Mirror option expiry settlements from exchange bills; debit OO LIVE open premiums.

Co-authored-by: Cursor <cursoragent@cursor.com>

backend/tests/test_option_settle.py

@@ -0,0 +1,167 @@
+"""期权交割账单镜像 + 期期开仓账本。"""
+
+from __future__ import annotations
+
+from types import SimpleNamespace
+
+from app.live.option_settle import (
+    OptionSettlement,
+    fetch_option_settlement,
+    settlement_to_fill,
+)
+
+
+def test_settlement_to_fill_zero_when_not_found() -> None:
+    st = OptionSettlement(found=False)
+    assert settlement_to_fill(st, qty_eth=2.0) == (0.0, 0.0, 0.0)
+
+
+def test_okx_settlement_from_exercise_bills() -> None:
+    class _C:
+        def get_option_settlement_bills(self, inst_id, *, begin_ms, end_ms=None):
+            return [
+                {
+                    "subType": "170",
+                    "type": "3",
+                    "ts": str(begin_ms + 1000),
+                    "balChg": "50.0",
+                    "fee": "-0.5",
+                    "ccy": "USDT",
+                }
+            ]
+
+    st = fetch_option_settlement(
+        _C(),
+        exchange="okx",
+        option_inst_id="ETH-USDT-260808-2000-C",
+        qty_eth=2.0,
+        begin_ms=1_700_000_000_000,
+    )
+    assert st.found
+    assert abs(st.cash - 50.0) < 1e-9
+    px, fee, notional = settlement_to_fill(st, qty_eth=2.0)
+    assert fee == 0.5
+    assert abs(notional - 50.5) < 1e-9
+    assert abs(px - 25.25) < 1e-9
+
+
+def test_bn_settlement_from_exercise_record() -> None:
+    class _C:
+        def get_option_exercise_records(self, symbol, *, begin_ms, end_ms=None):
+            return [
+                {
+                    "symbol": symbol,
+                    "amount": "40",
+                    "fee": "0.2",
+                    "currency": "USDT",
+                    "quantity": "2",
+                }
+            ]
+
+    st = fetch_option_settlement(
+        _C(),
+        exchange="binance",
+        option_inst_id="ETH-260808-2000-C",
+        qty_eth=2.0,
+        begin_ms=1,
+    )
+    assert st.found
+    assert abs(st.cash - 39.8) < 1e-9
+    px, fee, notional = settlement_to_fill(st, qty_eth=2.0)
+    assert abs(notional - 40.0) < 1e-9
+    assert abs(px - 20.0) < 1e-9
+    assert abs(fee - 0.2) < 1e-9
+
+
+def test_okx_otm_expiry_bill_found_zero_cash() -> None:
+    class _C:
+        def get_option_settlement_bills(self, *_a, **_k):
+            return [
+                {
+                    "subType": "172",
+                    "type": "3",
+                    "ts": "1700000001000",
+                    "balChg": "0",
+                    "fee": "0",
+                    "ccy": "USDT",
+                }
+            ]
+
+    st = fetch_option_settlement(
+        _C(),
+        exchange="okx",
+        option_inst_id="ETH-OPT",
+        qty_eth=1.0,
+        begin_ms=1_700_000_000_000,
+    )
+    assert st.found
+    assert st.cash == 0.0
+    assert settlement_to_fill(st, qty_eth=1.0)[0] == 0.0
+
+
+def test_oo_open_applies_ledger_cash(monkeypatch, tmp_path) -> None:
+    monkeypatch.setenv("MODE", "LIVE")
+    from app.config import get_settings
+
+    get_settings.cache_clear()
+    from app.live.executor import OkxLiveExecutor
+    from app.models.db import Database
+
+    db = Database(tmp_path / "oo.db")
+    ex = OkxLiveExecutor(db)
+    monkeypatch.setattr(ex, "_guard_live", lambda: None)
+    monkeypatch.setattr(
+        "app.live.executor.claim_open_slot", lambda _db: (True, "ok")
+    )
+    monkeypatch.setattr(
+        "app.live.executor.assert_safe_to_open_live", lambda _e: (True, "ok")
+    )
+    monkeypatch.setattr(
+        "app.live.executor.stamp_opening_intent", lambda *_a, **_k: None
+    )
+    monkeypatch.setattr(
+        "app.live.executor.release_open_slot_if_opening", lambda *_a, **_k: None
+    )
+    monkeypatch.setattr(ex, "_ct_mult", lambda *_a, **_k: 0.01)
+
+    class _C:
+        def place_market(self, *, inst_id, side, sz, **_k):
+            return SimpleNamespace(
+                avg_px=10.0 if "C" in inst_id or "call" in inst_id.lower() or inst_id.endswith("-C") or "CALL" in inst_id
+                else 8.0,
+                fee=0.1,
+                sz=float(sz),
+            )
+
+    # simpler fixed fills
+    fills = [
+        SimpleNamespace(avg_px=10.0, fee=0.1, sz=100.0),
+        SimpleNamespace(avg_px=8.0, fee=0.05, sz=100.0),
+    ]
+
+    def place(**_k):
+        return fills.pop(0)
+
+    monkeypatch.setattr(ex, "_client", lambda: SimpleNamespace(place_market=place))
+    monkeypatch.setattr(
+        ex.ledger,
+        "get_setting_float",
+        lambda k, d=0: 1.0 if "qty" in k else d,
+    )
+
+    before = float(ex.ledger.snapshot()["available"])
+    r = ex.open_oo_group(
+        group_id="G-oo1",
+        call_inst_id="ETH-CALL",
+        put_inst_id="ETH-PUT",
+        call_strike=2000.0,
+        put_strike=1900.0,
+        entry_index_px=1950.0,
+        expiry_ymd="260810",
+    )
+    assert r.ok, r.detail
+    after = float(ex.ledger.snapshot()["available"])
+    # call 10*1 +0.1 + put 8*1 +0.05 = 18.15
+    assert before - after > 18.0
+    db.close()
+    get_settings.cache_clear()