修复翻倍出场达标却不自动平:对冲异常不再整段跳过,并按买一价×全仓判定。

原先对冲表异常会直接 return 0 导致翻倍出场永不执行;可回收改为买一价×全部张数,买一深度不足时仍会触发分批平仓。

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-09-30 21:54:00 +08:00
parent a03c208a5f
commit 06f9b23f44
2 changed files with 64 additions and 1 deletions
+41
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"""翻倍出场:买一价×全仓张数判定达标(不受买一深度截断)."""
from __future__ import annotations
import unittest
from unittest.mock import patch
from lib.options.options_profit_exit_lib import _estimate_recycle, profit_exit_hit
class ProfitExitHitTests(unittest.TestCase):
def test_hit_at_0_3_mult(self):
# 0.3倍: recycle >= paid * 1.3
self.assertTrue(profit_exit_hit(premium_paid=1.0, recycle_usdc=1.3, mult=0.3))
self.assertFalse(profit_exit_hit(premium_paid=1.0, recycle_usdc=1.29, mult=0.3))
def test_estimate_uses_full_sheets_not_depth(self):
pos = {"inst_id": "ETH-USD-260927-2700-P", "pos": 100, "ct_mult": 0.01}
preview = {
"bid_invalid": False,
"levels": [{"px": 0.2, "sheets": 10}], # 深度只够 10 张
"total_received": 0.02, # 仅深度内
}
def fake_attach(cfg, ex, row, premium_paid=None):
row["close_preview"] = preview
row["ct_mult"] = 0.01
row["pos"] = 100
return row
with patch(
"lib.options.options_positions_lib.attach_close_preview",
side_effect=fake_attach,
):
recv = _estimate_recycle({}, object(), pos, 1.0)
# 应按 100 张 × 0.01 × 0.2 = 0.2,而非深度截断的 0.02
self.assertAlmostEqual(float(recv), 0.2, places=6)
self.assertTrue(profit_exit_hit(premium_paid=0.15, recycle_usdc=float(recv), mult=0.3))
if __name__ == "__main__":
unittest.main()