dekun
53 lines
1.5 KiB
Python
53 lines
1.5 KiB
Python
"""模拟盘期权手续费:对齐 OKX 币本位公式."""
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from __future__ import annotations
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import unittest
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from lib.sim.pricing_lib import option_fee_coin, option_fill
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class OptionFeeCoinTests(unittest.TestCase):
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def test_fee_on_underlying_not_premium(self):
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# 90 张 BTC×0.01=0.9 币;权利金 0.01125
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fee = option_fee_coin(
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underlying_coin=0.9,
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premium_coin=0.01125,
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fee_rate=0.0005,
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)
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# min(0.9*0.0005, 0.01125*0.07) = min(0.00045, 0.0007875)
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self.assertAlmostEqual(fee, 0.00045, places=8)
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def test_premium_cap(self):
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fee = option_fee_coin(
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underlying_coin=1.0,
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premium_coin=0.001,
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fee_rate=0.0005,
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)
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# min(0.0005, 0.00007) = 0.00007
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self.assertAlmostEqual(fee, 0.00007, places=8)
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def test_option_fill_uses_okx_fee(self):
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pr = option_fill(
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action="open",
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bid=0.012,
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ask=0.0125,
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qty=0.9,
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fee_rate=0.0005,
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)
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self.assertGreater(pr.fee, 1e-6)
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# 旧算法 fee≈notional*rate≈5.6e-6;新算法应为 4.5e-4 量级
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self.assertGreater(pr.fee, 1e-4)
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self.assertAlmostEqual(
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pr.fee,
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option_fee_coin(
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underlying_coin=0.9,
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premium_coin=pr.notional,
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fee_rate=0.0005,
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),
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places=8,
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)
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if __name__ == "__main__":
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unittest.main()
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