Fix OO expiry settle index: persist spot and never invent strike from OTM fill.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-11 16:44:56 +08:00
parent 4a5d19e30f
commit 3264dd4381
6 changed files with 124 additions and 17 deletions
@@ -0,0 +1,48 @@
+"""期期到期结算指数：虚值 Call fill=0 不得反推成行权价。"""
+
+from __future__ import annotations
+
+from app.api.trades import _infer_settle_index
+
+
+def test_otm_call_zero_fill_does_not_become_strike() -> None:
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "strike": 1920.0,
+        "strike2": 1890.0,
+        "settle_index_px": None,
+    }
+    fills = [
+        {"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
+        {"leg": "option2", "action": "close", "fill_px": 0.0, "slip": 0},
+    ]
+    assert _infer_settle_index(g, fills) is None
+
+
+def test_itm_put_fill_infers_settle_near_1875() -> None:
+    g = {
+        "hedge_mode": "option_option",
+        "option_side": "call",
+        "option2_side": "put",
+        "strike": 1920.0,
+        "strike2": 1920.0,
+        "settle_index_px": None,
+    }
+    fills = [
+        {"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
+        {"leg": "option2", "action": "close", "fill_px": 45.0, "slip": 0},
+    ]
+    # put intrinsic 45 → settle = 1920 - 45 = 1875
+    assert _infer_settle_index(g, fills) == 1875.0
+
+
+def test_stored_settle_wins() -> None:
+    g = {
+        "option_side": "call",
+        "strike": 1920.0,
+        "settle_index_px": 1875.2,
+    }
+    fills = [{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0}]
+    assert _infer_settle_index(g, fills) == 1875.2