dekun
168 lines
4.8 KiB
Python
168 lines
4.8 KiB
Python
"""期权交割账单镜像 + 期期开仓账本。"""
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from __future__ import annotations
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from types import SimpleNamespace
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from app.live.option_settle import (
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OptionSettlement,
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fetch_option_settlement,
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settlement_to_fill,
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)
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def test_settlement_to_fill_zero_when_not_found() -> None:
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st = OptionSettlement(found=False)
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assert settlement_to_fill(st, qty_eth=2.0) == (0.0, 0.0, 0.0)
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def test_okx_settlement_from_exercise_bills() -> None:
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class _C:
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def get_option_settlement_bills(self, inst_id, *, begin_ms, end_ms=None):
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return [
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{
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"subType": "170",
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"type": "3",
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"ts": str(begin_ms + 1000),
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"balChg": "50.0",
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"fee": "-0.5",
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"ccy": "USDT",
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}
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]
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st = fetch_option_settlement(
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_C(),
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exchange="okx",
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option_inst_id="ETH-USDT-260808-2000-C",
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qty_eth=2.0,
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begin_ms=1_700_000_000_000,
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)
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assert st.found
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assert abs(st.cash - 50.0) < 1e-9
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px, fee, notional = settlement_to_fill(st, qty_eth=2.0)
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assert fee == 0.5
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assert abs(notional - 50.5) < 1e-9
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assert abs(px - 25.25) < 1e-9
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def test_bn_settlement_from_exercise_record() -> None:
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class _C:
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def get_option_exercise_records(self, symbol, *, begin_ms, end_ms=None):
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return [
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{
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"symbol": symbol,
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"amount": "40",
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"fee": "0.2",
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"currency": "USDT",
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"quantity": "2",
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}
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]
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st = fetch_option_settlement(
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_C(),
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exchange="binance",
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option_inst_id="ETH-260808-2000-C",
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qty_eth=2.0,
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begin_ms=1,
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)
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assert st.found
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assert abs(st.cash - 39.8) < 1e-9
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px, fee, notional = settlement_to_fill(st, qty_eth=2.0)
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assert abs(notional - 40.0) < 1e-9
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assert abs(px - 20.0) < 1e-9
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assert abs(fee - 0.2) < 1e-9
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def test_okx_otm_expiry_bill_found_zero_cash() -> None:
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class _C:
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def get_option_settlement_bills(self, *_a, **_k):
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return [
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{
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"subType": "172",
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"type": "3",
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"ts": "1700000001000",
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"balChg": "0",
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"fee": "0",
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"ccy": "USDT",
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}
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]
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st = fetch_option_settlement(
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_C(),
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exchange="okx",
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option_inst_id="ETH-OPT",
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qty_eth=1.0,
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begin_ms=1_700_000_000_000,
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)
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assert st.found
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assert st.cash == 0.0
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assert settlement_to_fill(st, qty_eth=1.0)[0] == 0.0
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def test_oo_open_applies_ledger_cash(monkeypatch, tmp_path) -> None:
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monkeypatch.setenv("MODE", "LIVE")
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from app.config import get_settings
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get_settings.cache_clear()
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from app.live.executor import OkxLiveExecutor
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from app.models.db import Database
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db = Database(tmp_path / "oo.db")
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ex = OkxLiveExecutor(db)
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monkeypatch.setattr(ex, "_guard_live", lambda: None)
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monkeypatch.setattr(
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"app.live.executor.claim_open_slot", lambda _db: (True, "ok")
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)
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monkeypatch.setattr(
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"app.live.executor.assert_safe_to_open_live", lambda _e: (True, "ok")
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)
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monkeypatch.setattr(
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"app.live.executor.stamp_opening_intent", lambda *_a, **_k: None
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)
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monkeypatch.setattr(
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"app.live.executor.release_open_slot_if_opening", lambda *_a, **_k: None
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)
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monkeypatch.setattr(ex, "_ct_mult", lambda *_a, **_k: 0.01)
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class _C:
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def place_market(self, *, inst_id, side, sz, **_k):
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return SimpleNamespace(
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avg_px=10.0 if "C" in inst_id or "call" in inst_id.lower() or inst_id.endswith("-C") or "CALL" in inst_id
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else 8.0,
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fee=0.1,
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sz=float(sz),
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)
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# simpler fixed fills
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fills = [
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SimpleNamespace(avg_px=10.0, fee=0.1, sz=100.0),
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SimpleNamespace(avg_px=8.0, fee=0.05, sz=100.0),
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]
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def place(**_k):
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return fills.pop(0)
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monkeypatch.setattr(ex, "_client", lambda: SimpleNamespace(place_market=place))
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monkeypatch.setattr(
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ex.ledger,
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"get_setting_float",
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lambda k, d=0: 1.0 if "qty" in k else d,
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)
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before = float(ex.ledger.snapshot()["available"])
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r = ex.open_oo_group(
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group_id="G-oo1",
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call_inst_id="ETH-CALL",
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put_inst_id="ETH-PUT",
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call_strike=2000.0,
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put_strike=1900.0,
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entry_index_px=1950.0,
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expiry_ymd="260810",
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)
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assert r.ok, r.detail
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after = float(ex.ledger.snapshot()["available"])
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# call 10*1 +0.1 + put 8*1 +0.05 = 18.15
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assert before - after > 18.0
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db.close()
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get_settings.cache_clear()
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