dekun
789ab43dbe
Configurable bilateral premium with exceed counts/ratios and settlement PnL for buying volatility. Co-authored-by: Cursor <cursoragent@cursor.com>
151 lines
6.2 KiB
Python
151 lines
6.2 KiB
Python
"""振幅统计核心逻辑单元测试(不打交易所)."""
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from __future__ import annotations
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import unittest
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from datetime import date, datetime
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from zoneinfo import ZoneInfo
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from lib.hub.amp_stats_lib import (
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build_export_csv,
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compute_amp_stats,
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compute_day_row,
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list_settlement_dates,
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summarize_rows,
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window_bounds_for_settlement,
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)
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TZ = ZoneInfo("Asia/Shanghai")
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def _bar(ts_ms: int, o: float, h: float, l: float, c: float) -> dict:
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return {"ts": ts_ms, "o": o, "h": h, "l": l, "c": c}
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class AmpStatsLibTests(unittest.TestCase):
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def test_window_cross_day_22_to_16(self):
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start, end = window_bounds_for_settlement(date(2026, 7, 22), 22)
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self.assertEqual(start.strftime("%Y-%m-%d %H:%M"), "2026-07-21 22:00")
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self.assertEqual(end.strftime("%Y-%m-%d %H:%M"), "2026-07-22 16:00")
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def test_window_same_day_8_to_16(self):
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start, end = window_bounds_for_settlement(date(2026, 7, 22), 8)
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self.assertEqual(start.strftime("%Y-%m-%d %H:%M"), "2026-07-22 08:00")
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self.assertEqual(end.strftime("%Y-%m-%d %H:%M"), "2026-07-22 16:00")
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def test_settlement_excludes_incomplete_today(self):
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now = datetime(2026, 7, 22, 10, 0, tzinfo=TZ)
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days = list_settlement_dates(sample_days=3, now=now)
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self.assertEqual(days[0].isoformat(), "2026-07-21")
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self.assertEqual(len(days), 3)
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def test_settlement_includes_today_after_1600(self):
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now = datetime(2026, 7, 22, 16, 0, tzinfo=TZ)
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days = list_settlement_dates(sample_days=1, now=now)
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self.assertEqual(days[0].isoformat(), "2026-07-22")
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def test_day_row_points(self):
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# 22:00 D-1 → 16:00 D; O=2000 H=2500 L=1800 C=2100 → up500 down200 amp700
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settlement = date(2026, 7, 22)
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start, end = window_bounds_for_settlement(settlement, 22)
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bar_map = {}
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t = int(start.timestamp() * 1000)
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last = int((end.replace(hour=15)).timestamp() * 1000)
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# first bar
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bar_map[t] = {"o": 2000.0, "h": 2100.0, "l": 1950.0, "c": 2050.0}
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cur = t + 3600 * 1000
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while cur < last:
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bar_map[cur] = {"o": 2050.0, "h": 2200.0, "l": 1900.0, "c": 2100.0}
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cur += 3600 * 1000
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# peak and trough somewhere
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mid = t + 5 * 3600 * 1000
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bar_map[mid] = {"o": 2100.0, "h": 2500.0, "l": 1800.0, "c": 2000.0}
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bar_map[last] = {"o": 2000.0, "h": 2150.0, "l": 1990.0, "c": 2100.0}
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# fill any missing hours with flat
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cur = t
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while cur <= last:
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if cur not in bar_map:
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bar_map[cur] = {"o": 2000.0, "h": 2000.0, "l": 2000.0, "c": 2000.0}
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cur += 3600 * 1000
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row = compute_day_row(settlement, 22, bar_map)
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self.assertIsNotNone(row)
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self.assertEqual(row["open"], 2000.0)
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self.assertEqual(row["high"], 2500.0)
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self.assertEqual(row["low"], 1800.0)
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self.assertEqual(row["up_points"], 500.0)
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self.assertEqual(row["down_points"], 200.0)
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self.assertEqual(row["amplitude"], 700.0)
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self.assertEqual(row["change"], 100.0)
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def test_summary_max_amplitude(self):
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rows = [
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{"amplitude": 100, "up_points": 40, "down_points": 60, "change": 10, "settlement_day": "2026-07-01"},
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{"amplitude": 700, "up_points": 500, "down_points": 200, "change": -5, "settlement_day": "2026-07-02"},
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{"amplitude": 200, "up_points": 50, "down_points": 150, "change": 20, "settlement_day": "2026-07-03"},
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]
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s = summarize_rows(rows)
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self.assertEqual(s["max_amplitude"], 700)
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self.assertEqual(s["max_amplitude_day"], "2026-07-02")
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self.assertEqual(s["max_up_points"], 500)
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self.assertEqual(s["max_down_points"], 200)
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self.assertIsNone(s["straddle"])
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def test_long_straddle_stats(self):
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rows = [
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# |chg|=40>30 win+10; up=40>30; down=10
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{"up_points": 40, "down_points": 10, "change": 40, "amplitude": 50, "settlement_day": "2026-07-01"},
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# |chg|=10 lose-20; up=5; down=35>30
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{"up_points": 5, "down_points": 35, "change": -10, "amplitude": 40, "settlement_day": "2026-07-02"},
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# |chg|=30 not >30 lose-30; boundary
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{"up_points": 30, "down_points": 30, "change": 30, "amplitude": 60, "settlement_day": "2026-07-03"},
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]
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s = summarize_rows(rows, straddle_premium=30)
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st = s["straddle"]
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self.assertEqual(st["side"], "long_straddle")
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self.assertEqual(st["premium"], 30)
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self.assertEqual(st["up_exceed_days"], 1) # only 40
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self.assertEqual(st["down_exceed_days"], 1) # only 35
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self.assertEqual(st["abs_change_exceed_days"], 1) # only 40
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self.assertAlmostEqual(st["pnl_total"], 40 - 30 + 10 - 30 + 30 - 30)
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self.assertEqual(st["win_days"], 1)
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self.assertEqual(st["win_ratio"], round(1 / 3, 4))
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csv_text = build_export_csv(
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{"exchange": "okx", "symbol_label": "ETH", "summary": s, "rows": rows, "start_hour": 22, "end_hour": 16}
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)
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self.assertIn("买跨对照", csv_text)
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self.assertIn("买跨点数盈亏合计", csv_text)
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def test_compute_with_mock_fetch(self):
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now = datetime(2026, 7, 22, 18, 0, tzinfo=TZ)
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def fetch_fn(*, inst_id, since_ms, until_ms):
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bars = []
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t = since_ms - (since_ms % (3600 * 1000))
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while t <= until_ms:
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# synthetic: open 2000, one spike day
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o = 2000.0
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h = 2500.0 if t == since_ms + 5 * 3600 * 1000 else 2050.0
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l = 1800.0 if t == since_ms + 5 * 3600 * 1000 else 1950.0
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c = 2020.0
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bars.append(_bar(t, o, h, l, c))
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t += 3600 * 1000
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return bars
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result = compute_amp_stats(
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symbol="eth",
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start_hour=16,
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period="custom",
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custom_days=7,
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now=now,
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fetch_fn=fetch_fn,
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)
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self.assertTrue(result["ok"])
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self.assertEqual(result["exchange"], "okx")
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self.assertGreaterEqual(result["summary"]["sample_count"], 1)
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csv_text = build_export_csv(result)
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self.assertIn("最大振幅", csv_text)
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self.assertIn("日表明细", csv_text)
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if __name__ == "__main__":
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unittest.main()
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