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>
241 lines
7.9 KiB
Python
241 lines
7.9 KiB
Python
"""对冲计划下单路径校验(dry_run + 门禁)."""
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import unittest
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from unittest.mock import MagicMock
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from lib.hedge_plan.hedge_plan_calc_lib import gate_status
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from lib.hedge_plan.hedge_plan_orders_lib import (
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build_oo_path_plan,
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build_po_path_plan,
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execute_options_options_start,
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execute_perp_options_start,
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validate_start_body,
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)
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class TestHedgePlanOrderPath(unittest.TestCase):
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def test_po_path_options_first(self):
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body = {
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"opt_inst_id": "ETH-USD-260731-1800-P",
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"sheets": 2,
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"exchange_symbol": "ETH/USDT:USDT",
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"direction": "long",
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"contracts": 4.5,
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"tp": 1900,
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"sl": 1700,
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}
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path = build_po_path_plan(body)
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self.assertEqual(path[0]["step"], "options_buy_limit")
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self.assertEqual(path[0]["account"], "options")
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self.assertEqual(path[1]["step"], "perp_market_open")
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self.assertEqual(path[1]["account"], "swap")
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self.assertTrue(path[1]["attach_tpsl"])
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def test_oo_path_two_option_buys(self):
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body = {
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"leg_a": {"inst_id": "ETH-USD-260731-1800-C", "sheets": 1},
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"leg_b": {"inst_id": "ETH-USD-260731-1700-P", "sheets": 3},
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}
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path = build_oo_path_plan(body)
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self.assertEqual(len(path), 2)
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self.assertEqual(path[0]["leg"], "a")
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self.assertEqual(path[1]["sheets"], 3)
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def test_validate_body(self):
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self.assertIsNotNone(validate_start_body("perp_options", {}))
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ok = 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-260731-1800-P",
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"opt_type": "P",
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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.assertIsNone(ok)
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bad_type = 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-260731-1800-C",
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"opt_type": "C",
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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(bad_type)
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def test_gate_can_start_when_live(self):
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g = gate_status(
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hedge_enabled=True,
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sizing_mode="full_margin",
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plan_type="perp_options",
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options_enabled=True,
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live_order=True,
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live_trading=True,
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active_count=0,
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max_active=1,
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)
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self.assertTrue(g["can_start"])
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self.assertEqual(g["reasons"], [])
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def test_gate_oo_without_live_trading(self):
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g = gate_status(
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hedge_enabled=True,
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sizing_mode="risk",
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plan_type="options_options",
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options_enabled=True,
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live_order=True,
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live_trading=False,
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active_count=0,
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max_active=1,
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)
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self.assertTrue(g["can_start"])
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def test_dry_run_po_calls_quote_not_place(self):
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quote = MagicMock(
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return_value={
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"ok": True,
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"ask": 12.5,
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"ask_sz": 10,
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"can_open": True,
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"ct_mult": 0.01,
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"tick_sz": "0.1",
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"strike": 1800,
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"exp_time": 1,
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"meta": {"optType": "P"},
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}
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)
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place_opt = MagicMock()
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place_perp = MagicMock()
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cfg = {
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"exchange_options": object(),
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"exchange": object(),
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"quote_option_contract": quote,
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"place_option_limit_order": place_opt,
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"place_exchange_order": place_perp,
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"td_mode_for_option_buy": lambda x: "isolated",
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"amount_to_precision": lambda s, a: a,
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"ensure_okx_live_ready": lambda: (True, ""),
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}
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body = {
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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": 4.5,
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"opt_inst_id": "ETH-USD-260731-1800-P",
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"sheets": 2,
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"exchange_symbol": "ETH/USDT:USDT",
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"leverage": 10,
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"underlying": "ETH",
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}
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out = execute_perp_options_start(cfg, body, dry_run=True)
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self.assertTrue(out["ok"])
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self.assertTrue(out["dry_run"])
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place_opt.assert_not_called()
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place_perp.assert_not_called()
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quote.assert_called()
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self.assertEqual(out["path"][0]["account"], "options")
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self.assertEqual(out["path"][1]["account"], "swap")
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def test_dry_run_oo(self):
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quote = MagicMock(
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side_effect=lambda _ex, inst_id: {
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"ok": True,
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"ask": 10,
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"ask_sz": 50,
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"can_open": True,
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"ct_mult": 0.01,
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"tick_sz": "0.1",
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"strike": 1800,
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"meta": {"optType": "C" if inst_id == "A" else "P"},
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}
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)
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cfg = {
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"exchange_options": object(),
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"quote_option_contract": quote,
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"place_option_limit_order": MagicMock(),
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"td_mode_for_option_buy": lambda x: "isolated",
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"trade_budget_usdc": 10,
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"budget_buffer": 0.95,
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}
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body = {
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"profit_rr": 2,
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"oo_sheets_mode": "same_sheets",
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"leg_a": {"inst_id": "A", "sheets": 1, "opt_type": "C"},
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"leg_b": {"inst_id": "B", "sheets": 1, "opt_type": "P"},
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}
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from unittest import mock
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with mock.patch(
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"lib.exchange.okx_options_lib.fetch_options_trading_usdc",
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return_value=100.0,
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):
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out = execute_options_options_start(cfg, body, dry_run=True)
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self.assertTrue(out["ok"], out)
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self.assertEqual(len(out["results"]), 2)
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self.assertTrue(out.get("refresh", {}).get("ok"))
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def test_buy_rejects_without_ask_depth(self):
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from lib.hedge_plan.hedge_plan_orders_lib import _buy_option
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quote = MagicMock(
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return_value={
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"ok": True,
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"ask": None,
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"ask_sz": None,
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"mark": 11.2,
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"ref_ask": 11.2,
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"can_open": False,
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"open_block_msg": "暂无卖一深度,无法买入",
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"ct_mult": 0.01,
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}
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)
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cfg = {
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"exchange_options": object(),
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"quote_option_contract": quote,
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"place_option_limit_order": MagicMock(),
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}
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out = _buy_option(cfg, inst_id="ETH-USD_UM-260717-1900-C", sheets=1, dry_run=True)
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self.assertFalse(out["ok"])
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self.assertIn("卖一", out["msg"])
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cfg["place_option_limit_order"].assert_not_called()
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def test_buy_rejects_when_ask_depth_below_request(self):
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from lib.hedge_plan.hedge_plan_orders_lib import _buy_option
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quote = MagicMock(
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return_value={
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"ok": True,
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"ask": 10,
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"ask_sz": 2,
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"can_open": True,
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"ct_mult": 0.01,
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"tick_sz": "0.1",
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"meta": {"optType": "C"},
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}
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)
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cfg = {
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"exchange_options": object(),
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"quote_option_contract": quote,
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"place_option_limit_order": MagicMock(),
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"td_mode_for_option_buy": lambda x: "isolated",
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}
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out = _buy_option(cfg, inst_id="X", sheets=9, dry_run=True)
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self.assertFalse(out["ok"])
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self.assertIn("不足请求", out["msg"])
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cfg["place_option_limit_order"].assert_not_called()
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if __name__ == "__main__":
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unittest.main()
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