fix真盈亏收口为币本位×卖回价减初始权利金U，禁指数冒充平仓价。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-10-13 12:29:33 +08:00
parent d42e1c7edf
commit 839baea375
10 changed files with 171 additions and 83 deletions
@@ -26,23 +26,32 @@ class FeeConvertTests(unittest.TestCase):


 class PremiumMoveFormulaTests(unittest.TestCase):
-    def test_user_formula_matches_proceeds_minus_open_cost(self):
+    def test_user_formula_matches_coin_basis_minus_initial(self):
        coin = 0.01
        paid = 0.01
        open_px = 90000.0
        close_px = 80000.0
+        initial = paid * open_px
        a = true_pnl_usdt_premium_move(
            coin_pnl=coin,
            premium_paid=paid,
-            open_index_px=open_px,
            sell_back_px=close_px,
+            initial_premium_usdt=initial,
        )
-        # 历史盈亏×卖回 − (权利金×开 − 权利金×平)
-        expect = coin * close_px - (paid * open_px - paid * close_px)
+        # (权利金+盈亏)×卖回 − 初始权利金U
+        expect = (paid + coin) * close_px - initial
        self.assertAlmostEqual(float(a), expect, places=4)
-        # 无费时 ≡ 收回×平 − 已付×开 (recv=paid+coin)
+        # 无费时 ≡ 收回×平 − 已付×开
        recv = paid + coin
        self.assertAlmostEqual(float(a), recv * close_px - paid * open_px, places=4)
+        # 缺初始时用开仓价补算,结果相同
+        b = true_pnl_usdt_premium_move(
+            coin_pnl=coin,
+            premium_paid=paid,
+            sell_back_px=close_px,
+            open_index_px=open_px,
+        )
+        self.assertAlmostEqual(float(b), float(a), places=4)


 class SettleClosedPnlTests(unittest.TestCase):
@@ -100,12 +109,13 @@ class SettleClosedPnlTests(unittest.TestCase):
            realized_pnl=-0.0062,
            open_index_px=3000,
            close_index_px=2500,
+            initial_premium_usdt=30.0,
            open_fee=0.0001,
            close_fee=0.0001,
            premium_ccy="ETH",
        )
        self.assertEqual(src, "premium_move")
-        # -0.0062*2500 - 0.01*(3000-2500) = -15.5 - 5 = -20.5
+        # (0.01-0.0062)*2500 - 30 = 9.5 - 30 = -20.5
        self.assertAlmostEqual(float(pnl), -20.5, places=2)
        # 若再扣一遍费会更亏于 -20.5
        self.assertGreater(float(pnl), -20.55)