dekun
117 lines
4.2 KiB
Python
117 lines
4.2 KiB
Python
"""币本位期权浮盈折 U(BTC/ETH 不得把币数量直接当 U)."""
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from __future__ import annotations
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import unittest
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from lib.options.options_positions_lib import display_pnl_usdt_from_option_row
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class DisplayPnlUsdtTests(unittest.TestCase):
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def test_btc_coin_pnl_times_index(self):
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row = {
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"inst_id": "BTC-USD-260327-100000-P",
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"premium_ccy": "BTC",
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"margin_mode": "coin",
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"idx_px": 100000.0,
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"upl": -0.001,
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"close_preview": {"bid_invalid": True},
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}
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# 残档回退 upl: -0.001 BTC × 100000 = -100 U
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self.assertAlmostEqual(display_pnl_usdt_from_option_row(row), -100.0, places=4)
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def test_btc_infers_ccy_when_premium_ccy_missing(self):
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row = {
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"inst_id": "BTC-USD-260327-100000-C",
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"margin_mode": "coin",
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"underlying": "BTC",
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"idx_px": 95000.0,
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"upl": 0.002,
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"close_preview": {"bid_invalid": True},
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}
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self.assertAlmostEqual(display_pnl_usdt_from_option_row(row), 190.0, places=4)
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def test_usdc_unchanged(self):
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row = {
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"inst_id": "BTC-USD_UM-260327-100000-C",
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"premium_ccy": "USDC",
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"margin_mode": "usdc",
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"upl": -12.5,
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"close_preview": {"bid_invalid": True},
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}
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self.assertAlmostEqual(display_pnl_usdt_from_option_row(row), -12.5, places=4)
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class HeaderPlRatioUsdtTests(unittest.TestCase):
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"""顶栏盈亏比须先把币数量折 U,避免 ETH/BTC 混算失真."""
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def test_mixed_coin_pnl_ratio_after_usdt(self):
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from lib.options.options_stats_lib import (
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compute_options_stats_from_history,
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history_pnl_to_usdt,
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)
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# 赢 0.01 ETH、亏 0.0001 BTC;不折 U 时盈亏比≈0.01/0.0001=100 或反过来极小
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# 按指数折 U: +0.01*3000=30U, -0.0001*100000=-10U → 盈亏比=3
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history = [
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{
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"status": "closed",
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"inst_id": "ETH-USD-260701-2500-C",
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"underlying": "ETH",
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"premium_ccy": "ETH",
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"realized_pnl": 0.01,
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"created_at": "2026-10-01 10:00:00",
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"closed_at": "2026-10-01 12:00:00",
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},
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{
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"status": "closed",
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"inst_id": "BTC-USD-260701-100000-P",
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"underlying": "BTC",
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"premium_ccy": "BTC",
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"realized_pnl": -0.0001,
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"created_at": "2026-10-01 11:00:00",
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"closed_at": "2026-10-01 13:00:00",
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},
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]
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class _Ex:
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def public_get_market_ticker(self, params):
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inst = (params or {}).get("instId") or ""
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if inst.startswith("ETH"):
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return {"data": [{"last": "3000"}]}
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if inst.startswith("BTC"):
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return {"data": [{"last": "100000"}]}
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return {"data": []}
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converted = history_pnl_to_usdt(history, _Ex())
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self.assertAlmostEqual(float(converted[0]["realized_pnl"]), 30.0, places=4)
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self.assertAlmostEqual(float(converted[1]["realized_pnl"]), -10.0, places=4)
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stats = compute_options_stats_from_history(converted)
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self.assertEqual(stats["win_count"], 1)
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self.assertEqual(stats["loss_count"], 1)
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self.assertAlmostEqual(float(stats["profit_loss_ratio"]), 3.0, places=2)
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def test_raw_coin_mix_would_distort_without_convert(self):
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from lib.options.options_stats_lib import compute_options_stats_from_history
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raw = [
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{
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"status": "closed",
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"realized_pnl": 0.01,
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"created_at": "2026-10-01 10:00:00",
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"closed_at": "2026-10-01 12:00:00",
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},
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{
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"status": "closed",
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"realized_pnl": -0.0001,
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"created_at": "2026-10-01 11:00:00",
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"closed_at": "2026-10-01 13:00:00",
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},
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]
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stats = compute_options_stats_from_history(raw)
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# 未折 U: 0.01 / 0.0001 = 100, 与折 U 后的 3 截然不同
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self.assertAlmostEqual(float(stats["profit_loss_ratio"]), 100.0, places=2)
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if __name__ == "__main__":
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unittest.main()
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