feat中控市价单：实例按第一档实值与杠杆立即全仓开仓。

EOF Co-authored-by: Cursor <cursoragent@cursor.com>
2026-11-03 18:50:46 +08:00
parent 4e14c92385
commit 8a29f2d51b
6 changed files with 947 additions and 1 deletions
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+"""市价单选约:第一档实值内按杠杆接近度优选."""
+from __future__ import annotations
+
+import unittest
+from unittest.mock import MagicMock, patch
+
+
+class TestMarketOrderLeveragePick(unittest.TestCase):
+    def test_picks_closest_leverage_on_first_itm_rung(self):
+        from lib.options.options_cond_order_lib import pick_nearest_itm_contract
+
+        # 指数 3000, Put 实值一档=3100;同档不同 ask → 杠杆≈1/ask
+        chain = {
+            "expiries": [
+                {
+                    "exp_time": 9_999_999_999_000,
+                    "contracts": [
+                        {
+                            "inst_id": "ETH-USD-3100-P-far",
+                            "strike": 3100,
+                            "opt_type": "P",
+                            "ask": 0.05,
+                            "ask_sz": 10,
+                            "ct_mult": 0.1,
+                        },
+                        {
+                            "inst_id": "ETH-USD-3100-P-near-lev",
+                            "strike": 3100,
+                            "opt_type": "P",
+                            "ask": 0.1,
+                            "ask_sz": 10,
+                            "ct_mult": 0.1,
+                        },
+                        {
+                            "inst_id": "ETH-USD-3200-P-deeper",
+                            "strike": 3200,
+                            "opt_type": "P",
+                            "ask": 0.1,
+                            "ask_sz": 10,
+                            "ct_mult": 0.1,
+                        },
+                    ],
+                }
+            ]
+        }
+
+        def quote(_ex, inst_id):
+            for c in chain["expiries"][0]["contracts"]:
+                if c["inst_id"] == inst_id:
+                    return {
+                        "ok": True,
+                        "ask": c["ask"],
+                        "ask_sz": c["ask_sz"],
+                        "ct_mult": c["ct_mult"],
+                    }
+            return {"ok": False}
+
+        cfg = {"quote_option_contract": quote}
+        with patch(
+            "lib.exchange.okx_options_lib.build_option_chain", return_value=chain
+        ), patch(
+            "lib.exchange.okx_options_lib.option_buy_liquidity_ok",
+            return_value=(True, ""),
+        ):
+            # 目标杠杆 10 → 1/0.1=10, 应选 near-lev 而非 far(杠杆20)
+            picked = pick_nearest_itm_contract(
+                cfg,
+                MagicMock(),
+                underlying="ETH",
+                opt_type="P",
+                index_px=3000.0,
+                min_expiry_hours=1.0,
+                target_leverage=10.0,
+            )
+        self.assertIsNotNone(picked)
+        self.assertEqual(picked["inst_id"], "ETH-USD-3100-P-near-lev")
+        self.assertAlmostEqual(float(picked.get("picked_leverage") or 0), 10.0, places=1)
+
+    def test_without_leverage_keeps_nearest_itm(self):
+        from lib.options.options_cond_order_lib import pick_nearest_itm_contract
+
+        chain = {
+            "expiries": [
+                {
+                    "exp_time": 9_999_999_999_000,
+                    "contracts": [
+                        {
+                            "inst_id": "ETH-USD-3100-P",
+                            "strike": 3100,
+                            "opt_type": "P",
+                            "ask": 0.1,
+                            "ask_sz": 10,
+                            "ct_mult": 0.1,
+                        },
+                        {
+                            "inst_id": "ETH-USD-3200-P",
+                            "strike": 3200,
+                            "opt_type": "P",
+                            "ask": 0.05,
+                            "ask_sz": 10,
+                            "ct_mult": 0.1,
+                        },
+                    ],
+                }
+            ]
+        }
+
+        def quote(_ex, inst_id):
+            for c in chain["expiries"][0]["contracts"]:
+                if c["inst_id"] == inst_id:
+                    return {
+                        "ok": True,
+                        "ask": c["ask"],
+                        "ask_sz": c["ask_sz"],
+                        "ct_mult": c["ct_mult"],
+                    }
+            return {"ok": False}
+
+        cfg = {"quote_option_contract": quote}
+        with patch(
+            "lib.exchange.okx_options_lib.build_option_chain", return_value=chain
+        ), patch(
+            "lib.exchange.okx_options_lib.option_buy_liquidity_ok",
+            return_value=(True, ""),
+        ):
+            picked = pick_nearest_itm_contract(
+                cfg,
+                MagicMock(),
+                underlying="ETH",
+                opt_type="P",
+                index_px=3000.0,
+                min_expiry_hours=1.0,
+            )
+        self.assertEqual(picked["inst_id"], "ETH-USD-3100-P")
+
+
+if __name__ == "__main__":
+    unittest.main()