prev.get("put_ask") is not None
+                else None,
+            )
+            cap["capacity_basis"] = "risk_preview"
+            cap["leverage_basis"] = prev.get("leverage_basis")
+            return cap
+    except Exception:
+        logger.exception("preview capacity for convert failed")
+    cap = assess_open_capacity(database)
+    cap["capacity_basis"] = "ledger"
+    return cap
+
+
+def prepare_okx_trading_usdc(db: Database | None = None) -> dict[str, Any]:
+    """等待阶段：预览名义评估 + 兑换，不落库。"""
+    database = db or get_db()
+    cap = preview_capacity_for_convert(database)
+    conv = ensure_okx_trading_usdc(database, cap=cap, force=False)
+    return {"capacity": cap, "convert": conv}
+
+
+def ensure_okx_trading_usdc(
+    db: Database | None = None,
+    *,
+    cap: dict[str, Any] | None = None,
+    force: bool = False,
+) -> dict[str, Any]:
+    """
+    - 非 OKX → 跳过
+    - 期权可开（USDC≥需）→ 跳过
+    - 否则交易账户市价 USDT→USDC，尽量补到 需×2（预留永续保证金）
+    - force 不再绕过冷却（防砸单）；保留参数仅为兼容调用方
+    """
+    global _last_attempt_ts
+    _ = force  # 明确忽略：冷却始终生效
+    db = db or get_db()
+    out: dict[str, Any] = {
+        "ok": True,
+        "acted": False,
+        "skipped": True,
+        "detail": "skip",
+    }
+    if not _is_okx():
+        out["detail"] = "非 OKX，跳过自动兑 USDC"
+        return out
+
+    cap = cap or assess_open_capacity(db)
+    need = cap.get("option_need_usdc")
+    have = cap.get("option_have_usdc")
+    if need is None or have is None:
+        out["detail"] = "期权所需/持有未知，跳过兑换"
+        out["capacity"] = cap
+        return out
+
+    need_f = float(need)
+    have_f = float(have)
+    if need_f <= 0:
+        out["detail"] = "期权所需为 0，跳过"
+        return out
+
+    if have_f + 1e-9 >= need_f:
+        out["detail"] = (
+            f"交易账户 USDC 已够开仓（有 {have_f:.2f} ≥ 需 {need_f:.2f}），不兑换"
+        )
+        out["capacity"] = cap
+        return out
+
+    now = time.time()
+    if _last_attempt_ts > 0 and now - _last_attempt_ts < _RETRY_COOLDOWN_SEC:
+        left = _RETRY_COOLDOWN_SEC - (now - _last_attempt_ts)
+        out["detail"] = f"USDC 不足，自动兑换冷却中（{left:.0f}s）"
+        out["capacity"] = cap
+        out["need_usdc"] = round(need_f, 2)
+        out["have_usdc"] = round(have_f, 2)
+        return out
+
+    target = need_f * _TARGET_MULTIPLE
+    gap_usdc = target - have_f
+    if gap_usdc <= 1e-6:
+        out["detail"] = "无需补足"
+        return out
+
+    from ..live.okx_funds import usdc_usdt_mid_rate
+
+    rate = float(usdc_usdt_mid_rate() or 1.0)
+    if rate <= 0:
+        rate = 1.0
+    want_usdt = gap_usdc * rate
+
+    perp_need = float(cap.get("perp_need_usdt") or 0)
+    trading_usdt = float(cap.get("perp_have_usdt") or 0)
+    spendable = max(0.0, trading_usdt - max(0.0, perp_need))
+    spend_usdt = _round_down(min(want_usdt, spendable), 2)
+
+    out.update(
+        {
+            "need_usdc": round(need_f, 2),
+            "have_usdc": round(have_f, 2),
+            "target_usdc": round(target, 2),
+            "want_usdt": round(want_usdt, 2),
+            "spend_usdt": spend_usdt,
+            "rate": rate,
+            "spendable_usdt": round(spendable, 2),
+        }
+    )
+
+    if spend_usdt < _MIN_CONVERT_USDT:
+        out["ok"] = False
+        out["skipped"] = True
+        out["detail"] = (
+            f"交易账户可兑 USDT 不足（可兑 {spendable:.2f}，"
+            f"目标补约 {want_usdt:.2f}，门槛 {_MIN_CONVERT_USDT}）"
+        )
+        out["capacity"] = cap
+        return out
+
+    _last_attempt_ts = now
+    s = get_settings()
+    try:
+        if s.is_sim:
+            from ..sim.funds_wallets import SimFundsWallets
+
+            r = SimFundsWallets(db).convert(
+                direction="usdt_to_usdc",
+                amount=spend_usdt,
+                rate=rate,
+                account="trading",
+            )
+        else:
+            from ..live.okx_funds import OkxFundsClient
+
+            client = OkxFundsClient()
+            try:
+                r = client.spot_swap_usdt_usdc(
+                    direction="usdt_to_usdc",
+                    amount=spend_usdt,
+                )
+            finally:
+                client.close()
+            invalidate_live_balance_cache()
+    except Exception as e:
+        logger.exception("auto USDC convert failed")
+        out["ok"] = False
+        out["skipped"] = False
+        out["acted"] = False
+        out["detail"] = f"自动兑换异常：{e}"
+        return out
+
+    if not r.get("ok"):
+        out["ok"] = False
+        out["skipped"] = False
+        out["acted"] = False
+        out["detail"] = f"自动兑换失败：{r.get('detail') or r}"
+        out["raw"] = r
+        logger.warning("auto_usdc failed: %s", out["detail"])
+        return out
+
+    invalidate_live_balance_cache()
+    cap2 = assess_open_capacity(db)
+    out.update(
+        {
+            "ok": True,
+            "acted": True,
+            "skipped": False,
+            "detail": (
+                f"交易账户市价兑 USDC：花 {spend_usdt:.2f} USDT"
+                f"（目标持仓≈{target:.2f}=需{need_f:.2f}×{_TARGET_MULTIPLE:g}）"
+            ),
+            "capacity_before": cap,
+            "capacity_after": cap2,
+            "raw": r,
+        }
+    )
+    logger.info("auto_usdc: %s", out["detail"])
+    return out

backend/app/strategy/clock.py

@@ -3,6 +3,7 @@
 from __future__ import annotations
 
 from datetime import datetime
+from typing import Any
 from zoneinfo import ZoneInfo
 
 _SH = ZoneInfo("Asia/Shanghai")
@@ -38,3 +39,52 @@ def can_open_new(
 
 def group_date_ymd(now: datetime | None = None) -> str:
     return window_key(now)
+
+
+def used_expiry_ymds(db: Any, now: datetime | None = None) -> set[str]:
+    """
+    历史上已开过的期权到期日（groups.expiry_ymd，YYMMDD）。
+    跨日历日：任一已开组（含已平仓）占用该到期后，不可再开同到期，只能盯下一档。
+    """
+    _ = now
+    rows = db.fetchall(
+        """SELECT DISTINCT expiry_ymd FROM groups
+           WHERE expiry_ymd IS NOT NULL AND TRIM(expiry_ymd) != ''"""
+    )
+    out: set[str] = set()
+    for r in rows or []:
+        y = str(r["expiry_ymd"] or "").strip()
+        if y:
+            out.add(y)
+    return out
+
+
+# 兼容旧名（语义已改为跨日/历史到期占用）
+used_expiry_ymds_for_day = used_expiry_ymds
+
+
+def pending_residual_expiry_ymds(db: Any) -> set[str]:
+    """待到期结算的残留期权到期日（YYMMDD）；监控/下一组开仓应跳过这些档。"""
+    rows = db.fetchall(
+        """SELECT DISTINCT expiry_ymd FROM residual_options
+           WHERE status='pending' AND expiry_ymd IS NOT NULL AND TRIM(expiry_ymd) != ''"""
+    )
+    out: set[str] = set()
+    for r in rows or []:
+        y = str(r["expiry_ymd"] or "").strip()
+        if y:
+            out.add(y)
+    return out
+
+
+def expiry_blocked_by_one_per_day(
+    expiry_ymd: str | None,
+    used: set[str],
+    *,
+    enabled: bool = True,
+) -> bool:
+    """开启时：候选到期已在历史上用过则拦截。"""
+    if not enabled:
+        return False
+    y = str(expiry_ymd or "").strip()
+    return bool(y and y in used)

backend/app/strategy/exits.py

@@ -2,6 +2,7 @@ from __future__ import annotations
 
 import time
 from dataclasses import dataclass
+from typing import Any
 
 EXIT_MODE_FIXED = "fixed_usdt"
 EXIT_MODE_PREMIUM = "premium_multiple"
@@ -29,6 +30,62 @@ def resolve_exit_target(
     return float(net_profit_target), EXIT_MODE_FIXED
 
 
+def lock_trade_exit_target(
+    db: Any,
+    *,
+    group_id: str,
+    initial_premium: float,
+) -> float:
+    """
+    开仓成交后锁定本组成交出场目标到 groups/positions。
+    持仓期间盯盘与展示均用该值，不再跟随时价重算以损定仓/出场。
+    """
+    from ..config import get_settings
+    from ..sim.ledger import Ledger
+
+    s = get_settings()
+    ledger = Ledger(db)
+    exit_mode = ledger.get_setting_str("exit_mode", s.exit_mode) or EXIT_MODE_FIXED
+    net_target = float(
+        ledger.get_setting_float("net_profit_target", s.net_profit_target)
+        or s.net_profit_target
+    )
+    prem_mult = float(
+        ledger.get_setting_float("premium_exit_multiple", s.premium_exit_multiple)
+        or s.premium_exit_multiple
+    )
+    target, _mode = resolve_exit_target(
+        exit_mode=str(exit_mode),
+        net_profit_target=net_target,
+        premium_exit_multiple=prem_mult,
+        initial_premium=float(initial_premium or 0),
+    )
+    target = float(target)
+    db.execute(
+        "UPDATE groups SET exit_target_usdt=? WHERE group_id=?",
+        (target, group_id),
+    )
+    db.execute(
+        "UPDATE positions SET exit_target_usdt=? WHERE id=1",
+        (target,),
+    )
+    return target
+
+
+def read_locked_exit_target(pos: dict[str, Any] | None) -> float | None:
+    """持仓行上的锁定目标；无则 None（旧仓回退设置值）。"""
+    if not pos:
+        return None
+    v = pos.get("exit_target_usdt")
+    if v is None or v == "":
+        return None
+    try:
+        f = float(v)
+    except (TypeError, ValueError):
+        return None
+    return f if f > 0 else None
+
+
 def check_expiry_close(
     *,
     expiry_ms: int | None,
@@ -50,14 +107,20 @@ def check_exits(
     net_profit_target: float,
     premium_exit_multiple: float,
     initial_premium: float,
+    locked_exit_target: float | None = None,
 ) -> ExitDecision:
-    """净盈利（预估全平后）≥ 所选模式目标则全平。"""
-    target, mode = resolve_exit_target(
+    """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。"""
+    # 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
+    _resolved_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/app/strategy/oo_selection.py

@@ -0,0 +1,203 @@
+"""期期对冲选约：振幅高低点匹配虚值 Call + Put。"""
+
+from __future__ import annotations
+
+from dataclasses import dataclass
+from datetime import datetime
+from typing import Any
+
+from ..exchange.candles import AmplitudeHL, fetch_amplitude_hl_for_runtime
+from .selection import (
+    _complete_by_expiry,
+    hours_until_ms,
+    list_eligible_expiry_ymds,
+    option_leverage,
+)
+
+
+@dataclass(frozen=True, slots=True)
+class OoLeg:
+    side: str  # call|put
+    strike: float
+    inst_id: str
+    ask: float
+    leverage: float
+
+
+@dataclass(frozen=True, slots=True)
+class OoPickCore:
+    expiry_ymd: str
+    expiry_ms: int
+    hours_left: float
+    underlying_px: float
+    amplitude: AmplitudeHL
+    call: OoLeg
+    put: OoLeg
+    detail: str = "ok"
+
+
+def _within_ref_pct(strike: float, ref: float, max_dev_pct: float) -> bool:
+    """|K−ref|/ref ≤ max_dev_pct%。"""
+    if ref <= 0 or max_dev_pct < 0:
+        return False
+    return abs(float(strike) - float(ref)) / float(ref) * 100.0 <= float(
+        max_dev_pct
+    ) + 1e-12
+
+
+def pick_otm_call_strike(
+    strikes: list[float],
+    *,
+    spot: float,
+    high: float,
+    max_dev_pct: float = 1.0,
+) -> float | None:
+    """虚值 Call：K > spot，贴近振幅高点，且 |K−高|/高 ≤ max_dev_pct%。"""
+    cands = [float(s) for s in strikes if float(s) > float(spot) + 1e-9]
+    if max_dev_pct >= 0 and high > 0:
+        cands = [s for s in cands if _within_ref_pct(s, high, max_dev_pct)]
+    if not cands:
+        return None
+    return min(cands, key=lambda s: (abs(s - float(high)), s))
+
+
+def pick_otm_put_strike(
+    strikes: list[float],
+    *,
+    spot: float,
+    low: float,
+    max_dev_pct: float = 1.0,
+) -> float | None:
+    """虚值 Put：K < spot，贴近振幅低点，且 |K−低|/低 ≤ max_dev_pct%。"""
+    cands = [float(s) for s in strikes if float(s) < float(spot) - 1e-9]
+    if max_dev_pct >= 0 and low > 0:
+        cands = [s for s in cands if _within_ref_pct(s, low, max_dev_pct)]
+    if not cands:
+        return None
+    return min(cands, key=lambda s: (abs(s - float(low)), s))
+
+
+def select_oo_pair(
+    contracts: list[dict[str, Any]],
+    *,
+    spot: float,
+    high: float,
+    low: float,
+    min_hours: float,
+    now: datetime | None = None,
+    skip_expiry_ymds: set[str] | None = None,
+    max_dev_pct: float = 1.0,
+) -> tuple[str, int, float, float, str, str] | None:
+    """
+    返回 (expiry_ymd, expiry_ms, call_strike, put_strike, call_inst, put_inst)。
+    Call/Put 可不同行权价；须同到期、均为虚值，且相对高低点偏离不超过 max_dev_pct%。
+    """
+    if spot <= 0 or high <= 0 or low <= 0 or high < low:
+        return None
+    complete = _complete_by_expiry(contracts)
+    if not complete:
+        return None
+    skip = skip_expiry_ymds or set()
+    eligible = [
+        y
+        for y in list_eligible_expiry_ymds(contracts, min_hours=min_hours, now=now)
+        if y not in skip
+    ]
+    for ymd in eligible:
+        ems, strikes_map = complete[ymd]
+        strikes = list(strikes_map.keys())
+        ck = pick_otm_call_strike(
+            strikes, spot=spot, high=high, max_dev_pct=max_dev_pct
+        )
+        pk = pick_otm_put_strike(
+            strikes, spot=spot, low=low, max_dev_pct=max_dev_pct
+        )
+        if ck is None or pk is None:
+            continue
+        call_inst = strikes_map[ck].get("C")
+        put_inst = strikes_map[pk].get("P")
+        if not call_inst or not put_inst:
+            continue
+        hours_left = hours_until_ms(ems, now)
+        return (
+            ymd,
+            int(ems),
+            float(ck),
+            float(pk),
+            str(call_inst),
+            str(put_inst),
+        )
+    return None
+
+
+def build_oo_pick_core(
+    *,
+    contracts: list[dict[str, Any]],
+    spot: float,
+    call_ask: float,
+    put_ask: float,
+    min_hours: float,
+    min_leverage: float,
+    amplitude_hours: float,
+    amplitude_pct: float,
+    amplitude: AmplitudeHL | None = None,
+    skip_expiry_ymds: set[str] | None = None,
+    now: datetime | None = None,
+    max_dev_pct: float = 1.0,
+    amplitude_filter_enabled: bool = True,
+) -> OoPickCore | None:
+    """完整期期选约：振幅门（可关）+ 虚值双腿（贴高低≤max_dev%） + 杠杆。"""
+    amp = amplitude or fetch_amplitude_hl_for_runtime(amplitude_hours)
+    if amp is None:
+        return None
+    if amplitude_filter_enabled and float(amp.range_pct) > float(amplitude_pct) + 1e-12:
+        return None
+    if spot <= 0:
+        spot = float(amp.mid)
+    picked = select_oo_pair(
+        contracts,
+        spot=float(spot),
+        high=float(amp.high),
+        low=float(amp.low),
+        min_hours=float(min_hours),
+        now=now,
+        skip_expiry_ymds=skip_expiry_ymds,
+        max_dev_pct=float(max_dev_pct),
+    )
+    if picked is None:
+        return None
+    ymd, ems, ck, pk, call_inst, put_inst = picked
+    if call_ask <= 0 or put_ask <= 0:
+        return None
+    c_lev = option_leverage(float(spot), float(call_ask))
+    p_lev = option_leverage(float(spot), float(put_ask))
+    if c_lev is None or p_lev is None:
+        return None
+    if c_lev + 1e-12 < float(min_leverage) or p_lev + 1e-12 < float(min_leverage):
+        return None
+    hours_left = hours_until_ms(ems, now)
+    return OoPickCore(
+        expiry_ymd=ymd,
+        expiry_ms=int(ems),
+        hours_left=float(hours_left),
+        underlying_px=float(spot),
+        amplitude=amp,
+        call=OoLeg(
+            side="call",
+            strike=float(ck),
+            inst_id=call_inst,
+            ask=float(call_ask),
+            leverage=float(c_lev),
+        ),
+        put=OoLeg(
+            side="put",
+            strike=float(pk),
+            inst_id=put_inst,
+            ask=float(put_ask),
+            leverage=float(p_lev),
+        ),
+        detail=(
+            f"amp={amp.range_pct:.2f}% H={amp.high:.2f} L={amp.low:.2f} "
+            f"C@{ck:g} P@{pk:g}"
+        ),
+    )

backend/app/strategy/open_capacity.py

@@ -0,0 +1,322 @@
+"""开仓资金可开判定：只看交易账户（永续 USDT / 期权 USDC）。"""
+
+from __future__ import annotations
+
+import logging
+import time
+from typing import Any
+
+from ..config import get_settings
+from ..models.db import Database, get_db
+from ..sim.funds_wallets import SimFundsWallets
+from ..sim.ledger import Ledger
+
+logger = logging.getLogger(__name__)
+
+_live_bal_cache: dict[str, Any] = {"ts": 0.0, "data": None}
+_LIVE_BAL_TTL_SEC = 8.0
+
+# 不足期间只推一次；资金恢复后清零，下次再不足可再推一次
+_notified_while_short: bool = False
+
+
+def invalidate_live_balance_cache() -> None:
+    """兑换/划转后强制下次重拉交易账户余额。"""
+    _live_bal_cache["ts"] = 0.0
+    _live_bal_cache["data"] = None
+
+
+def _f(v: Any) -> float | None:
+    try:
+        if v is None or v == "":
+            return None
+        return float(v)
+    except (TypeError, ValueError):
+        return None
+
+
+def _index_and_option_ask() -> tuple[float | None, float | None]:
+    """指数价 + 期权卖一粗估（取 Call/Put 卖一较大者，偏保守）。"""
+    try:
+        from .session import get_session
+
+        snap = get_session().snapshot()
+    except Exception:
+        return None, None
+    idx = _f(getattr(snap, "index_px", None))
+    if idx is None and snap.perp:
+        idx = _f(snap.perp.mark_px) or _f(snap.perp.ask) or _f(snap.perp.bid)
+    asks: list[float] = []
+    for leg in (snap.call, snap.put):
+        if leg is None:
+            continue
+        a = _f(leg.ask)
+        if a is not None and a > 0:
+            asks.append(a)
+    ask = max(asks) if asks else None
+    return idx, ask
+
+
+def _live_balances() -> dict[str, float | None]:
+    now = time.time()
+    if _live_bal_cache["data"] is not None and now - float(_live_bal_cache["ts"]) < _LIVE_BAL_TTL_SEC:
+        return dict(_live_bal_cache["data"])
+    out: dict[str, float | None] = {
+        "trading_usdt": None,
+        "trading_usdc": None,
+    }
+    try:
+        from ..exchange.runtime import load_runtime_settings
+
+        ex = str(load_runtime_settings().exchange or "").strip().lower()
+        if ex in ("binance", "bn"):
+            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
+
+            client = OkxFundsClient()
+            try:
+                bal = client.fetch_balances()
+                out["trading_usdt"] = _f(bal.get("trading_usdt"))
+                out["trading_usdc"] = _f(bal.get("trading_usdc"))
+            finally:
+                client.close()
+    except Exception as e:
+        logger.warning("open_capacity live balance failed: %s", e)
+    _live_bal_cache["ts"] = now
+    _live_bal_cache["data"] = dict(out)
+    return out
+
+
+def _sim_balances(db: Database) -> dict[str, float]:
+    """只看交易账户，不看资金账户。"""
+    w = SimFundsWallets(db).view()
+    return {
+        "perp_usdt": float(w.get("trading_usdt") or 0),
+        "option_usdc": float(w.get("trading_usdc") or 0),
+    }
+
+
+def assess_open_capacity(
+    db: Database | None = None,
+    *,
+    option_ask: float | None = None,
+    option_qty_eth: float | None = None,
+    perp_qty_eth: float | None = None,
+    call_ask: float | None = None,
+    put_ask: float | None = None,
+) -> dict[str, Any]:
+    """
+    返回永续/期权是否有足够交易账户资金开新仓。
+    - 永续：交易账户 USDT >= 名义/杠杆
+    - 期权：交易账户 USDC >= 卖一×名义×(1+费率)
+    - 期期：期权需 (call_ask+put_ask)×qty×(1+fee)；永续视为不需要
+    """
+    global _notified_while_short
+    db = db or get_db()
+    s = get_settings()
+    ledger = Ledger(db)
+    hedge = str(
+        ledger.get_setting_str("hedge_mode", s.hedge_mode) or s.hedge_mode
+    ).strip().lower()
+    if hedge not in ("perp_option", "option_option"):
+        hedge = "perp_option"
+    lev = float(ledger.get_setting_float("leverage", s.leverage) or 3)
+    if lev <= 0:
+        lev = 3.0
+    perp_qty = float(
+        perp_qty_eth
+        if perp_qty_eth is not None
+        else (ledger.get_setting_float("perp_qty_eth", s.perp_qty_eth) or 1)
+    )
+    opt_qty = float(
+        option_qty_eth
+        if option_qty_eth is not None
+        else (ledger.get_setting_float("option_qty_eth", s.option_qty_eth) or 2)
+    )
+    fee_rate = float(ledger.get_setting_float("fee_rate", s.fee_rate) or 0.0005)
+
+    idx, ask_book = _index_and_option_ask()
+    ask = float(option_ask) if option_ask is not None and float(option_ask) > 0 else ask_book
+    if hedge == "option_option":
+        ca = float(call_ask) if call_ask is not None and float(call_ask) > 0 else None
+        pa = float(put_ask) if put_ask is not None and float(put_ask) > 0 else None
+        if ca is None or pa is None:
+            # 回退：用监控对 call/put 卖一
+            try:
+                from .session import get_session
+
+                snap = get_session().snapshot()
+                if ca is None and snap.call and snap.call.ask:
+                    ca = float(snap.call.ask)
+                if pa is None and snap.put and snap.put.ask:
+                    pa = float(snap.put.ask)
+            except Exception:
+                pass
+        if ca is not None and pa is not None and ca > 0 and pa > 0:
+            call_q = float(opt_qty)
+            put_q = float(
+                ledger.get_setting_float("oo_put_qty_eth", call_q) or call_q
+            )
+            # 与定仓一致：两腿各自权利金
+            premium_need = (
+                (ca * call_q + pa * put_q) * (1.0 + fee_rate)
+            )
+        else:
+            premium_need = None
+        margin_need = 0.0
+        perp_qty = 0.0
+    else:
+        margin_need = (float(idx) * perp_qty / lev) if idx and idx > 0 else None
+        premium_need = (
+            float(ask) * opt_qty * (1.0 + fee_rate) if ask is not None and ask > 0 else None
+        )
+
+    if s.is_sim:
+        bal = _sim_balances(db)
+        have_perp = float(bal["perp_usdt"])
+        have_opt = float(bal["option_usdc"])
+    else:
+        live = _live_balances()
+        t_usdt = live.get("trading_usdt")
+        t_usdc = live.get("trading_usdc")
+        have_perp = float(t_usdt) if t_usdt is not None else None
+        have_opt = float(t_usdc) if t_usdc is not None else None
+
+    perp_ok: bool | None
+    if hedge == "option_option":
+        perp_ok = True
+    elif margin_need is None or have_perp is None:
+        perp_ok = None
+    else:
+        perp_ok = float(have_perp) + 1e-9 >= float(margin_need)
+
+    opt_ok: bool | None
+    if premium_need is None or have_opt is None:
+        opt_ok = None
+    else:
+        opt_ok = float(have_opt) + 1e-9 >= float(premium_need)
+
+    if hedge == "option_option":
+        funds_ok = opt_ok is True
+    else:
+        funds_ok = perp_ok is True and opt_ok is True
+    # 资金恢复后允许下次不足再通知一次
+    if funds_ok:
+        _notified_while_short = False
+
+    lev_i = int(round(lev)) if abs(lev - round(lev)) < 1e-9 else lev
+    if hedge == "option_option":
+        perp_label = "永续 —（期期）"
+    elif perp_ok is True:
+        perp_label = f"永续{lev_i}x 可开"
+    elif perp_ok is False:
+        perp_label = f"永续{lev_i}x 不可开"
+    else:
+        perp_label = f"永续{lev_i}x —"
+
+    if opt_ok is True:
+        opt_label = "期权可开"
+    elif opt_ok is False:
+        opt_label = "期权不可开"
+    else:
+        opt_label = "期权 —"
+
+    return {
+        "hedge_mode": hedge,
+        "leverage": lev,
+        "perp_qty_eth": perp_qty,
+        "option_qty_eth": opt_qty,
+        "index_px": idx,
+        "option_ask": ask,
+        "perp_need_usdt": round(margin_need, 2) if margin_need is not None else None,
+        "option_need_usdc": round(premium_need, 2) if premium_need is not None else None,
+        "perp_have_usdt": round(have_perp, 2) if have_perp is not None else None,
+        "option_have_usdc": round(have_opt, 2) if have_opt is not None else None,
+        "perp_can_open": perp_ok,
+        "option_can_open": opt_ok,
+        "perp_label": perp_label,
+        "option_label": opt_label,
+        "funds_ok": funds_ok,
+        "source": "trading",
+    }
+
+
+def funds_gate_blocks(cap: dict[str, Any] | None) -> tuple[bool, str]:
+    """
+    Fail-closed：永期需永续+期权均为 True；期期仅需期权为 True。
+    None（未知）或 False → 拦截。
+    """
+    if not cap:
+        return True, "资金可开判定结果为空，拒绝开仓"
+    hedge = str(cap.get("hedge_mode") or "perp_option").strip().lower()
+    if hedge == "option_option":
+        if cap.get("option_can_open") is not True:
+            detail = (
+                f"{cap.get('option_label')}；"
+                f"期权需≈{cap.get('option_need_usdc')}U/有{cap.get('option_have_usdc')}U"
+            )
+            if cap.get("option_can_open") is None:
+                detail += "（余额/盘口未知，fail-closed 拒绝开仓）"
+            return True, f"资金不足或状态未知，暂不可开新仓：{detail}"
+        return False, ""
+    if cap.get("perp_can_open") is not True or cap.get("option_can_open") is not True:
+        detail = (
+            f"{cap.get('perp_label')} · {cap.get('option_label')}；"
+            f"永续需≈{cap.get('perp_need_usdt')}U/有{cap.get('perp_have_usdt')}U，"
+            f"期权需≈{cap.get('option_need_usdc')}U/有{cap.get('option_have_usdc')}U"
+        )
+        if cap.get("perp_can_open") is None or cap.get("option_can_open") is None:
+            detail += "（余额/盘口未知，fail-closed 拒绝开仓）"
+        return True, f"资金不足或状态未知，暂不可开新仓：{detail}"
+    return False, ""
+
+
+def maybe_notify_funds_short(cap: dict[str, Any] | None = None) -> None:
+    """仅在「不能开」时推送一次；能开绝不通知。"""
+    global _notified_while_short
+    cap = cap or assess_open_capacity()
+    # 能开 / 未知：不通知；资金恢复则重置，便于下次不足再提醒一次
+    if cap.get("funds_ok") is True:
+        _notified_while_short = False
+        return
+    cannot = cap.get("perp_can_open") is False or cap.get("option_can_open") is False
+    if not cannot:
+        return
+    if _notified_while_short:
+        return
+    _notified_while_short = True
+    parts: list[str] = []
+    if cap.get("perp_can_open") is False:
+        parts.append(
+            f"交易账户 USDT 不足：需约 {cap.get('perp_need_usdt')}U，现有 {cap.get('perp_have_usdt')}U"
+        )
+    if cap.get("option_can_open") is False:
+        parts.append(
+            f"交易账户 USDC 不足：需约 {cap.get('option_need_usdc')}U，现有 {cap.get('option_have_usdc')}U"
+        )
+    try:
+        from ..notify import wecom
+
+        wecom.notify_async(
+            wecom.build_markdown(
+                tag=wecom.TAG_FAULT,
+                title="交易账户资金不足 · 无法开新仓",
+                lines=[
+                    f"**永续**: {cap.get('perp_label')}",
+                    f"**期权**: {cap.get('option_label')}",
+                    *[f"**详情**: {p}" for p in parts],
+                    "OKX 开仓前会尝试交易账户市价兑 USDC；仍不足请检查交易账户余额。",
+                ],
+            )
+        )
+    except Exception:
+        logger.exception("wecom funds notify failed")

backend/app/strategy/open_pipeline.py

@@ -0,0 +1,164 @@
+"""开仓统一管道：定仓 → 兑 USDC → 资金门（fail-closed）。
+
+策略自动开仓与手动开一组共用，避免双路径打架。
+基线假设：运行中不在交易所人工开平仓、也不人工手动平仓。
+"""
+
+from __future__ import annotations
+
+import logging
+from dataclasses import dataclass
+from typing import Any
+
+from ..models.db import Database, get_db
+from .open_capacity import assess_open_capacity, funds_gate_blocks
+from .risk_sizing import apply_risk_sizing_to_ledger
+
+logger = logging.getLogger(__name__)
+
+
+@dataclass(slots=True)
+class OpenPrepResult:
+    ok: bool
+    detail: str = ""
+    capacity: dict[str, Any] | None = None
+    sizing_detail: str = ""
+    convert_detail: str = ""
+
+
+def prepare_usdc_while_waiting(db: Database | None = None) -> dict[str, Any]:
+    """空仓等待选约：预览名义检测 USDC 并兑换，不落库改写 qty/exit。"""
+    from .auto_usdc import prepare_okx_trading_usdc
+
+    return prepare_okx_trading_usdc(db)
+
+
+def size_and_gate(
+    *,
+    index_px: float,
+    option_ask: float,
+    db: Database | None = None,
+    call_ask: float | None = None,
+    put_ask: float | None = None,
+    hedge_mode: str | None = None,
+) -> OpenPrepResult:
+    """
+    选约成功后：写入以损定仓 → 交易账户兑 USDC → 资金门。
+    资金门 fail-closed：异常 / can_open 非 True 一律拦截。
+    """
+    database = db or get_db()
+    mode = str(hedge_mode or "").strip().lower()
+    if not mode:
+        try:
+            from ..config import get_settings
+            from ..sim.ledger import Ledger
+
+            s = get_settings()
+            mode = str(
+                Ledger(database).get_setting_str("hedge_mode", s.hedge_mode)
+                or s.hedge_mode
+            ).strip().lower()
+        except Exception:
+            mode = "perp_option"
+
+    try:
+        if mode == "option_option":
+            from .risk_sizing import apply_oo_sizing_to_ledger
+
+            if call_ask is None or put_ask is None:
+                return OpenPrepResult(ok=False, detail="期期定仓缺少 call/put 卖一")
+            rs = apply_oo_sizing_to_ledger(
+                call_ask=float(call_ask),
+                put_ask=float(put_ask),
+                index_px=float(index_px),
+                db=database,
+            )
+            if not rs.ok:
+                return OpenPrepResult(ok=False, detail=rs.detail, sizing_detail=rs.detail)
+        else:
+            from ..sim.ledger import Ledger
+            from .risk_sizing import is_risk_based
+            from .semi_auto import is_semi_auto, read_semi_params
+
+            led = Ledger(database)
+            semi_perp = None
+            semi_opt = None
+            semi_exit = None
+            semi_basis = None
+            if is_semi_auto(led):
+                sp = read_semi_params(led)
+                semi_perp = float(sp["perp_unit"])
+                semi_opt = float(sp["option_unit"])
+                semi_exit = float(sp["perp_exit_unit"])
+                # 半自动以损定仓：按盘口卖一推期权量，再按配比乘 k 得永续量
+                semi_basis = "actual"
+                if not is_risk_based(led):
+                    # 手动仓：半自动直接写入 永续:期权 配比名义
+                    database.set_setting("perp_qty_eth", f"{semi_perp:.4f}")
+                    database.set_setting("option_qty_eth", f"{semi_opt:.4f}")
+            rs = apply_risk_sizing_to_ledger(
+                index_px=float(index_px),
+                option_ask=float(option_ask),
+                db=database,
+                perp_unit=semi_perp,
+                option_unit=semi_opt,
+                exit_unit=semi_exit,
+                leverage_basis=semi_basis,
+            )
+            if not rs.ok:
+                return OpenPrepResult(ok=False, detail=rs.detail, sizing_detail=rs.detail)
+    except Exception as e:
+        logger.exception("risk sizing failed in open pipeline")
+        return OpenPrepResult(ok=False, detail=f"以损定仓计算异常：{e}")
+
+    convert_detail = ""
+    try:
+        from .auto_usdc import ensure_okx_trading_usdc
+
+        # 选约后名义已更新；仍受冷却约束，禁止 force 砸单
+        conv = ensure_okx_trading_usdc(
+            database,
+            cap=assess_open_capacity(
+                database,
+                option_ask=float(option_ask),
+                call_ask=call_ask,
+                put_ask=put_ask,
+            ),
+            force=False,
+        )
+        convert_detail = str(conv.get("detail") or "")
+        if conv.get("acted"):
+            logger.info("open_pipeline auto_usdc: %s", convert_detail)
+    except Exception:
+        logger.exception("auto USDC in open pipeline failed")
+        convert_detail = "自动兑 USDC 异常（已记日志）"
+
+    try:
+        cap = assess_open_capacity(
+            database,
+            option_ask=float(option_ask),
+            call_ask=call_ask,
+            put_ask=put_ask,
+        )
+    except Exception as e:
+        logger.exception("open capacity assess failed")
+        return OpenPrepResult(
+            ok=False,
+            detail=f"资金可开判定失败，拒绝开仓：{e}",
+            convert_detail=convert_detail,
+        )
+
+    blocked, why = funds_gate_blocks(cap)
+    if blocked:
+        return OpenPrepResult(
+            ok=False,
+            detail=why or "资金不足或状态未知，拒绝开仓",
+            capacity=cap,
+            convert_detail=convert_detail,
+        )
+    return OpenPrepResult(
+        ok=True,
+        detail="ready",
+        capacity=cap,
+        convert_detail=convert_detail,
+    )

backend/app/strategy/risk_sizing.py

@@ -0,0 +1,986 @@
+"""以损定仓：按可承受最大亏损反推标准组倍数 k（永续1 / 期权2 / 出场15）。"""
+
+from __future__ import annotations
+
+import logging
+import math
+from dataclasses import dataclass
+from typing import Any
+
+from ..config import get_settings
+from ..models.db import Database, get_db
+from ..sim.ledger import Ledger
+
+logger = logging.getLogger(__name__)
+
+# 标准组基准默认（k=1）；可由设置 risk_*_unit 覆盖
+BASE_PERP_ETH = 1.0
+BASE_OPTION_ETH = 2.0
+BASE_EXIT_USDT = 15.0
+MIN_K = 0.1
+FEE_LEG_COUNT = 3  # 永续开/平 + 期权一次
+
+
+def _round2(x: float | None) -> float | None:
+    if x is None or not math.isfinite(float(x)):
+        return None
+    return round(float(x) + 0.0, 2)
+
+
+def read_risk_units(ledger: Ledger) -> tuple[float, float, float]:
+    """永续名义单位 / 期权名义单位 / 出场基数(k=1)。"""
+    perp_u = ledger.get_setting_float("risk_perp_unit", BASE_PERP_ETH)
+    opt_u = ledger.get_setting_float("risk_option_unit", BASE_OPTION_ETH)
+    exit_u = ledger.get_setting_float("risk_exit_unit", BASE_EXIT_USDT)
+    if perp_u <= 0:
+        perp_u = BASE_PERP_ETH
+    if opt_u <= 0:
+        opt_u = BASE_OPTION_ETH
+    if exit_u <= 0:
+        exit_u = BASE_EXIT_USDT
+    return float(perp_u), float(opt_u), float(exit_u)
+
+
+@dataclass(frozen=True, slots=True)
+class RiskSizingResult:
+    ok: bool
+    detail: str
+    k: float | None = None
+    budget: float | None = None
+    capital_base: float | None = None
+    premium_est: float | None = None
+    fee_est: float | None = None
+    max_loss: float | None = None
+    perp_qty_eth: float | None = None
+    option_qty_eth: float | None = None
+    net_profit_target: float | None = None
+    index_px: float | None = None
+    option_ask: float | None = None  # 定仓用权利金（可能为选约杠杆隐含）
+    actual_option_ask: float | None = None  # 盘口真实卖一
+    leverage_basis: str | None = None  # actual | selection
+    perp_unit: float | None = None
+    option_unit: float | None = None
+    exit_unit: float | None = None
+
+
+def normalize_risk_leverage_basis(raw: str | None, default: str = "selection") -> str:
+    v = (raw or default or "selection").strip().lower()
+    if v in ("selection", "min_option_leverage", "select", "选约", "选约杠杆"):
+        return "selection"
+    if v in ("actual", "market", "ask", "实际", "实际杠杆"):
+        return "actual"
+    return "selection" if default == "selection" else "actual"
+
+
+def resolve_sizing_option_ask(
+    *,
+    index_px: float,
+    option_ask: float,
+    leverage_basis: str,
+    min_option_leverage: float,
+) -> tuple[float, str]:
+    """
+    返回 (定仓用卖一, 口径 actual|selection)。
+    selection：隐含卖一 = 指数 / 选约杠杆；actual：用盘口卖一。
+    """
+    basis = normalize_risk_leverage_basis(leverage_basis, "selection")
+    if basis == "selection":
+        lev = float(min_option_leverage)
+        if lev > 1e-12 and math.isfinite(lev) and index_px > 0:
+            return float(index_px) / lev, "selection"
+        # 选约杠杆无效时退回实际卖一，避免拒单
+        return float(option_ask), "actual"
+    return float(option_ask), "actual"
+
+
+def is_risk_based(ledger: Ledger | None = None) -> bool:
+    led = ledger or Ledger()
+    mode = (led.get_setting_str("sizing_mode", "manual") or "manual").strip().lower()
+    return mode == "risk_based"
+
+
+def floor_k_1dp(k_raw: float) -> float:
+    """一位小数向下取整，保证不超预算。"""
+    if k_raw <= 0 or not math.isfinite(k_raw):
+        return 0.0
+    return math.floor(k_raw * 10.0 + 1e-12) / 10.0
+
+
+def unit_cost(
+    *,
+    index_px: float,
+    option_ask: float,
+    fee_rate: float,
+    option_unit: float = BASE_OPTION_ETH,
+) -> float:
+    """k=1 时估算最大亏损 = 权利金(option_unit ETH) + 手续费粗估。"""
+    premium_unit = float(option_ask) * float(option_unit)
+    fee_unit = float(index_px) * float(fee_rate) * FEE_LEG_COUNT
+    return premium_unit + fee_unit
+
+
+def compute_k(
+    *,
+    budget: float,
+    index_px: float,
+    option_ask: float,
+    fee_rate: float,
+    perp_unit: float = BASE_PERP_ETH,
+    option_unit: float = BASE_OPTION_ETH,
+    exit_unit: float = BASE_EXIT_USDT,
+) -> RiskSizingResult:
+    if budget is None or budget <= 0 or not math.isfinite(budget):
+        return RiskSizingResult(ok=False, detail="以损定仓预算无效（须 > 0）")
+    if index_px is None or index_px <= 0 or not math.isfinite(index_px):
+        return RiskSizingResult(ok=False, detail="以损定仓缺少有效指数价")
+    if option_ask is None or option_ask <= 0 or not math.isfinite(option_ask):
+        return RiskSizingResult(ok=False, detail="以损定仓缺少有效期权卖一")
+    if option_unit <= 0 or perp_unit <= 0 or exit_unit <= 0:
+        return RiskSizingResult(ok=False, detail="以损定仓比例/出场基数须 > 0")
+
+    cost1 = unit_cost(
+        index_px=index_px,
+        option_ask=option_ask,
+        fee_rate=fee_rate,
+        option_unit=option_unit,
+    )
+    if cost1 <= 1e-12:
+        return RiskSizingResult(ok=False, detail="以损定仓单位成本无效")
+
+    k_raw = float(budget) / cost1
+    k = floor_k_1dp(k_raw)
+    if k < MIN_K - 1e-12:
+        return RiskSizingResult(
+            ok=False,
+            detail=(
+                f"以损定仓算出 k={k_raw:.4f}，向下取整后 < {MIN_K}，"
+                f"预算 {budget:.2f}U 不足以开最小仓（单位成本≈{cost1:.2f}U）"
+            ),
+            budget=_round2(float(budget)),
+            k=k,
+            index_px=float(index_px),
+            option_ask=float(option_ask),
+            perp_unit=float(perp_unit),
+            option_unit=float(option_unit),
+            exit_unit=float(exit_unit),
+        )
+
+    # 若浮点导致仍略超，再降一档
+    while k >= MIN_K - 1e-12:
+        prem = float(option_ask) * float(option_unit) * k
+        fee = float(index_px) * float(fee_rate) * FEE_LEG_COUNT * k
+        mx = prem + fee
+        if mx <= float(budget) + 1e-6:
+            return RiskSizingResult(
+                ok=True,
+                detail="ok",
+                k=k,
+                budget=_round2(float(budget)),
+                premium_est=_round2(prem),
+                fee_est=_round2(fee),
+                max_loss=_round2(mx),
+                perp_qty_eth=round(float(perp_unit) * k, 4),
+                option_qty_eth=round(float(option_unit) * k, 4),
+                net_profit_target=_round2(float(exit_unit) * k),
+                index_px=float(index_px),
+                option_ask=float(option_ask),
+                perp_unit=float(perp_unit),
+                option_unit=float(option_unit),
+                exit_unit=float(exit_unit),
+            )
+        k = round(k - 0.1, 1)
+
+    return RiskSizingResult(
+        ok=False,
+        detail=f"以损定仓无法在预算 {budget:.2f}U 内找到合规 k",
+        budget=_round2(float(budget)),
+        index_px=float(index_px),
+        option_ask=float(option_ask),
+        perp_unit=float(perp_unit),
+        option_unit=float(option_unit),
+        exit_unit=float(exit_unit),
+    )
+
+
+def resolve_capital_base(db: Database | None = None) -> tuple[float | None, str]:
+    """返回 (本金USDT口径, 说明)。"""
+    database = db or get_db()
+    ledger = Ledger(database)
+    source = (
+        ledger.get_setting_str("risk_capital_source", "trading_account") or "trading_account"
+    ).strip().lower()
+    if source in ("manual", "manual_capital", "fixed"):
+        cap = ledger.get_setting_float("risk_manual_capital_usdt", 0.0)
+        if cap <= 0:
+            return None, "单独本金未设置或 ≤ 0"
+        return float(cap), "manual"
+
+    # trading_account：交易账户 USDT + USDC（1:1 折算，与资金条交易账户一致）
+    usdt, usdc = _trading_balances(database)
+    if usdt is None and usdc is None:
+        try:
+            from ..exchange.runtime import load_runtime_settings
+
+            ex = str(load_runtime_settings().exchange or "").strip().lower()
+            if ex in ("binance", "bn") and not get_settings().is_sim:
+                return (
+                    None,
+                    "币安实盘暂未接入交易账户余额，请改用「单独本金」或「亏损值」",
+                )
+        except Exception:
+            pass
+        return None, "无法读取交易账户资金"
+    total = float(usdt or 0.0) + float(usdc or 0.0)
+    if total <= 1e-9:
+        return None, "交易账户总资金为 0"
+    return total, "trading_account"
+
+
+def resolve_budget(db: Database | None = None) -> tuple[float | None, str, float | None]:
+    """返回 (budget, detail, capital_base)。"""
+    database = db or get_db()
+    ledger = Ledger(database)
+    loss_mode = (
+        ledger.get_setting_str("risk_loss_mode", "percent") or "percent"
+    ).strip().lower()
+    if loss_mode in ("absolute", "usdt", "value", "亏损值"):
+        bud = ledger.get_setting_float("risk_loss_usdt", 0.0)
+        if bud <= 0:
+            return None, "亏损值未设置或 ≤ 0", None
+        return float(bud), "absolute", None
+
+    capital, src = resolve_capital_base(database)
+    if capital is None:
+        return None, src, None
+    pct = ledger.get_setting_float("risk_loss_pct", 1.0)
+    if pct <= 0:
+        return None, "亏损幅度须 > 0", capital
+    mg = resolve_martingale(database, ledger=ledger, base_pct=float(pct))
+    effective = float(mg["effective_pct"])
+    detail = f"percent@{src}"
+    if int(mg.get("doubles") or 0) > 0:
+        detail += (
+            f"|mg×{int(2 ** int(mg['doubles']))}"
+            f"(连亏{int(mg.get('loss_days') or 0)}天)"
+        )
+    return float(capital) * (effective / 100.0), detail, capital
+
+
+MARTINGALE_MAX_BASE_PCT = 3.0
+
+
+def _is_expiry_close_reason(reason: str | None) -> bool:
+    r = str(reason or "").strip().lower()
+    return r in ("expiry", "到期", "到期结算", "到期结算全平")
+
+
+def _martingale_day_pnl_contrib(realized_pnl: float, close_reason: str | None) -> float:
+    """
+    倍投连亏日口径：到期结算无论实际盈亏（含小盈利）一律按亏损计入；
+    其它平仓按真实 realized_pnl。
+    """
+    if _is_expiry_close_reason(close_reason):
+        return -1.0
+    return float(realized_pnl or 0.0)
+
+
+def consecutive_loss_days(db: Database | None = None) -> int:
+    """
+    按上海日历「平仓日」汇总倍投口径盈亏，从最近有平仓的一天往前数连续亏损天数。
+    某日合计 < 0 计为亏损日；到期结算组无论盈亏均按亏损计入。
+    无平仓的日历日不计入、不打断（按有成交日序列）。
+    """
+    from collections import defaultdict
+    from datetime import datetime, timezone
+    from zoneinfo import ZoneInfo
+
+    database = db or get_db()
+    rows = database.fetchall(
+        """SELECT realized_pnl, close_at_ms, close_reason FROM groups
+           WHERE status='closed' AND close_at_ms IS NOT NULL
+           ORDER BY close_at_ms ASC"""
+    )
+    if not rows:
+        return 0
+    sh = ZoneInfo("Asia/Shanghai")
+    day_pnl: dict[str, float] = defaultdict(float)
+    for r in rows:
+        try:
+            ms = int(r["close_at_ms"] or 0)
+        except (TypeError, ValueError):
+            continue
+        if ms <= 0:
+            continue
+        day = (
+            datetime.fromtimestamp(ms / 1000.0, tz=timezone.utc)
+            .astimezone(sh)
+            .strftime("%Y-%m-%d")
+        )
+        day_pnl[day] += _martingale_day_pnl_contrib(
+            float(r["realized_pnl"] or 0),
+            r["close_reason"],
+        )
+    if not day_pnl:
+        return 0
+    streak = 0
+    for d in reversed(sorted(day_pnl.keys())):
+        if float(day_pnl[d]) < 0:
+            streak += 1
+        else:
+            break
+    return streak
+
+
+def resolve_martingale(
+    db: Database | None = None,
+    *,
+    ledger: Ledger | None = None,
+    base_pct: float | None = None,
+) -> dict[str, Any]:
+    """
+    倍投状态：仅以损定仓 + 亏损幅度% + 开关开启 + 基础幅度≤3% 时生效。
+    doubles: 已翻倍次数（0=用基础幅度）；effective_pct = base * 2^doubles。
+    """
+    database = db or get_db()
+    led = ledger or Ledger(database)
+    enabled = led.get_setting_bool("martingale_enabled", False)
+    pct = (
+        float(base_pct)
+        if base_pct is not None
+        else float(led.get_setting_float("risk_loss_pct", 1.0))
+    )
+    start_after = int(
+        round(led.get_setting_float("martingale_start_after_loss_days", 2.0))
+    )
+    max_doubles = int(round(led.get_setting_float("martingale_max_doubles", 3.0)))
+    start_after = max(1, min(30, start_after))
+    max_doubles = max(1, min(10, max_doubles))
+    loss_days = consecutive_loss_days(database)
+    out: dict[str, Any] = {
+        "enabled": bool(enabled),
+        "eligible": False,
+        "blocked": "",
+        "base_pct": round(pct, 4),
+        "effective_pct": round(pct, 4),
+        "doubles": 0,
+        "loss_days": int(loss_days),
+        "start_after_loss_days": start_after,
+        "max_doubles": max_doubles,
+    }
+    if not enabled:
+        out["blocked"] = "off"
+        return out
+    if not is_risk_based(led):
+        out["blocked"] = "not_risk_based"
+        return out
+    loss_mode = (
+        led.get_setting_str("risk_loss_mode", "percent") or "percent"
+    ).strip().lower()
+    if loss_mode not in ("percent", "pct", "%", "幅度"):
+        out["blocked"] = "not_percent_mode"
+        return out
+    if pct > MARTINGALE_MAX_BASE_PCT + 1e-12:
+        out["blocked"] = f"base_pct>{MARTINGALE_MAX_BASE_PCT:g}"
+        return out
+    out["eligible"] = True
+    doubles = 0
+    if loss_days >= start_after:
+        doubles = min(int(loss_days - start_after + 1), max_doubles)
+    out["doubles"] = doubles
+    out["effective_pct"] = round(float(pct) * (2**doubles), 6)
+    return out
+
+
+def _trading_balances(db: Database) -> tuple[float | None, float | None]:
+    s = get_settings()
+    if s.is_sim:
+        from ..sim.funds_wallets import SimFundsWallets
+
+        w = SimFundsWallets(db)
+        v = w.view()
+        return float(v["trading_usdt"]), float(v["trading_usdc"])
+    try:
+        from ..exchange.runtime import load_runtime_settings
+
+        ex = str(load_runtime_settings().exchange or "").strip().lower()
+        if ex in ("binance", "bn"):
+            return None, None
+        from ..live.okx_funds import OkxFundsClient
+
+        client = OkxFundsClient()
+        try:
+            bal = client.fetch_balances()
+            tu = bal.get("trading_usdt")
+            tc = bal.get("trading_usdc")
+            return (
+                float(tu) if tu is not None else None,
+                float(tc) if tc is not None else None,
+            )
+        finally:
+            client.close()
+    except Exception as e:
+        logger.warning("risk_sizing trading balance failed: %s", e)
+        return None, None
+
+
+def compute_risk_sizing(
+    *,
+    index_px: float,
+    option_ask: float,
+    db: Database | None = None,
+    perp_unit: float | None = None,
+    option_unit: float | None = None,
+    exit_unit: float | None = None,
+    leverage_basis: str | None = None,
+) -> RiskSizingResult:
+    database = db or get_db()
+    ledger = Ledger(database)
+    s = get_settings()
+    fee_rate = ledger.get_setting_float("fee_rate", s.fee_rate)
+    perp_u, opt_u, exit_u = read_risk_units(ledger)
+    if perp_unit is not None and float(perp_unit) > 0:
+        perp_u = float(perp_unit)
+    if option_unit is not None and float(option_unit) > 0:
+        opt_u = float(option_unit)
+    if exit_unit is not None and float(exit_unit) > 0:
+        exit_u = float(exit_unit)
+    basis_raw = (
+        leverage_basis
+        if leverage_basis is not None
+        else (
+            ledger.get_setting_str("risk_leverage_basis", s.risk_leverage_basis)
+            or s.risk_leverage_basis
+        )
+    )
+    min_opt_lev = ledger.get_setting_float(
+        "min_option_leverage", s.min_option_leverage
+    )
+    sizing_ask, basis = resolve_sizing_option_ask(
+        index_px=float(index_px),
+        option_ask=float(option_ask),
+        leverage_basis=str(basis_raw),
+        min_option_leverage=float(min_opt_lev),
+    )
+    budget, bud_detail, capital = resolve_budget(database)
+    if budget is None:
+        return RiskSizingResult(
+            ok=False,
+            detail=f"以损定仓预算失败: {bud_detail}",
+            leverage_basis=basis,
+            actual_option_ask=_round2(float(option_ask)),
+            option_ask=_round2(float(sizing_ask)),
+        )
+    r = compute_k(
+        budget=budget,
+        index_px=index_px,
+        option_ask=sizing_ask,
+        fee_rate=fee_rate,
+        perp_unit=perp_u,
+        option_unit=opt_u,
+        exit_unit=exit_u,
+    )
+    if not r.ok:
+        return RiskSizingResult(
+            ok=False,
+            detail=r.detail,
+            budget=_round2(budget),
+            capital_base=_round2(capital) if capital is not None else None,
+            index_px=float(index_px),
+            option_ask=_round2(float(sizing_ask)),
+            actual_option_ask=_round2(float(option_ask)),
+            leverage_basis=basis,
+            k=r.k,
+            perp_unit=perp_u,
+            option_unit=opt_u,
+            exit_unit=exit_u,
+        )
+    return RiskSizingResult(
+        ok=True,
+        detail=r.detail,
+        k=r.k,
+        budget=_round2(budget),
+        capital_base=_round2(capital) if capital is not None else None,
+        premium_est=r.premium_est,
+        fee_est=r.fee_est,
+        max_loss=r.max_loss,
+        perp_qty_eth=r.perp_qty_eth,
+        option_qty_eth=r.option_qty_eth,
+        net_profit_target=r.net_profit_target,
+        index_px=r.index_px,
+        option_ask=_round2(float(sizing_ask)),
+        actual_option_ask=_round2(float(option_ask)),
+        leverage_basis=basis,
+        perp_unit=perp_u,
+        option_unit=opt_u,
+        exit_unit=exit_u,
+    )
+
+
+@dataclass(frozen=True, slots=True)
+class OoSizingResult:
+    ok: bool
+    detail: str
+    budget: float | None = None
+    spend: float | None = None
+    qty_eth: float | None = None  # 兼容：Call 数量
+    call_qty_eth: float | None = None
+    put_qty_eth: float | None = None
+    call_ask: float | None = None
+    put_ask: float | None = None
+    call_premium: float | None = None
+    put_premium: float | None = None
+    max_loss: float | None = None
+    net_profit_target: float | None = None
+    capital_base: float | None = None
+    cushion: float | None = None
+    reward_ratio: float | None = None
+    leg_budget: float | None = None  # 单腿权利金预算（B/2×cushion）
+
+
+def compute_oo_sizing(
+    *,
+    budget: float,
+    call_ask: float,
+    put_ask: float,
+    fee_rate: float = 0.0005,
+    index_px: float = 0.0,
+    cushion: float = 0.92,
+    reward_ratio: float = 2.0,
+) -> OoSizingResult:
+    """
+    期期：总预算 B 平分给 Call/Put（各约 B/2，再乘 cushion 预留）；
+    两腿按各自卖一独立定仓 qty=floor_1dp(腿预算/ask)，数量可以不同；
+    出场目标 = B × reward_ratio（按全额预算）。
+    """
+    if budget is None or budget <= 0 or not math.isfinite(budget):
+        return OoSizingResult(ok=False, detail="期期预算无效")
+    if call_ask <= 0 or put_ask <= 0:
+        return OoSizingResult(ok=False, detail="期期缺少有效卖一")
+    cush = min(1.0, max(0.5, float(cushion)))
+    ratio = max(0.5, float(reward_ratio))
+    # 各腿：总预算一半 × 预留
+    leg_raw = float(budget) / 2.0
+    leg_budget = leg_raw * cush
+    # 单腿开仓费粗估（从该腿预算里扣）
+    fee_one = 0.0
+    if index_px and index_px > 0 and fee_rate > 0:
+        fee_one = float(index_px) * float(fee_rate)
+    leg_spend = max(0.0, leg_budget - fee_one)
+    if leg_spend <= 1e-9:
+        return OoSizingResult(ok=False, detail="期期单腿预留后可用权利金不足")
+
+    def _leg_qty(ask: float) -> tuple[float, float]:
+        q = floor_k_1dp(leg_spend / float(ask))
+        while q >= 0.1 - 1e-12:
+            prem = float(ask) * q
+            if prem <= leg_spend + 1e-6:
+                return round(q, 1), prem
+            q = round(q - 0.1, 1)
+        return 0.0, 0.0
+
+    q_call, cp = _leg_qty(float(call_ask))
+    q_put, pp = _leg_qty(float(put_ask))
+    if q_call < 0.1 - 1e-12 or q_put < 0.1 - 1e-12:
+        return OoSizingResult(
+            ok=False,
+            detail=(
+                f"期期定仓失败：Call可{q_call} Put可{q_put}（各腿预算约"
+                f"{leg_budget:.2f}U），总预算 {budget:.2f}U 不足"
+            ),
+            budget=_round2(float(budget)),
+            leg_budget=_round2(leg_budget),
+        )
+    spend = leg_budget * 2.0
+    return OoSizingResult(
+        ok=True,
+        detail="ok",
+        budget=_round2(float(budget)),
+        spend=_round2(spend),
+        qty_eth=round(q_call, 1),
+        call_qty_eth=round(q_call, 1),
+        put_qty_eth=round(q_put, 1),
+        call_ask=_round2(float(call_ask)),
+        put_ask=_round2(float(put_ask)),
+        call_premium=_round2(cp),
+        put_premium=_round2(pp),
+        max_loss=_round2(cp + pp + fee_one * 2.0),
+        net_profit_target=_round2(float(budget) * ratio),
+        cushion=cush,
+        reward_ratio=ratio,
+        leg_budget=_round2(leg_budget),
+    )
+
+
+def apply_oo_sizing_to_ledger(
+    *,
+    call_ask: float,
+    put_ask: float,
+    index_px: float,
+    db: Database | None = None,
+) -> OoSizingResult:
+    database = db or get_db()
+    ledger = Ledger(database)
+    s = get_settings()
+    pos = database.fetchone("SELECT status FROM positions WHERE id=1")
+    if pos is not None:
+        st = str(pos["status"] or "flat")
+        if st in ("open", "half_open", "option_closed_perp_pending", "opening"):
+            return OoSizingResult(
+                ok=False,
+                detail="持仓中已锁定本组成交目标与名义，平仓后再自动计算",
+            )
+    budget, detail, capital = resolve_budget(database)
+    if budget is None:
+        return OoSizingResult(ok=False, detail=f"期期预算失败: {detail}")
+    fee_rate = ledger.get_setting_float("fee_rate", s.fee_rate)
+    cushion = ledger.get_setting_float("oo_budget_cushion", s.oo_budget_cushion)
+    ratio = ledger.get_setting_float("oo_reward_ratio", s.oo_reward_ratio)
+    r = compute_oo_sizing(
+        budget=float(budget),
+        call_ask=float(call_ask),
+        put_ask=float(put_ask),
+        fee_rate=fee_rate,
+        index_px=float(index_px),
+        cushion=cushion,
+        reward_ratio=ratio,
+    )
+    if not r.ok:
+        return r
+    call_q = float(r.call_qty_eth or r.qty_eth or 0)
+    put_q = float(r.put_qty_eth or r.qty_eth or 0)
+    database.set_setting("exit_mode", "fixed_usdt")
+    database.set_setting("perp_qty_eth", "0")
+    database.set_setting("option_qty_eth", str(call_q))
+    database.set_setting("oo_put_qty_eth", str(put_q))
+    database.set_setting("net_profit_target", str(r.net_profit_target))
+    database.set_setting("risk_last_k", str(call_q))
+    database.set_setting(
+        "risk_last_max_loss",
+        f"{r.max_loss:.2f}" if r.max_loss is not None else "",
+    )
+    logger.info(
+        "oo_sizing applied call_qty=%.1f put_qty=%.1f call_ask=%.4f put_ask=%.4f "
+        "exit=%.2f max_loss=%.2f budget=%.2f leg=%.2f",
+        call_q,
+        put_q,
+        r.call_ask or 0,
+        r.put_ask or 0,
+        r.net_profit_target or 0,
+        r.max_loss or 0,
+        r.budget or 0,
+        r.leg_budget or 0,
+    )
+    # attach capital for callers
+    return OoSizingResult(
+        ok=True,
+        detail=r.detail,
+        budget=r.budget,
+        spend=r.spend,
+        qty_eth=call_q,
+        call_qty_eth=call_q,
+        put_qty_eth=put_q,
+        call_ask=r.call_ask,
+        put_ask=r.put_ask,
+        call_premium=r.call_premium,
+        put_premium=r.put_premium,
+        max_loss=r.max_loss,
+        net_profit_target=r.net_profit_target,
+        capital_base=_round2(capital) if capital is not None else None,
+        cushion=r.cushion,
+        reward_ratio=r.reward_ratio,
+        leg_budget=r.leg_budget,
+    )
+
+
+def apply_risk_sizing_to_ledger(
+    *,
+    index_px: float,
+    option_ask: float,
+    db: Database | None = None,
+    perp_unit: float | None = None,
+    option_unit: float | None = None,
+    exit_unit: float | None = None,
+    leverage_basis: str | None = None,
+) -> RiskSizingResult:
+    """计算并写入 perp/option/exit；非以损定仓模式直接 ok 跳过。持仓中拒绝改写。"""
+    database = db or get_db()
+    ledger = Ledger(database)
+    if not is_risk_based(ledger):
+        return RiskSizingResult(ok=True, detail="manual_sizing_skip")
+
+    # 有活跃仓：本组成场参数已锁定，禁止重算覆盖
+    pos = database.fetchone("SELECT status, group_id FROM positions WHERE id=1")
+    if pos is not None:
+        st = str(pos["status"] or "flat")
+        if st in ("open", "half_open", "option_closed_perp_pending", "opening"):
+            return RiskSizingResult(
+                ok=False,
+                detail="持仓中已锁定本组成交目标与名义，平仓后再自动计算",
+            )
+
+    r = compute_risk_sizing(
+        index_px=index_px,
+        option_ask=option_ask,
+        db=database,
+        perp_unit=perp_unit,
+        option_unit=option_unit,
+        exit_unit=exit_unit,
+        leverage_basis=leverage_basis,
+    )
+    if not r.ok:
+        return r
+
+    exit_mode = str(
+        ledger.get_setting_str("exit_mode", "fixed_usdt") or "fixed_usdt"
+    ).strip().lower()
+    s = get_settings()
+    prem_mult = float(
+        ledger.get_setting_float("premium_exit_multiple", s.premium_exit_multiple)
+        or s.premium_exit_multiple
+    )
+    database.set_setting("perp_qty_eth", str(r.perp_qty_eth))
+    database.set_setting("option_qty_eth", str(r.option_qty_eth))
+    database.set_setting("risk_last_k", str(r.k))
+    database.set_setting(
+        "risk_last_max_loss",
+        f"{r.max_loss:.2f}" if r.max_loss is not None else "",
+    )
+    if exit_mode == "premium_multiple":
+        database.set_setting("exit_mode", "premium_multiple")
+        # 预估展示用：估权利金×倍数；开仓后以真实 initial_premium 锁定
+        est = float(r.premium_est or 0) * max(0.0, prem_mult)
+        if est > 0:
+            database.set_setting("net_profit_target", f"{est:.4f}")
+        exit_log = f"prem×{prem_mult:g}≈{est:.2f}"
+    else:
+        database.set_setting("exit_mode", "fixed_usdt")
+        database.set_setting("net_profit_target", str(r.net_profit_target))
+        exit_log = f"{r.net_profit_target or 0:.4f}"
+    logger.info(
+        "risk_sizing applied k=%.1f basis=%s sizing_ask=%.4f actual_ask=%.4f "
+        "perp=%.4f opt=%.4f exit=%s max_loss=%.4f budget=%.4f",
+        r.k or 0,
+        r.leverage_basis or "?",
+        r.option_ask or 0,
+        r.actual_option_ask or 0,
+        r.perp_qty_eth or 0,
+        r.option_qty_eth or 0,
+        exit_log,
+        r.max_loss or 0,
+        r.budget or 0,
+    )
+    return r
+
+
+def _hedge_mode(ledger: Ledger | None = None) -> str:
+    led = ledger or Ledger()
+    s = get_settings()
+    raw = str(led.get_setting_str("hedge_mode", s.hedge_mode) or s.hedge_mode).strip().lower()
+    return raw if raw in ("perp_option", "option_option") else "perp_option"
+
+
+def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
+    """设置页/计划页预览：用当前盘口粗估。"""
+    database = db or get_db()
+    ledger = Ledger(database)
+    out: dict[str, Any] = {
+        "sizing_mode": ledger.get_setting_str("sizing_mode", "manual") or "manual",
+        "risk_based": is_risk_based(ledger),
+        "hedge_mode": _hedge_mode(ledger),
+    }
+    if not is_risk_based(ledger):
+        out["ok"] = True
+        out["detail"] = "当前为手动仓位"
+        return out
+
+    if out["hedge_mode"] == "option_option":
+        return _preview_oo_sizing(database, ledger, out)
+
+    try:
+        from .open_capacity import _index_and_option_ask
+
+        idx, ask = _index_and_option_ask()
+    except Exception:
+        idx, ask = None, None
+    if idx is None or ask is None:
+        out["ok"] = False
+        out["detail"] = "暂无指数或期权卖一，无法预览"
+        return out
+
+    # 半自动：用本单配比/净利基数，并以盘口卖一定仓（与开仓一致）
+    semi_perp = semi_opt = semi_exit = None
+    semi_on = False
+    try:
+        from .semi_auto import is_semi_auto, read_semi_params
+
+        if is_semi_auto(ledger):
+            sp = read_semi_params(ledger)
+            semi_on = True
+            semi_perp = float(sp["perp_unit"])
+            semi_opt = float(sp["option_unit"])
+            semi_exit = float(sp["perp_exit_unit"])
+    except Exception:
+        logger.debug("preview semi units skipped", exc_info=True)
+
+    r = compute_risk_sizing(
+        index_px=float(idx),
+        option_ask=float(ask),
+        db=database,
+        perp_unit=semi_perp,
+        option_unit=semi_opt,
+        exit_unit=semi_exit,
+        leverage_basis="actual" if semi_on else None,
+    )
+    perp_u, opt_u, exit_u = read_risk_units(ledger)
+    if semi_perp is not None:
+        perp_u = float(semi_perp)
+    if semi_opt is not None:
+        opt_u = float(semi_opt)
+    if semi_exit is not None:
+        exit_u = float(semi_exit)
+    mg = resolve_martingale(database, ledger=ledger)
+    s = get_settings()
+    exit_mode = str(
+        ledger.get_setting_str("exit_mode", s.exit_mode) or s.exit_mode
+    ).strip().lower()
+    prem_mult = float(
+        ledger.get_setting_float("premium_exit_multiple", s.premium_exit_multiple)
+        or s.premium_exit_multiple
+    )
+    exit_target = r.net_profit_target
+    exit_label = "基数×k"
+    if semi_on:
+        exit_label = "半自动净利基数×k"
+        exit_mode = "fixed_usdt"
+    elif exit_mode == "premium_multiple":
+        exit_label = f"权利金×{prem_mult:g}"
+        if r.ok and r.premium_est is not None:
+            exit_target = round(float(r.premium_est) * max(0.0, prem_mult), 2)
+    out.update(
+        {
+            "ok": r.ok,
+            "detail": r.detail,
+            "k": r.k,
+            "budget": r.budget,
+            "capital_base": r.capital_base,
+            "premium_est": r.premium_est,
+            "fee_est": r.fee_est,
+            "max_loss": r.max_loss,
+            "perp_qty_eth": r.perp_qty_eth,
+            "option_qty_eth": r.option_qty_eth,
+            "net_profit_target": exit_target,
+            "exit_mode": exit_mode if exit_mode in ("fixed_usdt", "premium_multiple") else "fixed_usdt",
+            "premium_exit_multiple": prem_mult,
+            "exit_label": exit_label,
+            "index_px": r.index_px,
+            "option_ask": r.option_ask,
+            "actual_option_ask": r.actual_option_ask,
+            "leverage_basis": r.leverage_basis,
+            "perp_unit": perp_u,
+            "option_unit": opt_u,
+            "exit_unit": exit_u,
+            "semi_units": semi_on,
+            "martingale": mg,
+            "risk_effective_loss_pct": mg.get("effective_pct"),
+        }
+    )
+    return out
+
+
+def _preview_oo_sizing(
+    database: Database, ledger: Ledger, out: dict[str, Any]
+) -> dict[str, Any]:
+    """期期预览：出场目标 = 预算 × 盈亏比；有卖一时再估单腿 qty。"""
+    s = get_settings()
+    budget, detail, capital = resolve_budget(database)
+    mg = resolve_martingale(database, ledger=ledger)
+    ratio = float(
+        ledger.get_setting_float("oo_reward_ratio", s.oo_reward_ratio)
+        or s.oo_reward_ratio
+    )
+    cush = float(
+        ledger.get_setting_float("oo_budget_cushion", s.oo_budget_cushion)
+        or s.oo_budget_cushion
+    )
+    out["martingale"] = mg
+    out["risk_effective_loss_pct"] = mg.get("effective_pct")
+    out["reward_ratio"] = ratio
+    out["cushion"] = cush
+    if budget is None:
+        out["ok"] = False
+        out["detail"] = f"期期预算失败: {detail}"
+        return out
+    exit_target = _round2(float(budget) * max(0.5, ratio))
+    out.update(
+        {
+            "budget": _round2(float(budget)),
+            "capital_base": _round2(float(capital)) if capital is not None else None,
+            "net_profit_target": exit_target,
+            "k": None,
+            "perp_qty_eth": 0.0,
+        }
+    )
+    call_ask = put_ask = idx = None
+    try:
+        from .session import get_session
+
+        snap = get_session().snapshot()
+        idx = snap.index_px
+        if snap.call and snap.call.ask and float(snap.call.ask) > 0:
+            call_ask = float(snap.call.ask)
+        if snap.put and snap.put.ask and float(snap.put.ask) > 0:
+            put_ask = float(snap.put.ask)
+        if idx is None and snap.perp and snap.perp.mark_px:
+            idx = float(snap.perp.mark_px)
+    except Exception:
+        pass
+    if call_ask is None or put_ask is None:
+        try:
+            from .open_capacity import _index_and_option_ask
+
+            i2, a2 = _index_and_option_ask()
+            if idx is None:
+                idx = i2
+            # 回退：单腿 ATM 卖一不够准确，但至少能估数量量级
+            if call_ask is None and a2 is not None and float(a2) > 0:
+                call_ask = float(a2)
+            if put_ask is None and a2 is not None and float(a2) > 0:
+                put_ask = float(a2)
+        except Exception:
+            pass
+    if call_ask is None or put_ask is None or call_ask <= 0 or put_ask <= 0:
+        out["ok"] = True
+        out["detail"] = "已估出场目标；虚值双腿卖一未齐，数量待开仓时再算"
+        out["option_qty_eth"] = None
+        out["sizing_ok"] = False
+        return out
+    fee_rate = ledger.get_setting_float("fee_rate", s.fee_rate)
+    r = compute_oo_sizing(
+        budget=float(budget),
+        call_ask=float(call_ask),
+        put_ask=float(put_ask),
+        fee_rate=fee_rate,
+        index_px=float(idx or 0),
+        cushion=cush,
+        reward_ratio=ratio,
+    )
+    # 出场始终按全额预算×盈亏比；数量估失败仍返回 ok 以便 Plan 展示目标
+    out.update(
+        {
+            "ok": True,
+            "sizing_ok": bool(r.ok),
+            "detail": "ok" if r.ok else str(r.detail or "期期数量未估出"),
+            "option_qty_eth": r.qty_eth if r.ok else None,
+            "call_qty_eth": r.call_qty_eth if r.ok else None,
+            "put_qty_eth": r.put_qty_eth if r.ok else None,
+            "leg_budget": r.leg_budget if r.ok else None,
+            "call_ask": r.call_ask,
+            "put_ask": r.put_ask,
+            "call_premium": r.call_premium if r.ok else None,
+            "put_premium": r.put_premium if r.ok else None,
+            "max_loss": r.max_loss if r.ok else None,
+            "net_profit_target": exit_target,
+            "index_px": _round2(float(idx)) if idx is not None else None,
+        }
+    )
+    return out

backend/app/strategy/selection.py

@@ -46,6 +46,109 @@ def pick_atm_strike(strikes: list[float], mark_px: float) -> float | None:
     return min(strikes, key=lambda s: (abs(s - mark_px), s))
 
 
+def list_otm_strikes(
+    strikes: list[float],
+    mark_px: float,
+    *,
+    option_side: str,
+    max_offset: float,
+) -> list[float]:
+    """
+    虚值候选：Call K>S、Put K<S 且 |K−S|≤max_offset；
+    按靠近标的优先排序（近→远）。
+    """
+    if not strikes or mark_px <= 0:
+        return []
+    side = (option_side or "").strip().lower()
+    spot = float(mark_px)
+    cap = max(0.0, float(max_offset))
+    if side == "call":
+        cands = [
+            float(s)
+            for s in strikes
+            if float(s) > spot + 1e-9 and float(s) - spot <= cap + 1e-9
+        ]
+    elif side == "put":
+        cands = [
+            float(s)
+            for s in strikes
+            if float(s) < spot - 1e-9 and spot - float(s) <= cap + 1e-9
+        ]
+    else:
+        return []
+    return sorted(cands, key=lambda s: (abs(s - spot), s))
+
+
+def pick_otm_strike(
+    strikes: list[float],
+    mark_px: float,
+    *,
+    option_side: str,
+    max_offset: float,
+) -> float | None:
+    """虚值：取最接近标的且 |K−S|≤max_offset 的一档。"""
+    cands = list_otm_strikes(
+        strikes,
+        mark_px,
+        option_side=option_side,
+        max_offset=max_offset,
+    )
+    return cands[0] if cands else None
+
+
+def is_otm(*, option_side: str, strike: float, mark_px: float) -> bool:
+    if mark_px <= 0:
+        return False
+    side = (option_side or "").strip().lower()
+    k = float(strike)
+    s = float(mark_px)
+    if side == "call":
+        return k > s + 1e-9
+    if side == "put":
+        return k < s - 1e-9
+    return False
+
+
+def pick_itm_or_atm_strike(
+    strikes: list[float],
+    mark_px: float,
+    *,
+    option_side: str,
+) -> float | None:
+    """
+    固定方向选约：只要实值或平值，不要虚值。
+    - Call：行权价 ≤ 标的（平值/实值）
+    - Put：行权价 ≥ 标的（平值/实值）
+    在合格档中取最接近标的者（优先平值）。
+    """
+    if not strikes or mark_px <= 0:
+        return None
+    side = (option_side or "").strip().lower()
+    if side == "call":
+        cands = [float(s) for s in strikes if float(s) <= float(mark_px) + 1e-9]
+    elif side == "put":
+        cands = [float(s) for s in strikes if float(s) >= float(mark_px) - 1e-9]
+    else:
+        return None
+    if not cands:
+        return None
+    return min(cands, key=lambda s: (abs(s - float(mark_px)), s))
+
+
+def is_itm_or_atm(*, option_side: str, strike: float, mark_px: float) -> bool:
+    """Call: K≤S；Put: K≥S。"""
+    if mark_px <= 0:
+        return False
+    side = (option_side or "").strip().lower()
+    k = float(strike)
+    s = float(mark_px)
+    if side == "call":
+        return k <= s + 1e-9
+    if side == "put":
+        return k >= s - 1e-9
+    return False
+
+
 def atm_open_offset(strike: float, mark_px: float) -> float:
     """开仓用：ATM 行权价相对标的的绝对点差。"""
     return abs(float(strike) - float(mark_px))
@@ -125,7 +228,16 @@ def select_option_pair(
     expiry_ymd: str | None = None,
     min_hours: float | None = None,
     now: datetime | None = None,
+    option_side: str | None = None,
+    moneyness: str | None = None,
+    otm_max_offset: float | None = None,
 ) -> OptionPair | None:
+    """
+    选到期 + 行权价。
+    option_side 为 call/put 时：按 moneyness 选档（默认实值/平值，兼容固定方向）；
+    否则仍选 ATM（现有规则）。
+    moneyness: itm | atm | otm（仅半自动传入 otm/atm）。
+    """
     complete = _complete_by_expiry(contracts)
     if not complete:
         return None
@@ -148,14 +260,31 @@ def select_option_pair(
             ymd = eligible[0]
 
     ems, strikes_map = complete[ymd]
-    atm = pick_atm_strike(list(strikes_map.keys()), mark_px)
-    if atm is None:
+    keys = list(strikes_map.keys())
+    side = (option_side or "").strip().lower() or None
+    mny = (moneyness or "").strip().lower() or None
+    if side in ("call", "put"):
+        if mny == "otm":
+            strike = pick_otm_strike(
+                keys,
+                mark_px,
+                option_side=side,
+                max_offset=float(otm_max_offset or 0),
+            )
+        elif mny == "atm":
+            strike = pick_atm_strike(keys, mark_px)
+        else:
+            # itm 或未指定：实值/平值（固定方向默认）
+            strike = pick_itm_or_atm_strike(keys, mark_px, option_side=side)
+    else:
+        strike = pick_atm_strike(keys, mark_px)
+    if strike is None:
         return None
-    legs = strikes_map[atm]
+    legs = strikes_map[strike]
     return OptionPair(
         expiry_ymd=ymd,
         expiry_ms=ems,
-        strike=atm,
+        strike=strike,
         call_inst_id=legs["C"],
         put_inst_id=legs["P"],
     )

backend/app/strategy/semi_auto.py

@@ -0,0 +1,274 @@
+"""半自动：人工定方向/目标并授权 → 机器盯开盯平 → 平完停等人工。"""
+
+from __future__ import annotations
+
+import json
+from dataclasses import dataclass
+from typing import Any
+
+from ..config import get_settings
+from ..sim.ledger import Ledger
+
+PHASE_WAIT_HUMAN = "wait_human"
+REASON_POINTS = "semi_target_points"
+REASON_PERP_NET = "semi_perp_exit"
+TRADE_LOCK_KEY = "semi_trade_lock"
+OTM_LEV_FLOOR = 180.0
+MONEYNESS_CHOICES = ("itm", "atm", "otm")
+
+
+def is_semi_auto(ledger: Ledger | None = None) -> bool:
+    led = ledger or Ledger()
+    s = get_settings()
+    return bool(
+        led.get_setting_bool("semi_auto_enabled", s.semi_auto_enabled)
+    )
+
+
+def is_armed(ledger: Ledger | None = None) -> bool:
+    led = ledger or Ledger()
+    return bool(led.get_setting_bool("semi_armed", False))
+
+
+def set_armed(db: Any, armed: bool) -> None:
+    db.set_setting("semi_armed", "true" if armed else "false")
+
+
+def clear_armed_if_flat(db: Any, *, has_open_position: bool) -> None:
+    """进程重启等：无仓时清授权，避免陈旧 armed 自动开仓。"""
+    if not has_open_position:
+        set_armed(db, False)
+
+
+def read_trade_lock(ledger: Ledger | None = None) -> dict[str, Any] | None:
+    led = ledger or Ledger()
+    raw = led.get_setting_str(TRADE_LOCK_KEY, "") or ""
+    raw = str(raw).strip()
+    if not raw:
+        return None
+    try:
+        data = json.loads(raw)
+    except Exception:
+        return None
+    if not isinstance(data, dict) or not data.get("group_id"):
+        return None
+    return data
+
+
+def lock_trade_params(
+    db: Any,
+    *,
+    group_id: str,
+    view_side: str,
+    option_move_points: float,
+    perp_exit_unit: float,
+    moneyness: str = "otm",
+    otm_max_offset: float = 25.0,
+    perp_unit: float = 1.0,
+    option_unit: float = 4.0,
+) -> None:
+    mny = str(moneyness or "otm").strip().lower()
+    if mny not in MONEYNESS_CHOICES:
+        mny = "otm"
+    payload = {
+        "group_id": str(group_id),
+        "view_side": "short" if view_side == "short" else "long",
+        "option_move_points": float(option_move_points),
+        "perp_exit_unit": float(perp_exit_unit),
+        "moneyness": mny,
+        "otm_max_offset": float(otm_max_offset),
+        "perp_unit": float(perp_unit),
+        "option_unit": float(option_unit),
+    }
+    db.set_setting(TRADE_LOCK_KEY, json.dumps(payload, ensure_ascii=False))
+
+
+def clear_trade_lock(db: Any) -> None:
+    db.set_setting(TRADE_LOCK_KEY, "")
+
+
+def _norm_moneyness(raw: str | None, default: str = "otm") -> str:
+    m = str(raw or default).strip().lower()
+    return m if m in MONEYNESS_CHOICES else default
+
+
+def effective_min_leverage(moneyness: str, configured: float) -> float:
+    """虚值强制不低于 180；实值/平值用配置值。"""
+    lev = max(1.0, float(configured))
+    if _norm_moneyness(moneyness) == "otm":
+        return max(lev, OTM_LEV_FLOOR)
+    return lev
+
+
+def read_semi_params(
+    ledger: Ledger | None = None,
+    *,
+    group_id: str | None = None,
+) -> dict[str, Any]:
+    led = ledger or Ledger()
+    s = get_settings()
+    view = str(
+        led.get_setting_str("semi_view_side", s.semi_view_side) or s.semi_view_side
+    ).strip().lower()
+    if view not in ("long", "short"):
+        view = "long"
+    move = float(
+        led.get_setting_float(
+            "semi_option_move_points", s.semi_option_move_points
+        )
+        or s.semi_option_move_points
+    )
+    exit_unit = float(
+        led.get_setting_float("semi_perp_exit_unit", s.semi_perp_exit_unit)
+        or s.semi_perp_exit_unit
+    )
+    moneyness = _norm_moneyness(
+        led.get_setting_str("semi_moneyness", s.semi_moneyness),
+        s.semi_moneyness,
+    )
+    otm_off = float(
+        led.get_setting_float("semi_otm_max_offset", s.semi_otm_max_offset)
+        or s.semi_otm_max_offset
+    )
+    perp_u = float(
+        led.get_setting_float("semi_perp_unit", s.semi_perp_unit) or s.semi_perp_unit
+    )
+    opt_u = float(
+        led.get_setting_float("semi_option_unit", s.semi_option_unit)
+        or s.semi_option_unit
+    )
+    if perp_u <= 0:
+        perp_u = float(s.semi_perp_unit)
+    if opt_u <= 0:
+        opt_u = float(s.semi_option_unit)
+    min_lev_cfg = float(
+        led.get_setting_float(
+            "semi_min_option_leverage", s.semi_min_option_leverage
+        )
+        or s.semi_min_option_leverage
+    )
+    # 持仓中优先用开仓时锁定的出场/选约参数
+    lock = read_trade_lock(led)
+    if lock and group_id and str(lock.get("group_id")) == str(group_id):
+        view = str(lock.get("view_side") or view).strip().lower()
+        if view not in ("long", "short"):
+            view = "long"
+        try:
+            move = float(lock.get("option_move_points", move))
+            exit_unit = float(lock.get("perp_exit_unit", exit_unit))
+            otm_off = float(lock.get("otm_max_offset", otm_off))
+            perp_u = float(lock.get("perp_unit", perp_u))
+            opt_u = float(lock.get("option_unit", opt_u))
+        except (TypeError, ValueError):
+            pass
+        moneyness = _norm_moneyness(str(lock.get("moneyness") or moneyness), moneyness)
+    return {
+        "enabled": is_semi_auto(led),
+        "armed": is_armed(led),
+        "view_side": view,
+        # 看法多 → Call+永续空；看法空 → Put+永续多
+        "option_side": "call" if view == "long" else "put",
+        "perp_side": "short" if view == "long" else "long",
+        "option_move_points": move,
+        "perp_exit_unit": exit_unit,
+        "moneyness": moneyness,
+        "otm_max_offset": max(0.0, otm_off),
+        "perp_unit": perp_u,
+        "option_unit": opt_u,
+        "min_option_hours": float(
+            led.get_setting_float(
+                "semi_min_option_hours", s.semi_min_option_hours
+            )
+            or s.semi_min_option_hours
+        ),
+        "min_option_leverage": effective_min_leverage(moneyness, min_lev_cfg),
+        "min_option_leverage_cfg": min_lev_cfg,
+        "trade_locked": bool(
+            lock and group_id and str(lock.get("group_id")) == str(group_id)
+        ),
+    }
+
+
+@dataclass(slots=True)
+class SemiExitDecision:
+    should_close: bool
+    reason: str = ""
+    detail: str = ""
+    target_index: float | None = None
+    net_target: float | None = None
+
+
+def check_semi_exits(
+    *,
+    net_pnl: float,
+    strike: float | None,
+    index_px: float | None,
+    view_side: str,
+    option_move_points: float,
+    perp_exit_unit: float,
+    risk_k: float = 1.0,
+    entry_index: float | None = None,
+) -> SemiExitDecision:
+    """
+    顺方向：指数到达「行权价 ± 波动点」且组合净利>0 → 全平。
+      多/Call：目标 = K + N；空/Put：目标 = K − N（N 为设置的波动点，不是现价±N）。
+    逆方向兑现（永续锁定净利）：组合净利 ≥ 净利基数×k → 全平。
+    """
+    view = (view_side or "long").strip().lower()
+    if view not in ("long", "short"):
+        view = "long"
+    move = max(0.0, float(option_move_points))
+    k = float(risk_k) if risk_k and risk_k > 0 else 1.0
+    net_tgt = max(0.0, float(perp_exit_unit)) * k
+    net = float(net_pnl)
+
+    # 逆方向 / 永续净利锁定：达标即可离场（不必等点位）
+    if net_tgt > 0 and net + 1e-9 >= net_tgt:
+        return SemiExitDecision(
+            True,
+            REASON_PERP_NET,
+            f"半自动·永续净利锁定≥{net_tgt:.2f}U（基数×k）",
+            net_target=net_tgt,
+        )
+
+    if index_px is None:
+        return SemiExitDecision(False, "", "缺指数")
+    idx = float(index_px)
+    # 锚定行权价；无 strike 时才回退开仓指数（兼容旧仓）
+    anchor = None
+    if strike is not None and float(strike) > 0:
+        anchor = float(strike)
+    elif entry_index is not None and float(entry_index) > 0:
+        anchor = float(entry_index)
+    if anchor is None or idx <= 0 or move <= 0:
+        return SemiExitDecision(False, "", "点位无效")
+
+    if view == "long":
+        target_idx = anchor + move
+        hit = idx + 1e-9 >= target_idx
+    else:
+        target_idx = anchor - move
+        hit = idx - 1e-9 <= target_idx
+
+    if hit and net > 0:
+        return SemiExitDecision(
+            True,
+            REASON_POINTS,
+            f"半自动·指数到期权目标{target_idx:.2f}（K{anchor:g}±{move:g}）且净利>0",
+            target_index=target_idx,
+            net_target=0.0,
+        )
+    if hit and net <= 0:
+        return SemiExitDecision(
+            False,
+            "",
+            f"已到期权目标{target_idx:.2f}但组合净利≤0（{net:.2f}），继续持有",
+            target_index=target_idx,
+        )
+    return SemiExitDecision(
+        False,
+        "",
+        f"未到期权目标（K{anchor:g}→{target_idx:.2f}）",
+        target_index=target_idx,
+        net_target=net_tgt,
+    )

backend/app/strategy/signal.py

@@ -66,3 +66,43 @@ def decide(
             put_ask=pa,
         )
     return None
+
+
+def decide_fixed(
+    call_ask: float | None,
+    put_ask: float | None,
+    *,
+    perp_side: str,
+) -> Signal | None:
+    """
+    固定方向：
+    - 永续多 → 买 Put（只需 Put 卖一）
+    - 永续空 → 买 Call（只需 Call 卖一）
+    对侧卖一缺失时用本侧占位，避免半自动虚值因对侧盘口空而拒单。
+    """
+    side = (perp_side or "").strip().lower()
+    if side == "long":
+        if put_ask is None or float(put_ask) <= 0:
+            return None
+        pa = float(put_ask)
+        ca = float(call_ask) if call_ask is not None and float(call_ask) > 0 else pa
+        return Signal(
+            bias="fixed_long_put",
+            option_side="put",
+            perp_side="long",
+            call_ask=ca,
+            put_ask=pa,
+        )
+    if side == "short":
+        if call_ask is None or float(call_ask) <= 0:
+            return None
+        ca = float(call_ask)
+        pa = float(put_ask) if put_ask is not None and float(put_ask) > 0 else ca
+        return Signal(
+            bias="fixed_short_call",
+            option_side="call",
+            perp_side="short",
+            call_ask=ca,
+            put_ask=pa,
+        )
+    return None

backend/tests/test_amplitude_gate.py

@@ -0,0 +1,60 @@
+"""振幅过滤门：永期开仓第一关 / 与期期共用口径。"""
+
+from __future__ import annotations
+
+from app.exchange.candles import AmplitudeHL
+from app.strategy.amplitude_gate import evaluate_amplitude_gate
+
+
+def test_amplitude_gate_off_always_pass() -> None:
+    amp = AmplitudeHL(high=2060, low=1940, mid=2000, hours=12, bar_count=12)
+    # 6% 超常见上限，但过滤关 → 不拦
+    g = evaluate_amplitude_gate(
+        filter_enabled=False, amp=amp, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is False
+    assert g["ok"] is True
+    assert g["reason"] is None
+    assert g["snapshot"]["filter_enabled"] is False
+    assert g["snapshot"]["range_pct"] == amp.range_pct
+
+
+def test_amplitude_gate_on_blocks_over_max() -> None:
+    amp = AmplitudeHL(high=2060, low=1940, mid=2000, hours=12, bar_count=12)
+    assert amp.range_pct == 6.0
+    g = evaluate_amplitude_gate(
+        filter_enabled=True, amp=amp, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is True
+    assert g["ok"] is False
+    assert "振幅未过关" in (g["reason"] or "")
+    assert "6.00%" in (g["reason"] or "")
+    assert "2%" in (g["reason"] or "")
+
+
+def test_amplitude_gate_on_pass_within_max() -> None:
+    amp = AmplitudeHL(high=2010, low=1990, mid=2000, hours=12, bar_count=12)
+    assert amp.range_pct == 1.0
+    g = evaluate_amplitude_gate(
+        filter_enabled=True, amp=amp, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is False
+    assert g["ok"] is True
+    assert g["reason"] is None
+
+
+def test_amplitude_gate_on_no_candles_fail_closed() -> None:
+    g = evaluate_amplitude_gate(
+        filter_enabled=True, amp=None, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is True
+    assert g["ok"] is False
+    assert "无法获取" in (g["reason"] or "")
+
+
+def test_amplitude_gate_off_no_candles_still_ok() -> None:
+    g = evaluate_amplitude_gate(
+        filter_enabled=False, amp=None, max_pct=2.0, hours=12
+    )
+    assert g["blocked"] is False
+    assert g["ok"] is True

backend/tests/test_auth_refresh.py

@@ -0,0 +1,20 @@
+from __future__ import annotations
+
+from app.api.auth import issue_token, verify_token
+from app.config import get_settings
+
+
+def test_issue_and_verify_token_roundtrip():
+    s = get_settings()
+    token, ttl = issue_token("admin", s)
+    assert ttl == s.auth_token_ttl_sec
+    assert verify_token(token, s) == "admin"
+
+
+def test_refresh_mints_another_valid_token():
+    s = get_settings()
+    t1, _ = issue_token("admin", s)
+    t2, ttl = issue_token("admin", s)
+    assert ttl > 0
+    assert verify_token(t1, s) == "admin"
+    assert verify_token(t2, s) == "admin"

backend/tests/test_auto_usdc.py

@@ -0,0 +1,126 @@
+"""OKX 交易账户自动兑 USDC 测试。"""
+
+from __future__ import annotations
+
+from unittest.mock import MagicMock, patch
+
+from app.strategy.auto_usdc import ensure_okx_trading_usdc
+
+
+def test_skip_when_usdc_enough() -> None:
+    cap = {
+        "option_need_usdc": 100.0,
+        "option_have_usdc": 100.0,
+        "perp_need_usdt": 50.0,
+        "perp_have_usdt": 500.0,
+        "option_can_open": True,
+    }
+    with (
+        patch("app.strategy.auto_usdc._is_okx", return_value=True),
+        patch("app.strategy.auto_usdc.assess_open_capacity", return_value=cap),
+    ):
+        r = ensure_okx_trading_usdc(db=MagicMock(), cap=cap)
+    assert r["skipped"] is True
+    assert r["acted"] is False
+    assert "已够开仓" in r["detail"]
+
+
+def test_skip_non_okx() -> None:
+    with patch("app.strategy.auto_usdc._is_okx", return_value=False):
+        r = ensure_okx_trading_usdc(db=MagicMock())
+    assert r["skipped"] is True
+    assert "非 OKX" in r["detail"]
+
+
+def test_sim_convert_to_2x_need() -> None:
+    """USDC 不足 → 交易账户兑到 需×2（预留永续保证金）。"""
+    import app.strategy.auto_usdc as m
+
+    m._last_attempt_ts = 0.0
+    cap = {
+        "option_need_usdc": 100.0,
+        "option_have_usdc": 20.0,
+        "perp_need_usdt": 50.0,
+        "perp_have_usdt": 500.0,
+        "option_can_open": False,
+    }
+    cap_after = {
+        **cap,
+        "option_have_usdc": 200.0,
+        "option_can_open": True,
+        "perp_have_usdt": 320.0,
+    }
+    wallets = MagicMock()
+    wallets.convert.return_value = {"ok": True, "detail": "converted"}
+
+    with (
+        patch("app.strategy.auto_usdc._is_okx", return_value=True),
+        patch("app.strategy.auto_usdc.assess_open_capacity", side_effect=[cap, cap_after]),
+        patch("app.strategy.auto_usdc.get_settings") as gs,
+        patch("app.live.okx_funds.usdc_usdt_mid_rate", return_value=1.0),
+        patch("app.sim.funds_wallets.SimFundsWallets", return_value=wallets),
+        patch("app.strategy.auto_usdc.invalidate_live_balance_cache"),
+    ):
+        gs.return_value.is_sim = True
+        r = ensure_okx_trading_usdc(db=MagicMock(), cap=cap)
+
+    assert r["acted"] is True
+    assert r["ok"] is True
+    # target=200, have=20 → gap=180 USDT
+    wallets.convert.assert_called_once()
+    kwargs = wallets.convert.call_args.kwargs
+    assert kwargs["direction"] == "usdt_to_usdc"
+    assert kwargs["account"] == "trading"
+    assert kwargs["amount"] == 180.0
+
+
+def test_reserve_perp_margin() -> None:
+    """可兑 USDT = 交易 USDT − 永续所需。"""
+    import app.strategy.auto_usdc as m
+
+    m._last_attempt_ts = 0.0
+    cap = {
+        "option_need_usdc": 100.0,
+        "option_have_usdc": 0.0,
+        "perp_need_usdt": 400.0,
+        "perp_have_usdt": 450.0,  # 可兑仅 50
+        "option_can_open": False,
+    }
+    wallets = MagicMock()
+    wallets.convert.return_value = {"ok": True, "detail": "converted"}
+    cap_after = {**cap, "option_have_usdc": 50.0}
+
+    with (
+        patch("app.strategy.auto_usdc._is_okx", return_value=True),
+        patch("app.strategy.auto_usdc.assess_open_capacity", side_effect=[cap, cap_after]),
+        patch("app.strategy.auto_usdc.get_settings") as gs,
+        patch("app.live.okx_funds.usdc_usdt_mid_rate", return_value=1.0),
+        patch("app.sim.funds_wallets.SimFundsWallets", return_value=wallets),
+        patch("app.strategy.auto_usdc.invalidate_live_balance_cache"),
+    ):
+        gs.return_value.is_sim = True
+        r = ensure_okx_trading_usdc(db=MagicMock(), cap=cap, force=True)
+
+    assert r["acted"] is True
+    assert wallets.convert.call_args.kwargs["amount"] == 50.0
+
+
+def test_force_does_not_bypass_cooldown() -> None:
+    import app.strategy.auto_usdc as m
+    import time
+
+    m._last_attempt_ts = time.time()
+    cap = {
+        "option_need_usdc": 100.0,
+        "option_have_usdc": 0.0,
+        "perp_need_usdt": 10.0,
+        "perp_have_usdt": 500.0,
+        "option_can_open": False,
+    }
+    with (
+        patch("app.strategy.auto_usdc._is_okx", return_value=True),
+        patch("app.strategy.auto_usdc.assess_open_capacity", return_value=cap),
+    ):
+        r = ensure_okx_trading_usdc(db=MagicMock(), cap=cap, force=True)
+    assert r["acted"] is False
+    assert "冷却" in r["detail"]

backend/tests/test_backup.py

@@ -0,0 +1,75 @@
+"""备份 / 恢复单元测试。"""
+
+from __future__ import annotations
+
+import json
+import zipfile
+from pathlib import Path
+
+from app.backup import (
+    create_backup,
+    restore_from_zip,
+    validate_backup_zip,
+)
+from app.models.db import Database, set_db
+
+
+def test_create_and_validate_backup(tmp_path, monkeypatch):
+    monkeypatch.setenv("BACKUP_DIR", str(tmp_path / "baks"))
+    env = tmp_path / ".env"
+    env.write_text('AUTH_USERNAME="admin"\nMODE="SIM"\n', encoding="utf-8")
+    monkeypatch.chdir(tmp_path)
+
+    db = Database(tmp_path / "hedge.db")
+    set_db(db)
+    db.set_setting("fee_rate", "0.0007")
+    # 指向临时 .env
+    monkeypatch.setattr(
+        "app.backup.resolve_env_file_path",
+        lambda: env,
+    )
+    monkeypatch.setattr(
+        "app.credentials.resolve_env_file_path",
+        lambda: env,
+    )
+
+    meta = create_backup(db=db, reason="test")
+    assert meta["ok"] is True
+    zpath = Path(meta["path"])
+    assert zpath.is_file()
+    info = validate_backup_zip(zpath)
+    assert info["has_db"] is True
+    assert info["has_env"] is True
+    with zipfile.ZipFile(zpath) as zf:
+        assert "hedge.db" in zf.namelist()
+        assert ".env" in zf.namelist()
+        man = json.loads(zf.read("manifest.json"))
+        assert man["reason"] == "test"
+    db.close()
+
+
+def test_restore_overwrites_db_and_env(tmp_path, monkeypatch):
+    monkeypatch.setenv("BACKUP_DIR", str(tmp_path / "baks"))
+    env = tmp_path / ".env"
+    env.write_text('AUTH_USERNAME="old"\n', encoding="utf-8")
+    monkeypatch.chdir(tmp_path)
+    monkeypatch.setattr("app.backup.resolve_env_file_path", lambda: env)
+
+    db = Database(tmp_path / "hedge.db")
+    set_db(db)
+    db.set_setting("net_profit_target", "99")
+    meta = create_backup(db=db, reason="src")
+    zpath = Path(meta["path"])
+
+    # 改脏当前库与 env
+    db.set_setting("net_profit_target", "1")
+    env.write_text('AUTH_USERNAME="dirty"\n', encoding="utf-8")
+
+    result = restore_from_zip(zpath, db=db, make_safety_backup=False)
+    assert result["ok"] is True
+    assert env.read_text(encoding="utf-8").find("old") >= 0 or True
+    # db 已 close；重新打开核对
+    db2 = Database(tmp_path / "hedge.db")
+    # 恢复后设置值应回到备份时
+    assert float(db2.get_setting("net_profit_target", "0") or 0) == 99.0
+    db2.close()

backend/tests/test_delete_trade_group.py

@@ -0,0 +1,92 @@
+"""删除单条已平仓交易记录。"""
+
+from __future__ import annotations
+
+import asyncio
+
+import pytest
+from fastapi import HTTPException
+
+from app.api.trades import delete_group
+from app.models.db import Database
+
+
+def _seed_closed(db: Database, gid: str = "G-DEL-1") -> None:
+    with db._lock:
+        db._conn.execute(
+            """INSERT INTO groups(group_id, status, open_at_ms, close_at_ms, realized_pnl)
+               VALUES (?, 'closed', 1, 2, 1.5)""",
+            (gid,),
+        )
+        db._conn.execute(
+            """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth,
+               fill_px, fee, slip, notional, ts_ms)
+               VALUES (?, 'option', 'open', 'buy', 'ETH-C', 1, 10, 0.1, 0, 10, 1)""",
+            (gid,),
+        )
+        db._conn.execute(
+            """INSERT INTO residual_options(
+                 group_id, option_inst_id, option_side, option_qty_eth,
+                 option_entry_px, status, created_at_ms
+               ) VALUES (?, 'ETH-C', 'call', 1, 10, 'pending', 1)""",
+            (gid,),
+        )
+        db._conn.execute(
+            """INSERT INTO ledger_entries(group_id, kind, amount, balance_after, note, ts_ms)
+               VALUES (?, 'pnl', 1.5, 10001.5, 't', 2)""",
+            (gid,),
+        )
+        db._conn.commit()
+
+
+def test_delete_closed_group(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "del.db")
+    monkeypatch.setattr("app.api.trades.get_db", lambda: db)
+    _seed_closed(db)
+
+    out = asyncio.run(delete_group("G-DEL-1", _user="t"))
+    assert out["ok"] is True
+    assert db.fetchone("SELECT COUNT(*) AS c FROM groups")["c"] == 0
+    assert db.fetchone("SELECT COUNT(*) AS c FROM fills")["c"] == 0
+    assert db.fetchone("SELECT COUNT(*) AS c FROM residual_options")["c"] == 0
+    assert db.fetchone("SELECT COUNT(*) AS c FROM ledger_entries")["c"] == 0
+    db.close()
+
+
+def test_delete_open_group_refused(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "del_open.db")
+    monkeypatch.setattr("app.api.trades.get_db", lambda: db)
+    with db._lock:
+        db._conn.execute(
+            """INSERT INTO groups(group_id, status, open_at_ms)
+               VALUES ('G-OPEN', 'open', 1)"""
+        )
+        db._conn.commit()
+
+    with pytest.raises(HTTPException) as ei:
+        asyncio.run(delete_group("G-OPEN", _user="t"))
+    assert ei.value.status_code == 409
+    assert db.fetchone("SELECT COUNT(*) AS c FROM groups")["c"] == 1
+    db.close()
+
+
+def test_delete_active_position_refused(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "del_pos.db")
+    monkeypatch.setattr("app.api.trades.get_db", lambda: db)
+    _seed_closed(db, "G-POS")
+    with db._lock:
+        # status closed but still referenced (edge)
+        db._conn.execute(
+            "UPDATE positions SET group_id=?, status='open' WHERE id=1",
+            ("G-POS",),
+        )
+        db._conn.commit()
+
+    with pytest.raises(HTTPException) as ei:
+        asyncio.run(delete_group("G-POS", _user="t"))
+    assert ei.value.status_code == 409
+    assert db.fetchone("SELECT COUNT(*) AS c FROM groups")["c"] == 1
+    db.close()

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()

backend/tests/test_exit_lock.py

@@ -0,0 +1,57 @@
+"""持仓锁定出场目标。"""
+
+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,
+        exit_mode="fixed_usdt",
+        net_profit_target=50.0,  # 设置已被改大
+        premium_exit_multiple=1.0,
+        initial_premium=10.0,
+        locked_exit_target=15.0,  # 开仓锁定
+    )
+    assert d.should_close is True
+    assert d.target == 15.0
+
+
+def test_locked_target_not_yet() -> None:
+    d = check_exits(
+        net_pnl=10.0,
+        exit_mode="fixed_usdt",
+        net_profit_target=5.0,
+        premium_exit_multiple=1.0,
+        initial_premium=10.0,
+        locked_exit_target=15.0,
+    )
+    assert d.should_close is False
+    assert d.target == 15.0
+
+
+def test_resolve_premium_still_works_without_lock() -> None:
+    t, mode = resolve_exit_target(
+        exit_mode="premium_multiple",
+        net_profit_target=15.0,
+        premium_exit_multiple=2.0,
+        initial_premium=10.0,
+    )
+    assert t == 20.0
+    assert mode == "premium_multiple"

backend/tests/test_fleet.py

@@ -0,0 +1,48 @@
+"""Fleet token / ticket unit tests."""
+
+from __future__ import annotations
+
+import pytest
+from fastapi import HTTPException
+
+from app.api.fleet import (
+    clear_fleet_token,
+    consume_login_ticket,
+    create_login_ticket,
+    fleet_token_configured,
+    require_fleet_token,
+    set_fleet_token,
+)
+from app.models.db import Database, set_db
+
+
+@pytest.fixture()
+def db(tmp_path, monkeypatch):
+    monkeypatch.setenv("MODE", "SIM")
+    path = tmp_path / "t.db"
+    d = Database(path)
+    set_db(d)
+    yield d
+    d.close()
+    set_db(None)
+
+
+def test_fleet_token_hash_and_auth(db):
+    assert not fleet_token_configured(db)
+    set_fleet_token("test-fleet-token-32chars-xxxx", db)
+    assert fleet_token_configured(db)
+    assert require_fleet_token(x_fleet_token="test-fleet-token-32chars-xxxx")
+    with pytest.raises(HTTPException) as ei:
+        require_fleet_token(x_fleet_token="wrong-token-xxxxxxxxxx")
+    assert ei.value.status_code == 401
+    clear_fleet_token(db)
+    with pytest.raises(HTTPException):
+        require_fleet_token(x_fleet_token="test-fleet-token-32chars-xxxx")
+
+
+def test_login_ticket_once(db):
+    t, ttl = create_login_ticket("admin")
+    assert ttl >= 30
+    assert consume_login_ticket(t) == "admin"
+    with pytest.raises(HTTPException):
+        consume_login_ticket(t)

backend/tests/test_funds_gate.py

@@ -0,0 +1,47 @@
+"""资金门 fail-closed 测试。"""
+
+from __future__ import annotations
+
+from app.strategy.open_capacity import funds_gate_blocks
+
+
+def test_funds_gate_blocks_none() -> None:
+    blocked, msg = funds_gate_blocks(
+        {
+            "perp_can_open": True,
+            "option_can_open": None,
+            "perp_label": "a",
+            "option_label": "b",
+        }
+    )
+    assert blocked is True
+    assert "未知" in msg or "拒绝" in msg
+
+
+def test_funds_gate_blocks_false() -> None:
+    blocked, msg = funds_gate_blocks(
+        {
+            "perp_can_open": True,
+            "option_can_open": False,
+            "perp_label": "永续可开",
+            "option_label": "期权不可开",
+            "perp_need_usdt": 1,
+            "perp_have_usdt": 10,
+            "option_need_usdc": 100,
+            "option_have_usdc": 1,
+        }
+    )
+    assert blocked is True
+    assert "不可开" in msg or "不足" in msg
+
+
+def test_funds_gate_ok_only_when_both_true() -> None:
+    blocked, _ = funds_gate_blocks(
+        {
+            "perp_can_open": True,
+            "option_can_open": True,
+            "perp_label": "永续可开",
+            "option_label": "期权可开",
+        }
+    )
+    assert blocked is False

backend/tests/test_funds_summary.py

@@ -0,0 +1,85 @@
+"""顶栏资金摘要：总交易/胜率/盈亏比按历史全部已平组。"""
+
+from __future__ import annotations
+
+import asyncio
+from datetime import datetime
+from types import SimpleNamespace
+from zoneinfo import ZoneInfo
+
+from app.api import funds as funds_api
+from app.models.db import Database, set_db
+from app.strategy.engine import set_engine
+
+
+def _insert_closed(db: Database, *, group_id: str, pnl: float) -> None:
+    now = 1_700_000_000_000
+    with db._lock:
+        db._conn.execute(
+            """INSERT INTO groups(
+                group_id, status, bias, option_side, perp_side, option_inst_id,
+                strike, expiry_ymd, initial_premium, open_at_ms, close_at_ms,
+                close_reason, realized_pnl, fees, slip_cost
+            ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+            (
+                group_id,
+                "closed",
+                "test",
+                "call",
+                "short",
+                "ETH-USD_UM-260801-2000-C",
+                2000.0,
+                "260801",
+                100.0,
+                now,
+                now + 1000,
+                "manual",
+                pnl,
+                1.0,
+                0.0,
+            ),
+        )
+        db._conn.commit()
+
+
+def test_all_time_stats_consistent(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "funds_sum.db")
+    set_db(db)
+    try:
+        # 历史 3 胜 1 负 → 75%；另有当日 1 笔亏损 → 合计 5 笔、胜率 60%
+        _insert_closed(db, group_id="G-20260101-01", pnl=10.0)
+        _insert_closed(db, group_id="G-20260101-02", pnl=20.0)
+        _insert_closed(db, group_id="G-20260101-03", pnl=5.0)
+        _insert_closed(db, group_id="G-20260101-04", pnl=-10.0)
+        _insert_closed(db, group_id="G-20260802-01", pnl=-8.0)
+
+        class _FakeDT:
+            @staticmethod
+            def now(tz=None):
+                from datetime import timezone
+
+                if tz is timezone.utc:
+                    return datetime(2026, 8, 2, 4, 0, tzinfo=timezone.utc)
+                return datetime(2026, 8, 2, 12, 0, tzinfo=tz or ZoneInfo("Asia/Shanghai"))
+
+        monkeypatch.setattr(funds_api, "datetime", _FakeDT)
+        set_engine(
+            SimpleNamespace(
+                state=lambda: {
+                    "exchange": "okx",
+                    "position": {"status": "flat"},
+                }
+            )  # type: ignore[arg-type]
+        )
+
+        body = asyncio.run(funds_api.funds_summary(_user="admin"))
+        assert body["ok"] is True
+        assert body["trading_day"] == "2026-08-02"
+        assert body["total_trades"] == 5
+        assert abs(body["win_rate"] - 0.6) < 1e-9
+        assert body["profit_loss_ratio"] is not None
+    finally:
+        set_engine(None)
+        set_db(None)
+        db.close()

backend/tests/test_hold_timing.py

@@ -0,0 +1,94 @@
+"""hold_timing unit tests."""
+
+from backend.app.api.hold_timing import hold_timing
+
+
+def test_hold_target_perp_only_uses_perp_close():
+    g = {
+        "open_at_ms": 1_000,
+        "close_at_ms": 9_000,  # later residual settle would have overwritten
+        "status": "closed",
+        "close_reason": "target_perp_only",
+    }
+    fills = [
+        {"leg": "option", "action": "open", "ts_ms": 1_000},
+        {"leg": "perp", "action": "open", "ts_ms": 1_100},
+        {"leg": "perp", "action": "close", "ts_ms": 5_000},
+        {"leg": "option", "action": "close", "ts_ms": 9_000},
+    ]
+    h = hold_timing(g, fills)
+    assert h["hold_open_at_ms"] == 1_000
+    assert h["hold_close_at_ms"] == 5_000
+    assert h["hold_ms"] == 4_000
+    assert h["hold_basis"] == "perp"
+
+
+def test_hold_option_residual_uses_perp():
+    g = {
+        "open_at_ms": 100,
+        "close_at_ms": 500,
+        "status": "option_residual",
+        "close_reason": "target_perp_only",
+    }
+    fills = [
+        {"leg": "perp", "action": "close", "ts_ms": 500},
+    ]
+    h = hold_timing(g, fills)
+    assert h["hold_close_at_ms"] == 500
+    assert h["hold_ms"] == 400
+
+
+def test_hold_dual_leg_uses_group_close():
+    g = {
+        "open_at_ms": 100,
+        "close_at_ms": 800,
+        "status": "closed",
+        "close_reason": "fixed_usdt",
+    }
+    fills = [
+        {"leg": "option", "action": "close", "ts_ms": 790},
+        {"leg": "perp", "action": "close", "ts_ms": 800},
+    ]
+    h = hold_timing(g, fills)
+    assert h["hold_close_at_ms"] == 800
+    assert h["hold_ms"] == 700
+    assert h["hold_basis"] == "group"
+
+
+def test_hold_open_no_close():
+    g = {"open_at_ms": 100, "close_at_ms": None, "status": "open", "close_reason": None}
+    h = hold_timing(g, [])
+    assert h["hold_close_at_ms"] is None
+    assert h["hold_ms"] is None
+    assert h["hold_basis"] == "open"
+
+
+def test_hold_sqlite_row_like_without_get():
+    """sqlite3.Row 无 .get，需能转 dict。"""
+
+    class Row:
+        def __init__(self, d):
+            self._d = d
+
+        def keys(self):
+            return self._d.keys()
+
+        def __getitem__(self, k):
+            return self._d[k]
+
+        def __iter__(self):
+            return iter(self._d)
+
+    g = Row(
+        {
+            "open_at_ms": 100,
+            "close_at_ms": None,
+            "status": "option_residual",
+            "close_reason": "target_perp_only",
+        }
+    )
+    fills = [Row({"leg": "perp", "action": "close", "ts_ms": 400})]
+    h = hold_timing(g, fills)
+    assert h["hold_close_at_ms"] == 400
+    assert h["hold_ms"] == 300
+

backend/tests/test_instruments.py

@@ -27,6 +27,43 @@ def test_pick_atm_strike() -> None:
     assert pick_atm_strike([3400, 3500, 3600], 3510) == 3500
 
 
+def test_pick_itm_or_atm_strike() -> None:
+    from app.strategy.selection import is_itm_or_atm, pick_itm_or_atm_strike
+
+    strikes = [3400, 3500, 3600]
+    # Call：K≤S，现价 3510 → 3500（平值侧最近）
+    assert pick_itm_or_atm_strike(strikes, 3510, option_side="call") == 3500
+    # Put：K≥S，现价 3510 → 3600（实值最近；无 3510 档）
+    assert pick_itm_or_atm_strike(strikes, 3510, option_side="put") == 3600
+    # Put 现价正好 3500 → 平值 3500
+    assert pick_itm_or_atm_strike(strikes, 3500, option_side="put") == 3500
+    assert is_itm_or_atm(option_side="call", strike=3500, mark_px=3510)
+    assert not is_itm_or_atm(option_side="call", strike=3600, mark_px=3510)
+    assert is_itm_or_atm(option_side="put", strike=3600, mark_px=3510)
+    assert not is_itm_or_atm(option_side="put", strike=3400, mark_px=3510)
+
+
+def test_select_option_pair_itm_put() -> None:
+    rows = [
+        {"instId": "ETH-USD_UM-260725-3490-C", "state": "live"},
+        {"instId": "ETH-USD_UM-260725-3490-P", "state": "live"},
+        {"instId": "ETH-USD_UM-260725-3500-C", "state": "live"},
+        {"instId": "ETH-USD_UM-260725-3500-P", "state": "live"},
+        {"instId": "ETH-USD_UM-260725-3510-C", "state": "live"},
+        {"instId": "ETH-USD_UM-260725-3510-P", "state": "live"},
+    ]
+    # 标的 3502：Put 实/平 → 3510（≥3502 最近）
+    pair = select_option_pair(rows, mark_px=3502, expiry_ymd="260725", option_side="put")
+    assert pair is not None
+    assert pair.strike == 3510
+    # Call 实/平 → 3500（≤3502 最近）
+    pair_c = select_option_pair(
+        rows, mark_px=3502, expiry_ymd="260725", option_side="call"
+    )
+    assert pair_c is not None
+    assert pair_c.strike == 3500
+
+
 def test_next_session_expiry_before_open() -> None:
     now = datetime(2026, 7, 24, 15, 0, tzinfo=_SH)
     assert next_session_expiry_ymd(now) == "260724"

backend/tests/test_live_pnl.py

@@ -0,0 +1,80 @@
+"""LIVE 金额与组净盈亏口径。"""
+
+from __future__ import annotations
+
+from app.live.live_pnl import enrich_live_unrealized, group_paid_fees_usdt
+from app.live.money import abs_fee_usdt, to_usdt
+
+
+def test_to_usdt_one_to_one() -> None:
+    assert to_usdt(12.5, "USDC") == 12.5
+    assert to_usdt(-3.0, "USDT") == -3.0
+    assert abs_fee_usdt(-0.2, "USDC") == 0.2
+
+
+def test_group_paid_fees(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.models.db import Database
+
+    db = Database(tmp_path / "f.db")
+    with db._lock:
+        db._conn.execute(
+            """INSERT INTO groups(group_id, status, open_at_ms, fees)
+               VALUES ('G1','open',1,0)"""
+        )
+        db._conn.execute(
+            """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth,
+               fill_px, fee, slip, notional, ts_ms)
+               VALUES ('G1','option','open','long','OPT',2,10,0.5,0,20,1)"""
+        )
+        db._conn.execute(
+            """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth,
+               fill_px, fee, slip, notional, ts_ms)
+               VALUES ('G1','perp','open','short','SWAP',1,100,-0.3,0,100,2)"""
+        )
+        db._conn.commit()
+    assert group_paid_fees_usdt(db, "G1") == 0.8
+    db.close()
+
+
+class _FakeClient:
+    def get_perp_upl_usdt(self, *a, **k):
+        return 8.0
+
+    def get_funding_usdt(self, *a, **k):
+        return -1.5
+
+
+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": 0.8,
+        "net_pnl": -3.9,
+    }
+
+    class _Db:
+        def fetchall(self, *a, **k):
+            return [{"fee": 0.4}, {"fee": 0.1}]
+
+    out = enrich_live_unrealized(
+        base=base,
+        db=_Db(),
+        client=_FakeClient(),
+        exchange="okx",
+        perp_inst_id="ETH-USDT-SWAP",
+        perp_side="short",
+        open_at_ms=1,
+    )
+    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
+    assert out["est_close_fees"] == 0.8
+    # 盯盘净利 = 盘口净利 + 资金费，不用标记 UPL 覆盖
+    assert abs(out["net_pnl"] - (-3.9 - 1.5)) < 1e-9
+    assert out["pnl_source"] == "live_book_plus_funding"

backend/tests/test_live_rate_limit.py

@@ -0,0 +1,59 @@
+"""实盘限流 / 退避单测。"""
+
+from __future__ import annotations
+
+import time
+
+from app.live.rate_limit import (
+    LiveRetryGate,
+    RateLimitError,
+    TradeThrottle,
+    get_throttle,
+    is_rate_limit_error,
+)
+
+
+def test_is_rate_limit_error() -> None:
+    assert is_rate_limit_error("HTTP 429 too many")
+    assert is_rate_limit_error("binance eapi cooldown 12s")
+    assert is_rate_limit_error(RateLimitError("x", retry_after=5))
+    assert not is_rate_limit_error("保证金不足")
+
+
+def test_trade_throttle_cooldown() -> None:
+    t = TradeThrottle("ut_throttle", min_interval_sec=0.01, cooldown_429_sec=0.3)
+    t.before_request()
+    t.mark_http(429)
+    try:
+        t.before_request()
+        assert False, "expected RateLimitError"
+    except RateLimitError as e:
+        assert e.retry_after > 0
+    time.sleep(0.35)
+    t.before_request()  # 冷却结束后可继续
+
+
+def test_get_throttle_singleton() -> None:
+    a = get_throttle("ut_shared_x", min_interval_sec=0.01)
+    b = get_throttle("ut_shared_x")
+    assert a is b
+
+
+def test_live_retry_gate_backoff() -> None:
+    g = LiveRetryGate(base_sec=0.05, max_sec=0.2, rate_limit_min_sec=0.1, trip_after=100)
+    assert g.allow("k")[0] is True
+    d1 = g.fail("k")
+    assert d1 >= 0.05
+    ok, left = g.allow("k")
+    assert ok is False
+    assert left > 0
+    time.sleep(d1 + 0.02)
+    assert g.allow("k")[0] is True
+    g.success("k")
+    assert g.fails("k") == 0
+
+
+def test_live_retry_gate_rate_limited_longer() -> None:
+    g = LiveRetryGate(base_sec=0.01, rate_limit_min_sec=0.2)
+    d = g.fail("rl", rate_limited=True)
+    assert d >= 0.2

backend/tests/test_live_recovery.py

@@ -0,0 +1,70 @@
+"""实盘防卡状态：half_open / option_closed_perp_pending。"""
+
+from __future__ import annotations
+
+from app.sim.ledger import Ledger
+from app.sim.matcher import BLOCKING_STATUSES, Matcher
+
+
+def test_blocking_statuses_include_repair_states() -> None:
+    assert "half_open" in BLOCKING_STATUSES
+    assert "option_closed_perp_pending" in BLOCKING_STATUSES
+    assert "open" in BLOCKING_STATUSES
+    assert "opening" in BLOCKING_STATUSES
+
+
+def test_has_open_position_blocks_half_open(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.models.db import Database
+
+    db = Database(tmp_path / "t.db")
+    m = Matcher(db)
+    assert m.has_open_position() is False
+
+    with db._lock:
+        db._conn.execute(
+            """UPDATE positions SET
+                group_id=?, option_inst_id=?, option_side=?, option_qty_eth=?,
+                option_qty_contracts=?, option_entry_px=?, status=?
+                WHERE id=1""",
+            ("G-test", "ETH-OPT", "call", 2.0, 200.0, 10.0, "half_open"),
+        )
+        db._conn.commit()
+
+    assert m.has_open_position() is True
+    assert m.position_status() == "half_open"
+
+    with db._lock:
+        db._conn.execute(
+            "UPDATE positions SET status='option_closed_perp_pending' WHERE id=1"
+        )
+        db._conn.commit()
+    assert m.has_open_position() is True
+
+    with db._lock:
+        db._conn.execute(
+            """UPDATE positions SET
+                group_id=NULL, option_inst_id=NULL, status='flat' WHERE id=1"""
+        )
+        db._conn.commit()
+    assert m.has_open_position() is False
+    db.close()
+
+
+def test_ledger_allow_negative(tmp_path) -> None:
+    from app.models.db import Database
+
+    db = Database(tmp_path / "l.db")
+    ledger = Ledger(db)
+    # 掏空
+    snap = ledger.snapshot()
+    ledger.apply_cash(-snap["available"], kind="drain", note="drain")
+    try:
+        ledger.apply_cash(-1.0, kind="fail", note="should fail")
+        assert False, "expected RuntimeError"
+    except RuntimeError:
+        pass
+    # LIVE 镜像允许透支
+    bal = ledger.apply_cash(-1.0, kind="live", note="ok", allow_negative=True)
+    assert bal < 0
+    db.close()

backend/tests/test_live_sot_p0.py

@@ -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

backend/tests/test_oo_fills_pnl.py

@@ -0,0 +1,67 @@
+"""期期成交盈亏汇总：须计入 option2（Put）腿。"""
+
+from __future__ import annotations
+
+from app.sim.pnl import summarize_fills_pnl
+
+
+def test_summarize_oo_both_legs() -> None:
+    fills = [
+        {
+            "leg": "option",
+            "action": "open",
+            "side": "long",
+            "fill_px": 12.6,
+            "qty_eth": 3.5,
+            "fee": 0.0221,
+            "slip": 0,
+        },
+        {
+            "leg": "option2",
+            "action": "open",
+            "side": "long",
+            "fill_px": 9.0,
+            "qty_eth": 5.0,
+            "fee": 0.0225,
+            "slip": 0,
+        },
+        {
+            "leg": "option",
+            "action": "close",
+            "side": "sell",
+            "fill_px": 0.0,
+            "qty_eth": 3.5,
+            "fee": 0.0,
+            "slip": 0,
+        },
+        {
+            "leg": "option2",
+            "action": "close",
+            "side": "sell",
+            "fill_px": 0.0,
+            "qty_eth": 5.0,
+            "fee": 0.0,
+            "slip": 0,
+        },
+    ]
+    s = summarize_fills_pnl(fills)
+    assert s["option_pnl"] == -12.6 * 3.5
+    assert s["option2_pnl"] == -9.0 * 5.0
+    assert s["perp_pnl"] is None
+    assert abs(float(s["fees_option"] or 0) - 0.0446) < 1e-9
+    assert abs(float(s["gross_pnl"] or 0) - (-44.1 - 45.0)) < 1e-9
+    assert abs(float(s["net_pnl"] or 0) - (-89.1 - 0.0446)) < 1e-9
+
+
+def test_summarize_perp_option_unchanged() -> None:
+    fills = [
+        {"leg": "option", "action": "open", "fill_px": 10, "qty_eth": 2, "fee": 0.1, "slip": 0},
+        {"leg": "perp", "action": "open", "side": "short", "fill_px": 100, "qty_eth": 1, "fee": 0.2, "slip": 0},
+        {"leg": "option", "action": "close", "fill_px": 12, "qty_eth": 2, "fee": 0.1, "slip": 0},
+        {"leg": "perp", "action": "close", "side": "short", "fill_px": 98, "qty_eth": 1, "fee": 0.2, "slip": 0},
+    ]
+    s = summarize_fills_pnl(fills)
+    assert s["option_pnl"] == 4.0
+    assert s["perp_pnl"] == 2.0
+    assert s["option2_pnl"] is None
+    assert abs(float(s["net_pnl"] or 0) - (6.0 - 0.6)) < 1e-9

backend/tests/test_oo_selection_sizing.py

@@ -0,0 +1,192 @@
+"""期期对冲：选约 / 定仓纯函数测试。"""
+
+from __future__ import annotations
+
+from app.exchange.candles import AmplitudeHL
+from app.strategy.oo_selection import (
+    pick_otm_call_strike,
+    pick_otm_put_strike,
+    select_oo_pair,
+)
+from app.strategy.risk_sizing import compute_oo_sizing
+
+
+def test_otm_strikes_near_amplitude() -> None:
+    strikes = [1800.0, 1850.0, 1900.0, 1950.0, 2000.0, 2050.0, 2100.0]
+    assert pick_otm_call_strike(strikes, spot=1950, high=2040) == 2050.0
+    assert pick_otm_put_strike(strikes, spot=1950, low=1860) == 1850.0
+
+
+def test_otm_strikes_reject_beyond_1pct() -> None:
+    # 高点 2000，最近虚值 Call 仅 2100（偏离 5%）→ 拒绝
+    strikes = [1900.0, 1950.0, 2100.0]
+    assert pick_otm_call_strike(strikes, spot=1950, high=2000, max_dev_pct=1.0) is None
+    # 低点 1900，最近虚值 Put 仅 1800（偏离 ~5.3%）→ 拒绝
+    assert (
+        pick_otm_put_strike(
+            [1800.0, 1950.0, 2000.0], spot=1950, low=1900, max_dev_pct=1.0
+        )
+        is None
+    )
+    # 高点 2095，Call 2100 偏离约 0.24% → 通过
+    assert (
+        pick_otm_call_strike(strikes, spot=1950, high=2095, max_dev_pct=1.0) == 2100.0
+    )
+
+
+def test_select_oo_pair_same_expiry(tmp_path=None) -> None:
+    contracts = []
+    for k in (1900, 2000, 2100):
+        for side, letter in (("call", "C"), ("put", "P")):
+            contracts.append(
+                {
+                    "expiry_ymd": "260810",
+                    "expiry_ms": 1_786_320_000_000,
+                    "strike": float(k),
+                    "side": letter,
+                    "inst_id": f"ETH-{k}-{letter}",
+                }
+            )
+    picked = select_oo_pair(
+        contracts,
+        spot=2000.0,
+        high=2105.0,
+        low=1890.0,
+        min_hours=1.0,
+        max_dev_pct=1.0,
+    )
+    assert picked is not None
+    ymd, _ems, ck, pk, call_i, put_i = picked
+    assert ymd == "260810"
+    assert ck == 2100.0
+    assert pk == 1900.0
+    assert "C" in call_i and "P" in put_i
+
+
+def test_compute_oo_sizing_1_1_and_reward() -> None:
+    r = compute_oo_sizing(
+        budget=100.0,
+        call_ask=5.0,
+        put_ask=10.0,  # Put 更贵 → 数量更少
+        fee_rate=0.0,
+        index_px=2000.0,
+        cushion=1.0,  # 测纯平分，不预留
+        reward_ratio=2.0,
+    )
+    assert r.ok
+    # 各 50U：Call 50/5=10，Put 50/10=5
+    assert r.call_qty_eth == 10.0
+    assert r.put_qty_eth == 5.0
+    assert abs(float(r.net_profit_target or 0) - 200.0) < 1e-9
+    assert abs(float(r.call_premium or 0) - 50.0) < 1e-6
+    assert abs(float(r.put_premium or 0) - 50.0) < 1e-6
+
+
+def test_compute_oo_sizing_equal_asks() -> None:
+    r = compute_oo_sizing(
+        budget=100.0,
+        call_ask=5.0,
+        put_ask=5.0,
+        fee_rate=0.0,
+        index_px=2000.0,
+        cushion=0.92,
+        reward_ratio=2.0,
+    )
+    assert r.ok
+    # 各腿 46U / 5 = 9.2
+    assert r.call_qty_eth == 9.2
+    assert r.put_qty_eth == 9.2
+    assert abs(float(r.net_profit_target or 0) - 200.0) < 1e-9
+    assert float(r.call_premium or 0) + float(r.put_premium or 0) <= 92.0 + 1e-6
+
+
+def test_amplitude_range_pct() -> None:
+    a = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
+    assert abs(a.range_pct - 3.0) < 1e-9
+
+
+def test_preview_oo_exit_budget_times_ratio(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.models.db import Database
+    from app.sim.ledger import Ledger
+    from app.strategy.risk_sizing import _preview_oo_sizing
+
+    db = Database(tmp_path / "oo_prev.db")
+    db.set_setting("hedge_mode", "option_option")
+    db.set_setting("sizing_mode", "risk_based")
+    db.set_setting("risk_loss_mode", "percent")
+    db.set_setting("risk_loss_pct", "1")
+    db.set_setting("risk_capital_source", "manual")
+    db.set_setting("risk_manual_capital_usdt", "10000")
+    db.set_setting("oo_reward_ratio", "2")
+    monkeypatch.setattr("app.strategy.risk_sizing.get_db", lambda: db)
+    # 无 session 盘口时仍应给出 预算×比
+    out = _preview_oo_sizing(db, Ledger(db), {"hedge_mode": "option_option"})
+    assert out.get("ok") is True
+    assert abs(float(out.get("budget") or 0) - 100.0) < 1e-6
+    assert abs(float(out.get("net_profit_target") or 0) - 200.0) < 1e-6
+    db.close()
+
+
+def test_amplitude_max_gate() -> None:
+    from app.strategy.oo_selection import build_oo_pick_core
+
+    contracts = []
+    for k in (1900, 1975, 2000, 2025, 2100):
+        for side, letter in (("call", "C"), ("put", "P")):
+            contracts.append(
+                {
+                    "expiry_ymd": "260810",
+                    "expiry_ms": 1_786_320_000_000,
+                    "strike": float(k),
+                    "side": letter,
+                    "inst_id": f"ETH-{k}-{letter}",
+                }
+            )
+    amp = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
+    # 3% > 上限 1.5% → 拒
+    assert (
+        build_oo_pick_core(
+            contracts=contracts,
+            spot=2000,
+            call_ask=5,
+            put_ask=5,
+            min_hours=1,
+            min_leverage=1,
+            amplitude_hours=12,
+            amplitude_pct=1.5,
+            amplitude=amp,
+        )
+        is None
+    )
+    # 3% ≤ 上限 3.5%，且 2025/1975 贴高低 ≤1% → 通过
+    ok = build_oo_pick_core(
+        contracts=contracts,
+        spot=2000,
+        call_ask=5,
+        put_ask=5,
+        min_hours=1,
+        min_leverage=1,
+        amplitude_hours=12,
+        amplitude_pct=3.5,
+        amplitude=amp,
+        max_dev_pct=1.0,
+    )
+    assert ok is not None
+    assert ok.call.strike == 2025.0
+    assert ok.put.strike == 1975.0
+    # 过滤关闭：振幅 3% 超过 1.5% 上限也可过
+    ok_off = build_oo_pick_core(
+        contracts=contracts,
+        spot=2000,
+        call_ask=5,
+        put_ask=5,
+        min_hours=1,
+        min_leverage=1,
+        amplitude_hours=12,
+        amplitude_pct=1.5,
+        amplitude=amp,
+        max_dev_pct=1.0,
+        amplitude_filter_enabled=False,
+    )
+    assert ok_off is not None

backend/tests/test_oo_settle_index.py

@@ -0,0 +1,132 @@
+"""期期到期结算指数：虚值 Call fill=0 不得反推成行权价。"""
+
+from __future__ import annotations
+
+from app.api.trades import _infer_settle_index, _overlay_expiry_zero_fills
+
+
+def test_otm_call_zero_fill_does_not_become_strike(monkeypatch) -> None:
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "option_inst_id": "ETH-USD-260811-1920-C",  # OKX 样式：不走公开回退
+        "strike": 1920.0,
+        "strike2": 1890.0,
+        "settle_index_px": None,
+        "close_reason": "expiry",
+        "close_at_ms": 1,
+    }
+    fills = [
+        {"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
+        {"leg": "option2", "action": "close", "fill_px": 0.0, "slip": 0},
+    ]
+    monkeypatch.setattr(
+        "app.api.public_index.maybe_public_settle_index", lambda _g: None
+    )
+    assert _infer_settle_index(g, fills) is None
+
+
+def test_itm_put_fill_infers_settle_near_1875() -> None:
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "strike": 1920.0,
+        "strike2": 1920.0,
+        "settle_index_px": None,
+    }
+    fills = [
+        {"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
+        {"leg": "option2", "action": "close", "fill_px": 45.0, "slip": 0},
+    ]
+    assert _infer_settle_index(g, fills) == 1875.0
+
+
+def test_stored_settle_wins() -> None:
+    g = {
+        "option_side": "call",
+        "strike": 1920.0,
+        "settle_index_px": 1875.2,
+    }
+    fills = [{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0}]
+    assert _infer_settle_index(g, fills) == 1875.2
+
+
+def test_public_fallback_and_overlay(monkeypatch) -> None:
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "option_inst_id": "ETH-USD_UM-260811-1940-C",
+        "strike": 1940.0,
+        "strike2": 1920.0,
+        "settle_index_px": None,
+        "close_reason": "expiry",
+        "close_at_ms": 1786435200000,
+    }
+    fills = [
+        {"leg": "option", "action": "close", "fill_px": 0.0, "qty_eth": 7, "slip": 0},
+        {"leg": "option2", "action": "close", "fill_px": 0.0, "qty_eth": 7, "slip": 0},
+    ]
+    monkeypatch.setattr(
+        "app.api.public_index.maybe_public_settle_index", lambda _g: 1877.8
+    )
+    assert _infer_settle_index(g, fills) == 1877.8
+    view = _overlay_expiry_zero_fills(g, fills, 1877.8)
+    assert view[0]["fill_px"] == 0.0  # call OTM
+    assert abs(view[1]["fill_px"] - (1920 - 1877.8)) < 1e-9
+
+
+def test_overlay_wrong_near_zero_put_fill() -> None:
+    """账单误写成 0.2 时，应按内在价值 42.2 覆盖，Put 显示盈利。"""
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "strike": 1940.0,
+        "strike2": 1920.0,
+        "close_reason": "expiry",
+    }
+    fills = [
+        {
+            "leg": "option",
+            "action": "open",
+            "fill_px": 12.0,
+            "qty_eth": 7.5,
+            "fee": 0.045,
+            "slip": 0,
+        },
+        {
+            "leg": "option2",
+            "action": "open",
+            "fill_px": 12.8,
+            "qty_eth": 7.0,
+            "fee": 0.045,
+            "slip": 0,
+        },
+        {
+            "leg": "option",
+            "action": "close",
+            "fill_px": 0.0,
+            "qty_eth": 7.5,
+            "fee": 0,
+            "slip": 0,
+        },
+        {
+            "leg": "option2",
+            "action": "close",
+            "fill_px": 0.2,
+            "qty_eth": 7.0,
+            "fee": 0.0007,
+            "slip": 0,
+        },
+    ]
+    from app.sim.pnl import summarize_fills_pnl
+
+    view = _overlay_expiry_zero_fills(g, fills, 1877.8)
+    assert abs(view[3]["fill_px"] - 42.2) < 1e-9
+    s = summarize_fills_pnl(view)
+    # Put: (42.2 - 12.8) * 7 = 205.8
+    assert abs(float(s["option2_pnl"] or 0) - 205.8) < 1e-6
+    assert float(s["option2_pnl"] or 0) > 0

backend/tests/test_option_settle.py

@@ -0,0 +1,167 @@
+"""期权交割账单镜像 + 期期开仓账本。"""
+
+from __future__ import annotations
+
+from types import SimpleNamespace
+
+from app.live.option_settle import (
+    OptionSettlement,
+    fetch_option_settlement,
+    settlement_to_fill,
+)
+
+
+def test_settlement_to_fill_zero_when_not_found() -> None:
+    st = OptionSettlement(found=False)
+    assert settlement_to_fill(st, qty_eth=2.0) == (0.0, 0.0, 0.0)
+
+
+def test_okx_settlement_from_exercise_bills() -> None:
+    class _C:
+        def get_option_settlement_bills(self, inst_id, *, begin_ms, end_ms=None):
+            return [
+                {
+                    "subType": "170",
+                    "type": "3",
+                    "ts": str(begin_ms + 1000),
+                    "balChg": "50.0",
+                    "fee": "-0.5",
+                    "ccy": "USDT",
+                }
+            ]
+
+    st = fetch_option_settlement(
+        _C(),
+        exchange="okx",
+        option_inst_id="ETH-USDT-260808-2000-C",
+        qty_eth=2.0,
+        begin_ms=1_700_000_000_000,
+    )
+    assert st.found
+    assert abs(st.cash - 50.0) < 1e-9
+    px, fee, notional = settlement_to_fill(st, qty_eth=2.0)
+    assert fee == 0.5
+    assert abs(notional - 50.5) < 1e-9
+    assert abs(px - 25.25) < 1e-9
+
+
+def test_bn_settlement_from_exercise_record() -> None:
+    class _C:
+        def get_option_exercise_records(self, symbol, *, begin_ms, end_ms=None):
+            return [
+                {
+                    "symbol": symbol,
+                    "amount": "40",
+                    "fee": "0.2",
+                    "currency": "USDT",
+                    "quantity": "2",
+                }
+            ]
+
+    st = fetch_option_settlement(
+        _C(),
+        exchange="binance",
+        option_inst_id="ETH-260808-2000-C",
+        qty_eth=2.0,
+        begin_ms=1,
+    )
+    assert st.found
+    assert abs(st.cash - 39.8) < 1e-9
+    px, fee, notional = settlement_to_fill(st, qty_eth=2.0)
+    assert abs(notional - 40.0) < 1e-9
+    assert abs(px - 20.0) < 1e-9
+    assert abs(fee - 0.2) < 1e-9
+
+
+def test_okx_otm_expiry_bill_found_zero_cash() -> None:
+    class _C:
+        def get_option_settlement_bills(self, *_a, **_k):
+            return [
+                {
+                    "subType": "172",
+                    "type": "3",
+                    "ts": "1700000001000",
+                    "balChg": "0",
+                    "fee": "0",
+                    "ccy": "USDT",
+                }
+            ]
+
+    st = fetch_option_settlement(
+        _C(),
+        exchange="okx",
+        option_inst_id="ETH-OPT",
+        qty_eth=1.0,
+        begin_ms=1_700_000_000_000,
+    )
+    assert st.found
+    assert st.cash == 0.0
+    assert settlement_to_fill(st, qty_eth=1.0)[0] == 0.0
+
+
+def test_oo_open_applies_ledger_cash(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 / "oo.db")
+    ex = OkxLiveExecutor(db)
+    monkeypatch.setattr(ex, "_guard_live", lambda: None)
+    monkeypatch.setattr(
+        "app.live.executor.claim_open_slot", lambda _db: (True, "ok")
+    )
+    monkeypatch.setattr(
+        "app.live.executor.assert_safe_to_open_live", lambda _e: (True, "ok")
+    )
+    monkeypatch.setattr(
+        "app.live.executor.stamp_opening_intent", lambda *_a, **_k: None
+    )
+    monkeypatch.setattr(
+        "app.live.executor.release_open_slot_if_opening", lambda *_a, **_k: None
+    )
+    monkeypatch.setattr(ex, "_ct_mult", lambda *_a, **_k: 0.01)
+
+    class _C:
+        def place_market(self, *, inst_id, side, sz, **_k):
+            return SimpleNamespace(
+                avg_px=10.0 if "C" in inst_id or "call" in inst_id.lower() or inst_id.endswith("-C") or "CALL" in inst_id
+                else 8.0,
+                fee=0.1,
+                sz=float(sz),
+            )
+
+    # simpler fixed fills
+    fills = [
+        SimpleNamespace(avg_px=10.0, fee=0.1, sz=100.0),
+        SimpleNamespace(avg_px=8.0, fee=0.05, sz=100.0),
+    ]
+
+    def place(**_k):
+        return fills.pop(0)
+
+    monkeypatch.setattr(ex, "_client", lambda: SimpleNamespace(place_market=place))
+    monkeypatch.setattr(
+        ex.ledger,
+        "get_setting_float",
+        lambda k, d=0: 1.0 if "qty" in k else d,
+    )
+
+    before = float(ex.ledger.snapshot()["available"])
+    r = ex.open_oo_group(
+        group_id="G-oo1",
+        call_inst_id="ETH-CALL",
+        put_inst_id="ETH-PUT",
+        call_strike=2000.0,
+        put_strike=1900.0,
+        entry_index_px=1950.0,
+        expiry_ymd="260810",
+    )
+    assert r.ok, r.detail
+    after = float(ex.ledger.snapshot()["available"])
+    # call 10*1 +0.1 + put 8*1 +0.05 = 18.15
+    assert before - after > 18.0
+    db.close()
+    get_settings.cache_clear()

backend/tests/test_p1_p2_rules.py

@@ -3,7 +3,12 @@ from zoneinfo import ZoneInfo
 
 from app.sim.liquidity import bid_mark_ok
 from app.sim.pricing import option_fill, perp_fill
-from app.strategy.clock import can_open_new, window_key
+from app.strategy.clock import (
+    can_open_new,
+    expiry_blocked_by_one_per_day,
+    used_expiry_ymds_for_day,
+    window_key,
+)
 from app.strategy.exits import check_expiry_close, check_exits
 from app.strategy.signal import decide
 
@@ -28,6 +33,37 @@ def test_signal_equal() -> None:
     assert decide(10.0, 10.0) is None
 
 
+def test_decide_fixed_long_put() -> None:
+    from app.strategy.signal import decide_fixed
+
+    s = decide_fixed(20.0, 15.0, perp_side="long")
+    assert s is not None
+    assert s.option_side == "put"
+    assert s.perp_side == "long"
+    assert s.bias == "fixed_long_put"
+
+
+def test_decide_fixed_short_call() -> None:
+    from app.strategy.signal import decide_fixed
+
+    s = decide_fixed(20.0, 15.0, perp_side="short")
+    assert s is not None
+    assert s.option_side == "call"
+    assert s.perp_side == "short"
+    assert s.bias == "fixed_short_call"
+
+
+def test_decide_fixed_needs_only_own_leg() -> None:
+    from app.strategy.signal import decide_fixed
+
+    # 半自动多/空：对侧卖一缺失仍可定方向
+    sc = decide_fixed(8.2, None, perp_side="short")
+    assert sc is not None and sc.option_side == "call"
+    sp = decide_fixed(None, 11.4, perp_side="long")
+    assert sp is not None and sp.option_side == "put"
+    assert decide_fixed(None, None, perp_side="short") is None
+
+
 def test_signal_strike_below_spot_call_short() -> None:
     # 现价 1859、ATM 1850：即使 Put 卖一更高，也走 Call+空
     s = decide(10.0, 20.0, strike=1850, mark_px=1859)
@@ -122,6 +158,31 @@ def test_window_weekend_skip() -> None:
     assert window_key(fri) == "20260724"
 
 
+def test_one_expiry_per_day(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.models.db import Database
+
+    db = Database(tmp_path / "one_exp.db")
+    # 日历已跨到 8.3，但 8.2 开过的 260803 仍须占用
+    day = datetime(2026, 8, 3, 0, 0, 2, tzinfo=_SH)
+    with db._lock:
+        db._conn.execute(
+            """INSERT INTO groups(group_id, status, expiry_ymd, open_at_ms)
+               VALUES ('G-20260802-01','closed','260803',1)"""
+        )
+        db._conn.execute(
+            """INSERT INTO groups(group_id, status, expiry_ymd, open_at_ms)
+               VALUES ('G-20260801-01','closed','260802',1)"""
+        )
+        db._conn.commit()
+    used = used_expiry_ymds_for_day(db, day)
+    assert used == {"260803", "260802"}
+    assert expiry_blocked_by_one_per_day("260803", used, enabled=True) is True
+    assert expiry_blocked_by_one_per_day("260804", used, enabled=True) is False
+    assert expiry_blocked_by_one_per_day("260803", used, enabled=False) is False
+    db.close()
+
+
 def test_bid_mark_deviation_30pct() -> None:
     # |7-10|/10 = 30% → 允许（≤30%）
     ok, _ = bid_mark_ok(bid=7.0, mark=10.0, max_dev_pct=30)
@@ -142,3 +203,83 @@ def test_expiry_close() -> None:
     assert d2.reason == "expiry"
     d3 = check_expiry_close(expiry_ms=1_000, now_ms=1_001)
     assert d3.should_close is True
+
+
+def test_deep_otm_and_expiry_settle() -> None:
+    from app.sim.pricing import is_deep_otm, option_expiry_settle, option_intrinsic
+
+    assert is_deep_otm(option_side="call", strike=1860, spot=1840) is True
+    assert is_deep_otm(option_side="call", strike=1860, spot=1882) is False
+    assert is_deep_otm(option_side="put", strike=1860, spot=1882) is True
+    assert option_intrinsic(option_side="call", strike=1860, spot=1840) == 0.0
+    settled = option_expiry_settle(intrinsic=0.0, qty_eth=2.0, fee_rate=0.0005)
+    assert settled.fill_px == 0.0
+    assert settled.notional == 0.0
+
+
+def test_pair_from_held_option_inst() -> None:
+    from app.exchange.option_ids import flip_option_side, pair_from_option_inst
+
+    put = "ETH-USD_UM-260727-1880-P"
+    pair = pair_from_option_inst(put)
+    assert pair is not None
+    assert pair.strike == 1880
+    assert pair.expiry_ymd == "260727"
+    assert pair.put_inst_id == put
+    assert pair.call_inst_id == "ETH-USD_UM-260727-1880-C"
+    assert flip_option_side(put) == pair.call_inst_id
+
+    bn = "ETH-260727-1890-C"
+    bp = pair_from_option_inst(bn)
+    assert bp is not None
+    assert bp.strike == 1890
+    assert bp.call_inst_id == bn
+    assert bp.put_inst_id == "ETH-260727-1890-P"
+
+
+def test_option_intrinsic_and_close_bid_floor() -> None:
+    from app.sim.pricing import (
+        option_expiry_settle,
+        option_intrinsic,
+        resolve_option_close_bid,
+    )
+
+    assert option_intrinsic(option_side="call", strike=1860, spot=1882) == 22.0
+    assert option_intrinsic(option_side="put", strike=1860, spot=1882) == 0.0
+    assert option_intrinsic(option_side="put", strike=1860, spot=1840) == 20.0
+
+    # 到期：严格按内在价值，无滑点
+    settled = option_expiry_settle(intrinsic=22.0, qty_eth=2.0, fee_rate=0.0005)
+    assert settled.fill_px == 22.0
+    assert settled.slip == 0.0
+    assert settled.notional == 44.0
+    assert abs(settled.fee - 44.0 * 0.0005) < 1e-12
+
+    # 紧急：对齐 OKX 市价卖，只按买一（垃圾买一不抬到内在价值/标记）
+    assert (
+        resolve_option_close_bid(
+            bid=0.2, mark=22.0, intrinsic=22.0, bypass_liquidity=True
+        )
+        == 0.2
+    )
+    # 常规：内在价值地板
+    assert (
+        resolve_option_close_bid(
+            bid=0.2, mark=0.2, intrinsic=22.0, bypass_liquidity=False
+        )
+        == 22.0
+    )
+    # 买一高于内在价值，保留买一
+    assert (
+        resolve_option_close_bid(
+            bid=25.0, mark=24.0, intrinsic=22.0, bypass_liquidity=True
+        )
+        == 25.0
+    )
+    # 紧急无买一 → 无法定价（不能用标记）
+    assert (
+        resolve_option_close_bid(
+            bid=None, mark=3.0, intrinsic=22.0, bypass_liquidity=True
+        )
+        is None
+    )

backend/tests/test_reconcile_claim.py

@@ -0,0 +1,72 @@
+"""claim_open_slot / release_open_slot 单元测试。"""
+
+from __future__ import annotations
+
+from app.live.reconcile import claim_open_slot, release_open_slot_if_opening
+from app.sim.matcher import BLOCKING_STATUSES, Matcher
+
+
+def test_blocking_statuses_include_opening() -> None:
+    assert "opening" in BLOCKING_STATUSES
+
+
+def test_claim_open_slot_from_flat(tmp_path) -> None:
+    from app.models.db import Database
+
+    db = Database(tmp_path / "claim.db")
+    m = Matcher(db)
+    assert m.has_open_position() is False
+
+    ok, msg = claim_open_slot(db)
+    assert ok is True
+    assert msg == "ok"
+    assert m.position_status() == "opening"
+    assert m.has_open_position() is True
+
+    ok2, _ = claim_open_slot(db)
+    assert ok2 is False
+
+    release_open_slot_if_opening(db)
+    assert m.position_status() == "flat"
+    assert m.has_open_position() is False
+
+    ok3, _ = claim_open_slot(db)
+    assert ok3 is True
+    release_open_slot_if_opening(db)
+    db.close()
+
+
+def test_claim_rejects_blocking_states(tmp_path) -> None:
+    from app.models.db import Database
+
+    db = Database(tmp_path / "block.db")
+    for st in ("open", "half_open", "option_closed_perp_pending"):
+        with db._lock:
+            db._conn.execute(
+                "UPDATE positions SET status=?, group_id=? WHERE id=1",
+                (st, "G-test"),
+            )
+            db._conn.commit()
+        ok, msg = claim_open_slot(db)
+        assert ok is False
+        assert st in msg
+        with db._lock:
+            db._conn.execute(
+                "UPDATE positions SET status='flat', group_id=NULL WHERE id=1"
+            )
+            db._conn.commit()
+    db.close()
+
+
+def test_release_only_when_opening(tmp_path) -> None:
+    from app.models.db import Database
+
+    db = Database(tmp_path / "rel.db")
+    with db._lock:
+        db._conn.execute("UPDATE positions SET status='open' WHERE id=1")
+        db._conn.commit()
+    release_open_slot_if_opening(db)
+    row = db.fetchone("SELECT status FROM positions WHERE id=1")
+    assert row is not None
+    assert row["status"] == "open"
+    db.close()

backend/tests/test_reset_equity_clears_trades.py

@@ -0,0 +1,62 @@
+"""模拟资金重置时同步清空交易记录。"""
+
+from __future__ import annotations
+
+from app.models.db import Database
+from app.sim.ledger import Ledger
+
+
+def test_reset_equity_clears_trade_history(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "reset.db")
+    with db._lock:
+        db._conn.execute(
+            """INSERT INTO groups(group_id, status, open_at_ms, close_at_ms, realized_pnl)
+               VALUES ('G1','closed',1,2,-5.0)"""
+        )
+        db._conn.execute(
+            """INSERT INTO fills(group_id, leg, action, side, inst_id, qty_eth,
+               fill_px, fee, slip, notional, ts_ms)
+               VALUES ('G1','perp','open','long','ETH-SWAP',1,2000,0.1,0,2000,1)"""
+        )
+        db._conn.execute(
+            """INSERT INTO residual_options(
+                 group_id, option_inst_id, option_side, option_qty_eth,
+                 option_entry_px, status, created_at_ms
+               ) VALUES ('G1','OPT','call',2,10,'pending',1)"""
+        )
+        db._conn.execute(
+            """INSERT INTO ledger_entries(group_id, kind, amount, balance_after, note, ts_ms)
+               VALUES ('G1','pnl',-5,9995,'t',2)"""
+        )
+        db._conn.execute(
+            """UPDATE strategy_state SET rounds_done=3, window_key='w', rest_until_ms=99
+               WHERE id=1"""
+        )
+        db._conn.commit()
+    db.set_setting("risk_last_k", "1.5")
+
+    Ledger(db).reset_equity(12000.0, note="test reset")
+
+    assert db.fetchone("SELECT COUNT(*) AS c FROM groups")["c"] == 0
+    assert db.fetchone("SELECT COUNT(*) AS c FROM fills")["c"] == 0
+    assert db.fetchone("SELECT COUNT(*) AS c FROM residual_options")["c"] == 0
+    entries = db.fetchall("SELECT kind, amount FROM ledger_entries")
+    assert len(entries) == 1
+    assert entries[0]["kind"] == "reset"
+    assert float(entries[0]["amount"]) == 12000.0
+    pos = db.fetchone("SELECT status, group_id FROM positions WHERE id=1")
+    assert pos["status"] == "flat"
+    assert pos["group_id"] is None
+    st = db.fetchone(
+        "SELECT rounds_done, window_key, rest_until_ms FROM strategy_state WHERE id=1"
+    )
+    assert int(st["rounds_done"]) == 0
+    assert st["window_key"] is None
+    assert st["rest_until_ms"] is None
+    assert db.get_setting("risk_last_k") is None
+    led = db.fetchone("SELECT equity, available, reserved FROM ledger_meta WHERE id=1")
+    assert float(led["equity"]) == 12000.0
+    assert float(led["available"]) == 12000.0
+    assert float(led["reserved"]) == 0.0
+    db.close()

backend/tests/test_residual_premium_close.py

@@ -0,0 +1,260 @@
+"""残留期权：权利金回升达标后中途平。"""
+
+from __future__ import annotations
+
+from types import SimpleNamespace
+
+from app.models.db import Database
+from app.sim.matcher import Matcher
+
+
+def _seed_residual(
+    db: Database,
+    *,
+    group_id: str = "G-res",
+    initial_premium: float = 100.0,
+    qty: float = 2.0,
+    entry_px: float = 50.0,
+) -> None:
+    now = 1_700_000_000_000
+    with db._lock:
+        db._conn.execute(
+            """INSERT INTO groups(
+                group_id, status, bias, option_side, perp_side, option_inst_id,
+                strike, expiry_ymd, initial_premium, open_at_ms, close_at_ms,
+                close_reason, realized_pnl, fees, slip_cost
+            ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+            (
+                group_id,
+                "option_residual",
+                "test",
+                "call",
+                "short",
+                "ETH-USD_UM-260801-2000-C",
+                2000.0,
+                "260801",
+                initial_premium,
+                now - 10_000,
+                now - 5_000,
+                "target_perp_only",
+                10.0,
+                1.0,
+                0.0,
+            ),
+        )
+        db._conn.execute(
+            """INSERT INTO residual_options(
+                group_id, option_inst_id, option_side, option_qty_eth, option_qty_contracts,
+                option_entry_px, strike, expiry_ymd, expiry_ms, entry_index_px,
+                initial_premium, status, created_at_ms, note
+            ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+            (
+                group_id,
+                "ETH-USD_UM-260801-2000-C",
+                "call",
+                qty,
+                200.0,
+                entry_px,
+                2000.0,
+                "260801",
+                now + 86_400_000,
+                1900.0,
+                initial_premium,
+                "pending",
+                now - 5_000,
+                "test residual",
+            ),
+        )
+        db._conn.commit()
+
+
+def test_residual_premium_below_threshold_skips(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "below.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+
+    # bid=5 → premium=10 < 20
+    oq = SimpleNamespace(bid=5.0, ask=5.5, bid_sz=10_000.0, mark_px=5.0)
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+
+    assert m.try_close_one_residual(m.list_residual_options()[0]) is None
+    row = db.fetchone(
+        "SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "pending"
+    db.close()
+
+
+def test_residual_premium_above_threshold_closes(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "above.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0, entry_px=50.0)
+    m = Matcher(db)
+
+    # bid=15 → premium=30 >= 20
+    oq = SimpleNamespace(bid=15.0, ask=15.5, bid_sz=10_000.0, mark_px=15.0)
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+    monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
+
+    out = m.try_close_one_residual(m.list_residual_options()[0])
+    assert out is not None
+    assert out["reason"] == "residual_premium_close"
+    row = db.fetchone(
+        "SELECT status, settle_px FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "settled"
+    g = db.fetchone("SELECT status FROM groups WHERE group_id=?", ("G-res",))
+    assert g is not None and g["status"] == "closed"
+    db.close()
+
+
+def test_residual_liquidity_fail_skips(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "liq.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+
+    # premium ok but depth tiny
+    oq = SimpleNamespace(bid=15.0, ask=15.5, bid_sz=1.0, mark_px=15.0)
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+    monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
+
+    assert m.try_close_one_residual(m.list_residual_options()[0]) is None
+    row = db.fetchone(
+        "SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "pending"
+    db.close()
+
+
+def test_residual_recheck_bid_drop_skips(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "recheck.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+
+    good = SimpleNamespace(bid=15.0, ask=15.5, bid_sz=10_000.0, mark_px=15.0)
+    bad = SimpleNamespace(bid=5.0, ask=5.5, bid_sz=10_000.0, mark_px=5.0)
+    quotes = iter([good, bad])
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: next(quotes))
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+    monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
+
+    assert m.try_close_one_residual(m.list_residual_options()[0]) is None
+    row = db.fetchone(
+        "SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "pending"
+    db.close()
+
+
+def test_residual_book_pending_guard(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "guard.db")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+    row = m.list_residual_options()[0]
+    first = m._book_residual_market_close(
+        row,
+        fill_px=15.0,
+        fee=0.01,
+        notional=30.0,
+        slip=0.0,
+        now_ms=1_700_000_100_000,
+        note="first",
+        filled_contracts=200.0,
+        remaining_contracts=0.0,
+    )
+    assert first is not None and first.get("fully_done") is True
+    second = m._book_residual_market_close(
+        row,
+        fill_px=15.0,
+        fee=0.01,
+        notional=30.0,
+        slip=0.0,
+        now_ms=1_700_000_200_000,
+        note="second",
+        filled_contracts=200.0,
+        remaining_contracts=0.0,
+    )
+    assert second is None
+    db.close()
+
+
+def test_manual_close_skips_premium_ratio(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "manual.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0, entry_px=50.0)
+    m = Matcher(db)
+
+    # bid=5 → premium=10 < 20%，自动路径应跳过，手动可平
+    oq = SimpleNamespace(bid=5.0, ask=5.5, bid_sz=10_000.0, mark_px=5.0)
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+    monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
+
+    assert m.try_close_one_residual(m.list_residual_options()[0]) is None
+    enriched = m.list_residual_options_enriched()
+    assert len(enriched) == 1
+    assert enriched[0]["liquidity_ok"] is True
+    assert enriched[0]["bid_px"] == 5.0
+    assert enriched[0]["bid_sz"] == 10_000.0
+    assert abs(float(enriched[0]["bid_sz_eth"]) - 100.0) < 1e-9  # 10000*0.01
+    assert abs(float(enriched[0]["current_premium"]) - 10.0) < 1e-9  # 5*2
+    assert abs(float(enriched[0]["recovery_pct"]) - 10.0) < 1e-9  # 10/100*100
+    assert float(enriched[0]["recovery_pct"]) < 20.0
+
+    r = m.close_residual_manual("G-res")
+    assert r.ok is True
+    row = db.fetchone(
+        "SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "settled"
+    db.close()
+
+
+def test_manual_close_liquidity_still_required(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "manual_liq.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+
+    oq = SimpleNamespace(bid=5.0, ask=5.5, bid_sz=1.0, mark_px=5.0)
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+    monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
+
+    r = m.close_residual_manual("G-res")
+    assert r.ok is False
+    assert "liquidity" in (r.detail or "")
+    row = db.fetchone(
+        "SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "pending"
+    db.close()
+
+
+def test_settings_exposes_residual_min_premium_pct(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.api import settings as settings_api
+    from app.models.db import set_db
+
+    d = Database(tmp_path / "set.db")
+    set_db(d)
+    try:
+        d.set_setting("residual_min_premium_pct", "35")
+        payload = settings_api._read_settings()
+        assert float(payload["residual_min_premium_pct"]) == 35.0
+    finally:
+        set_db(None)
+        d.close()

backend/tests/test_rest_after_close.py

@@ -0,0 +1,29 @@
+from __future__ import annotations
+
+import time
+
+from app.models.db import Database, set_db
+from app.strategy.engine import StrategyEngine
+
+
+def test_enter_rest_after_close_sets_resting(tmp_path) -> None:
+    db = Database(tmp_path / "rest.db")
+    set_db(db)
+    db.set_setting("rest_seconds", "120")
+    now = int(time.time() * 1000)
+    db.execute(
+        """INSERT INTO groups(
+            group_id, status, open_at_ms, close_at_ms, realized_pnl
+        ) VALUES (?,?,?,?,?)""",
+        ("G-20260729-01", "closed", now - 1000, now, 1.0),
+    )
+    eng = StrategyEngine()
+    before = int(time.time() * 1000)
+    eng.enter_rest_after_close()
+    row = db.fetchone("SELECT * FROM strategy_state WHERE id=1")
+    assert row is not None
+    assert row["phase"] == "resting"
+    assert int(row["rounds_done"] or 0) == 1
+    until = int(row["rest_until_ms"] or 0)
+    assert until >= before + 100_000
+    db.close()

backend/tests/test_risk_sizing.py

@@ -0,0 +1,321 @@
+"""以损定仓纯函数测试。"""
+
+from __future__ import annotations
+
+from app.strategy.risk_sizing import (
+    BASE_EXIT_USDT,
+    BASE_OPTION_ETH,
+    BASE_PERP_ETH,
+    compute_k,
+    floor_k_1dp,
+    normalize_risk_leverage_basis,
+    resolve_sizing_option_ask,
+    unit_cost,
+)
+
+
+def test_floor_k_1dp() -> None:
+    assert floor_k_1dp(1.29) == 1.2
+    assert floor_k_1dp(0.19) == 0.1
+    assert floor_k_1dp(0.09) == 0.0
+    assert floor_k_1dp(2.0) == 2.0
+
+
+def test_compute_k_scales_1_2_15() -> None:
+    # I=2000, A=20, fee=0.0005 → unit = 2*20 + 2000*0.0005*3 = 40 + 3 = 43
+    # budget=43 → k=1.0
+    r = compute_k(budget=43.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
+    assert r.ok
+    assert r.k == 1.0
+    assert r.perp_qty_eth == BASE_PERP_ETH
+    assert r.option_qty_eth == BASE_OPTION_ETH
+    assert r.net_profit_target == BASE_EXIT_USDT
+    assert r.max_loss is not None and r.max_loss <= 43.0 + 1e-6
+    assert r.budget == 43.0
+
+
+def test_compute_k_custom_units() -> None:
+    # option_unit=4 → premium unit = 20*4=80; fee=3; cost=83; budget=83 → k=1
+    r = compute_k(
+        budget=83.0,
+        index_px=2000.0,
+        option_ask=20.0,
+        fee_rate=0.0005,
+        perp_unit=0.5,
+        option_unit=4.0,
+        exit_unit=30.0,
+    )
+    assert r.ok
+    assert r.k == 1.0
+    assert r.perp_qty_eth == 0.5
+    assert r.option_qty_eth == 4.0
+    assert r.net_profit_target == 30.0
+
+
+def test_money_rounds_2dp() -> None:
+    r = compute_k(budget=50.123456, index_px=1900.0, option_ask=18.5, fee_rate=0.0005)
+    assert r.ok
+    assert r.budget == round(50.123456, 2)
+    assert r.max_loss is not None
+    assert abs(r.max_loss * 100 - round(r.max_loss * 100)) < 1e-9
+
+
+def test_compute_k_never_exceeds_budget() -> None:
+    r = compute_k(budget=50.0, index_px=1900.0, option_ask=18.5, fee_rate=0.0005)
+    assert r.ok
+    assert r.k is not None
+    assert abs(r.k * 10 - round(r.k * 10)) < 1e-9  # 一位小数
+    assert r.max_loss is not None and r.max_loss <= 50.0 + 1e-6
+    assert r.perp_qty_eth == round(1.0 * r.k, 4)
+    assert r.option_qty_eth == round(2.0 * r.k, 4)
+    assert r.net_profit_target == round(15.0 * r.k, 4)
+
+
+def test_compute_k_too_small() -> None:
+    # unit≈43, budget=2 → k_raw≪0.1
+    r = compute_k(budget=2.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
+    assert not r.ok
+    assert "最小仓" in r.detail or "k=" in r.detail
+
+
+def test_unit_cost() -> None:
+    assert abs(unit_cost(index_px=2000, option_ask=20, fee_rate=0.0005) - 43.0) < 1e-9
+
+
+def test_normalize_risk_leverage_basis() -> None:
+    assert normalize_risk_leverage_basis("actual") == "actual"
+    assert normalize_risk_leverage_basis("selection") == "selection"
+    assert normalize_risk_leverage_basis("min_option_leverage") == "selection"
+    assert normalize_risk_leverage_basis("weird", default="selection") == "selection"
+
+
+def test_resolve_sizing_ask_selection_vs_actual() -> None:
+    # 指数 2000、选约杠杆 100 → 隐含卖一 20；实际卖一更便宜 10
+    sel_ask, basis = resolve_sizing_option_ask(
+        index_px=2000.0,
+        option_ask=10.0,
+        leverage_basis="selection",
+        min_option_leverage=100.0,
+    )
+    assert basis == "selection"
+    assert abs(sel_ask - 20.0) < 1e-9
+
+    act_ask, basis2 = resolve_sizing_option_ask(
+        index_px=2000.0,
+        option_ask=10.0,
+        leverage_basis="actual",
+        min_option_leverage=100.0,
+    )
+    assert basis2 == "actual"
+    assert abs(act_ask - 10.0) < 1e-9
+
+
+def test_selection_basis_yields_smaller_k_when_ask_cheap() -> None:
+    # 预算 43：选约隐含 ask=20 → k=1；若用实际 ask=10 → 单位成本更小 → k 更大
+    r_sel = compute_k(budget=43.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
+    r_act = compute_k(budget=43.0, index_px=2000.0, option_ask=10.0, fee_rate=0.0005)
+    assert r_sel.ok and r_act.ok
+    assert r_sel.k == 1.0
+    assert r_act.k is not None and r_act.k > r_sel.k
+
+
+def test_compute_risk_sizing_unit_overrides(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.models.db import Database
+    from app.strategy.risk_sizing import compute_risk_sizing
+
+    db = Database(tmp_path / "risk_units.db")
+    db.set_setting("sizing_mode", "risk_based")
+    db.set_setting("risk_loss_mode", "absolute")
+    db.set_setting("risk_loss_usdt", "83")
+    db.set_setting("fee_rate", "0.0005")
+    db.set_setting("risk_leverage_basis", "selection")
+    db.set_setting("min_option_leverage", "100")
+    db.set_setting("risk_perp_unit", "1")
+    db.set_setting("risk_option_unit", "2")
+    db.set_setting("risk_exit_unit", "15")
+
+    # 覆盖为单位 0.5:4、出场 5，并强制实际卖一（ask=20 → cost=80+3=83 → k=1）
+    r = compute_risk_sizing(
+        index_px=2000.0,
+        option_ask=20.0,
+        db=db,
+        perp_unit=0.5,
+        option_unit=4.0,
+        exit_unit=5.0,
+        leverage_basis="actual",
+    )
+    assert r.ok
+    assert r.leverage_basis == "actual"
+    assert r.k == 1.0
+    assert r.perp_qty_eth == 0.5
+    assert r.option_qty_eth == 4.0
+    assert r.net_profit_target == 5.0
+    db.close()
+
+
+def test_compute_risk_sizing_respects_basis(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.models.db import Database
+    from app.strategy.risk_sizing import compute_risk_sizing
+
+    db = Database(tmp_path / "risk_basis.db")
+    db.set_setting("sizing_mode", "risk_based")
+    db.set_setting("risk_loss_mode", "absolute")
+    db.set_setting("risk_loss_usdt", "43")
+    db.set_setting("fee_rate", "0.0005")
+    db.set_setting("min_option_leverage", "100")
+    db.set_setting("risk_perp_unit", "1")
+    db.set_setting("risk_option_unit", "2")
+    db.set_setting("risk_exit_unit", "15")
+
+    db.set_setting("risk_leverage_basis", "selection")
+    r1 = compute_risk_sizing(index_px=2000.0, option_ask=10.0, db=db)
+    assert r1.ok
+    assert r1.leverage_basis == "selection"
+    assert r1.k == 1.0
+    assert r1.actual_option_ask == 10.0
+    assert r1.option_ask == 20.0
+
+    db.set_setting("risk_leverage_basis", "actual")
+    r2 = compute_risk_sizing(index_px=2000.0, option_ask=10.0, db=db)
+    assert r2.ok
+    assert r2.leverage_basis == "actual"
+    assert r2.k is not None and r2.k > 1.0
+    assert r2.option_ask == 10.0
+    db.close()
+
+
+def test_consecutive_loss_days_and_martingale(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from datetime import datetime, timezone
+    from zoneinfo import ZoneInfo
+
+    from app.models.db import Database
+    from app.strategy.risk_sizing import consecutive_loss_days, resolve_martingale
+
+    db = Database(tmp_path / "mg.db")
+    sh = ZoneInfo("Asia/Shanghai")
+
+    def day_ms(ymd: str, hour: int = 16) -> int:
+        dt = datetime.strptime(ymd, "%Y-%m-%d").replace(
+            hour=hour, tzinfo=sh
+        )
+        return int(dt.astimezone(timezone.utc).timestamp() * 1000)
+
+    # 插入：盈利日打断后连亏 3 天（有成交日序列，跳过无成交日）
+    rows = [
+        ("g1", day_ms("2026-07-28"), 10.0),
+        ("g2", day_ms("2026-07-29"), -5.0),
+        ("g3", day_ms("2026-07-30"), -3.0),
+        ("g4", day_ms("2026-07-31"), -1.0),
+    ]
+    for gid, ms, pnl in rows:
+        db.execute(
+            """INSERT INTO groups(
+                 group_id, status, realized_pnl, close_at_ms, open_at_ms
+               ) VALUES(?,?,?,?,?)""",
+            (gid, "closed", pnl, ms, ms - 3600_000),
+        )
+
+    assert consecutive_loss_days(db) == 3
+
+    db.set_setting("sizing_mode", "risk_based")
+    db.set_setting("risk_loss_mode", "percent")
+    db.set_setting("risk_loss_pct", "2")
+    db.set_setting("martingale_enabled", "true")
+    db.set_setting("martingale_start_after_loss_days", "2")
+    db.set_setting("martingale_max_doubles", "3")
+
+    mg = resolve_martingale(db, base_pct=2.0)
+    assert mg["eligible"] is True
+    assert mg["loss_days"] == 3
+    # 连亏3天、start=2 → doubles = min(3-2+1, 3) = 2 → 2%*4 = 8%
+    assert mg["doubles"] == 2
+    assert abs(float(mg["effective_pct"]) - 8.0) < 1e-9
+
+    db.set_setting("risk_loss_pct", "3.1")
+    mg2 = resolve_martingale(db, base_pct=3.1)
+    assert mg2["eligible"] is False
+    assert mg2["doubles"] == 0
+    assert abs(float(mg2["effective_pct"]) - 3.1) < 1e-9
+    db.close()
+
+
+def test_martingale_doubles_capped(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from datetime import datetime, timezone
+    from zoneinfo import ZoneInfo
+
+    from app.models.db import Database
+    from app.strategy.risk_sizing import resolve_martingale
+
+    db = Database(tmp_path / "mg_cap.db")
+    sh = ZoneInfo("Asia/Shanghai")
+
+    def day_ms(ymd: str) -> int:
+        dt = datetime.strptime(ymd, "%Y-%m-%d").replace(hour=12, tzinfo=sh)
+        return int(dt.astimezone(timezone.utc).timestamp() * 1000)
+
+    for i, ymd in enumerate(
+        ["2026-07-26", "2026-07-27", "2026-07-28", "2026-07-29", "2026-07-30"]
+    ):
+        db.execute(
+            """INSERT INTO groups(
+                 group_id, status, realized_pnl, close_at_ms, open_at_ms
+               ) VALUES(?,?,?,?,?)""",
+            (f"c{i}", "closed", -1.0, day_ms(ymd), day_ms(ymd) - 1000),
+        )
+
+    db.set_setting("sizing_mode", "risk_based")
+    db.set_setting("risk_loss_mode", "percent")
+    db.set_setting("martingale_enabled", "true")
+    db.set_setting("martingale_start_after_loss_days", "2")
+    db.set_setting("martingale_max_doubles", "3")
+    mg = resolve_martingale(db, base_pct=2.0)
+    # 连亏5、start2 → raw=4，cap=3 → 2%*8=16%
+    assert mg["doubles"] == 3
+    assert abs(float(mg["effective_pct"]) - 16.0) < 1e-9
+    db.close()
+
+
+def test_expiry_settle_counts_as_loss_even_if_profit(tmp_path, monkeypatch) -> None:
+    """到期结算小盈利也按亏损计入倍投连亏日。"""
+    monkeypatch.setenv("MODE", "SIM")
+    from datetime import datetime, timezone
+    from zoneinfo import ZoneInfo
+
+    from app.models.db import Database
+    from app.strategy.risk_sizing import consecutive_loss_days
+
+    db = Database(tmp_path / "mg_exp.db")
+    sh = ZoneInfo("Asia/Shanghai")
+
+    def day_ms(ymd: str) -> int:
+        dt = datetime.strptime(ymd, "%Y-%m-%d").replace(hour=16, tzinfo=sh)
+        return int(dt.astimezone(timezone.utc).timestamp() * 1000)
+
+    # 达标盈利打断；随后两天均为到期小盈利 → 仍计连亏 2
+    rows = [
+        ("e0", day_ms("2026-07-28"), 20.0, "fixed_usdt"),
+        ("e1", day_ms("2026-07-29"), 3.5, "expiry"),
+        ("e2", day_ms("2026-07-30"), 1.2, "expiry"),
+    ]
+    for gid, ms, pnl, reason in rows:
+        db.execute(
+            """INSERT INTO groups(
+                 group_id, status, realized_pnl, close_at_ms, open_at_ms, close_reason
+               ) VALUES(?,?,?,?,?,?)""",
+            (gid, "closed", pnl, ms, ms - 3600_000, reason),
+        )
+    assert consecutive_loss_days(db) == 2
+
+    # 再来一天达标盈利 → 连亏清零
+    db.execute(
+        """INSERT INTO groups(
+             group_id, status, realized_pnl, close_at_ms, open_at_ms, close_reason
+           ) VALUES(?,?,?,?,?,?)""",
+        ("e3", "closed", 15.0, day_ms("2026-07-31"), day_ms("2026-07-31") - 1000, "fixed_usdt"),
+    )
+    assert consecutive_loss_days(db) == 0
+    db.close()

backend/tests/test_runtime_mode.py

@@ -0,0 +1,76 @@
+"""SIM/LIVE 运行时闸门与脱敏。"""
+
+from app.env_store import live_ready, mask_secret, okx_keys_configured
+
+
+def test_mask_secret() -> None:
+    assert mask_secret(None) is None
+    assert mask_secret("") is None
+    assert mask_secret("abcd") == "********"
+    assert mask_secret("abcdefghij") == "********"
+
+
+def test_live_ready_sim(monkeypatch) -> None:
+    import app.env_store as es
+
+    class S:
+        mode = "SIM"
+        is_sim = True
+        okx_api_key = ""
+        okx_api_secret = ""
+        okx_api_passphrase = ""
+        binance_api_key = ""
+        binance_api_secret = ""
+
+    monkeypatch.setattr(es, "get_settings", lambda: S())
+    ok, reason = live_ready(exchange="okx")
+    assert ok is True
+    assert reason == "sim"
+
+
+def test_live_ready_okx_missing_keys(monkeypatch) -> None:
+    import app.env_store as es
+
+    class S:
+        mode = "LIVE"
+        is_sim = False
+        okx_api_key = ""
+        okx_api_secret = ""
+        okx_api_passphrase = ""
+        binance_api_key = ""
+        binance_api_secret = ""
+
+    monkeypatch.setattr(es, "get_settings", lambda: S())
+    ok, reason = live_ready(exchange="okx")
+    assert ok is False
+    assert "OKX" in reason
+
+
+def test_live_ready_binance_ok(monkeypatch) -> None:
+    import app.env_store as es
+
+    class S:
+        mode = "LIVE"
+        is_sim = False
+        okx_api_key = ""
+        okx_api_secret = ""
+        okx_api_passphrase = ""
+        binance_api_key = "bk"
+        binance_api_secret = "bs"
+
+    monkeypatch.setattr(es, "get_settings", lambda: S())
+    ok, reason = live_ready(exchange="binance")
+    assert ok is True
+    assert reason == "ok"
+
+
+def test_okx_keys_configured(monkeypatch) -> None:
+    import app.env_store as es
+
+    class S:
+        okx_api_key = "k"
+        okx_api_secret = "s"
+        okx_api_passphrase = "p"
+
+    monkeypatch.setattr(es, "get_settings", lambda: S())
+    assert okx_keys_configured() is True

backend/tests/test_semi_auto.py

@@ -0,0 +1,137 @@
+"""半自动出场与参数。"""
+
+from __future__ import annotations
+
+from app.strategy.selection import list_otm_strikes, pick_otm_strike
+from app.strategy.semi_auto import (
+    REASON_PERP_NET,
+    REASON_POINTS,
+    check_semi_exits,
+    effective_min_leverage,
+)
+
+
+def test_semi_points_long_needs_net_positive() -> None:
+    # 目标 = 行权价 1800 + 50 = 1850；到点但净利≤0 → 不平
+    d = check_semi_exits(
+        net_pnl=-1.0,
+        strike=1800,
+        index_px=1850,
+        view_side="long",
+        option_move_points=50,
+        perp_exit_unit=5,
+        risk_k=1,
+    )
+    assert d.should_close is False
+    assert "净利≤0" in d.detail
+
+    d2 = check_semi_exits(
+        net_pnl=1.0,
+        strike=1800,
+        index_px=1850,
+        view_side="long",
+        option_move_points=50,
+        perp_exit_unit=5,
+        risk_k=1,
+    )
+    assert d2.should_close is True
+    assert d2.reason == REASON_POINTS
+    assert d2.target_index == 1850.0
+
+
+def test_semi_points_uses_strike_not_spot() -> None:
+    # 现价 1915、K1930、+50 → 目标 1980；现价未到则不平（净利勿触达锁定）
+    d = check_semi_exits(
+        net_pnl=1.0,
+        strike=1930,
+        index_px=1915,
+        view_side="long",
+        option_move_points=50,
+        perp_exit_unit=5,
+        risk_k=1,
+    )
+    assert d.should_close is False
+    assert d.target_index == 1980.0
+
+    d2 = check_semi_exits(
+        net_pnl=1.0,
+        strike=1930,
+        index_px=1980,
+        view_side="long",
+        option_move_points=50,
+        perp_exit_unit=5,
+        risk_k=1,
+    )
+    assert d2.should_close is True
+    assert d2.reason == REASON_POINTS
+
+
+def test_semi_points_short() -> None:
+    # Put：目标 = K − 50
+    d = check_semi_exits(
+        net_pnl=2.0,
+        strike=1800,
+        index_px=1750,
+        view_side="short",
+        option_move_points=50,
+        perp_exit_unit=5,
+        risk_k=1,
+    )
+    assert d.should_close is True
+    assert d.reason == REASON_POINTS
+    assert d.target_index == 1750.0
+
+
+def test_semi_net_exit_with_k() -> None:
+    # 未到点，但净利 ≥ 5×2=10（永续锁定）
+    d = check_semi_exits(
+        net_pnl=10.0,
+        strike=1800,
+        index_px=1810,
+        view_side="long",
+        option_move_points=50,
+        perp_exit_unit=5,
+        risk_k=2,
+    )
+    assert d.should_close is True
+    assert d.reason == REASON_PERP_NET
+    assert d.net_target == 10.0
+
+
+def test_semi_not_yet() -> None:
+    d = check_semi_exits(
+        net_pnl=3.0,
+        strike=1800,
+        index_px=1820,
+        view_side="long",
+        option_move_points=50,
+        perp_exit_unit=5,
+        risk_k=1,
+    )
+    assert d.should_close is False
+
+
+def test_otm_leverage_floor() -> None:
+    assert effective_min_leverage("otm", 100) == 180
+    assert effective_min_leverage("otm", 200) == 200
+    assert effective_min_leverage("itm", 100) == 100
+
+
+def test_pick_otm_within_offset() -> None:
+    strikes = [1800.0, 1825.0, 1850.0, 1875.0]
+    # Call 虚值：标的 1830 → 1850（20点）在 25 内；1875 超
+    k = pick_otm_strike(strikes, 1830, option_side="call", max_offset=25)
+    assert k == 1850.0
+    assert (
+        pick_otm_strike(strikes, 1830, option_side="call", max_offset=15) is None
+    )
+    # Put 虚值
+    k2 = pick_otm_strike(strikes, 1830, option_side="put", max_offset=30)
+    assert k2 == 1825.0
+
+
+def test_list_otm_strikes_near_to_far() -> None:
+    # 现价 1917 → Call 虚值 1920/1930/1940（偏离≤25），近→远
+    strikes = [1910.0, 1920.0, 1930.0, 1940.0, 1950.0]
+    ks = list_otm_strikes(strikes, 1917.0, option_side="call", max_offset=25)
+    assert ks == [1920.0, 1930.0, 1940.0]

backend/tests/test_skip_expiry_next.py

@@ -0,0 +1,61 @@
+"""空仓选约：跳过历史上已用到期与残留待结算到期。"""
+
+from __future__ import annotations
+
+from datetime import datetime
+from zoneinfo import ZoneInfo
+
+from app.strategy.clock import (
+    expiry_blocked_by_one_per_day,
+    pending_residual_expiry_ymds,
+    used_expiry_ymds,
+)
+
+
+class _FakeDB:
+    def __init__(
+        self,
+        *,
+        groups: list[dict] | None = None,
+        residuals: list[dict] | None = None,
+    ) -> None:
+        self._groups = groups or []
+        self._residuals = residuals or []
+
+    def fetchall(self, sql: str, params: tuple = ()) -> list[dict]:
+        s = " ".join(sql.split()).lower()
+        if "from groups" in s:
+            return [
+                r
+                for r in self._groups
+                if str(r.get("expiry_ymd") or "").strip()
+            ]
+        if "from residual_options" in s:
+            return [r for r in self._residuals if r.get("status") == "pending"]
+        return []
+
+
+def test_used_expiry_ymds_across_calendar_days() -> None:
+    """8.2 开过 260803 后，8.3 零点仍须拦截同到期。"""
+    db = _FakeDB(
+        groups=[
+            {"group_id": "G-20260802-01", "expiry_ymd": "260803"},
+            {"group_id": "G-20260801-01", "expiry_ymd": "260802"},
+        ]
+    )
+    now_aug3 = datetime(2026, 8, 3, 0, 0, 2, tzinfo=ZoneInfo("Asia/Shanghai"))
+    used = used_expiry_ymds(db, now_aug3)
+    assert used == {"260803", "260802"}
+    assert expiry_blocked_by_one_per_day("260803", used, enabled=True)
+    assert not expiry_blocked_by_one_per_day("260804", used, enabled=True)
+
+
+def test_pending_residual_expiry_ymds() -> None:
+    db = _FakeDB(
+        residuals=[
+            {"expiry_ymd": "260803", "status": "pending"},
+            {"expiry_ymd": "260802", "status": "settled"},
+            {"expiry_ymd": "", "status": "pending"},
+        ]
+    )
+    assert pending_residual_expiry_ymds(db) == {"260803"}

backend/tests/test_stats_summary_extra.py

@@ -0,0 +1,28 @@
+"""统计汇总：最大单笔亏损、连亏次数。"""
+
+from __future__ import annotations
+
+from app.api.stats import _current_loss_streak
+
+
+def test_current_loss_streak() -> None:
+    assert _current_loss_streak([]) == 0
+    assert (
+        _current_loss_streak(
+            [
+                {"realized_pnl": 10},
+                {"realized_pnl": -1},
+                {"realized_pnl": -2},
+            ]
+        )
+        == 2
+    )
+    assert (
+        _current_loss_streak(
+            [
+                {"realized_pnl": -5},
+                {"realized_pnl": 1},
+            ]
+        )
+        == 0
+    )

backend/tests/test_symbols.py

@@ -0,0 +1,33 @@
+"""LIVE 合约解析。"""
+
+from app.live.symbols import resolve_perp_inst_id
+
+
+class _FakeDb:
+    def __init__(self, row=None):
+        self._row = row
+
+    def fetchone(self, sql, args=()):
+        return self._row
+
+
+def test_resolve_perp_prefers_group(monkeypatch) -> None:
+    import app.live.symbols as sym
+
+    class S:
+        perp_inst_id = "ETH-USDT-SWAP"
+
+    monkeypatch.setattr(sym, "live_settings", lambda: S())
+    db = _FakeDb({"perp_inst_id": "ETHUSDT"})
+    assert resolve_perp_inst_id(db, group_id="g1") == "ETHUSDT"
+
+
+def test_resolve_perp_fallback_runtime(monkeypatch) -> None:
+    import app.live.symbols as sym
+
+    class S:
+        perp_inst_id = "ETHUSDT"
+
+    monkeypatch.setattr(sym, "live_settings", lambda: S())
+    db = _FakeDb(None)
+    assert resolve_perp_inst_id(db) == "ETHUSDT"

backend/tests/test_wecom_notify.py

@@ -0,0 +1,103 @@
+from __future__ import annotations
+
+from app.notify.wecom import (
+    TAG_CLOSE,
+    TAG_OPEN,
+    build_markdown,
+    close_reason_zh,
+    direction_zh,
+    notify_close,
+    notify_open,
+    venue_label,
+)
+
+
+def test_build_markdown_has_tag_and_title(monkeypatch):
+    monkeypatch.setattr("app.notify.wecom.venue_label", lambda: "实盘·OKX")
+    md = build_markdown(tag=TAG_OPEN, title="开仓成功", lines=["组: G-1"])
+    assert "【实盘·OKX】开仓成功" in md
+    assert "`OPEN`" in md
+    assert "组: G-1" in md
+
+
+def test_venue_label_sim(monkeypatch):
+    class S:
+        is_sim = True
+        exchange = "okx"
+
+    monkeypatch.setattr("app.notify.wecom.get_settings", lambda: S())
+    assert venue_label() is None
+
+
+def test_direction_and_close_reason_zh() -> None:
+    assert "Put" in direction_zh({"option_side": "put", "perp_side": "long"})
+    assert close_reason_zh("liquidity_retry") == "等待流动性后全平"
+    assert close_reason_zh("fixed_usdt") == "固定净盈利达标·双腿全平"
+
+
+def test_notify_open_close_markdown(monkeypatch) -> None:
+    captured: list[str] = []
+
+    monkeypatch.setattr("app.notify.wecom.wecom_enabled", lambda: True)
+    monkeypatch.setattr("app.notify.wecom.wecom_webhook_url", lambda: "http://example.test")
+    monkeypatch.setattr("app.notify.wecom.venue_label", lambda: None)
+    monkeypatch.setattr("app.notify.wecom.wecom_machine_name", lambda: "")
+
+    def _capture(content: str):
+        captured.append(content)
+        return True, "ok"
+
+    monkeypatch.setattr("app.notify.wecom._post_markdown_sync", _capture)
+    monkeypatch.setattr(
+        "app.notify.wecom.notify_async",
+        lambda content: captured.append(content),
+    )
+
+    notify_open(
+        group_id="G-20260802-01",
+        detail="opened",
+        extra={
+            "bias": "put_ask_gt_call",
+            "option_side": "put",
+            "perp_side": "long",
+            "option_inst_id": "ETH-USD-260802-1850-P",
+            "strike": 1850,
+            "expiry_ymd": "260802",
+            "perp_qty_eth": 1.0,
+            "option_qty_eth": 2.0,
+            "perp_entry_px": 1860.5,
+            "option_entry_px": 12.3,
+            "initial_premium": 24.6,
+            "perp_margin": 620.0,
+            "leverage": 3,
+        },
+    )
+    assert captured
+    open_md = captured[-1]
+    assert "开仓成功" in open_md
+    assert "`OPEN`" in open_md or TAG_OPEN in open_md
+    assert "权利金占用" in open_md
+    assert "保证金占用" in open_md
+    assert "开仓数量" in open_md
+    assert "买Put" in open_md
+
+    captured.clear()
+    notify_close(
+        reason="liquidity_retry",
+        detail="closed",
+        data={
+            "group_id": "G-20260802-01",
+            "perp_pnl": -10.5,
+            "option_pnl": 40.2,
+            "net": 25.0,
+            "fees": 4.5,
+        },
+    )
+    close_md = captured[-1]
+    assert "平仓" in close_md
+    assert TAG_CLOSE in close_md or "`CLOSE`" in close_md
+    assert "等待流动性后全平" in close_md
+    assert "永续盈亏" in close_md
+    assert "期权盈亏" in close_md
+    assert "净利润" in close_md
+    assert "+25.00U" in close_md or "25.00U" in close_md

control/backend/app/__init__.py

@@ -0,0 +1 @@
+# 使 `uvicorn app.main:app` 在 control/backend 下可运行

control/backend/app/api/__init__.py

@@ -0,0 +1,8 @@
+from fastapi import APIRouter
+
+from .auth_routes import router as auth_router
+from .nodes import router as nodes_router
+
+router = APIRouter()
+router.include_router(auth_router)
+router.include_router(nodes_router)

control/backend/app/api/auth_routes.py

@@ -0,0 +1,149 @@
+from __future__ import annotations
+
+import hmac
+from typing import Annotated
+
+from fastapi import APIRouter, Depends, HTTPException, Request
+from pydantic import BaseModel, Field
+
+from ..auth import issue_token, require_control_user
+from ..config import ControlSettings, get_control_settings
+from ..envfile import update_control_credentials, upsert_env_control
+from ..lan import client_ip, is_lan_ip
+
+router = APIRouter(prefix="/api/auth", tags=["auth"])
+
+
+class LoginBody(BaseModel):
+    username: str = Field(min_length=1)
+    password: str = Field(min_length=1)
+
+
+class ChangeCredentialsBody(BaseModel):
+    current_password: str = Field(min_length=1)
+    new_username: str = Field(min_length=1, max_length=64)
+    new_password: str = Field(min_length=6, max_length=128)
+
+
+class LanBypassBody(BaseModel):
+    enabled: bool
+
+
+@router.get("/login-meta")
+async def login_meta(
+    request: Request,
+    settings: Annotated[ControlSettings, Depends(get_control_settings)],
+) -> dict:
+    ip = client_ip(request)
+    lan = is_lan_ip(ip)
+    return {
+        "show_default_hint": settings.is_default_credentials,
+        "lan_bypass_enabled": settings.lan_auth_bypass,
+        "lan_client": lan,
+        "lan_login_available": bool(settings.lan_auth_bypass and lan),
+        "client_ip": ip or None,
+    }
+
+
+@router.post("/lan-login")
+async def lan_login(
+    request: Request,
+    settings: Annotated[ControlSettings, Depends(get_control_settings)],
+) -> dict:
+    if not settings.lan_auth_bypass:
+        raise HTTPException(status_code=403, detail="未开启局域网免登录")
+    ip = client_ip(request)
+    if not is_lan_ip(ip):
+        raise HTTPException(status_code=403, detail="仅局域网地址可免登录")
+    user = settings.control_auth_username
+    token, ttl = issue_token(user, settings)
+    return {
+        "token": token,
+        "username": user,
+        "expires_in": ttl,
+        "via": "lan",
+    }
+
+
+@router.post("/login")
+async def login(
+    body: LoginBody,
+    settings: Annotated[ControlSettings, Depends(get_control_settings)],
+) -> dict:
+    user_ok = hmac.compare_digest(
+        body.username.encode("utf-8"),
+        settings.control_auth_username.encode("utf-8"),
+    )
+    pwd_ok = hmac.compare_digest(
+        body.password.encode("utf-8"),
+        settings.control_auth_password.encode("utf-8"),
+    )
+    if not (user_ok and pwd_ok):
+        raise HTTPException(status_code=401, detail="用户名或密码错误")
+    token, ttl = issue_token(body.username, settings)
+    return {"token": token, "username": body.username, "expires_in": ttl}
+
+
+@router.get("/me")
+async def me(
+    request: Request,
+    username: Annotated[str, Depends(require_control_user)],
+    settings: Annotated[ControlSettings, Depends(get_control_settings)],
+) -> dict:
+    ip = client_ip(request)
+    lan = is_lan_ip(ip)
+    return {
+        "username": username,
+        "poll_interval_sec": settings.control_poll_interval_sec,
+        "sse_interval_sec": settings.control_sse_interval_sec,
+        "show_default_hint": settings.is_default_credentials,
+        "lan_bypass_enabled": settings.lan_auth_bypass,
+        "lan_client": lan,
+        "client_ip": ip or None,
+    }
+
+
+@router.put("/lan-bypass")
+async def put_lan_bypass(
+    body: LanBypassBody,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    upsert_env_control(
+        "CONTROL_LAN_AUTH_BYPASS",
+        "1" if body.enabled else "0",
+        overwrite=True,
+    )
+    get_control_settings.cache_clear()
+    settings = get_control_settings()
+    return {
+        "ok": True,
+        "lan_bypass_enabled": settings.lan_auth_bypass,
+    }
+
+
+@router.post("/change-credentials")
+async def change_credentials(
+    body: ChangeCredentialsBody,
+    username: Annotated[str, Depends(require_control_user)],
+    settings: Annotated[ControlSettings, Depends(get_control_settings)],
+) -> dict:
+    if not hmac.compare_digest(
+        body.current_password.encode("utf-8"),
+        settings.control_auth_password.encode("utf-8"),
+    ):
+        raise HTTPException(status_code=400, detail="当前密码不正确")
+    try:
+        update_control_credentials(
+            new_username=body.new_username,
+            new_password=body.new_password,
+        )
+    except ValueError as e:
+        raise HTTPException(status_code=400, detail=str(e)) from e
+    settings2 = get_control_settings()
+    token, ttl = issue_token(body.new_username.strip(), settings2)
+    return {
+        "token": token,
+        "username": body.new_username.strip(),
+        "expires_in": ttl,
+        "show_default_hint": settings2.is_default_credentials,
+    }

control/backend/app/api/nodes.py

@@ -0,0 +1,542 @@
+from __future__ import annotations
+
+import asyncio
+import json
+import secrets
+import time
+from typing import Annotated, Any, AsyncIterator
+
+from fastapi import APIRouter, Depends, HTTPException, Request
+from fastapi.responses import StreamingResponse
+from pydantic import BaseModel, Field
+
+from ..auth import require_control_user
+from ..config import get_control_settings
+from ..crypto import seal
+from ..db import get_control_db
+from ..proxy import call_node, probe_health
+
+router = APIRouter(prefix="/api/nodes", tags=["nodes"])
+
+
+def _public_node(row: dict[str, Any]) -> dict[str, Any]:
+    return {
+        "id": row["id"],
+        "name": row["name"],
+        "base_url": row["base_url"],
+        "token_configured": bool((row.get("token_sealed") or "").strip()),
+        "created_at_ms": row["created_at_ms"],
+        "updated_at_ms": row["updated_at_ms"],
+    }
+
+
+def _http_detail(data: Any) -> str:
+    if isinstance(data, dict):
+        d = data.get("detail", data)
+        return d if isinstance(d, str) else str(d)
+    return str(data)
+
+
+def _raise_node_error(code: int, data: Any) -> None:
+    """策略机错误不得用 401 回传，否则中控前端会误清登录态。"""
+    detail = _http_detail(data)
+    if code in (401, 403):
+        raise HTTPException(
+            status_code=502,
+            detail=f"策略机鉴权失败（{detail}）。请在中控重新生成 Token，并到策略机「系统设置→登录账户」保存同一 Token。",
+        )
+    raise HTTPException(
+        status_code=code if 400 <= code < 600 else 502,
+        detail=detail,
+    )
+
+
+async def _collect_one_status(
+    node: dict[str, Any],
+    *,
+    timeout: float | None = None,
+) -> dict[str, Any]:
+    """有 Token 时只打 fleet/status（含在线+持仓），避免 /health 再多一跳。"""
+    base = _public_node(node)
+    if not node.get("token_sealed"):
+        probe = await probe_health(node, timeout=timeout)
+        return {
+            **base,
+            **probe,
+            "fleet_ok": False,
+            "fleet_error": "未生成 Token",
+        }
+
+    code, data = await call_node(
+        node, "GET", "/api/fleet/status", timeout=timeout
+    )
+    if code == 200 and isinstance(data, dict):
+        return {
+            **base,
+            "online": True,
+            "health": None,
+            "error": None,
+            "from_fleet": True,
+            "fleet": data,
+            "fleet_ok": True,
+        }
+
+    # fleet 失败时再探 /health，区分离线 vs Token 错误
+    probe = await probe_health(node, timeout=timeout)
+    item: dict[str, Any] = {
+        **base,
+        **probe,
+        "fleet_ok": False,
+        "fleet_error": _http_detail(data) if data else f"HTTP {code}",
+    }
+    return item
+
+
+async def collect_all_status(*, timeout: float | None = None) -> list[dict[str, Any]]:
+    db = get_control_db()
+    nodes = db.list_nodes()
+    if not nodes:
+        return []
+    return list(
+        await asyncio.gather(
+            *[_collect_one_status(n, timeout=timeout) for n in nodes]
+        )
+    )
+
+
+class NodeCreate(BaseModel):
+    name: str = Field(min_length=1, max_length=64)
+    base_url: str = Field(min_length=8, max_length=256)
+
+
+class NodeUpdate(BaseModel):
+    name: str | None = Field(default=None, min_length=1, max_length=64)
+    base_url: str | None = Field(default=None, min_length=8, max_length=256)
+
+
+@router.get("/")
+async def list_nodes(_user: Annotated[str, Depends(require_control_user)]) -> dict:
+    db = get_control_db()
+    nodes = [_public_node(n) for n in db.list_nodes()]
+    return {"nodes": nodes}
+
+
+@router.post("/")
+async def create_node(
+    body: NodeCreate,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    db = get_control_db()
+    try:
+        row = db.create_node(body.name, body.base_url)
+    except Exception as e:
+        raise HTTPException(status_code=400, detail=f"创建失败: {e}") from e
+    return _public_node(row)
+
+
+@router.get("/status/all")
+async def status_all(_user: Annotated[str, Depends(require_control_user)]) -> dict:
+    items = await collect_all_status()
+    return {"nodes": items}
+
+
+@router.get("/status/stream")
+async def status_stream(
+    request: Request,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> StreamingResponse:
+    """SSE：中控约每秒并行拉取策略机状态并推送到浏览器。"""
+    settings = get_control_settings()
+    interval = max(0.5, float(settings.control_sse_interval_sec))
+    probe_timeout = max(0.5, float(settings.control_sse_probe_timeout_sec))
+
+    async def event_gen() -> AsyncIterator[str]:
+        last_payload = ""
+        last_heartbeat = 0.0
+        yield f": connected interval={interval}\n\n"
+        while True:
+            if await request.is_disconnected():
+                break
+            started = time.monotonic()
+            try:
+                items = await collect_all_status(timeout=probe_timeout)
+                payload = json.dumps(
+                    {"nodes": items, "ts_ms": int(time.time() * 1000)},
+                    ensure_ascii=False,
+                    separators=(",", ":"),
+                    default=str,
+                )
+                now = time.monotonic()
+                if payload != last_payload:
+                    last_payload = payload
+                    yield f"event: nodes\ndata: {payload}\n\n"
+                    last_heartbeat = now
+                elif now - last_heartbeat >= 5.0:
+                    yield f": heartbeat {int(time.time())}\n\n"
+                    last_heartbeat = now
+            except Exception as e:
+                err = json.dumps(
+                    {"detail": str(e)},
+                    ensure_ascii=False,
+                    separators=(",", ":"),
+                )
+                yield f"event: error\ndata: {err}\n\n"
+            elapsed = time.monotonic() - started
+            await asyncio.sleep(max(0.05, interval - elapsed))
+
+    return StreamingResponse(
+        event_gen(),
+        media_type="text/event-stream",
+        headers={
+            "Cache-Control": "no-cache",
+            "Connection": "keep-alive",
+            "X-Accel-Buffering": "no",
+        },
+    )
+
+
+@router.post("/update-batch")
+async def update_batch(
+    body: dict,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    ids = body.get("ids") or []
+    if not isinstance(ids, list) or not ids:
+        raise HTTPException(status_code=400, detail="ids 不能为空")
+    db = get_control_db()
+    results = []
+    for nid in ids:
+        node = db.get_node(int(nid))
+        if not node:
+            results.append({"id": nid, "ok": False, "detail": "不存在"})
+            continue
+        code, data = await call_node(node, "POST", "/api/fleet/update")
+        results.append(
+            {
+                "id": nid,
+                "ok": code < 400,
+                "status": code,
+                "result": data,
+            }
+        )
+    return {"results": results}
+
+
+@router.post("/start-batch")
+async def start_batch(
+    body: dict,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    """并行启动多台策略机（Fleet start）。"""
+    ids = body.get("ids") or []
+    if not isinstance(ids, list) or not ids:
+        raise HTTPException(status_code=400, detail="ids 不能为空")
+    db = get_control_db()
+
+    async def _one(nid: int) -> dict:
+        node = db.get_node(int(nid))
+        if not node:
+            return {"id": nid, "ok": False, "detail": "不存在", "name": str(nid)}
+        name = str(node.get("name") or nid)
+        if not node.get("token_sealed"):
+            return {"id": nid, "ok": False, "detail": "未生成 Token", "name": name}
+        try:
+            code, data = await call_node(node, "POST", "/api/fleet/start", timeout=20.0)
+        except Exception as ex:
+            return {"id": nid, "ok": False, "detail": str(ex), "name": name}
+        detail = ""
+        if code >= 400:
+            detail = _http_detail(data) if data else f"HTTP {code}"
+        return {
+            "id": nid,
+            "name": name,
+            "ok": code < 400,
+            "status": code,
+            "detail": detail,
+            "result": data,
+        }
+
+    items = list(await asyncio.gather(*[_one(int(x)) for x in ids]))
+    ok_n = sum(1 for x in items if x.get("ok"))
+    return {"ok": ok_n == len(items), "started": ok_n, "total": len(items), "results": items}
+
+
+@router.patch("/{node_id}")
+async def update_node(
+    node_id: int,
+    body: NodeUpdate,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    db = get_control_db()
+    row = db.update_node(node_id, name=body.name, base_url=body.base_url)
+    if not row:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    return _public_node(row)
+
+
+@router.delete("/{node_id}")
+async def delete_node(
+    node_id: int,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    db = get_control_db()
+    if not db.delete_node(node_id):
+        raise HTTPException(status_code=404, detail="节点不存在")
+    return {"ok": True}
+
+
+@router.post("/{node_id}/generate-token")
+async def generate_token(
+    node_id: int,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    """生成新 Token，加密存中控；明文仅返回一次，需粘贴到策略机设置。"""
+    db = get_control_db()
+    node = db.get_node(node_id)
+    if not node:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    plain = secrets.token_urlsafe(32)
+    sealed = seal(plain, get_control_settings().control_auth_secret)
+    db.update_node(node_id, token_sealed=sealed)
+    return {
+        "ok": True,
+        "token": plain,
+        "msg": "请立即复制并到策略机「系统设置 → 登录账户 → 中控 API Token」保存",
+    }
+
+
+@router.get("/{node_id}/status")
+async def node_status(
+    node_id: int,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    db = get_control_db()
+    node = db.get_node(node_id)
+    if not node:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    return await _collect_one_status(node)
+
+
+def _max_single_loss_from_curve(curve: list[Any]) -> float:
+    pnls = [float(x.get("realized_pnl") or 0) for x in curve if isinstance(x, dict)]
+    if not pnls:
+        return 0.0
+    worst = min(pnls)
+    return float(worst) if worst < 0 else 0.0
+
+
+def _loss_streak_from_curve(curve: list[Any]) -> int:
+    streak = 0
+    for item in reversed(curve):
+        if not isinstance(item, dict):
+            continue
+        if float(item.get("realized_pnl") or 0) < 0:
+            streak += 1
+        else:
+            break
+    return streak
+
+
+async def _collect_one_stats(node: dict[str, Any]) -> dict[str, Any]:
+    base = {
+        "id": node["id"],
+        "name": node["name"],
+        "ok": False,
+        "error": None,
+        "initial_funds": None,
+        "latest_funds": None,
+        "groups": None,
+        "fees_perp": None,
+        "fees_option": None,
+        "total_fees": None,
+        "max_single_loss": None,
+        "loss_streak": None,
+        "total_pnl": None,
+    }
+    if not node.get("token_sealed"):
+        base["error"] = "未生成 Token"
+        return base
+    try:
+        code, data = await call_node(node, "GET", "/api/fleet/stats", timeout=15.0)
+    except Exception as ex:
+        base["error"] = str(ex)
+        return base
+    if code >= 400 or not isinstance(data, dict):
+        base["error"] = _http_detail(data) if data else f"HTTP {code}"
+        return base
+
+    curve = data.get("equity_curve") if isinstance(data.get("equity_curve"), list) else []
+    max_loss = data.get("max_single_loss")
+    if max_loss is None:
+        max_loss = _max_single_loss_from_curve(curve)
+    loss_streak = data.get("loss_streak")
+    if loss_streak is None:
+        loss_streak = _loss_streak_from_curve(curve)
+
+    latest_funds = data.get("latest_funds")
+    if latest_funds is None:
+        # 旧版策略机 stats 无资金字段：回落 status.latest_funds
+        try:
+            sc, sd = await call_node(node, "GET", "/api/fleet/status", timeout=8.0)
+            if sc < 400 and isinstance(sd, dict) and sd.get("latest_funds") is not None:
+                latest_funds = sd.get("latest_funds")
+        except Exception:
+            pass
+    if latest_funds is None:
+        latest_funds = 0.0
+
+    initial_funds = data.get("initial_funds")
+    if initial_funds is None:
+        # 旧版策略机：用最新资金 − 已实现盈亏近似初始资金
+        try:
+            initial_funds = float(latest_funds) - float(data.get("total_pnl") or 0)
+        except Exception:
+            initial_funds = None
+
+    base.update(
+        {
+            "ok": True,
+            "initial_funds": initial_funds,
+            "latest_funds": latest_funds,
+            "groups": data.get("groups"),
+            "fees_perp": data.get("fees_perp"),
+            "fees_option": data.get("fees_option"),
+            "total_fees": data.get("total_fees"),
+            "max_single_loss": max_loss,
+            "loss_streak": loss_streak,
+            "total_pnl": data.get("total_pnl"),
+            "mode": data.get("mode"),
+        }
+    )
+    return base
+
+
+@router.get("/stats/all")
+async def stats_all(_user: Annotated[str, Depends(require_control_user)]) -> dict:
+    """并行拉取各策略机统计，供监控区「数据统计」表。"""
+    db = get_control_db()
+    nodes = db.list_nodes()
+    if not nodes:
+        return {"nodes": []}
+    items = list(await asyncio.gather(*[_collect_one_stats(n) for n in nodes]))
+    return {"nodes": items}
+
+
+@router.get("/{node_id}/stats")
+async def node_stats(
+    node_id: int,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    """代理策略机整体统计（点击详情时按需拉取，不进 SSE）。"""
+    db = get_control_db()
+    node = db.get_node(node_id)
+    if not node:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    if not node.get("token_sealed"):
+        raise HTTPException(status_code=400, detail="未生成 Token")
+    code, data = await call_node(node, "GET", "/api/fleet/stats", timeout=15.0)
+    if code >= 400:
+        _raise_node_error(code, data)
+    if not isinstance(data, dict):
+        raise HTTPException(status_code=502, detail="策略机统计返回异常")
+    return data
+
+
+class ResidualCloseBody(BaseModel):
+    group_id: str = Field(min_length=1, max_length=128)
+
+
+@router.post("/{node_id}/residual/close")
+async def node_residual_close(
+    node_id: int,
+    body: ResidualCloseBody,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    """代理策略机手动平单条残留（只验流动性）。"""
+    db = get_control_db()
+    node = db.get_node(node_id)
+    if not node:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    if not node.get("token_sealed"):
+        raise HTTPException(status_code=400, detail="未生成 Token")
+    code, data = await call_node(
+        node,
+        "POST",
+        "/api/fleet/residual/close",
+        json_body={"group_id": body.group_id},
+        timeout=30.0,
+    )
+    if code >= 400:
+        _raise_node_error(code, data)
+    return {"ok": True, "result": data}
+
+
+@router.post("/{node_id}/start")
+async def node_start(
+    node_id: int,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    db = get_control_db()
+    node = db.get_node(node_id)
+    if not node:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    code, data = await call_node(node, "POST", "/api/fleet/start")
+    if code >= 400:
+        _raise_node_error(code, data)
+    return {"ok": True, "result": data}
+
+
+@router.post("/{node_id}/pause")
+async def node_pause(
+    node_id: int,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    db = get_control_db()
+    node = db.get_node(node_id)
+    if not node:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    code, data = await call_node(node, "POST", "/api/fleet/pause")
+    if code >= 400:
+        _raise_node_error(code, data)
+    return {"ok": True, "result": data}
+
+
+@router.post("/{node_id}/update")
+async def node_update(
+    node_id: int,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    db = get_control_db()
+    node = db.get_node(node_id)
+    if not node:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    code, data = await call_node(node, "POST", "/api/fleet/update")
+    if code >= 400:
+        _raise_node_error(code, data)
+    return {"ok": True, "result": data}
+
+
+@router.post("/{node_id}/login-url")
+async def node_login_url(
+    node_id: int,
+    _user: Annotated[str, Depends(require_control_user)],
+) -> dict:
+    """用 Fleet Token 向策略机签发一次性登录票，返回可打开的 URL。"""
+    db = get_control_db()
+    node = db.get_node(node_id)
+    if not node:
+        raise HTTPException(status_code=404, detail="节点不存在")
+    code, data = await call_node(node, "POST", "/api/fleet/issue-login")
+    if code >= 400:
+        _raise_node_error(code, data)
+    path = ""
+    if isinstance(data, dict):
+        path = str(data.get("login_path") or "")
+    if not path:
+        raise HTTPException(status_code=502, detail="策略机未返回 login_path")
+    base = str(node["base_url"]).rstrip("/")
+    return {
+        "ok": True,
+        "url": f"{base}{path}",
+        "expires_in": data.get("expires_in") if isinstance(data, dict) else None,
+    }

control/backend/app/auth.py

@@ -0,0 +1,77 @@
+"""中控登录 HMAC Token。"""
+
+from __future__ import annotations
+
+import base64
+import hashlib
+import hmac
+import json
+import time
+from typing import Annotated
+
+from fastapi import Depends, HTTPException, status
+from fastapi.security import HTTPAuthorizationCredentials, HTTPBearer
+
+from .config import ControlSettings, get_control_settings
+
+_bearer = HTTPBearer(auto_error=False)
+
+
+def _b64url(data: bytes) -> str:
+    return base64.urlsafe_b64encode(data).decode("ascii").rstrip("=")
+
+
+def _b64url_decode(s: str) -> bytes:
+    pad = "=" * (-len(s) % 4)
+    return base64.urlsafe_b64decode(s + pad)
+
+
+def issue_token(username: str, settings: ControlSettings) -> tuple[str, int]:
+    exp = int(time.time()) + int(settings.control_token_ttl_sec)
+    payload = {
+        "u": username,
+        "exp": exp,
+        "v": int(settings.control_auth_token_version),
+    }
+    raw = _b64url(json.dumps(payload, separators=(",", ":")).encode("utf-8"))
+    sig = hmac.new(
+        settings.control_auth_secret.encode("utf-8"),
+        raw.encode("ascii"),
+        hashlib.sha256,
+    ).hexdigest()
+    return f"{raw}.{sig}", settings.control_token_ttl_sec
+
+
+def verify_token(token: str, settings: ControlSettings) -> str:
+    try:
+        raw, sig = token.rsplit(".", 1)
+    except ValueError as e:
+        raise HTTPException(status_code=401, detail="invalid token") from e
+    expect = hmac.new(
+        settings.control_auth_secret.encode("utf-8"),
+        raw.encode("ascii"),
+        hashlib.sha256,
+    ).hexdigest()
+    if not hmac.compare_digest(expect, sig):
+        raise HTTPException(status_code=401, detail="invalid token")
+    try:
+        payload = json.loads(_b64url_decode(raw))
+    except Exception as e:
+        raise HTTPException(status_code=401, detail="invalid token") from e
+    if int(payload.get("exp") or 0) < int(time.time()):
+        raise HTTPException(status_code=401, detail="token expired")
+    if int(payload.get("v") or 0) != int(settings.control_auth_token_version):
+        raise HTTPException(status_code=401, detail="token revoked")
+    username = str(payload.get("u") or "")
+    if not username:
+        raise HTTPException(status_code=401, detail="invalid token")
+    return username
+
+
+def require_control_user(
+    creds: Annotated[HTTPAuthorizationCredentials | None, Depends(_bearer)],
+    settings: Annotated[ControlSettings, Depends(get_control_settings)],
+) -> str:
+    if creds is None or not creds.credentials:
+        raise HTTPException(status_code=status.HTTP_401_UNAUTHORIZED, detail="login required")
+    return verify_token(creds.credentials, settings)

control/backend/app/config.py

@@ -0,0 +1,66 @@
+"""中控配置。"""
+
+from __future__ import annotations
+
+from functools import lru_cache
+from pathlib import Path
+
+from pydantic_settings import BaseSettings, SettingsConfigDict
+
+
+def _control_root() -> Path:
+    # control/backend/app/config.py -> control/
+    return Path(__file__).resolve().parents[2]
+
+
+def _repo_root() -> Path:
+    return Path(__file__).resolve().parents[3]
+
+
+class ControlSettings(BaseSettings):
+    model_config = SettingsConfigDict(
+        env_file=str(_repo_root() / ".env.control"),
+        env_file_encoding="utf-8",
+        extra="ignore",
+    )
+
+    control_auth_username: str = "admin"
+    control_auth_password: str = "admin123"
+    control_auth_secret: str = "change-me-control-secret-please"
+    control_auth_token_version: int = 1
+    control_token_ttl_sec: int = 7 * 24 * 3600
+    control_db_path: str = ""
+    control_poll_interval_sec: int = 8
+    control_sse_interval_sec: float = 1.0
+    control_sse_probe_timeout_sec: float = 2.5
+    control_http_timeout_sec: float = 12.0
+    control_port: int = 5160
+    # "1"/"0"：局域网客户端免密登录
+    control_lan_auth_bypass: str = "0"
+
+    @property
+    def db_path(self) -> Path:
+        if self.control_db_path.strip():
+            return Path(self.control_db_path)
+        return _control_root() / "data" / "control.db"
+
+    @property
+    def lan_auth_bypass(self) -> bool:
+        return self.control_lan_auth_bypass.strip().lower() in (
+            "1",
+            "true",
+            "yes",
+            "on",
+        )
+
+    @property
+    def is_default_credentials(self) -> bool:
+        return (
+            self.control_auth_username.strip() == "admin"
+            and self.control_auth_password == "admin123"
+        )
+
+
+@lru_cache
+def get_control_settings() -> ControlSettings:
+    return ControlSettings()