dekun
3570a6900e
Expose bePx-based expiry balance and mark-to-close breakeven on positions so monitor and dashboard can show both labels per contract. Co-authored-by: Cursor <cursoragent@cursor.com>
157 lines
4.2 KiB
Python
157 lines
4.2 KiB
Python
"""期权定价单测。"""
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from lib.options.options_pricing_lib import (
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calc_order_size,
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premium_per_sheet,
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sheets_from_eth_amount,
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total_premium,
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)
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from lib.exchange.okx_options_lib import format_option_px, inst_family_from_inst_id, round_option_px
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def test_inst_family_from_inst_id():
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assert inst_family_from_inst_id("ETH-USD_UM-260707-1790-C") == "ETH-USD_UM"
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assert inst_family_from_inst_id("BTC-USD-260925-60000-C") == "BTC-USD"
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def test_round_option_px():
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assert round_option_px(14.9184, "0.2", "sell") == 14.8
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assert round_option_px(14.81, "0.2", "buy") == 15.0
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assert format_option_px(14.8, "0.2") == "14.8"
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def test_premium_per_sheet():
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assert abs(premium_per_sheet(15.6, 0.01) - 0.156) < 1e-9
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def test_total_premium_half_eth():
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assert abs(total_premium(15.6, 0.5) - 7.8) < 1e-9
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def test_sheets_from_eth():
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assert sheets_from_eth_amount(0.5, 0.01) == 50
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def test_calc_order_size_budget():
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r = calc_order_size(
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quote_per_unit=15.6,
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ct_mult=0.01,
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min_sz=1,
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budget_usdc=10,
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budget_buffer=0.95,
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budget_cap=10,
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)
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assert r["ok"] is True
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assert r["sheets"] >= 1
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assert r["total_premium"] <= 10
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def test_calc_order_size_sheets():
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r = calc_order_size(
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quote_per_unit=15.6,
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ct_mult=0.01,
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min_sz=1,
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sheets=3,
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budget_cap=10,
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)
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assert r["ok"] is True
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assert r["sheets"] == 3
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assert abs(r["total_premium"] - 0.468) < 1e-9
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def test_option_moneyness():
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from lib.options.options_pricing_lib import option_moneyness, option_moneyness_label
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assert option_moneyness(opt_type="C", strike=1700, index_px=1800) == "itm"
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assert option_moneyness(opt_type="C", strike=1900, index_px=1800) == "otm"
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assert option_moneyness_label("itm") == "实值"
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assert option_moneyness_label("otm") == "虚值"
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def test_calc_order_size_too_small():
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r = calc_order_size(
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quote_per_unit=2000.0,
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ct_mult=0.01,
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min_sz=1,
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budget_usdc=10,
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budget_buffer=0.95,
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budget_cap=10,
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)
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assert r["ok"] is False
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def test_expiry_breakeven_from_api():
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from lib.options.options_pricing_lib import expiry_breakeven_px
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assert expiry_breakeven_px(
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opt_type="C", strike=3500, avg_px=15.6, be_px_api=3516.2
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) == 3516.2
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def test_expiry_breakeven_call_put():
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from lib.options.options_pricing_lib import expiry_breakeven_px
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assert expiry_breakeven_px(opt_type="C", strike=3500, avg_px=15.6) == 3515.6
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assert expiry_breakeven_px(opt_type="P", strike=3500, avg_px=15.6) == 3484.4
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def test_close_breakeven_at_mark_equals_avg():
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from lib.options.options_pricing_lib import close_breakeven_idx
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assert close_breakeven_idx(
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opt_type="C", idx_px=3480, mark_px=15.6, avg_px=15.6
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) == 3480.0
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assert close_breakeven_idx(
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opt_type="P", idx_px=3480, mark_px=15.6, avg_px=15.6
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) == 3480.0
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def test_close_breakeven_with_delta():
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from lib.options.options_pricing_lib import close_breakeven_idx
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# mark below avg, delta 0.5 ETH on 0.5 ETH position -> slope 1
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be = close_breakeven_idx(
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opt_type="C",
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idx_px=3480,
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mark_px=14.6,
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avg_px=15.6,
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delta_pa=0.5,
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pos=50,
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ct_mult=0.01,
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)
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assert be == 3481.0
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def test_format_options_breakeven_line():
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from lib.options.options_pricing_lib import format_options_breakeven_line
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s = format_options_breakeven_line(
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expiry_be_px=3515.6, close_be_px=3498.0, idx_px=3480.0
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)
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assert "到期平衡3516" in s
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assert "平掉回本3498" in s
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assert "指数3480" in s
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def test_format_position_row_breakeven():
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from lib.exchange.okx_options_lib import format_position_row
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row = format_position_row(
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{
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"instId": "ETH-USD_UM-260703-1800-C",
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"pos": "50",
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"avgPx": "15.6",
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"markPx": "16.2",
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"idxPx": "3480",
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"bePx": "3515.6",
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"optType": "C",
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"stk": "3500",
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"deltaPA": "0.45",
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"upl": "0.3",
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"uplRatio": "0.02",
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}
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)
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assert row["expiry_be_px"] == 3515.6
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assert row["idx_px"] == 3480.0
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assert row["close_be_px"] is not None
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assert row["dist_expiry_be"] == 35.6
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