dekun
49 lines
1.4 KiB
Python
49 lines
1.4 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
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def test_otm_call_zero_fill_does_not_become_strike() -> 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": 1890.0,
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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": 0.0, "slip": 0},
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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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# put intrinsic 45 → settle = 1920 - 45 = 1875
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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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