from __future__ import annotations 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, ) _SH = ZoneInfo("Asia/Shanghai") def test_parse_option_inst_id() -> None: y, s, o = parse_option_inst_id("ETH-USD_UM-260725-3500-C") assert y == "260725" assert s == 3500.0 assert o == "C" def test_pick_atm_strike() -> None: assert pick_atm_strike([3400, 3500, 3600], 3510) == 3500 def test_next_session_expiry_before_open() -> None: now = datetime(2026, 7, 24, 15, 0, tzinfo=_SH) assert next_session_expiry_ymd(now) == "260724" def test_next_session_expiry_after_open() -> None: now = datetime(2026, 7, 24, 16, 0, tzinfo=_SH) assert next_session_expiry_ymd(now) == "260725" def test_select_option_pair_atm() -> None: rows = [ {"instId": "ETH-USD_UM-260725-3490-C", "state": "live"}, {"instId": "ETH-USD_UM-260725-3490-P", "state": "live"}, {"instId": "ETH-USD_UM-260725-3500-C", "state": "live"}, {"instId": "ETH-USD_UM-260725-3500-P", "state": "live"}, {"instId": "ETH-USD_UM-260726-3500-C", "state": "live"}, {"instId": "ETH-USD_UM-260726-3500-P", "state": "live"}, ] pair = select_option_pair(rows, mark_px=3502, expiry_ymd="260725") assert pair is not 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 def test_atm_allows_open_offset() -> None: from app.strategy.selection import atm_allows_open, atm_open_offset assert atm_open_offset(1850, 1852.5) == 2.5 # 默认关闭:不限制 assert atm_allows_open(1850, 1860, max_offset=3, enabled=False) is True assert atm_allows_open(1850, 1852.5, max_offset=3, enabled=True) is True assert atm_allows_open(1850, 1854, max_offset=3, enabled=True) is False assert atm_allows_open(1850, 1860, max_offset=3, enabled=True) is False