dekun
243 lines
11 KiB
Python
243 lines
11 KiB
Python
"""复盘真盈亏=(权利金+币盈亏)×卖回价 − 初始权利金U."""
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from __future__ import annotations
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import sqlite3
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import unittest
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class ReviewLocalSyncFreezeTests(unittest.TestCase):
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def test_refresh_recomputes_u_keeps_frozen_qty_px(self):
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"""刷新按公式重算U;权利金币/币盈亏不变."""
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from lib.options.options_db import init_options_tables
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from lib.options.options_review_lib import sync_options_from_local_trades
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from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
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from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
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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_runtime_settings_table(conn)
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runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
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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,
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open_index_px, close_index_px, pnl_settled,
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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, 0, 'closed', -51.0,
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90000.0, 80000.0, 1,
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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_options_from_local_trades(conn, None)
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sync_options_from_local_trades(conn, None)
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trade = conn.execute(
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"SELECT realized_pnl_usdt, open_index_px, close_index_px, pnl_settled, realized_pnl, premium_paid FROM options_trades WHERE id=1"
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).fetchone()
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# 0.01*80000 - 0.01*(90000-80000)=700;旧错账 -51 被刷新纠正
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self.assertAlmostEqual(float(trade["realized_pnl_usdt"]), 700.0, places=2)
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self.assertAlmostEqual(float(trade["open_index_px"]), 90000.0, places=2)
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self.assertAlmostEqual(float(trade["close_index_px"]), 80000.0, places=2)
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self.assertEqual(int(trade["pnl_settled"]), 1)
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self.assertAlmostEqual(float(trade["realized_pnl"]), 0.01, places=8)
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self.assertAlmostEqual(float(trade["premium_paid"]), 0.01, places=8)
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row = conn.execute(
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"SELECT realized_pnl_total FROM options_review_trades WHERE history_key=?",
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("local_opt:1",),
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).fetchone()
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self.assertAlmostEqual(float(row["realized_pnl_total"]), 700.0, places=2)
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conn.close()
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def test_refresh_prefers_bridge_sell_vwap_over_wrong_index(self):
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"""库内卖回价若是指数占位,刷新须用桥上卖回 VWAP;初始权利金U冻结不改."""
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from lib.options.options_db import init_options_tables
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from lib.options.options_review_lib import sync_options_from_local_trades
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from lib.options.options_spot_bridge_lib import (
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BRIDGE_CLOSED,
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add_bridge_buy_fill,
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add_bridge_close_sell_fill,
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ensure_bridge_table,
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insert_bridge,
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update_bridge,
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)
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from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
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from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
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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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ensure_runtime_settings_table(conn)
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runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
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bid = insert_bridge(conn, underlying="BTC", status="holding", budget_usdt=990.0)
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add_bridge_buy_fill(conn, bid, usdt_spent=840.10, coin_bought=0.01)
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add_bridge_close_sell_fill(conn, bid, usdt_recovered=814.18, coin_sold=0.01)
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update_bridge(conn, bid, status=BRIDGE_CLOSED, close=True)
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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,
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open_index_px, close_index_px, initial_premium_usdt, pnl_settled, bridge_id,
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created_at, closed_at
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) VALUES (
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'BTC-USD-261015-84000-P', 'BTC', 'P', 1, 0.01,
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0.01, 0.02, 0.01, 'BTC',
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0, 0, 'closed', 1544.0,
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88086.0, 85400.0, 840.10, 1, ?,
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'2026-10-12 01:46:50', '2026-10-13 08:07:35'
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)
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""",
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(bid,),
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)
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conn.commit()
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sync_options_from_local_trades(conn, None)
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trade = conn.execute(
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"SELECT realized_pnl_usdt, open_index_px, close_index_px, initial_premium_usdt FROM options_trades WHERE id=1"
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).fetchone()
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# 已冻开仓价/初始权利金不覆盖;卖回价用桥 VWAP
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self.assertAlmostEqual(float(trade["open_index_px"]), 88086.0, places=2)
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self.assertAlmostEqual(float(trade["initial_premium_usdt"]), 840.10, places=2)
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self.assertAlmostEqual(float(trade["close_index_px"]), 81418.0, places=2)
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# (0.01+0.01)*81418 - 840.10 = 788.26
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self.assertAlmostEqual(float(trade["realized_pnl_usdt"]), 788.26, places=2)
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conn.close()
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def test_premium_usdt_move_formula(self):
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from lib.options.options_db import init_options_tables
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from lib.options.options_review_lib import sync_options_from_local_trades
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from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
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from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
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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_runtime_settings_table(conn)
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runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
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# paid=0.01, recv=0.02, coin_pnl=0.01; open=90000, close=80000
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# A = 0.01*80000 - (0.01*90000 - 0.01*80000) = 800 - 100 = 700
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# 亦= recv*close - paid*open = 1600 - 900 = 700
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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,
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open_index_px, close_index_px,
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trading_usdt_before, trading_usdt_after, pnl_settled,
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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, 0, 'closed', NULL,
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90000.0, 80000.0,
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1000.0, 2506.0, 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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out = sync_options_from_local_trades(conn, None)
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self.assertTrue(out.get("ok"))
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row = conn.execute(
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"SELECT realized_pnl_total FROM options_review_trades WHERE history_key=?",
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("local_opt:1",),
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).fetchone()
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self.assertAlmostEqual(float(row["realized_pnl_total"]), 700.0, places=2)
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# 纠偏写回,不用账户差分 1506
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healed = 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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self.assertAlmostEqual(float(healed["realized_pnl_usdt"]), 700.0, places=2)
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conn.close()
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def test_uncomputable_old_trade_marked(self):
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from lib.options.options_db import init_options_tables
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from lib.options.options_review_lib import sync_options_from_local_trades
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from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
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from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
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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_runtime_settings_table(conn)
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runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
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# 未冻结且无开仓/卖回价 → 缺价未核(不瞎写)
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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, realized_pnl_usdt, pnl_settled,
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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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'closed', NULL, 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_options_from_local_trades(conn, None)
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row = conn.execute(
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"SELECT realized_pnl_total, status_raw FROM options_review_trades WHERE history_key=?",
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("local_opt:1",),
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).fetchone()
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self.assertEqual(str(row["status_raw"]), "缺价未核")
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self.assertIsNone(row["realized_pnl_total"])
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trade = conn.execute(
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"SELECT realized_pnl_usdt, pnl_settled FROM options_trades WHERE id=1"
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).fetchone()
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self.assertIsNone(trade["realized_pnl_usdt"])
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self.assertEqual(int(trade["pnl_settled"] or 0), 0)
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conn.close()
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def test_same_open_close_px_equals_coin_times_close(self):
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from lib.options.options_db import init_options_tables
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from lib.options.options_review_lib import sync_options_from_local_trades
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from lib.sim.mode_lib import MODE_SIM, TRADING_MODE_KEY
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from lib.instance.runtime_settings_lib import ensure_runtime_settings_table, runtime_set
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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_runtime_settings_table(conn)
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runtime_set(conn, TRADING_MODE_KEY, MODE_SIM)
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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, open_index_px, 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, 0, 'closed', 85000.0, 85000.0,
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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_options_from_local_trades(conn, None)
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row = conn.execute(
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"SELECT realized_pnl_total FROM options_review_trades WHERE history_key=?",
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("local_opt:1",),
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).fetchone()
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# 开平价相同:波动项为0 → 等于币×卖回价=850
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self.assertAlmostEqual(float(row["realized_pnl_total"]), 850.0, places=2)
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conn.close()
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if __name__ == "__main__":
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unittest.main()
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