dekun
d89aff3ad6
Treat 2:4 as 2 perp + 4 option coins instead of normalizing to 1:2, and disable embed page caching so hub iframe picks up trade UI updates. Co-authored-by: Cursor <cursoragent@cursor.com>
176 lines
6.8 KiB
Python
176 lines
6.8 KiB
Python
"""hub_perp_options_calc_lib 永期对冲测算."""
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import unittest
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from lib.hub.hub_perp_options_calc_lib import (
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calc_perp_options,
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calc_perp_options_hedge,
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calc_perp_options_points,
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)
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class HubPerpOptionsCalcTests(unittest.TestCase):
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def test_example_1800_50_15_100(self):
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data, err = calc_perp_options_hedge(
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base="ETH",
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spot=1800,
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capital_usdt=3000,
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target_profit_u=15,
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move_mode="points",
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move_value=50,
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perp_leverage=10,
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option_leverage=100,
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ct_mult=0.01,
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)
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self.assertIsNone(err)
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assert data is not None
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self.assertEqual(data["prem_per_coin"], 18.0)
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self.assertEqual(data["perp_gross_u"], 50.0)
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# fee = (1800+1850)*0.0005 = 1.825
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self.assertAlmostEqual(data["perp_fee_u"], 1.825, places=6)
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self.assertAlmostEqual(data["premium_budget_u"], 33.175, places=6)
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self.assertAlmostEqual(data["opt_coins"], 33.175 / 18.0, places=6)
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self.assertAlmostEqual(data["opt_sheets"], data["opt_coins"] / 0.01, places=4)
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self.assertAlmostEqual(data["case_a"]["net_u"], 15.0, places=6)
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# B: opt_net = coins*50 - coins*18 = coins*32; portfolio = opt_net - 50
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coins = data["opt_coins"]
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self.assertAlmostEqual(data["case_b"]["opt_net_u"], coins * 32.0, places=6)
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self.assertAlmostEqual(data["case_b"]["portfolio_net_u"], coins * 32.0 - 50.0, places=6)
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self.assertAlmostEqual(data["perp_margin_u"], 180.0, places=6)
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self.assertTrue(data["capital_ok"])
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sw = data["case_sideways"]
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self.assertAlmostEqual(sw["premium_u"], data["premium_total_u"], places=6)
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self.assertAlmostEqual(sw["fee_u"], 1.8, places=6)
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self.assertAlmostEqual(sw["max_loss_u"], data["premium_total_u"] + 1.8, places=6)
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self.assertAlmostEqual(sw["net_u"], -sw["max_loss_u"], places=6)
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def test_pct_mode(self):
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data, err = calc_perp_options_hedge(
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base="BTC",
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spot=100000,
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capital_usdt=5000,
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target_profit_u=100,
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move_mode="pct",
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move_value=1,
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perp_leverage=5,
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option_leverage=50,
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ct_mult=0.01,
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)
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self.assertIsNone(err)
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assert data is not None
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self.assertAlmostEqual(data["move_points"], 1000.0, places=6)
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self.assertAlmostEqual(data["perp_gross_u"], 1000.0, places=6)
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self.assertAlmostEqual(data["prem_per_coin"], 2000.0, places=6)
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def test_budget_too_small(self):
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data, err = calc_perp_options_hedge(
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base="ETH",
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spot=1800,
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capital_usdt=3000,
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target_profit_u=60,
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move_mode="points",
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move_value=50,
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perp_leverage=10,
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option_leverage=100,
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)
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self.assertIsNone(data)
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self.assertIn("无法开期权", err or "")
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def test_bad_base(self):
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data, err = calc_perp_options_hedge(
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base="SOL",
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spot=100,
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capital_usdt=1000,
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target_profit_u=10,
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move_mode="points",
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move_value=5,
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perp_leverage=5,
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option_leverage=20,
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)
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self.assertIsNone(data)
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self.assertIsNotNone(err)
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def test_points_ratio_1_to_2(self):
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# spot=1800, optLev=100 → prem/coin=18; ratio 1:2 → opt=2, premium=36
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# A: move = (15+36+2*1800*0.0005)/(1-0.0005) = (51+1.8)/0.9995
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data, err = calc_perp_options_points(
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base="ETH",
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spot=1800,
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capital_usdt=3000,
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target_profit_u=15,
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perp_leverage=10,
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option_leverage=100,
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ratio_perp=1,
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ratio_opt=2,
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ct_mult=0.01,
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)
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self.assertIsNone(err)
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assert data is not None
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self.assertEqual(data["calc_mode"], "points")
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self.assertEqual(data["opt_coins"], 2.0)
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self.assertEqual(data["premium_total_u"], 36.0)
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expect_a = (15 + 36 + 2 * 1800 * 0.0005) / 0.9995
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self.assertAlmostEqual(data["case_a"]["move_points"], expect_a, places=6)
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self.assertAlmostEqual(data["case_a"]["net_u"], 15.0, places=5)
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# 期权净利=目标: (15+36)/2 = 25.5
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self.assertAlmostEqual(data["case_b"]["move_points_opt_net"], 25.5, places=6)
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self.assertAlmostEqual(data["case_b"]["opt_net_u"], 15.0, places=6)
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# 组合净利=目标: (15+36)/(2-1) = 51
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self.assertAlmostEqual(data["case_b"]["move_points_portfolio"], 51.0, places=6)
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self.assertAlmostEqual(data["case_b"]["portfolio_net_u"], 15.0, places=6)
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# 横盘:权利金36 + 同价开平费 2*1800*0.0005=1.8 → 37.8
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sw = data["case_sideways"]
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self.assertAlmostEqual(sw["premium_u"], 36.0, places=6)
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self.assertAlmostEqual(sw["fee_u"], 1.8, places=6)
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self.assertAlmostEqual(sw["max_loss_u"], 37.8, places=6)
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self.assertAlmostEqual(sw["net_u"], -37.8, places=6)
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def test_points_absolute_2_to_4(self):
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# 2:4 按绝对币数,不再归一成 1:2
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data, err = calc_perp_options_points(
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base="ETH",
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spot=1800,
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capital_usdt=3000,
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target_profit_u=15,
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perp_leverage=10,
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option_leverage=100,
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ratio_perp=2,
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ratio_opt=4,
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ct_mult=0.01,
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)
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self.assertIsNone(err)
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assert data is not None
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self.assertEqual(data["perp_coins"], 2.0)
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self.assertEqual(data["opt_coins"], 4.0)
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self.assertEqual(data["premium_total_u"], 72.0)
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self.assertAlmostEqual(data["perp_margin_u"], 360.0, places=6)
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expect_a = (15 + 72 + 2 * 1800 * 2 * 0.0005) / (2 * 0.9995)
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self.assertAlmostEqual(data["case_a"]["move_points"], expect_a, places=6)
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self.assertAlmostEqual(data["case_a"]["net_u"], 15.0, places=5)
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self.assertAlmostEqual(data["case_b"]["move_points_portfolio"], 43.5, places=6)
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self.assertAlmostEqual(data["case_b"]["portfolio_net_u"], 15.0, places=6)
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sw = data["case_sideways"]
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self.assertAlmostEqual(sw["fee_u"], 3.6, places=6)
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self.assertAlmostEqual(sw["max_loss_u"], 75.6, places=6)
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def test_points_ratio_1_to_1_no_portfolio(self):
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data, err = calc_perp_options(
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calc_mode="points",
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base="ETH",
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spot=1800,
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capital_usdt=3000,
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target_profit_u=15,
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perp_leverage=10,
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option_leverage=100,
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ratio_perp=1,
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ratio_opt=1,
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)
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self.assertIsNone(err)
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assert data is not None
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self.assertIsNone(data["case_b"]["move_points_portfolio"])
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self.assertIsNotNone(data["case_b"]["portfolio_error"])
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if __name__ == "__main__":
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unittest.main()
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