dekun
53863559f4
Retarget git remote, install path, and deploy docs from crypto_monitor to crypto_monitor_user. Co-authored-by: Cursor <cursoragent@cursor.com>
109 lines
3.7 KiB
Python
109 lines
3.7 KiB
Python
"""对冲计划 P0 测算口径单测."""
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import unittest
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from lib.hedge_plan.hedge_plan_calc_lib import (
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build_options_options_preview,
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build_perp_options_preview,
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floor_contracts_to_precision,
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gate_status,
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option_expiry_pnl,
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option_premium_total,
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perp_pnl,
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)
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class TestHedgePlanCalc(unittest.TestCase):
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def test_perp_tp_accounting_is_profit_minus_premium(self):
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p = build_perp_options_preview(
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direction="long",
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entry=3200,
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tp=3400,
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sl=3000,
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contracts=50,
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contract_size=0.01,
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opt_type="P",
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strike=3100,
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sheets=10,
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ct_mult=0.01,
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premium_paid=8,
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index_px=3200,
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)
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self.assertEqual(p["summary"]["tp_total"], 92.0)
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self.assertEqual(p["scenarios"][0]["options_pnl"], -8.0)
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def test_perp_sl_accounting_is_option_plus_perp_signed(self):
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p = build_perp_options_preview(
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direction="long",
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entry=3200,
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tp=3400,
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sl=3000,
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contracts=50,
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contract_size=0.01,
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opt_type="P",
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strike=3100,
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sheets=10,
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ct_mult=0.01,
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premium_paid=8,
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index_px=3200,
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)
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self.assertEqual(p["summary"]["sl_total"], -98.0)
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self.assertEqual(p["summary"]["hedge_ratio_at_sl"], 2.0)
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def test_option_premium_and_expiry(self):
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self.assertEqual(option_premium_total(ask=80, sheets=1, ct_mult=0.01), 0.8)
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self.assertEqual(
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option_expiry_pnl(
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opt_type="P", strike=3100, spot=3000, sheets=10, ct_mult=0.01, premium_paid=8
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),
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2.0,
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)
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def test_gate_perp_requires_full_margin_for_start_message(self):
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g = gate_status(
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hedge_enabled=True,
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sizing_mode="risk",
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plan_type="perp_options",
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options_enabled=True,
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)
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self.assertTrue(g["can_preview"])
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self.assertFalse(g["can_start"])
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self.assertTrue(any("全仓" in r for r in g["reasons"]))
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def test_oo_expiry_loss_flag(self):
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a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
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b = {"opt_type": "P", "strike": 3100, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
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p = build_options_options_preview(
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target_price_up=3500,
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target_price_down=3000,
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index_px=3200,
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leg_a=a,
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leg_b=b,
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)
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self.assertEqual(p["summary"]["premium_paid"], 10)
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self.assertTrue(p["summary"]["expiry_is_loss"])
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self.assertEqual(len(p["scenarios"]), 4)
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self.assertEqual(p["scenarios"][0]["id"], "target_up")
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self.assertEqual(p["scenarios"][1]["id"], "target_down")
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def test_oo_legacy_single_target_still_works(self):
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a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
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b = {"opt_type": "P", "strike": 3100, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
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p = build_options_options_preview(target_price=3500, index_px=3200, leg_a=a, leg_b=b)
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self.assertEqual(p["target_price_up"], 3500)
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self.assertEqual(p["target_price_down"], 3500)
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def test_perp_short_pnl(self):
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self.assertEqual(
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perp_pnl(direction="short", entry=100, exit_px=90, contracts=1, contract_size=1),
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10,
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)
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def test_floor_contracts_to_precision(self):
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self.assertEqual(floor_contracts_to_precision(4.569713, 4), 4.5697)
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self.assertEqual(floor_contracts_to_precision(4.569713, 0), 4.0)
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self.assertEqual(floor_contracts_to_precision(0, 4), 0.0)
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if __name__ == "__main__":
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unittest.main()
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