Lock hedge-plan option selection to ITM/ATM (perp) and ATM/OTM (OO).

Server validate on preview/start, UI filters and recommend templates, plus usability/security audit doc. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-05 21:50:35 +08:00
parent 09a763e47d
commit 3f6e67661b
9 changed files with 746 additions and 20 deletions
@@ -0,0 +1,119 @@
+"""对冲计划虚实值选约与校验."""
+import unittest
+
+from lib.hedge_plan.hedge_plan_moneyness_lib import (
+    is_atm_or_otm,
+    is_itm_or_atm,
+    parse_strike_from_inst,
+    pick_itm_or_atm_contract,
+    recommend_oo_legs,
+    validate_oo_legs_moneyness,
+    validate_po_option_moneyness,
+)
+from lib.hedge_plan.hedge_plan_orders_lib import validate_start_body
+
+
+class TestHedgeMoneyness(unittest.TestCase):
+    def test_parse_strike(self):
+        self.assertEqual(parse_strike_from_inst("ETH-USD-260731-1800-P"), 1800.0)
+        self.assertIsNone(parse_strike_from_inst("bad"))
+
+    def test_po_geometry(self):
+        # Call: K<=S 实/平
+        self.assertTrue(is_itm_or_atm(opt_type="C", strike=3500, index_px=3510))
+        self.assertFalse(is_itm_or_atm(opt_type="C", strike=3600, index_px=3510))
+        # Put: K>=S
+        self.assertTrue(is_itm_or_atm(opt_type="P", strike=3600, index_px=3510))
+        self.assertFalse(is_itm_or_atm(opt_type="P", strike=3400, index_px=3510))
+
+    def test_oo_geometry(self):
+        self.assertTrue(is_atm_or_otm(opt_type="C", strike=3600, index_px=3510))
+        self.assertFalse(is_atm_or_otm(opt_type="C", strike=3400, index_px=3510))
+        self.assertTrue(is_atm_or_otm(opt_type="P", strike=3400, index_px=3510))
+        self.assertFalse(is_atm_or_otm(opt_type="P", strike=3600, index_px=3510))
+
+    def test_validate_po_rejects_otm(self):
+        err = validate_po_option_moneyness(opt_type="P", strike=1700, index_px=1800)
+        self.assertIsNotNone(err)
+        self.assertIn("虚值", err)
+        self.assertIsNone(
+            validate_po_option_moneyness(opt_type="P", strike=1800, index_px=1800)
+        )
+
+    def test_validate_oo_rejects_itm(self):
+        err = validate_oo_legs_moneyness(
+            {"opt_type": "C", "strike": 1700},
+            {"opt_type": "P", "strike": 1900},
+            index_px=1800,
+        )
+        self.assertIsNotNone(err)
+        self.assertIn("实值", err)
+        self.assertIsNone(
+            validate_oo_legs_moneyness(
+                {"opt_type": "C", "strike": 1850},
+                {"opt_type": "P", "strike": 1750},
+                index_px=1800,
+            )
+        )
+
+    def test_pick_itm_or_atm(self):
+        contracts = [
+            {"inst_id": "E-C-3600", "opt_type": "C", "strike": 3600},
+            {"inst_id": "E-C-3500", "opt_type": "C", "strike": 3500},
+            {"inst_id": "E-C-3400", "opt_type": "C", "strike": 3400},
+        ]
+        picked = pick_itm_or_atm_contract(
+            contracts, opt_type="C", index_px=3510, itm_max_dist=200
+        )
+        self.assertIsNotNone(picked)
+        self.assertEqual(picked["strike"], 3500)
+
+    def test_recommend_oo(self):
+        contracts = [
+            {"inst_id": "E-C-1800", "opt_type": "C", "strike": 1800},
+            {"inst_id": "E-P-1800", "opt_type": "P", "strike": 1800},
+            {"inst_id": "E-C-1900", "opt_type": "C", "strike": 1900},
+            {"inst_id": "E-P-1700", "opt_type": "P", "strike": 1700},
+        ]
+        pair = recommend_oo_legs(contracts, index_px=1800, template="atm_straddle")
+        self.assertIsNotNone(pair)
+        self.assertEqual(pair[0]["opt_type"], "C")
+        self.assertEqual(pair[1]["opt_type"], "P")
+
+    def test_validate_start_body_po_otm(self):
+        err = validate_start_body(
+            "perp_options",
+            {
+                "direction": "long",
+                "entry": 1800,
+                "tp": 1900,
+                "sl": 1700,
+                "contracts": 1,
+                "opt_inst_id": "ETH-USD-260731-1700-P",
+                "opt_type": "P",
+                "strike": 1700,
+                "index_px": 1800,
+                "sheets": 1,
+                "exchange_symbol": "ETH/USDT:USDT",
+            },
+        )
+        self.assertIsNotNone(err)
+        self.assertIn("虚值", err)
+
+    def test_validate_start_body_oo_itm(self):
+        err = validate_start_body(
+            "options_options",
+            {
+                "target_price_up": 1900,
+                "target_price_down": 1700,
+                "index_px": 1800,
+                "leg_a": {"inst_id": "ETH-USD-260731-1700-C", "opt_type": "C", "strike": 1700},
+                "leg_b": {"inst_id": "ETH-USD-260731-1900-P", "opt_type": "P", "strike": 1900},
+            },
+        )
+        self.assertIsNotNone(err)
+        self.assertIn("实值", err)
+
+
+if __name__ == "__main__":
+    unittest.main()