dekun
06f9b23f44
原先对冲表异常会直接 return 0 导致翻倍出场永不执行；可回收改为买一价×全部张数，买一深度不足时仍会触发分批平仓。 Co-authored-by: Cursor <cursoragent@cursor.com>
42 lines
1.5 KiB
Python
42 lines
1.5 KiB
Python
"""翻倍出场:买一价×全仓张数判定达标(不受买一深度截断)."""
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from __future__ import annotations
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import unittest
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from unittest.mock import patch
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from lib.options.options_profit_exit_lib import _estimate_recycle, profit_exit_hit
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class ProfitExitHitTests(unittest.TestCase):
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def test_hit_at_0_3_mult(self):
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# 0.3倍: recycle >= paid * 1.3
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self.assertTrue(profit_exit_hit(premium_paid=1.0, recycle_usdc=1.3, mult=0.3))
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self.assertFalse(profit_exit_hit(premium_paid=1.0, recycle_usdc=1.29, mult=0.3))
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def test_estimate_uses_full_sheets_not_depth(self):
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pos = {"inst_id": "ETH-USD-260927-2700-P", "pos": 100, "ct_mult": 0.01}
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preview = {
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"bid_invalid": False,
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"levels": [{"px": 0.2, "sheets": 10}], # 深度只够 10 张
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"total_received": 0.02, # 仅深度内
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}
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def fake_attach(cfg, ex, row, premium_paid=None):
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row["close_preview"] = preview
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row["ct_mult"] = 0.01
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row["pos"] = 100
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return row
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with patch(
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"lib.options.options_positions_lib.attach_close_preview",
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side_effect=fake_attach,
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):
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recv = _estimate_recycle({}, object(), pos, 1.0)
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# 应按 100 张 × 0.01 × 0.2 = 0.2,而非深度截断的 0.02
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self.assertAlmostEqual(float(recv), 0.2, places=6)
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self.assertTrue(profit_exit_hit(premium_paid=0.15, recycle_usdc=float(recv), mult=0.3))
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if __name__ == "__main__":
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unittest.main()
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