dekun
eca6d091e9
Start strategy arms a watching plan instead of opening immediately; list filters by leverage; type is a dropdown defaulting to OTM. Co-authored-by: Cursor <cursoragent@cursor.com>
196 lines
6.9 KiB
Python
196 lines
6.9 KiB
Python
"""永期「以期权为主」定仓/方向/目标位/校验."""
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import unittest
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from lib.hedge_plan.hedge_plan_option_primary_lib import (
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PREMIUM_EXEC_FACTOR,
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build_option_primary_preview,
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estimate_combo_net_pnl,
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floor2,
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opt_type_for_view,
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option_bid_liquidity_ok,
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perp_direction_for_view,
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pick_option_primary_candidate,
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size_from_premium,
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target_hit,
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validate_option_primary_start,
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validate_option_primary_watch,
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)
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from lib.hedge_plan.hedge_plan_orders_lib import build_po_path_plan, validate_start_body
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class TestOptionPrimary(unittest.TestCase):
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def test_direction_mapping(self):
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self.assertEqual(opt_type_for_view("long"), "C")
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self.assertEqual(opt_type_for_view("short"), "P")
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self.assertEqual(perp_direction_for_view("long"), "short")
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self.assertEqual(perp_direction_for_view("short"), "long")
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def test_size_from_premium_095_and_eth_2dp(self):
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# ask=10 → 1 ETH 成本 10U; 预算 100 → usable 95 → eth=9.5 → sheets=950 (ct=0.01)
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sized = size_from_premium(
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premium_budget=100,
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ask=10,
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ct_mult=0.01,
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ratio=2,
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contract_size=0.01,
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)
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self.assertTrue(sized["ok"])
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self.assertAlmostEqual(sized["usable_premium"], 95.0)
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self.assertEqual(sized["eth_qty"], 9.5)
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self.assertEqual(sized["sheets"], 950.0)
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# perp_eth = 9.5/2=4.75; contracts=4.75/0.01=475
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self.assertAlmostEqual(sized["contracts"], 475.0)
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self.assertEqual(PREMIUM_EXEC_FACTOR, 0.95)
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def test_floor2(self):
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self.assertEqual(floor2(1.239), 1.23)
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self.assertEqual(floor2(0.009), 0.0)
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def test_target_hit(self):
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self.assertTrue(target_hit(view_side="long", index_px=1950, strike=1900, points=50))
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self.assertFalse(target_hit(view_side="long", index_px=1949, strike=1900, points=50))
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self.assertTrue(target_hit(view_side="short", index_px=1850, strike=1900, points=50))
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self.assertFalse(target_hit(view_side="short", index_px=1851, strike=1900, points=50))
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self.assertFalse(target_hit(view_side="long", index_px=1900, strike=1900, points=0))
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def test_bid_liquidity(self):
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ok, _ = option_bid_liquidity_ok(1.2, 10, need_sheets=5)
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self.assertTrue(ok)
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ok2, msg = option_bid_liquidity_ok(None, 10, need_sheets=1)
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self.assertFalse(ok2)
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self.assertIn("买一", msg)
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def test_net_pnl_uses_buy_fee_for_sell(self):
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net = estimate_combo_net_pnl(
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view_side="long",
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strike=1900,
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index_px=1950,
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ask_open=20,
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bid=30,
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sheets=2,
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ct_mult=0.01,
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perp_direction="short",
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perp_entry=1900,
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perp_mark=1950,
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contracts=10,
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contract_size=0.01,
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fee=0.001,
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)
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# opt: proceeds=30*2*0.01=0.6; premium=0.4; fees=0.0004+0.0006; opt_net=0.6-0.4-0.001=0.199
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self.assertIn("net", net)
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self.assertEqual(net["fee_rate"], 0.001)
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def test_path_option_primary_no_tpsl_options_first(self):
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path = build_po_path_plan(
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{
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"option_primary": True,
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"direction": "long",
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"opt_inst_id": "ETH-USD-260831-1900-C",
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"sheets": 2,
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"exchange_symbol": "ETH/USDT:USDT",
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"contracts": 1,
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}
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)
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self.assertEqual(path[0]["step"], "options_buy_limit")
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self.assertEqual(path[1]["direction"], "short")
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self.assertFalse(path[1]["attach_tpsl"])
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def test_validate_option_primary_watch_and_start(self):
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watch_body = {
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"option_primary": True,
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"watch_entry": 1,
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"direction": "long",
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"exchange_symbol": "ETH/USDT:USDT",
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"premium_budget": 100,
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"option_target_points": 50,
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"perp_target_points": 30,
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"option_perp_ratio": 4,
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"option_leverage": 200,
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"moneyness": "otm",
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}
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self.assertIsNone(validate_option_primary_watch(watch_body))
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self.assertIsNone(validate_start_body("perp_options", watch_body))
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body = {
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"option_primary": True,
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"watch_entry": 0,
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"direction": "long",
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"contracts": 1,
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"opt_inst_id": "ETH-USD-260831-1900-C",
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"opt_type": "C",
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"sheets": 2,
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"exchange_symbol": "ETH/USDT:USDT",
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"premium_budget": 100,
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"option_target_points": 50,
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"perp_target_points": 30,
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"option_perp_ratio": 2,
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"strike": 1900,
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"index_px": 1905,
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"ask": 10,
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"moneyness": "atm",
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"strike_interval": 15,
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"min_option_hours": 36,
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"hours_to_expiry": 40,
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"option_leverage": 100,
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}
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self.assertIsNone(validate_option_primary_start(body))
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self.assertIsNone(validate_start_body("perp_options", body))
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bad = dict(body, opt_type="P")
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self.assertIsNotNone(validate_start_body("perp_options", bad))
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def test_pick_candidate_respects_leverage(self):
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chain = {
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"index_px": 1900,
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"expiries": [
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{
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"exp_time": 9_999_999_999_999,
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"contracts": [
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{"inst_id": "LOW", "opt_type": "C", "strike": 1920, "ask": 20, "ct_mult": 0.01},
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{"inst_id": "OK", "opt_type": "C", "strike": 1925, "ask": 8, "ct_mult": 0.01},
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],
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}
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],
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}
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# 1900/20=95 < 200; 1900/8=237.5 ≥ 200
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picked = pick_option_primary_candidate(
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chain,
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direction="long",
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moneyness="otm",
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strike_interval=50,
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min_hours=1,
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min_opt_leverage=200,
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)
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self.assertIsNotNone(picked)
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self.assertEqual(picked["inst_id"], "OK")
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def test_preview_builds_scenarios(self):
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body = {
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"direction": "long",
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"strike": 1900,
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"option_target_points": 50,
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"perp_target_points": 30,
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"ask": 20,
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"sheets": 10,
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"ct_mult": 0.01,
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"contracts": 5,
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"contract_size": 0.01,
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"entry": 1900,
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"index_px": 1900,
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"premium_budget": 100,
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}
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out = build_option_primary_preview(body)
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self.assertTrue(out["option_primary"])
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self.assertEqual(len(out["scenarios"]), 2)
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def test_hours_to_expiry_from_ms(self):
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from lib.hedge_plan.hedge_plan_option_primary_lib import hours_to_expiry_from_ms
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now = 1_700_000_000_000.0
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# +40h in ms
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h = hours_to_expiry_from_ms(now + 40 * 3600 * 1000, now_ms=now)
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self.assertAlmostEqual(h, 40.0, places=3)
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if __name__ == "__main__":
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unittest.main()
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