dekun
0ee1d8be5d
When enabled, lock perp long→buy Put or short→buy Call with ITM/ATM only; off keeps ATM/ask rules. Co-authored-by: Cursor <cursoragent@cursor.com>
125 lines
4.7 KiB
Python
125 lines
4.7 KiB
Python
from __future__ import annotations
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from datetime import datetime
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from zoneinfo import ZoneInfo
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from app.market.instruments import (
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hours_until_expiry,
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list_eligible_expiry_ymds,
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next_session_expiry_ymd,
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option_leverage,
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parse_option_inst_id,
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pick_atm_strike,
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select_option_pair,
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)
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_SH = ZoneInfo("Asia/Shanghai")
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def test_parse_option_inst_id() -> None:
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y, s, o = parse_option_inst_id("ETH-USD_UM-260725-3500-C")
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assert y == "260725"
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assert s == 3500.0
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assert o == "C"
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def test_pick_atm_strike() -> None:
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assert pick_atm_strike([3400, 3500, 3600], 3510) == 3500
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def test_pick_itm_or_atm_strike() -> None:
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from app.strategy.selection import is_itm_or_atm, pick_itm_or_atm_strike
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strikes = [3400, 3500, 3600]
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# Call：K≤S，现价 3510 → 3500（平值侧最近）
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assert pick_itm_or_atm_strike(strikes, 3510, option_side="call") == 3500
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# Put：K≥S，现价 3510 → 3600（实值最近；无 3510 档）
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assert pick_itm_or_atm_strike(strikes, 3510, option_side="put") == 3600
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# Put 现价正好 3500 → 平值 3500
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assert pick_itm_or_atm_strike(strikes, 3500, option_side="put") == 3500
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assert is_itm_or_atm(option_side="call", strike=3500, mark_px=3510)
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assert not is_itm_or_atm(option_side="call", strike=3600, mark_px=3510)
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assert is_itm_or_atm(option_side="put", strike=3600, mark_px=3510)
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assert not is_itm_or_atm(option_side="put", strike=3400, mark_px=3510)
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def test_select_option_pair_itm_put() -> None:
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rows = [
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{"instId": "ETH-USD_UM-260725-3490-C", "state": "live"},
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{"instId": "ETH-USD_UM-260725-3490-P", "state": "live"},
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{"instId": "ETH-USD_UM-260725-3500-C", "state": "live"},
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{"instId": "ETH-USD_UM-260725-3500-P", "state": "live"},
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{"instId": "ETH-USD_UM-260725-3510-C", "state": "live"},
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{"instId": "ETH-USD_UM-260725-3510-P", "state": "live"},
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]
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# 标的 3502：Put 实/平 → 3510（≥3502 最近）
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pair = select_option_pair(rows, mark_px=3502, expiry_ymd="260725", option_side="put")
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assert pair is not None
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assert pair.strike == 3510
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# Call 实/平 → 3500（≤3502 最近）
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pair_c = select_option_pair(
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rows, mark_px=3502, expiry_ymd="260725", option_side="call"
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)
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assert pair_c is not None
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assert pair_c.strike == 3500
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def test_next_session_expiry_before_open() -> None:
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now = datetime(2026, 7, 24, 15, 0, tzinfo=_SH)
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assert next_session_expiry_ymd(now) == "260724"
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def test_next_session_expiry_after_open() -> None:
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now = datetime(2026, 7, 24, 16, 0, tzinfo=_SH)
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assert next_session_expiry_ymd(now) == "260725"
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def test_select_option_pair_atm() -> None:
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rows = [
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{"instId": "ETH-USD_UM-260725-3490-C", "state": "live"},
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{"instId": "ETH-USD_UM-260725-3490-P", "state": "live"},
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{"instId": "ETH-USD_UM-260725-3500-C", "state": "live"},
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{"instId": "ETH-USD_UM-260725-3500-P", "state": "live"},
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{"instId": "ETH-USD_UM-260726-3500-C", "state": "live"},
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{"instId": "ETH-USD_UM-260726-3500-P", "state": "live"},
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]
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pair = select_option_pair(rows, mark_px=3502, expiry_ymd="260725")
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assert pair is not None
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assert pair.strike == 3500
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assert pair.call_inst_id.endswith("-3500-C")
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assert pair.put_inst_id.endswith("-3500-P")
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def test_eligible_skips_short_ttm() -> None:
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# 2026-07-25 08:30 SH：当日 16:00 到期仅约 7.5h，应跳过 260725，选 260726
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now = datetime(2026, 7, 25, 8, 30, tzinfo=_SH)
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rows = [
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{"instId": "ETH-USD_UM-260725-1850-C", "state": "live"},
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{"instId": "ETH-USD_UM-260725-1850-P", "state": "live"},
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{"instId": "ETH-USD_UM-260726-1850-C", "state": "live"},
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{"instId": "ETH-USD_UM-260726-1850-P", "state": "live"},
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]
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assert hours_until_expiry("260725", now) < 12
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assert hours_until_expiry("260726", now) >= 12
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eligible = list_eligible_expiry_ymds(rows, min_hours=12, now=now)
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assert eligible == ["260726"]
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pair = select_option_pair(rows, mark_px=1853, min_hours=12, now=now)
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assert pair is not None
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assert pair.expiry_ymd == "260726"
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def test_option_leverage() -> None:
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assert abs((option_leverage(1850, 18.5) or 0) - 100) < 1e-9
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assert option_leverage(1850, 0) is None
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def test_atm_allows_open_offset() -> None:
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from app.strategy.selection import atm_allows_open, atm_open_offset
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assert atm_open_offset(1850, 1852.5) == 2.5
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# 默认关闭：不限制
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assert atm_allows_open(1850, 1860, max_offset=3, enabled=False) is True
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assert atm_allows_open(1850, 1852.5, max_offset=3, enabled=True) is True
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assert atm_allows_open(1850, 1854, max_offset=3, enabled=True) is False
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assert atm_allows_open(1850, 1860, max_offset=3, enabled=True) is False
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