Close residual options when premium recovers above configurable threshold.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-02 14:19:21 +08:00
parent 60b3743e8d
commit 62c91d4bd0
12 changed files with 603 additions and 11 deletions
@@ -0,0 +1,150 @@
+"""残留期权：权利金回升达标后中途平。"""
+
+from __future__ import annotations
+
+from types import SimpleNamespace
+
+from app.models.db import Database
+from app.sim.matcher import Matcher
+
+
+def _seed_residual(
+    db: Database,
+    *,
+    group_id: str = "G-res",
+    initial_premium: float = 100.0,
+    qty: float = 2.0,
+    entry_px: float = 50.0,
+) -> None:
+    now = 1_700_000_000_000
+    with db._lock:
+        db._conn.execute(
+            """INSERT INTO groups(
+                group_id, status, bias, option_side, perp_side, option_inst_id,
+                strike, expiry_ymd, initial_premium, open_at_ms, close_at_ms,
+                close_reason, realized_pnl, fees, slip_cost
+            ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+            (
+                group_id,
+                "option_residual",
+                "test",
+                "call",
+                "short",
+                "ETH-USD_UM-260801-2000-C",
+                2000.0,
+                "260801",
+                initial_premium,
+                now - 10_000,
+                now - 5_000,
+                "target_perp_only",
+                10.0,
+                1.0,
+                0.0,
+            ),
+        )
+        db._conn.execute(
+            """INSERT INTO residual_options(
+                group_id, option_inst_id, option_side, option_qty_eth, option_qty_contracts,
+                option_entry_px, strike, expiry_ymd, expiry_ms, entry_index_px,
+                initial_premium, status, created_at_ms, note
+            ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
+            (
+                group_id,
+                "ETH-USD_UM-260801-2000-C",
+                "call",
+                qty,
+                200.0,
+                entry_px,
+                2000.0,
+                "260801",
+                now + 86_400_000,
+                1900.0,
+                initial_premium,
+                "pending",
+                now - 5_000,
+                "test residual",
+            ),
+        )
+        db._conn.commit()
+
+
+def test_residual_premium_below_threshold_skips(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "below.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+
+    # bid=5 → premium=10 < 20
+    oq = SimpleNamespace(bid=5.0, ask=5.5, bid_sz=10_000.0, mark_px=5.0)
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+
+    assert m.try_close_one_residual(m.list_residual_options()[0]) is None
+    row = db.fetchone(
+        "SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "pending"
+    db.close()
+
+
+def test_residual_premium_above_threshold_closes(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "above.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0, entry_px=50.0)
+    m = Matcher(db)
+
+    # bid=15 → premium=30 >= 20
+    oq = SimpleNamespace(bid=15.0, ask=15.5, bid_sz=10_000.0, mark_px=15.0)
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+    monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
+
+    out = m.try_close_one_residual(m.list_residual_options()[0])
+    assert out is not None
+    assert out["reason"] == "residual_premium_close"
+    row = db.fetchone(
+        "SELECT status, settle_px FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "settled"
+    g = db.fetchone("SELECT status FROM groups WHERE group_id=?", ("G-res",))
+    assert g is not None and g["status"] == "closed"
+    db.close()
+
+
+def test_residual_liquidity_fail_skips(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    db = Database(tmp_path / "liq.db")
+    db.set_setting("residual_min_premium_pct", "20")
+    _seed_residual(db, initial_premium=100.0, qty=2.0)
+    m = Matcher(db)
+
+    # premium ok but depth tiny
+    oq = SimpleNamespace(bid=15.0, ask=15.5, bid_sz=1.0, mark_px=15.0)
+    monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
+    monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
+    monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
+
+    assert m.try_close_one_residual(m.list_residual_options()[0]) is None
+    row = db.fetchone(
+        "SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
+    )
+    assert row is not None and row["status"] == "pending"
+    db.close()
+
+
+def test_settings_exposes_residual_min_premium_pct(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("MODE", "SIM")
+    from app.api import settings as settings_api
+    from app.models.db import set_db
+
+    d = Database(tmp_path / "set.db")
+    set_db(d)
+    try:
+        d.set_setting("residual_min_premium_pct", "35")
+        payload = settings_api._read_settings()
+        assert float(payload["residual_min_premium_pct"]) == 35.0
+    finally:
+        set_db(None)
+        d.close()