dekun
271 lines
9.9 KiB
Python
271 lines
9.9 KiB
Python
"""期权盈亏结算:模拟盘本地扣费;实盘以交易所历史为准并冻结折 U."""
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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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settle_exchange_realized_pnl,
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)
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from lib.options.options_stats_lib import (
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apply_exchange_pnl_freeze,
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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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class SettleClosedPnlTests(unittest.TestCase):
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def test_sim_net_times_close_index(self):
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# 无开仓指数时回退净币×平仓价
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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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def test_sim_proceeds_minus_open_premium_usdt(self):
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"""盈利=(收回币)×卖回价 − 已付币×开仓指数 − 手续费U."""
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s = settle_closed_pnl(
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premium_paid=0.011005,
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premium_received=0.02270864,
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open_fee=0,
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close_fee=0,
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premium_ccy="BTC",
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index_px=81000, # 卖回价
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open_index_px=86000, # 初始 U 权利金用开仓指数
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)
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# 0.02270864*81000 - 0.011005*86000
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expect = 0.02270864 * 81000 - 0.011005 * 86000
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self.assertAlmostEqual(float(s["realized_pnl_usdt"]), expect, places=2)
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def test_sim_loss_remaining_minus_fees(self):
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"""亏损:剩余权利金U − 手续费U − 初始U(同一式)."""
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s = settle_closed_pnl(
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premium_paid=0.01,
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premium_received=0.004,
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open_fee=0.0001,
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close_fee=0.0001,
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premium_ccy="ETH",
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index_px=2500,
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open_index_px=3000,
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)
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# 0.004*2500 - 0.01*3000 - (0.0001*3000+0.0001*2500) = 10 - 30 - 0.55 = -20.55
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self.assertAlmostEqual(float(s["realized_pnl_usdt"]), -20.55, places=2)
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def test_budget_ignored_for_usdt(self):
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# budget 不得抬高开仓成本
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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,
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close_fee=0,
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premium_ccy="ETH",
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index_px=3000,
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budget_usdt=26.0,
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)
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self.assertAlmostEqual(float(s["realized_pnl_usdt"]), 30.0, 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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def test_exchange_realized_not_fee_again(self):
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s = settle_exchange_realized_pnl(
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realized_pnl=0.009,
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premium_ccy="ETH",
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index_px=3000,
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fee_hint=0.001,
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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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class SimPremiumPnlStatsTests(unittest.TestCase):
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def test_sim_uses_premium_net_not_bridge_cash(self):
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"""卖回−预算会把权利金本金算进盈利;必须用(收回−已付)×平仓指数."""
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import sqlite3
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from lib.options.options_db import init_options_tables
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from lib.options.options_spot_bridge_lib import ensure_bridge_table
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from lib.options.options_stats_lib import sync_sim_cash_realized_pnl_usdt
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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ensure_bridge_table(conn)
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# 桥上现金差额 952.96,但权利金净盈亏仅 0.01 ETH × 2500 = 25U
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conn.execute(
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"""
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INSERT INTO options_spot_bridge(
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id, underlying, status, budget_usdt, usdt_recovered
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) VALUES (1, 'ETH', 'closed', 1000.0, 1952.96)
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"""
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)
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conn.execute(
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"""
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INSERT INTO options_trades(
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inst_id, underlying, opt_type, sheets, eth_amount,
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premium_paid, premium_received, realized_pnl, premium_ccy,
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status, bridge_id, budget_usdt, realized_pnl_usdt, close_index_px,
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created_at, closed_at
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) VALUES (
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'ETH-USD-261009-2500-P', 'ETH', 'P', 1, 0.01,
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0.01, 0.02, 0.01, 'ETH',
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'closed', 1, 1000.0, 1947.05, 2500.0,
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'2026-10-06 10:00:00', '2026-10-08 14:00:00'
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)
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"""
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)
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conn.commit()
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n = sync_sim_cash_realized_pnl_usdt(conn, None)
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self.assertEqual(n, 1)
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row = conn.execute(
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"SELECT realized_pnl_usdt, realized_pnl FROM options_trades WHERE id=1"
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).fetchone()
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# (0.02-0.01)*2500 = 25, 绝不是 1952.96-1000
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self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 25.0, places=2)
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self.assertAlmostEqual(float(row["realized_pnl"]), 0.01, places=8)
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conn.close()
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def test_sim_deducts_fees_from_premium_pnl(self):
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import sqlite3
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from lib.options.options_db import init_options_tables
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from lib.options.options_stats_lib import sync_sim_cash_realized_pnl_usdt
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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conn.execute(
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"""
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INSERT INTO options_trades(
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inst_id, underlying, opt_type, sheets, eth_amount,
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premium_paid, premium_received, realized_pnl, premium_ccy,
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open_fee, close_fee, status, realized_pnl_usdt, close_index_px,
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created_at, closed_at
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) VALUES (
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'BTC-USD-261008-86500-P', 'BTC', 'P', 1, 0.01,
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0.01, 0.02, 0.01, 'BTC',
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0.0001, 0.0001, 'closed', 1947.05, 80000.0,
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'2026-10-05 05:11:30', '2026-10-07 10:03:53'
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)
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"""
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)
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conn.commit()
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sync_sim_cash_realized_pnl_usdt(conn, None)
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row = conn.execute(
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"SELECT realized_pnl_usdt FROM options_trades WHERE id=1"
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).fetchone()
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# (0.02-0.01-0.0002)*80000 = 784
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self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 784.0, places=2)
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conn.close()
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class ExchangeFreezeStatsTests(unittest.TestCase):
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def test_freeze_uses_exchange_coin_pnl(self):
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import sqlite3
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from lib.options.options_db import init_options_tables
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conn = sqlite3.connect(":memory:")
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conn.row_factory = sqlite3.Row
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init_options_tables(conn)
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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("BTC"):
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return {"data": [{"last": "100000"}]}
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return {"data": [{"last": "2500"}]}
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history = [
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{
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"status": "closed",
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"source": "exchange",
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"history_key": "ex|BTC-USD-261009-84000-P|1",
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"inst_id": "BTC-USD-261009-84000-P",
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"underlying": "BTC",
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"premium_ccy": "BTC",
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"realized_pnl": 0.000138,
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"created_at": "2026-10-08 10:00:00",
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"closed_at": "2026-10-08 22:22:56",
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},
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{
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"status": "closed",
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"source": "exchange",
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"history_key": "ex|ETH-USD-261006-2700-P|2",
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"inst_id": "ETH-USD-261006-2700-P",
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"underlying": "ETH",
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"premium_ccy": "ETH",
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"realized_pnl": -0.00648,
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"created_at": "2026-10-05 10:00:00",
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"closed_at": "2026-10-06 16:00:27",
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},
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]
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frozen = apply_exchange_pnl_freeze(conn, history, _Ex())
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converted = history_pnl_to_usdt(frozen, _Ex())
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# 0.000138*100000=13.8; -0.00648*2500=-16.2; net=-2.4
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self.assertAlmostEqual(float(converted[0]["realized_pnl"]), 13.8, places=4)
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self.assertAlmostEqual(float(converted[1]["realized_pnl"]), -16.2, places=4)
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stats = compute_options_stats_from_history(converted)
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self.assertAlmostEqual(float(stats["net_realized_pnl"]), -2.4, places=4)
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# 指数再变也不改冻结 U
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class _Ex2:
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def public_get_market_ticker(self, params):
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return {"data": [{"last": "999999"}]}
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frozen2 = apply_exchange_pnl_freeze(conn, history, _Ex2())
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converted2 = history_pnl_to_usdt(frozen2, _Ex2())
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self.assertAlmostEqual(float(converted2[0]["realized_pnl"]), 13.8, places=4)
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conn.close()
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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,
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"realized_pnl_usdt": 25.0,
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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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