crypto_monitor/tests/test_hub_perp_options_calc_lib.py

"""hub_perp_options_calc_lib 永期对冲测算."""

import unittest

from lib.hub.hub_perp_options_calc_lib import (
    calc_perp_options,
    calc_perp_options_hedge,
    calc_perp_options_points,
)


class HubPerpOptionsCalcTests(unittest.TestCase):
    def test_example_1800_50_15_100(self):
        data, err = calc_perp_options_hedge(
            base="ETH",
            spot=1800,
            capital_usdt=3000,
            target_profit_u=15,
            move_mode="points",
            move_value=50,
            perp_leverage=10,
            option_leverage=100,
            ct_mult=0.01,
        )
        self.assertIsNone(err)
        assert data is not None
        self.assertEqual(data["prem_per_coin"], 18.0)
        self.assertEqual(data["perp_gross_u"], 50.0)
        # fee = (1800+1850)*0.0005 = 1.825
        self.assertAlmostEqual(data["perp_fee_u"], 1.825, places=6)
        self.assertAlmostEqual(data["premium_budget_u"], 33.175, places=6)
        self.assertAlmostEqual(data["opt_coins"], 33.175 / 18.0, places=6)
        self.assertAlmostEqual(data["opt_sheets"], data["opt_coins"] / 0.01, places=4)
        self.assertAlmostEqual(data["case_a"]["net_u"], 15.0, places=6)
        # B: opt_net = coins*50 - coins*18 = coins*32; portfolio = opt_net - 50
        coins = data["opt_coins"]
        self.assertAlmostEqual(data["case_b"]["opt_net_u"], coins * 32.0, places=6)
        self.assertAlmostEqual(data["case_b"]["portfolio_net_u"], coins * 32.0 - 50.0, places=6)
        self.assertAlmostEqual(data["perp_margin_u"], 180.0, places=6)
        self.assertTrue(data["capital_ok"])
        sw = data["case_sideways"]
        self.assertAlmostEqual(sw["premium_u"], data["premium_total_u"], places=6)
        self.assertAlmostEqual(sw["fee_u"], 1.8, places=6)
        self.assertAlmostEqual(sw["max_loss_u"], data["premium_total_u"] + 1.8, places=6)
        self.assertAlmostEqual(sw["net_u"], -sw["max_loss_u"], places=6)

    def test_pct_mode(self):
        data, err = calc_perp_options_hedge(
            base="BTC",
            spot=100000,
            capital_usdt=5000,
            target_profit_u=100,
            move_mode="pct",
            move_value=1,
            perp_leverage=5,
            option_leverage=50,
            ct_mult=0.01,
        )
        self.assertIsNone(err)
        assert data is not None
        self.assertAlmostEqual(data["move_points"], 1000.0, places=6)
        self.assertAlmostEqual(data["perp_gross_u"], 1000.0, places=6)
        self.assertAlmostEqual(data["prem_per_coin"], 2000.0, places=6)

    def test_budget_too_small(self):
        data, err = calc_perp_options_hedge(
            base="ETH",
            spot=1800,
            capital_usdt=3000,
            target_profit_u=60,
            move_mode="points",
            move_value=50,
            perp_leverage=10,
            option_leverage=100,
        )
        self.assertIsNone(data)
        self.assertIn("无法开期权", err or "")

    def test_bad_base(self):
        data, err = calc_perp_options_hedge(
            base="SOL",
            spot=100,
            capital_usdt=1000,
            target_profit_u=10,
            move_mode="points",
            move_value=5,
            perp_leverage=5,
            option_leverage=20,
        )
        self.assertIsNone(data)
        self.assertIsNotNone(err)

    def test_points_ratio_1_to_2(self):
        # spot=1800, optLev=100 → prem/coin=18; ratio 1:2 → opt=2, premium=36
        # A: move = (15+36+2*1800*0.0005)/(1-0.0005) = (51+1.8)/0.9995
        data, err = calc_perp_options_points(
            base="ETH",
            spot=1800,
            capital_usdt=3000,
            target_profit_u=15,
            perp_leverage=10,
            option_leverage=100,
            ratio_perp=1,
            ratio_opt=2,
            ct_mult=0.01,
        )
        self.assertIsNone(err)
        assert data is not None
        self.assertEqual(data["calc_mode"], "points")
        self.assertEqual(data["opt_coins"], 2.0)
        self.assertEqual(data["premium_total_u"], 36.0)
        expect_a = (15 + 36 + 2 * 1800 * 0.0005) / 0.9995
        self.assertAlmostEqual(data["case_a"]["move_points"], expect_a, places=6)
        self.assertAlmostEqual(data["case_a"]["net_u"], 15.0, places=5)
        # 期权净利=目标: (15+36)/2 = 25.5
        self.assertAlmostEqual(data["case_b"]["move_points_opt_net"], 25.5, places=6)
        self.assertAlmostEqual(data["case_b"]["opt_net_u"], 15.0, places=6)
        # 组合净利=目标: (15+36)/(2-1) = 51
        self.assertAlmostEqual(data["case_b"]["move_points_portfolio"], 51.0, places=6)
        self.assertAlmostEqual(data["case_b"]["portfolio_net_u"], 15.0, places=6)
        # 横盘:权利金36 + 同价开平费 2*1800*0.0005=1.8 → 37.8
        sw = data["case_sideways"]
        self.assertAlmostEqual(sw["premium_u"], 36.0, places=6)
        self.assertAlmostEqual(sw["fee_u"], 1.8, places=6)
        self.assertAlmostEqual(sw["max_loss_u"], 37.8, places=6)
        self.assertAlmostEqual(sw["net_u"], -37.8, places=6)

    def test_points_ratio_1_to_1_no_portfolio(self):
        data, err = calc_perp_options(
            calc_mode="points",
            base="ETH",
            spot=1800,
            capital_usdt=3000,
            target_profit_u=15,
            perp_leverage=10,
            option_leverage=100,
            ratio_perp=1,
            ratio_opt=1,
        )
        self.assertIsNone(err)
        assert data is not None
        self.assertIsNone(data["case_b"]["move_points_portfolio"])
        self.assertIsNotNone(data["case_b"]["portfolio_error"])


if __name__ == "__main__":
    unittest.main()