fix模拟盘期权手续费按OKX币本位公式计费，并纠正复盘旧单展示。

费率作用在标的币数量上并以权利金7%封顶，不再误用权利金×费率。 Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-13 09:37:14 +08:00
parent bdc9eb532a
commit 78f18e731a
3 changed files with 249 additions and 9 deletions
@@ -0,0 +1,52 @@
+"""模拟盘期权手续费:对齐 OKX 币本位公式."""
+from __future__ import annotations
+
+import unittest
+
+from lib.sim.pricing_lib import option_fee_coin, option_fill
+
+
+class OptionFeeCoinTests(unittest.TestCase):
+    def test_fee_on_underlying_not_premium(self):
+        # 90 张 BTC×0.01=0.9 币;权利金 0.01125
+        fee = option_fee_coin(
+            underlying_coin=0.9,
+            premium_coin=0.01125,
+            fee_rate=0.0005,
+        )
+        # min(0.9*0.0005, 0.01125*0.07) = min(0.00045, 0.0007875)
+        self.assertAlmostEqual(fee, 0.00045, places=8)
+
+    def test_premium_cap(self):
+        fee = option_fee_coin(
+            underlying_coin=1.0,
+            premium_coin=0.001,
+            fee_rate=0.0005,
+        )
+        # min(0.0005, 0.00007) = 0.00007
+        self.assertAlmostEqual(fee, 0.00007, places=8)
+
+    def test_option_fill_uses_okx_fee(self):
+        pr = option_fill(
+            action="open",
+            bid=0.012,
+            ask=0.0125,
+            qty=0.9,
+            fee_rate=0.0005,
+        )
+        self.assertGreater(pr.fee, 1e-6)
+        # 旧算法 fee≈notional*rate≈5.6e-6;新算法应为 4.5e-4 量级
+        self.assertGreater(pr.fee, 1e-4)
+        self.assertAlmostEqual(
+            pr.fee,
+            option_fee_coin(
+                underlying_coin=0.9,
+                premium_coin=pr.notional,
+                fee_rate=0.0005,
+            ),
+            places=8,
+        )
+
+
+if __name__ == "__main__":
+    unittest.main()