dekun
131 lines
4.2 KiB
Python
131 lines
4.2 KiB
Python
"""对冲计划期权腿盈亏与交易所对齐."""
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from __future__ import annotations
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import sqlite3
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import unittest
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from lib.hedge_plan.hedge_plan_db import get_plan, init_hedge_plan_tables, insert_leg, insert_plan
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from lib.hedge_plan.hedge_plan_settle_lib import (
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_parse_opened_ms,
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backfill_hedge_option_legs_realized_pnl,
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resolve_option_leg_realized_pnl,
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)
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class HedgeExchangePnlTest(unittest.TestCase):
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def test_resolve_prefers_exchange(self):
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leg = {
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"inst_id": "ETH-USD_UM-260719-1850-P",
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"opened_at": "2026-07-17 06:59:18",
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"premium": 5.0,
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}
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hist = [
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{
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"instId": "ETH-USD_UM-260719-1850-P",
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"uTime": "1784400000000",
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"realizedPnl": "12.00",
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"closeAvgPx": "30",
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}
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]
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pnl, src = resolve_option_leg_realized_pnl(
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leg=leg, hist_rows=hist, fallback=-5.0
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)
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self.assertEqual(src, "exchange")
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self.assertEqual(pnl, 12.0)
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def test_opened_at_beijing_wall_clock_not_utc(self):
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# 北京 09:19 开仓 → UTC 01:19; 到期结算北京 16:00:31 = UTC 08:00:31
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open_ms = _parse_opened_ms("2026-07-20 09:19:30")
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self.assertEqual(open_ms, 1784510370000)
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leg = {
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"inst_id": "ETH-USD_UM-260720-1870-C",
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"opened_at": "2026-07-20 09:19:30",
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"premium": 6.9,
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}
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hist = [
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{
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"instId": "ETH-USD_UM-260720-1870-C",
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"uTime": "1784534431512",
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"realizedPnl": "-7.1812815",
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"pnl": "-6.9",
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"type": "2",
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}
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]
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pnl, src = resolve_option_leg_realized_pnl(
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leg=leg, hist_rows=hist, fallback=-6.9
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)
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self.assertEqual(src, "exchange")
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self.assertAlmostEqual(pnl, -7.1813, places=4)
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def test_backfill_updates_plan_total(self):
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_hedge_plan_tables(conn)
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pid = insert_plan(
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conn,
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{
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"plan_type": "options_options",
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"status": "closed",
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"underlying": "ETH",
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"premium_total": 10,
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"realized_pnl_options": 6.08,
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"realized_pnl_total": 6.08,
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"opened_at": "2026-07-17 06:59:18",
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"closed_at": "2026-07-19 16:00:13",
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},
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)
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insert_leg(
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conn,
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{
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"plan_id": pid,
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"leg_role": "option_a",
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"inst_id": "ETH-USD_UM-260719-1890-C",
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"opt_type": "C",
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"strike": 1890,
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"size": 10,
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"premium": 5.92,
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"status": "closed",
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"realized_pnl": -5.92,
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"opened_at": "2026-07-17 06:59:18",
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"closed_at": "2026-07-19 16:00:13",
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},
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)
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insert_leg(
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conn,
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{
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"plan_id": pid,
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"leg_role": "option_b",
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"inst_id": "ETH-USD_UM-260719-1850-P",
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"opt_type": "P",
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"strike": 1850,
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"size": 10,
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"premium": 4.0,
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"status": "closed",
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"realized_pnl": 12.0,
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"opened_at": "2026-07-17 06:59:18",
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"closed_at": "2026-07-19 08:00:00",
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},
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)
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hist = [
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{
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"instId": "ETH-USD_UM-260719-1890-C",
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"uTime": "1784476813000",
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"realizedPnl": "-5.50",
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},
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{
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"instId": "ETH-USD_UM-260719-1850-P",
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"uTime": "1784448000000",
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"realizedPnl": "11.80",
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},
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]
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out = backfill_hedge_option_legs_realized_pnl(conn, hist)
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self.assertEqual(out["legs"], 2)
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self.assertEqual(out["plans"], 1)
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plan = get_plan(conn, pid)
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self.assertAlmostEqual(float(plan["realized_pnl_options"]), 6.3, places=4)
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self.assertAlmostEqual(float(plan["realized_pnl_total"]), 6.3, places=4)
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if __name__ == "__main__":
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unittest.main()
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