dekun
51 lines
1.5 KiB
Python
51 lines
1.5 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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next_session_expiry_ymd,
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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_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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