dekun
f19500bcd9
Match exchange history by sheets and open time so an earlier close is not overwritten with the later trade's PnL. Co-authored-by: Cursor <cursoragent@cursor.com>
311 lines
11 KiB
Python
311 lines
11 KiB
Python
"""期权平仓/到期状态同步单测."""
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import sqlite3
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from lib.exchange.okx_options_lib import (
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format_option_history_row,
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format_usdc_amount,
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is_option_full_close_history,
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resolve_option_close_from_history,
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)
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from lib.options.options_db import init_options_tables
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from lib.options.options_monitor_lib import sync_open_options_trades
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def test_format_usdc_amount():
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assert format_usdc_amount(4.896) == "4.90"
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assert format_usdc_amount(4.9) == "4.90"
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assert format_usdc_amount(4.0) == "4.00"
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def test_is_option_full_close_history():
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assert is_option_full_close_history({"type": "2"})
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assert is_option_full_close_history({"type": "3"})
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assert not is_option_full_close_history({"type": "1"})
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assert not is_option_full_close_history({"type": "5"})
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def test_format_option_history_row():
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raw = {
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"instId": "BTC-USD_UM-260710-62000-P",
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"openAvgPx": "380",
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"closeAvgPx": "0",
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"closeTotalPos": "1",
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"openMaxPos": "1",
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"realizedPnl": "-3.99",
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"pnlRatio": "-1.049",
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"type": "2",
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"cTime": "1784000000000",
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"uTime": "1784088035000",
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"posId": "pos-btc",
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}
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row = format_option_history_row(raw, tick_sz="0.1", ct_mult=0.01)
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assert row["inst_id"] == "BTC-USD_UM-260710-62000-P"
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assert row["sheets"] == 1
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assert row["realized_pnl"] == -3.99
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assert row["status_label"] == "已平"
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assert row["open_avg_px_fmt"] == "380"
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assert row["premium_paid_fmt"] == "3.80"
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assert row["history_key"] == "ex:pos-btc:1784088035000"
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def test_resolve_option_close_from_history_picks_latest():
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rows = [
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{"instId": "ETH-USD_UM-260709-1700-P", "uTime": "1000", "realizedPnl": "-1.0", "closeAvgPx": "0"},
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{"instId": "ETH-USD_UM-260709-1700-P", "uTime": "2000", "realizedPnl": "-1.24", "closeAvgPx": "0", "posId": "9"},
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]
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got = resolve_option_close_from_history(rows, open_ms=500)
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assert got is not None
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assert got["realized_pnl"] == -1.24
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assert got["pos_id"] == "9"
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def test_resolve_option_close_from_history_matches_open_and_sheets():
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rows = [
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{
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"instId": "ETH-USD_UM-260806-1875-C",
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"cTime": "1785932775047",
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"uTime": "1785933936733",
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"realizedPnl": "-3.036",
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"closeAvgPx": "12.4",
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"closeTotalPos": "57",
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"posId": "same-pos",
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},
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{
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"instId": "ETH-USD_UM-260806-1875-C",
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"cTime": "1785938392445",
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"uTime": "1785957764279",
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"realizedPnl": "16.937",
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"closeAvgPx": "41.0",
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"closeTotalPos": "66",
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"posId": "same-pos",
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},
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]
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# 本地时间相对交易所偏 8h 时,仍应按 cTime/张数对齐到正确一笔
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early = resolve_option_close_from_history(
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rows, open_ms=1785902775000, close_ms=1785903937000, sheets=57
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)
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late = resolve_option_close_from_history(
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rows, open_ms=1785908392000, close_ms=1785927764000, sheets=66
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)
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assert early is not None and early["realized_pnl"] == -3.036
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assert early["close_quote"] == 12.4
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assert late is not None and late["realized_pnl"] == 16.937
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assert late["close_quote"] == 41.0
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def test_sync_open_options_trades_marks_expired_closed():
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
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open_quote, premium_paid, status)
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VALUES (?, 'ETH', 'P', 1700, '', 20, 0.2, 6.2, 1.24, 'open')
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""",
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("ETH-USD_UM-260709-1700-P",),
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)
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conn.commit()
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n = sync_open_options_trades(
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conn,
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live_inst_ids=set(),
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fetch_history_fn=lambda _inst: [],
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)
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assert n == 1
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row = conn.execute("SELECT status, premium_received, realized_pnl, signal_note FROM options_trades").fetchone()
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assert row["status"] == "closed"
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assert row["premium_received"] == 0.0
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assert row["realized_pnl"] == -1.24
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assert "到期结算" in (row["signal_note"] or "")
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def test_sync_open_options_trades_skips_without_close_evidence():
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
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open_quote, premium_paid, status, created_at)
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VALUES (?, 'BTC', 'P', 62000, '', 1, 0.01, 380.0, 3.8, 'open', '2026-08-05 08:00:00')
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""",
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("BTC-USD_UM-261231-62000-P",),
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)
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conn.commit()
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n = sync_open_options_trades(
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conn,
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live_inst_ids=set(),
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fetch_history_fn=lambda _inst: [],
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)
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assert n == 0
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row = conn.execute("SELECT status FROM options_trades").fetchone()
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assert row["status"] == "open"
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def test_reconcile_live_open_trades_reopens_sync_artifact():
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
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open_quote, premium_paid, status, closed_at)
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VALUES (?, 'BTC', 'P', 62000, '', 1, 0.01, 380.0, 3.8, 'closed', '2026-07-09 09:10:34')
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""",
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("BTC-USD_UM-260710-62000-P",),
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)
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conn.commit()
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from lib.options.options_monitor_lib import reconcile_live_open_trades
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n = reconcile_live_open_trades(conn, live_inst_ids={"BTC-USD_UM-260710-62000-P"})
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assert n == 1
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row = conn.execute("SELECT status, closed_at FROM options_trades").fetchone()
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assert row["status"] == "open"
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assert row["closed_at"] is None
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
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open_quote, premium_paid, status, created_at)
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VALUES (?, 'ETH', 'P', 1700, '', 20, 0.2, 6.2, 1.24, 'open', '2026-07-08 02:32:44')
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""",
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("ETH-USD_UM-260709-1700-P",),
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)
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conn.commit()
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def _hist(_inst):
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return [
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{
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"instId": "ETH-USD_UM-260709-1700-P",
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"uTime": "1784000000000",
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"realizedPnl": "-0.5",
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"closeAvgPx": "0.1",
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"posId": "pos-1",
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}
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]
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n = sync_open_options_trades(
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conn,
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live_inst_ids=set(),
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fetch_history_fn=_hist,
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)
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assert n == 1
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row = conn.execute(
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"SELECT status, premium_received, realized_pnl, close_ord_id FROM options_trades"
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).fetchone()
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assert row["status"] == "closed"
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assert row["realized_pnl"] == -0.5
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assert row["premium_received"] == 0.74
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assert row["close_ord_id"] == "pos-1"
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def test_backfill_closed_options_realized_pnl_from_history():
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from lib.options.options_monitor_lib import backfill_closed_options_realized_pnl_from_history
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
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open_quote, close_quote, premium_paid, premium_received, realized_pnl,
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status, created_at, closed_at, close_ord_id)
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VALUES (?, 'ETH', 'C', 1860, '', 43, 0.43, 22.4, 50.6, 9.632, 21.758, 12.126,
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'closed', '2026-07-20 08:02:14', '2026-07-21 01:38:43', 'ord-1')
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""",
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("ETH-USD_UM-260721-1860-C",),
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)
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conn.commit()
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hist = [
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{
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"instId": "ETH-USD_UM-260721-1860-C",
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"uTime": "1784564323000",
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"realizedPnl": "11.64",
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"closeAvgPx": "48.5",
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"closeTotalPos": "43",
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"posId": "pos-x",
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}
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]
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n = backfill_closed_options_realized_pnl_from_history(conn, hist)
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assert n == 1
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row = conn.execute(
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"SELECT realized_pnl, premium_received, close_quote FROM options_trades WHERE id=1"
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).fetchone()
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assert row["realized_pnl"] == 11.64
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assert abs(float(row["premium_received"]) - (9.632 + 11.64)) < 1e-6
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assert float(row["close_quote"]) == 48.5
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# idempotent
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assert backfill_closed_options_realized_pnl_from_history(conn, hist) == 0
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def test_backfill_does_not_overwrite_earlier_close_with_later_pnl():
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from lib.options.options_monitor_lib import backfill_closed_options_realized_pnl_from_history
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
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open_quote, close_quote, premium_paid, realized_pnl, status, created_at, closed_at)
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VALUES (?, 'ETH', 'C', 1875, '', 57, 0.57, 16.6, 41.0, 9.462, 16.9368,
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'closed', '2026-08-05 12:26:15', '2026-08-05 12:45:37')
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""",
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("ETH-USD_UM-260806-1875-C",),
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)
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conn.execute(
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"""
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INSERT INTO options_trades
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(inst_id, underlying, opt_type, strike, exp_time, sheets, eth_amount,
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open_quote, close_quote, premium_paid, realized_pnl, status, created_at, closed_at)
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VALUES (?, 'ETH', 'C', 1875, '', 66, 0.66, 14.2, 41.0, 9.372, 16.9368,
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'closed', '2026-08-05 13:59:52', '2026-08-05 19:22:45')
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""",
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("ETH-USD_UM-260806-1875-C",),
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)
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conn.commit()
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hist = [
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{
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"instId": "ETH-USD_UM-260806-1875-C",
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"uTime": "1785933936733",
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"cTime": "1785932775047",
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"realizedPnl": "-3.03616314",
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"closeAvgPx": "12.4",
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"closeTotalPos": "57",
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"posId": "3806091806281486337",
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},
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{
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"instId": "ETH-USD_UM-260806-1875-C",
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"uTime": "1785957764279",
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"cTime": "1785938392445",
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"realizedPnl": "16.9368375",
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"closeAvgPx": "41.0",
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"closeTotalPos": "66",
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"posId": "3806091806281486337",
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},
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]
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n = backfill_closed_options_realized_pnl_from_history(conn, hist)
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assert n >= 1
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rows = {
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int(r["id"]): r
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for r in conn.execute(
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"SELECT id, realized_pnl, close_quote FROM options_trades ORDER BY id"
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).fetchall()
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}
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assert abs(float(rows[1]["realized_pnl"]) - (-3.0362)) < 1e-3
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assert float(rows[1]["close_quote"]) == 12.4
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assert abs(float(rows[2]["realized_pnl"]) - 16.9368) < 1e-3
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assert float(rows[2]["close_quote"]) == 41.0
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