dekun
58 lines
1.4 KiB
Python
58 lines
1.4 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_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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