crypto_okx/tests/test_options_spot_vwap.py

"""多笔买/卖回 VWAP 与真盈亏."""
from __future__ import annotations

import sqlite3
import unittest


class SpotVwapBridgeTests(unittest.TestCase):
    def test_buy_and_close_sell_vwap_multi_fill(self):
        from lib.options.options_spot_bridge_lib import (
            BRIDGE_CLOSED,
            add_bridge_buy_fill,
            add_bridge_close_sell_fill,
            bridge_buy_vwap,
            bridge_sell_vwap,
            ensure_bridge_table,
            insert_bridge,
            update_bridge,
        )

        conn = sqlite3.connect(":memory:")
        conn.row_factory = sqlite3.Row
        ensure_bridge_table(conn)
        bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=2200)
        add_bridge_buy_fill(conn, bid, usdt_spent=1000.0, coin_bought=0.5)
        add_bridge_buy_fill(conn, bid, usdt_spent=1200.0, coin_bought=0.6)
        self.assertAlmostEqual(float(bridge_buy_vwap(conn, bid)), 2000.0, places=4)

        add_bridge_close_sell_fill(conn, bid, usdt_recovered=800.0, coin_sold=0.4)
        add_bridge_close_sell_fill(conn, bid, usdt_recovered=1200.0, coin_sold=0.6)
        self.assertAlmostEqual(float(bridge_sell_vwap(conn, bid)), 2000.0, places=4)
        update_bridge(conn, bid, status=BRIDGE_CLOSED, close=True)
        self.assertAlmostEqual(float(bridge_sell_vwap(conn, bid)), 2000.0, places=4)
        conn.close()

    def test_true_pnl_uses_bridge_vwap_not_index(self):
        from lib.options.options_db import init_options_tables
        from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
        from lib.options.options_spot_bridge_lib import (
            BRIDGE_CLOSED,
            add_bridge_buy_fill,
            add_bridge_close_sell_fill,
            ensure_bridge_table,
            insert_bridge,
            update_bridge,
        )

        conn = sqlite3.connect(":memory:")
        conn.row_factory = sqlite3.Row
        init_options_tables(conn)
        ensure_bridge_table(conn)
        bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=2200)
        add_bridge_buy_fill(conn, bid, usdt_spent=2200.0, coin_bought=1.1)
        add_bridge_close_sell_fill(conn, bid, usdt_recovered=1600.0, coin_sold=0.8)
        add_bridge_close_sell_fill(conn, bid, usdt_recovered=400.0, coin_sold=0.2)
        update_bridge(conn, bid, status=BRIDGE_CLOSED, close=True)
        # sell_vwap=2000; U=0.01*2000=20; 不用指数 80000
        pnl, src = resolve_true_pnl_usdt_from_trade(
            premium_paid=0.01,
            premium_received=0.02,
            realized_pnl=0.01,
            open_index_px=90000.0,
            close_index_px=80000.0,
            premium_ccy="BTC",
            conn=conn,
            bridge_id=bid,
        )
        self.assertEqual(src, "premium_move")
        self.assertAlmostEqual(float(pnl), 20.0, places=2)
        conn.close()

    def test_pending_sell_still_allows_option_pnl(self):
        """现货待卖回不阻断期权盈亏折U(用冻结平仓价)."""
        from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
        from lib.options.options_spot_bridge_lib import (
            BRIDGE_PENDING_SELL,
            add_bridge_buy_fill,
            ensure_bridge_table,
            insert_bridge,
            update_bridge,
        )

        conn = sqlite3.connect(":memory:")
        conn.row_factory = sqlite3.Row
        ensure_bridge_table(conn)
        bid = insert_bridge(conn, underlying="ETH", status="holding", budget_usdt=3000)
        add_bridge_buy_fill(conn, bid, usdt_spent=3000.0, coin_bought=1.0)
        update_bridge(conn, bid, status=BRIDGE_PENDING_SELL)
        pnl, src = resolve_true_pnl_usdt_from_trade(
            premium_paid=0.01,
            premium_received=0.02,
            realized_pnl=0.01,
            open_index_px=3000.0,
            close_index_px=3000.0,
            premium_ccy="ETH",
            conn=conn,
            bridge_id=bid,
        )
        self.assertEqual(src, "premium_move")
        self.assertAlmostEqual(float(pnl), 30.0, places=2)
        conn.close()

    def test_closed_bridge_without_sell_falls_back_close_index(self):
        """已关桥无卖回 VWAP 时回退冻结平仓价."""
        from lib.options.options_pnl_settle_lib import resolve_true_pnl_usdt_from_trade
        from lib.options.options_spot_bridge_lib import (
            BRIDGE_CLOSED,
            add_bridge_buy_fill,
            ensure_bridge_table,
            insert_bridge,
            update_bridge,
        )

        conn = sqlite3.connect(":memory:")
        conn.row_factory = sqlite3.Row
        ensure_bridge_table(conn)
        bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=1000)
        add_bridge_buy_fill(conn, bid, usdt_spent=1000.0, coin_bought=0.01)
        update_bridge(conn, bid, status=BRIDGE_CLOSED, close=True)
        pnl, src = resolve_true_pnl_usdt_from_trade(
            premium_paid=0.01,
            realized_pnl=0.01,
            open_index_px=100000.0,
            close_index_px=90000.0,
            premium_ccy="BTC",
            conn=conn,
            bridge_id=bid,
        )
        self.assertEqual(src, "premium_move")
        self.assertAlmostEqual(float(pnl), 900.0, places=2)
        conn.close()

    def test_buy_vwap_ignores_shrunk_coin_bought(self):
        from lib.options.options_spot_bridge_lib import (
            add_bridge_buy_fill,
            bridge_buy_vwap,
            ensure_bridge_table,
            insert_bridge,
            update_bridge,
        )

        conn = sqlite3.connect(":memory:")
        conn.row_factory = sqlite3.Row
        ensure_bridge_table(conn)
        bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=2200)
        add_bridge_buy_fill(conn, bid, usdt_spent=2200.0, coin_bought=1.1)
        update_bridge(conn, bid, coin_bought=0.01)
        self.assertAlmostEqual(float(bridge_buy_vwap(conn, bid)), 2000.0, places=4)
        conn.close()


if __name__ == "__main__":
    unittest.main()