dekun
133 lines
3.9 KiB
Python
133 lines
3.9 KiB
Python
"""期期到期结算指数：虚值 Call fill=0 不得反推成行权价。"""
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from __future__ import annotations
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from app.api.trades import _infer_settle_index, _overlay_expiry_zero_fills
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def test_otm_call_zero_fill_does_not_become_strike(monkeypatch) -> None:
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g = {
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"hedge_mode": "option_option",
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"option_side": "call",
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"option2_side": "put",
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"option_inst_id": "ETH-USD-260811-1920-C", # OKX 样式：不走公开回退
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"strike": 1920.0,
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"strike2": 1890.0,
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"settle_index_px": None,
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"close_reason": "expiry",
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"close_at_ms": 1,
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}
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fills = [
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{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
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{"leg": "option2", "action": "close", "fill_px": 0.0, "slip": 0},
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]
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monkeypatch.setattr(
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"app.api.public_index.maybe_public_settle_index", lambda _g: None
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)
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assert _infer_settle_index(g, fills) is None
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def test_itm_put_fill_infers_settle_near_1875() -> None:
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g = {
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"hedge_mode": "option_option",
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"option_side": "call",
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"option2_side": "put",
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"strike": 1920.0,
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"strike2": 1920.0,
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"settle_index_px": None,
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}
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fills = [
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{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0},
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{"leg": "option2", "action": "close", "fill_px": 45.0, "slip": 0},
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]
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assert _infer_settle_index(g, fills) == 1875.0
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def test_stored_settle_wins() -> None:
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g = {
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"option_side": "call",
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"strike": 1920.0,
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"settle_index_px": 1875.2,
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}
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fills = [{"leg": "option", "action": "close", "fill_px": 0.0, "slip": 0}]
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assert _infer_settle_index(g, fills) == 1875.2
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def test_public_fallback_and_overlay(monkeypatch) -> None:
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g = {
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"hedge_mode": "option_option",
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"option_side": "call",
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"option2_side": "put",
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"option_inst_id": "ETH-USD_UM-260811-1940-C",
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"strike": 1940.0,
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"strike2": 1920.0,
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"settle_index_px": None,
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"close_reason": "expiry",
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"close_at_ms": 1786435200000,
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}
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fills = [
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{"leg": "option", "action": "close", "fill_px": 0.0, "qty_eth": 7, "slip": 0},
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{"leg": "option2", "action": "close", "fill_px": 0.0, "qty_eth": 7, "slip": 0},
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]
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monkeypatch.setattr(
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"app.api.public_index.maybe_public_settle_index", lambda _g: 1877.8
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)
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assert _infer_settle_index(g, fills) == 1877.8
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view = _overlay_expiry_zero_fills(g, fills, 1877.8)
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assert view[0]["fill_px"] == 0.0 # call OTM
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assert abs(view[1]["fill_px"] - (1920 - 1877.8)) < 1e-9
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def test_overlay_wrong_near_zero_put_fill() -> None:
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"""账单误写成 0.2 时，应按内在价值 42.2 覆盖，Put 显示盈利。"""
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g = {
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"hedge_mode": "option_option",
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"option_side": "call",
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"option2_side": "put",
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"strike": 1940.0,
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"strike2": 1920.0,
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"close_reason": "expiry",
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}
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fills = [
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{
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"leg": "option",
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"action": "open",
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"fill_px": 12.0,
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"qty_eth": 7.5,
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"fee": 0.045,
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"slip": 0,
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},
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{
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"leg": "option2",
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"action": "open",
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"fill_px": 12.8,
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"qty_eth": 7.0,
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"fee": 0.045,
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"slip": 0,
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},
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{
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"leg": "option",
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"action": "close",
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"fill_px": 0.0,
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"qty_eth": 7.5,
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"fee": 0,
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"slip": 0,
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},
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{
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"leg": "option2",
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"action": "close",
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"fill_px": 0.2,
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"qty_eth": 7.0,
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"fee": 0.0007,
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"slip": 0,
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},
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]
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from app.sim.pnl import summarize_fills_pnl
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view = _overlay_expiry_zero_fills(g, fills, 1877.8)
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assert abs(view[3]["fill_px"] - 42.2) < 1e-9
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s = summarize_fills_pnl(view)
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# Put: (42.2 - 12.8) * 7 = 205.8
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assert abs(float(s["option2_pnl"] or 0) - 205.8) < 1e-6
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assert float(s["option2_pnl"] or 0) > 0
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