dekun
5d161b4220
Lock one mode per instance/subaccount, cross-asset BTC option/ETH perp sizing, combo-U exit, and ship docs/tests/audit. Co-authored-by: Cursor <cursoragent@cursor.com>
92 lines
3.2 KiB
Python
92 lines
3.2 KiB
Python
#!/usr/bin/env python3
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"""审计永期实例模式配置与纯函数口径(不连交易所下单).
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用法:
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python scripts/audit_hedge_po_mode.py
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HEDGE_PO_MODE=btc_eth python scripts/audit_hedge_po_mode.py
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"""
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from __future__ import annotations
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import os
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import sys
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# 仓库根
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_ROOT = os.path.abspath(os.path.join(os.path.dirname(__file__), ".."))
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if _ROOT not in sys.path:
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sys.path.insert(0, _ROOT)
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def main() -> int:
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from lib.hedge_plan.hedge_po_mode_lib import (
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apply_mode_to_start_body,
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clamp_hedge_po_mode_on_startup,
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combo_net_usdt,
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public_mode_payload,
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size_cross_notional,
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validate_body_matches_mode,
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)
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print("=== HEDGE_PO_MODE 审计 ===")
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summary = clamp_hedge_po_mode_on_startup()
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payload = public_mode_payload(summary["mode"])
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ok = True
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def check(name: str, cond: bool, detail: str = "") -> None:
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nonlocal ok
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mark = "PASS" if cond else "FAIL"
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if not cond:
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ok = False
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print(f"[{mark}] {name}" + (f" — {detail}" if detail else ""))
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check("启动钳制", summary.get("ok") is True, str(summary.get("mode")))
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check("期权/永续标的已填", bool(payload.get("option_underlying") and payload.get("perp_underlying")))
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check("出场强制 profit", payload.get("exit_mode") == "profit")
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check("以期权为主", payload.get("option_primary") is True)
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check("实例规则文案", "子账户" in str(payload.get("instance_rule") or ""))
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if payload.get("po_mode") == "btc_eth":
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check("跨币期权=BTC", payload.get("option_underlying") == "BTC")
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check("跨币永续=ETH", payload.get("perp_underlying") == "ETH")
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k = float(payload.get("cross_notional_k") or 0)
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check("K 在合理区间", 0.05 <= k <= 5.0, f"k={k}")
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sz = size_cross_notional(
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option_coin_qty=0.1,
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option_index=100_000,
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perp_index=2_500,
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contract_size=0.01,
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notional_k=k,
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)
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check("跨币定仓样例", bool(sz.get("ok")), str(sz.get("contracts")))
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expect = 0.1 * 100_000 * k / 2_500 / 0.01
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check("定仓≈名义公式", abs(float(sz["contracts"]) - expect) < 1e-6, f"{sz['contracts']} vs {expect}")
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body = apply_mode_to_start_body(
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{
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"direction": "long",
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"opt_inst_id": f"{payload['option_underlying']}-USD-260831-1000-C",
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"exchange_symbol": f"{payload['perp_underlying']}/USDT:USDT",
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"profit_target_usdt": 10,
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"sheets": 1,
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"contracts": 1,
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"option_perp_ratio": payload.get("option_perp_ratio"),
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}
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)
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check("body 钳制后校验通过", validate_body_matches_mode(body) is None)
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# 组合 U:币*指数 + 永续U
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fake_net = {"opt_net": 0.01, "perp_net": 5.0, "net": 5.01}
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u = combo_net_usdt(fake_net, option_index=100_000)
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check("组合U不混单位", u == 1005.0, f"got {u}")
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if summary.get("warnings"):
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print("--- warnings ---")
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for w in summary["warnings"]:
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print(" ", w)
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print("===", "全部通过" if ok else "存在失败", "===")
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return 0 if ok else 1
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if __name__ == "__main__":
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raise SystemExit(main())
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