Revise strategy: TTM+ATM+leverage option pick, % exit, perp leverage/margin.

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

backend/tests/test_instruments.py

@@ -4,7 +4,10 @@ from datetime import datetime
 from zoneinfo import ZoneInfo
 
 from app.market.instruments import (
+    hours_until_expiry,
+    list_eligible_expiry_ymds,
     next_session_expiry_ymd,
+    option_leverage,
     parse_option_inst_id,
     pick_atm_strike,
     select_option_pair,
@@ -48,3 +51,26 @@ def test_select_option_pair_atm() -> None:
     assert pair.strike == 3500
     assert pair.call_inst_id.endswith("-3500-C")
     assert pair.put_inst_id.endswith("-3500-P")
+
+
+def test_eligible_skips_short_ttm() -> None:
+    # 2026-07-25 08:30 SH：当日 16:00 到期仅约 7.5h，应跳过 260725，选 260726
+    now = datetime(2026, 7, 25, 8, 30, tzinfo=_SH)
+    rows = [
+        {"instId": "ETH-USD_UM-260725-1850-C", "state": "live"},
+        {"instId": "ETH-USD_UM-260725-1850-P", "state": "live"},
+        {"instId": "ETH-USD_UM-260726-1850-C", "state": "live"},
+        {"instId": "ETH-USD_UM-260726-1850-P", "state": "live"},
+    ]
+    assert hours_until_expiry("260725", now) < 12
+    assert hours_until_expiry("260726", now) >= 12
+    eligible = list_eligible_expiry_ymds(rows, min_hours=12, now=now)
+    assert eligible == ["260726"]
+    pair = select_option_pair(rows, mark_px=1853, min_hours=12, now=now)
+    assert pair is not None
+    assert pair.expiry_ymd == "260726"
+
+
+def test_option_leverage() -> None:
+    assert abs((option_leverage(1850, 18.5) or 0) - 100) < 1e-9
+    assert option_leverage(1850, 0) is None

backend/tests/test_p1_p2_rules.py

@@ -1,10 +1,11 @@
-from app.strategy.signal import decide
-from app.strategy.exits import check_exits
-from app.sim.pricing import option_fill, perp_fill
-from app.strategy.clock import can_open_new, window_key
 from datetime import datetime
 from zoneinfo import ZoneInfo
 
+from app.sim.pricing import option_fill, perp_fill
+from app.strategy.clock import can_open_new, window_key
+from app.strategy.exits import check_exits
+from app.strategy.signal import decide
+
 _SH = ZoneInfo("Asia/Shanghai")
 
 
@@ -26,13 +27,19 @@ def test_signal_equal() -> None:
     assert decide(10.0, 10.0) is None
 
 
-def test_exit_premium_and_move() -> None:
-    assert check_exits(
-        perp_upl=50, initial_premium=40, move_points=1, exit_move_points=30
-    ).reason == "premium_cover"
-    assert check_exits(
-        perp_upl=1, initial_premium=40, move_points=30, exit_move_points=30
-    ).reason == "move_points"
+def test_exit_premium_and_move_pct() -> None:
+    assert (
+        check_exits(
+            perp_upl=50, initial_premium=40, move_pct=0.1, exit_move_pct=2
+        ).reason
+        == "premium_cover"
+    )
+    assert (
+        check_exits(
+            perp_upl=1, initial_premium=40, move_pct=2.0, exit_move_pct=2
+        ).reason
+        == "move_pct"
+    )
 
 
 def test_perp_pricing() -> None:
@@ -47,15 +54,10 @@ def test_option_open_close_pricing() -> None:
     assert c.fill_px < 10
 
 
-def test_window() -> None:
-    # 17:00 can open, window key today
+def test_window_always_open() -> None:
     n = datetime(2026, 7, 24, 17, 0, tzinfo=_SH)
     assert can_open_new(n) is True
     assert window_key(n) == "20260724"
-    # 10:00 cannot open
     n2 = datetime(2026, 7, 24, 10, 0, tzinfo=_SH)
-    assert can_open_new(n2) is False
-    # 07:00 still previous window, can open
-    n3 = datetime(2026, 7, 24, 7, 0, tzinfo=_SH)
-    assert can_open_new(n3) is True
-    assert window_key(n3) == "20260723"
+    assert can_open_new(n2) is True
+    assert window_key(n2) == "20260724"