Add hub perpetual-options hedge calculator tab and sizing formula.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-28 12:37:51 +08:00
parent f360242188
commit 4bcf88b5cb
6 changed files with 496 additions and 5 deletions
@@ -0,0 +1,86 @@
+"""hub_perp_options_calc_lib 永期对冲测算."""
+
+import unittest
+
+from lib.hub.hub_perp_options_calc_lib import calc_perp_options_hedge
+
+
+class HubPerpOptionsCalcTests(unittest.TestCase):
+    def test_example_1800_50_15_100(self):
+        data, err = calc_perp_options_hedge(
+            base="ETH",
+            spot=1800,
+            capital_usdt=3000,
+            target_profit_u=15,
+            move_mode="points",
+            move_value=50,
+            perp_leverage=10,
+            option_leverage=100,
+            ct_mult=0.01,
+        )
+        self.assertIsNone(err)
+        assert data is not None
+        self.assertEqual(data["prem_per_coin"], 18.0)
+        self.assertEqual(data["perp_gross_u"], 50.0)
+        # fee = (1800+1850)*0.0005 = 1.825
+        self.assertAlmostEqual(data["perp_fee_u"], 1.825, places=6)
+        self.assertAlmostEqual(data["premium_budget_u"], 33.175, places=6)
+        self.assertAlmostEqual(data["opt_coins"], 33.175 / 18.0, places=6)
+        self.assertAlmostEqual(data["opt_sheets"], data["opt_coins"] / 0.01, places=4)
+        self.assertAlmostEqual(data["case_a"]["net_u"], 15.0, places=6)
+        # B: opt_net = coins*50 - coins*18 = coins*32; portfolio = opt_net - 50
+        coins = data["opt_coins"]
+        self.assertAlmostEqual(data["case_b"]["opt_net_u"], coins * 32.0, places=6)
+        self.assertAlmostEqual(data["case_b"]["portfolio_net_u"], coins * 32.0 - 50.0, places=6)
+        self.assertAlmostEqual(data["perp_margin_u"], 180.0, places=6)
+        self.assertTrue(data["capital_ok"])
+
+    def test_pct_mode(self):
+        data, err = calc_perp_options_hedge(
+            base="BTC",
+            spot=100000,
+            capital_usdt=5000,
+            target_profit_u=100,
+            move_mode="pct",
+            move_value=1,
+            perp_leverage=5,
+            option_leverage=50,
+            ct_mult=0.01,
+        )
+        self.assertIsNone(err)
+        assert data is not None
+        self.assertAlmostEqual(data["move_points"], 1000.0, places=6)
+        self.assertAlmostEqual(data["perp_gross_u"], 1000.0, places=6)
+        self.assertAlmostEqual(data["prem_per_coin"], 2000.0, places=6)
+
+    def test_budget_too_small(self):
+        data, err = calc_perp_options_hedge(
+            base="ETH",
+            spot=1800,
+            capital_usdt=3000,
+            target_profit_u=60,
+            move_mode="points",
+            move_value=50,
+            perp_leverage=10,
+            option_leverage=100,
+        )
+        self.assertIsNone(data)
+        self.assertIn("无法开期权", err or "")
+
+    def test_bad_base(self):
+        data, err = calc_perp_options_hedge(
+            base="SOL",
+            spot=100,
+            capital_usdt=1000,
+            target_profit_u=10,
+            move_mode="points",
+            move_value=5,
+            perp_leverage=5,
+            option_leverage=20,
+        )
+        self.assertIsNone(data)
+        self.assertIsNotNone(err)
+
+
+if __name__ == "__main__":
+    unittest.main()