dekun
c5d3d9d6c1
将上/下破目标价替换为盈亏比(盈利金额/初始权利金，默认2)；残值平需买一流动性且权利金≤初始20%。 Co-authored-by: Cursor <cursoragent@cursor.com>
119 lines
4.3 KiB
Python
119 lines
4.3 KiB
Python
"""对冲计划虚实值选约与校验."""
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import unittest
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from lib.hedge_plan.hedge_plan_moneyness_lib import (
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is_atm_or_otm,
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is_itm_or_atm,
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parse_strike_from_inst,
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pick_itm_or_atm_contract,
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recommend_oo_legs,
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validate_oo_legs_moneyness,
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validate_po_option_moneyness,
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)
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from lib.hedge_plan.hedge_plan_orders_lib import validate_start_body
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class TestHedgeMoneyness(unittest.TestCase):
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def test_parse_strike(self):
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self.assertEqual(parse_strike_from_inst("ETH-USD-260731-1800-P"), 1800.0)
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self.assertIsNone(parse_strike_from_inst("bad"))
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def test_po_geometry(self):
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# Call: K<=S 实/平
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self.assertTrue(is_itm_or_atm(opt_type="C", strike=3500, index_px=3510))
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self.assertFalse(is_itm_or_atm(opt_type="C", strike=3600, index_px=3510))
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# Put: K>=S
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self.assertTrue(is_itm_or_atm(opt_type="P", strike=3600, index_px=3510))
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self.assertFalse(is_itm_or_atm(opt_type="P", strike=3400, index_px=3510))
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def test_oo_geometry(self):
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self.assertTrue(is_atm_or_otm(opt_type="C", strike=3600, index_px=3510))
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self.assertFalse(is_atm_or_otm(opt_type="C", strike=3400, index_px=3510))
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self.assertTrue(is_atm_or_otm(opt_type="P", strike=3400, index_px=3510))
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self.assertFalse(is_atm_or_otm(opt_type="P", strike=3600, index_px=3510))
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def test_validate_po_rejects_otm(self):
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err = validate_po_option_moneyness(opt_type="P", strike=1700, index_px=1800)
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self.assertIsNotNone(err)
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self.assertIn("虚值", err)
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self.assertIsNone(
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validate_po_option_moneyness(opt_type="P", strike=1800, index_px=1800)
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)
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def test_validate_oo_rejects_itm(self):
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err = validate_oo_legs_moneyness(
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{"opt_type": "C", "strike": 1700},
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{"opt_type": "P", "strike": 1900},
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index_px=1800,
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)
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self.assertIsNotNone(err)
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self.assertIn("实值", err)
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self.assertIsNone(
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validate_oo_legs_moneyness(
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{"opt_type": "C", "strike": 1850},
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{"opt_type": "P", "strike": 1750},
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index_px=1800,
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)
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)
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def test_pick_itm_or_atm(self):
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contracts = [
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{"inst_id": "E-C-3600", "opt_type": "C", "strike": 3600},
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{"inst_id": "E-C-3500", "opt_type": "C", "strike": 3500},
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{"inst_id": "E-C-3400", "opt_type": "C", "strike": 3400},
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]
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picked = pick_itm_or_atm_contract(
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contracts, opt_type="C", index_px=3510, itm_max_dist=200
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)
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self.assertIsNotNone(picked)
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self.assertEqual(picked["strike"], 3500)
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def test_recommend_oo(self):
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contracts = [
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{"inst_id": "E-C-1800", "opt_type": "C", "strike": 1800},
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{"inst_id": "E-P-1800", "opt_type": "P", "strike": 1800},
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{"inst_id": "E-C-1900", "opt_type": "C", "strike": 1900},
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{"inst_id": "E-P-1700", "opt_type": "P", "strike": 1700},
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]
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pair = recommend_oo_legs(contracts, index_px=1800, template="atm_straddle")
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self.assertIsNotNone(pair)
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self.assertEqual(pair[0]["opt_type"], "C")
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self.assertEqual(pair[1]["opt_type"], "P")
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def test_validate_start_body_po_otm(self):
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err = validate_start_body(
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"perp_options",
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{
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"direction": "long",
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"entry": 1800,
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"tp": 1900,
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"sl": 1700,
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"contracts": 1,
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"opt_inst_id": "ETH-USD-260731-1700-P",
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"opt_type": "P",
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"strike": 1700,
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"index_px": 1800,
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"sheets": 1,
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"exchange_symbol": "ETH/USDT:USDT",
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},
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)
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self.assertIsNotNone(err)
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self.assertIn("虚值", err)
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def test_validate_start_body_oo_itm(self):
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err = validate_start_body(
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"options_options",
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{
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"profit_rr": 2,
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"index_px": 1800,
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"leg_a": {"inst_id": "ETH-USD-260731-1700-C", "opt_type": "C", "strike": 1700},
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"leg_b": {"inst_id": "ETH-USD-260731-1900-P", "opt_type": "P", "strike": 1900},
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},
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)
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self.assertIsNotNone(err)
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self.assertIn("实值", err)
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if __name__ == "__main__":
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unittest.main()
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