dekun
95 lines
3.3 KiB
Python
95 lines
3.3 KiB
Python
"""模拟盘到期结算:币本位盈亏须用币,不能把 U 实值减权利金币."""
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from __future__ import annotations
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import sqlite3
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import unittest
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from lib.options.options_db import init_options_tables
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from lib.sim.broker_lib import SimBroker
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from lib.sim.db_lib import init_sim_tables
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class SimExpiryCoinPnlTests(unittest.TestCase):
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def test_coin_expiry_pnl_not_usd_minus_coin(self):
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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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init_sim_tables(conn)
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# 251001 = 2025-10-01 08:00 UTC 已过期
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inst = "BTC-USD-251001-100000-P"
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prem = 0.001
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sheets = 1.0
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ct_mult = 0.01
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spot = 90000.0
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conn.execute(
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"""
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INSERT INTO sim_option_positions(
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inst_id, side, sheets, entry_px, ct_mult, premium_paid_usdc, updated_at
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) VALUES (?,?,?,?,?,?,?)
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""",
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(inst, "buy", sheets, 0.1, ct_mult, prem, "2025-09-01 10:00:00"),
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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, strike, sheets, eth_amount,
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premium_paid, status, premium_ccy, open_index_px, open_fee,
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created_at
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?)
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""",
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(
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inst,
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"BTC",
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"P",
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100000,
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int(sheets),
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sheets * ct_mult,
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prem,
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"open",
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"BTC",
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95000.0,
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0.0,
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"2025-09-01 10:00:00",
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),
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)
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conn.commit()
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class _Proxy:
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def __getattr__(self, name):
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return getattr(conn, name)
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def close(self):
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return None
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broker = SimBroker(lambda: _Proxy()) # type: ignore[arg-type]
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broker._index_px_for_option = lambda *_a, **_k: spot # type: ignore[method-assign]
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# 跳过卖回(本测只核币盈亏)
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import lib.options.options_spot_bridge_lib as bridge
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bridge.sell_residual_after_option_flat = lambda *_a, **_k: {"ok": True, "skipped": True}
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# 2025-10-02 UTC
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now_ms = 1759363200000
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out = broker.settle_expired_option_positions(None, now_ms=now_ms)
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self.assertEqual(len(out), 1)
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intrinsic_u = 100000.0 - spot # 10000
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settle_recv = (intrinsic_u / spot) * sheets * ct_mult
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expected_pnl = settle_recv - prem
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# 旧 bug: option_expiry_pnl = intrinsic_u*sheets*ct_mult - prem ≈ 99.999
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wrong_old = intrinsic_u * sheets * ct_mult - prem
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self.assertGreater(abs(wrong_old - expected_pnl), 1.0)
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row = conn.execute(
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"SELECT premium_received, realized_pnl, close_index_px, status FROM options_trades WHERE id=1"
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).fetchone()
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self.assertEqual(str(row["status"]), "closed")
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self.assertAlmostEqual(float(row["premium_received"]), settle_recv, places=8)
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self.assertAlmostEqual(float(row["realized_pnl"]), expected_pnl, places=8)
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self.assertAlmostEqual(float(row["close_index_px"]), spot, places=2)
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self.assertLess(abs(float(row["realized_pnl"])), 1.0) # 币量级,绝不是 ~100 U
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if __name__ == "__main__":
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unittest.main()
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