dekun
328 lines
9.3 KiB
Python
328 lines
9.3 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_equivalent_contract_leverage():
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from lib.options.options_pricing_lib import equivalent_contract_leverage
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# index 1768, 0.2 ETH, premium 2.44 -> ~144.9x
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lev = equivalent_contract_leverage(index_px=1768, eth_amount=0.2, total_premium=2.44)
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assert lev == 144.9
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def test_estimate_expiry_value_and_profit_at_index():
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from lib.options.options_pricing_lib import (
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estimate_expiry_profit_at_index,
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estimate_expiry_value_at_index,
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)
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value = estimate_expiry_value_at_index(
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opt_type="C", strike=1800, target_idx=2000, eth_amount=1.0
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)
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assert value == 200.0
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profit = estimate_expiry_profit_at_index(
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opt_type="C",
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strike=1800,
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target_idx=2000,
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entry_px=0.148,
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eth_amount=1.0,
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total_premium=14.8,
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)
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assert profit == 185.2
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# Call 1780, ask 12.2, 0.01 ETH, target 1793 -> value 0.13, profit 0.01
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v = estimate_expiry_value_at_index(
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opt_type="C", strike=1780, target_idx=1793, eth_amount=0.01
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)
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assert v == 0.13
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p = estimate_expiry_profit_at_index(
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opt_type="C",
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strike=1780,
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target_idx=1793,
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entry_px=12.2,
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eth_amount=0.01,
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total_premium=0.122,
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)
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assert p == 0.01
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# OTM call loses premium
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p2 = estimate_expiry_profit_at_index(
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opt_type="C",
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strike=1780,
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target_idx=1770,
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entry_px=12.2,
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eth_amount=0.01,
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total_premium=0.122,
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)
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assert p2 == -0.12
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def test_resolve_chain_quote_otm_no_quote():
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from lib.exchange.okx_options_lib import _resolve_chain_quote
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q = _resolve_chain_quote(
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ticker={},
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meta={"tickSz": "0.2"},
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opt_type="C",
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strike=1800,
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index_px=1776,
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)
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assert q["ask"] is None
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assert q["bid"] is None
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assert q["ask_estimated"] is False
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def test_resolve_chain_quote_estimated_ask():
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from lib.exchange.okx_options_lib import _resolve_chain_quote
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q = _resolve_chain_quote(
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ticker={"bidPx": "0.2", "bidSz": "3500"},
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meta={"tickSz": "0.2"},
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opt_type="C",
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strike=1650,
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index_px=1776,
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)
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assert q["ask_estimated"] is True
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assert q["ask"] is not None
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assert q["ask"] >= 120
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def test_format_quote_liquidity():
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from lib.options.options_pricing_lib import format_quote_liquidity
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assert format_quote_liquidity(17.2, 150) == "17.2/150"
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assert format_quote_liquidity(817.6, 11) == "817.6/11"
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assert format_quote_liquidity(15.6, None) == "15.6"
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assert format_quote_liquidity(None, 10) is None
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def test_estimate_close_by_bids_full_depth():
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from lib.options.options_pricing_lib import estimate_close_by_bids
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out = estimate_close_by_bids(
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[{"px": 12.3, "sz": 2}, {"px": 12.1, "sz": 3}],
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4,
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ct_mult=0.01,
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premium_paid=0.4,
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)
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assert out["covered_sheets"] == 4
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assert out["uncovered_sheets"] == 0
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assert out["total_received"] == 0.488
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assert out["avg_px"] == 12.2
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assert out["estimated_pnl"] == 0.088
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assert [x["sheets"] for x in out["levels"]] == [2, 2]
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def test_estimate_close_by_bids_partial_depth():
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from lib.options.options_pricing_lib import estimate_close_by_bids
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out = estimate_close_by_bids([{"px": 10, "sz": 1}], 3, ct_mult=0.01, premium_paid=0.6)
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assert out["covered_sheets"] == 1
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assert out["uncovered_sheets"] == 2
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assert out["total_received"] == 0.1
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assert out["estimated_pnl"] == -0.1
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def test_estimate_close_by_bids_empty():
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from lib.options.options_pricing_lib import estimate_close_by_bids
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out = estimate_close_by_bids([], 2)
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assert out["covered_sheets"] == 0
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assert out["uncovered_sheets"] == 2
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assert out["avg_px"] is None
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def test_expiry_breakeven_from_ask():
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from lib.options.options_pricing_lib import expiry_breakeven_from_ask
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assert expiry_breakeven_from_ask(opt_type="C", strike=1760, ask_px=15.6) == 1775.6
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assert expiry_breakeven_from_ask(opt_type="P", strike=1760, ask_px=15.6) == 1744.4
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assert expiry_breakeven_from_ask(opt_type="C", strike=1760, ask_px=None, mark_px=14.2) == 1774.2
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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_premium_and_inst_parse():
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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-260709-1700-P",
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"pos": "20",
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"avgPx": "6.2",
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"markPx": "6.3241",
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"idxPx": "1746",
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"upl": "0.0248",
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"uplRatio": "0.02",
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}
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)
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assert row["opt_type"] == "P"
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assert row["strike"] == 1700.0
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assert row["premium_paid"] == 1.24
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assert row["exp_time_ms"] is not None
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assert row["exp_time_ms"] > 0
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def test_expiry_ms_from_inst_id():
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from lib.exchange.okx_options_lib import expiry_ms_from_inst_id, normalize_option_exp_ms
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ms = expiry_ms_from_inst_id("ETH-USD_UM-260709-1700-P")
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assert ms is not None
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from datetime import datetime, timezone
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dt = datetime.fromtimestamp(ms / 1000, tz=timezone.utc)
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assert dt.year == 2026 and dt.month == 7 and dt.day == 9 and dt.hour == 8
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assert normalize_option_exp_ms(None, "ETH-USD_UM-260709-1700-P") == ms
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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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