dekun
110 lines
3.6 KiB
Python
110 lines
3.6 KiB
Python
"""期权已实现盈亏:扣手续费 + 平仓冻结 U 不跟实时指数变."""
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from __future__ import annotations
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import unittest
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from lib.options.options_pnl_settle_lib import (
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fee_to_premium_ccy,
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settle_closed_pnl,
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)
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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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class FeeConvertTests(unittest.TestCase):
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def test_fee_same_ccy(self):
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self.assertAlmostEqual(
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fee_to_premium_ccy(0.001, "ETH", premium_ccy="ETH", index_px=3000),
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0.001,
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places=8,
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)
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def test_fee_usdt_to_eth(self):
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self.assertAlmostEqual(
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fee_to_premium_ccy(3.0, "USDT", premium_ccy="ETH", index_px=3000),
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0.001,
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places=8,
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)
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class SettleClosedPnlTests(unittest.TestCase):
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def test_net_of_fees_and_freeze_usdt(self):
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# 收回 0.02 ETH,已付 0.01,开+平手续费各 0.0005 → 净 0.009
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# × 3000 = 27 U
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s = settle_closed_pnl(
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premium_paid=0.01,
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premium_received=0.02,
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open_fee=0.0005,
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close_fee=0.0005,
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premium_ccy="ETH",
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index_px=3000,
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)
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self.assertAlmostEqual(float(s["realized_pnl"]), 0.009, places=8)
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self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 27.0, places=4)
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self.assertAlmostEqual(float(s["close_index_px"]), 3000.0, places=4)
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def test_usdc_freeze_is_net(self):
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s = settle_closed_pnl(
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premium_paid=10,
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premium_received=12,
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open_fee=0.1,
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close_fee=0.1,
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premium_ccy="USDC",
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index_px=None,
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)
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self.assertAlmostEqual(float(s["realized_pnl"]), 1.8, places=4)
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self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 1.8, places=4)
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class FrozenStatsTests(unittest.TestCase):
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def test_frozen_usdt_ignores_live_index(self):
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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, # 币数量
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"realized_pnl_usdt": 25.0, # 平仓时冻结
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"close_index_px": 2500.0,
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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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class _Ex:
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def public_get_market_ticker(self, params):
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return {"data": [{"last": "99999"}]} # 实时价再变也不影响
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converted = history_pnl_to_usdt(history, _Ex())
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self.assertAlmostEqual(float(converted[0]["realized_pnl"]), 25.0, places=4)
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stats = compute_options_stats_from_history(converted)
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self.assertAlmostEqual(float(stats["net_realized_pnl"]), 25.0, places=4)
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def test_close_index_used_when_no_frozen_usdt(self):
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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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"close_index_px": 2500.0,
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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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class _Ex:
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def public_get_market_ticker(self, params):
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return {"data": [{"last": "99999"}]}
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converted = history_pnl_to_usdt(history, _Ex())
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self.assertAlmostEqual(float(converted[0]["realized_pnl"]), 25.0, places=4)
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if __name__ == "__main__":
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unittest.main()
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