dekun
257 lines
9.1 KiB
Python
257 lines
9.1 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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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_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 SimCashPnlStatsTests(unittest.TestCase):
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def test_sim_cash_from_bridge_overrides_index_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_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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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,
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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, 884.54,
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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 FROM options_trades WHERE id=1"
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).fetchone()
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self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 952.96, places=2)
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conn.close()
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def test_sim_cash_from_ledger_when_bridge_missing_recovered(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_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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from lib.sim.db_lib import init_sim_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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ensure_bridge_table(conn)
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init_sim_tables(conn)
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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, NULL)
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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,
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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, 884.54,
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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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# 买币 -1000U, 卖回 +1952.96U
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conn.execute(
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"""
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INSERT INTO sim_ledger_entries(kind, amount, ccy, account, note, ts)
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VALUES
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('convert', -1000.0, 'USDT', 'trading', 'ETH/USDT mkt 2500', '2026-10-06 10:00:05'),
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('convert', 1952.96, 'USDT', 'trading', 'from eth', '2026-10-08 14:00:10')
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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 FROM options_trades WHERE id=1"
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).fetchone()
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self.assertAlmostEqual(float(row["realized_pnl_usdt"]), 952.96, 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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