统计已实现盈亏扣手续费，并按平仓时指数冻结为 U。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-08 22:50:21 +08:00
parent e8f8a76753
commit 5e8b578f75
12 changed files with 726 additions and 54 deletions
@@ -0,0 +1,109 @@
+"""期权已实现盈亏:扣手续费 + 平仓冻结 U 不跟实时指数变."""
+from __future__ import annotations
+
+import unittest
+
+from lib.options.options_pnl_settle_lib import (
+    fee_to_premium_ccy,
+    settle_closed_pnl,
+)
+from lib.options.options_stats_lib import (
+    compute_options_stats_from_history,
+    history_pnl_to_usdt,
+)
+
+
+class FeeConvertTests(unittest.TestCase):
+    def test_fee_same_ccy(self):
+        self.assertAlmostEqual(
+            fee_to_premium_ccy(0.001, "ETH", premium_ccy="ETH", index_px=3000),
+            0.001,
+            places=8,
+        )
+
+    def test_fee_usdt_to_eth(self):
+        self.assertAlmostEqual(
+            fee_to_premium_ccy(3.0, "USDT", premium_ccy="ETH", index_px=3000),
+            0.001,
+            places=8,
+        )
+
+
+class SettleClosedPnlTests(unittest.TestCase):
+    def test_net_of_fees_and_freeze_usdt(self):
+        # 收回 0.02 ETH,已付 0.01,开+平手续费各 0.0005 → 净 0.009
+        # × 3000 = 27 U
+        s = settle_closed_pnl(
+            premium_paid=0.01,
+            premium_received=0.02,
+            open_fee=0.0005,
+            close_fee=0.0005,
+            premium_ccy="ETH",
+            index_px=3000,
+        )
+        self.assertAlmostEqual(float(s["realized_pnl"]), 0.009, places=8)
+        self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 27.0, places=4)
+        self.assertAlmostEqual(float(s["close_index_px"]), 3000.0, places=4)
+
+    def test_usdc_freeze_is_net(self):
+        s = settle_closed_pnl(
+            premium_paid=10,
+            premium_received=12,
+            open_fee=0.1,
+            close_fee=0.1,
+            premium_ccy="USDC",
+            index_px=None,
+        )
+        self.assertAlmostEqual(float(s["realized_pnl"]), 1.8, places=4)
+        self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 1.8, places=4)
+
+
+class FrozenStatsTests(unittest.TestCase):
+    def test_frozen_usdt_ignores_live_index(self):
+        history = [
+            {
+                "status": "closed",
+                "inst_id": "ETH-USD-260701-2500-C",
+                "underlying": "ETH",
+                "premium_ccy": "ETH",
+                "realized_pnl": 0.01,  # 币数量
+                "realized_pnl_usdt": 25.0,  # 平仓时冻结
+                "close_index_px": 2500.0,
+                "created_at": "2026-10-01 10:00:00",
+                "closed_at": "2026-10-01 12:00:00",
+            }
+        ]
+
+        class _Ex:
+            def public_get_market_ticker(self, params):
+                return {"data": [{"last": "99999"}]}  # 实时价再变也不影响
+
+        converted = history_pnl_to_usdt(history, _Ex())
+        self.assertAlmostEqual(float(converted[0]["realized_pnl"]), 25.0, places=4)
+        stats = compute_options_stats_from_history(converted)
+        self.assertAlmostEqual(float(stats["net_realized_pnl"]), 25.0, places=4)
+
+    def test_close_index_used_when_no_frozen_usdt(self):
+        history = [
+            {
+                "status": "closed",
+                "inst_id": "ETH-USD-260701-2500-C",
+                "underlying": "ETH",
+                "premium_ccy": "ETH",
+                "realized_pnl": 0.01,
+                "close_index_px": 2500.0,
+                "created_at": "2026-10-01 10:00:00",
+                "closed_at": "2026-10-01 12:00:00",
+            }
+        ]
+
+        class _Ex:
+            def public_get_market_ticker(self, params):
+                return {"data": [{"last": "99999"}]}
+
+        converted = history_pnl_to_usdt(history, _Ex())
+        self.assertAlmostEqual(float(converted[0]["realized_pnl"]), 25.0, places=4)
+
+
+if __name__ == "__main__":
+    unittest.main()