dekun
151 lines
5.1 KiB
Python
151 lines
5.1 KiB
Python
"""残留期权：权利金回升达标后中途平。"""
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from __future__ import annotations
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from types import SimpleNamespace
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from app.models.db import Database
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from app.sim.matcher import Matcher
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def _seed_residual(
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db: Database,
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*,
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group_id: str = "G-res",
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initial_premium: float = 100.0,
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qty: float = 2.0,
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entry_px: float = 50.0,
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) -> None:
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now = 1_700_000_000_000
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with db._lock:
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db._conn.execute(
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"""INSERT INTO groups(
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group_id, status, bias, option_side, perp_side, option_inst_id,
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strike, expiry_ymd, initial_premium, open_at_ms, close_at_ms,
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close_reason, realized_pnl, fees, slip_cost
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"option_residual",
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"test",
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"call",
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"short",
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"ETH-USD_UM-260801-2000-C",
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2000.0,
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"260801",
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initial_premium,
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now - 10_000,
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now - 5_000,
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"target_perp_only",
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10.0,
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1.0,
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0.0,
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),
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)
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db._conn.execute(
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"""INSERT INTO residual_options(
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group_id, option_inst_id, option_side, option_qty_eth, option_qty_contracts,
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option_entry_px, strike, expiry_ymd, expiry_ms, entry_index_px,
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initial_premium, status, created_at_ms, note
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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group_id,
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"ETH-USD_UM-260801-2000-C",
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"call",
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qty,
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200.0,
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entry_px,
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2000.0,
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"260801",
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now + 86_400_000,
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1900.0,
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initial_premium,
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"pending",
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now - 5_000,
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"test residual",
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),
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)
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db._conn.commit()
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def test_residual_premium_below_threshold_skips(tmp_path, monkeypatch) -> None:
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monkeypatch.setenv("MODE", "SIM")
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db = Database(tmp_path / "below.db")
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db.set_setting("residual_min_premium_pct", "20")
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_seed_residual(db, initial_premium=100.0, qty=2.0)
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m = Matcher(db)
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# bid=5 → premium=10 < 20
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oq = SimpleNamespace(bid=5.0, ask=5.5, bid_sz=10_000.0, mark_px=5.0)
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monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
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monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
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assert m.try_close_one_residual(m.list_residual_options()[0]) is None
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row = db.fetchone(
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"SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
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)
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assert row is not None and row["status"] == "pending"
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db.close()
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def test_residual_premium_above_threshold_closes(tmp_path, monkeypatch) -> None:
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monkeypatch.setenv("MODE", "SIM")
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db = Database(tmp_path / "above.db")
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db.set_setting("residual_min_premium_pct", "20")
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_seed_residual(db, initial_premium=100.0, qty=2.0, entry_px=50.0)
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m = Matcher(db)
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# bid=15 → premium=30 >= 20
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oq = SimpleNamespace(bid=15.0, ask=15.5, bid_sz=10_000.0, mark_px=15.0)
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monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
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monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
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monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
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out = m.try_close_one_residual(m.list_residual_options()[0])
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assert out is not None
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assert out["reason"] == "residual_premium_close"
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row = db.fetchone(
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"SELECT status, settle_px FROM residual_options WHERE group_id=?", ("G-res",)
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)
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assert row is not None and row["status"] == "settled"
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g = db.fetchone("SELECT status FROM groups WHERE group_id=?", ("G-res",))
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assert g is not None and g["status"] == "closed"
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db.close()
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def test_residual_liquidity_fail_skips(tmp_path, monkeypatch) -> None:
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monkeypatch.setenv("MODE", "SIM")
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db = Database(tmp_path / "liq.db")
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db.set_setting("residual_min_premium_pct", "20")
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_seed_residual(db, initial_premium=100.0, qty=2.0)
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m = Matcher(db)
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# premium ok but depth tiny
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oq = SimpleNamespace(bid=15.0, ask=15.5, bid_sz=1.0, mark_px=15.0)
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monkeypatch.setattr(m, "_quote_held_option", lambda _id: oq)
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monkeypatch.setattr(m, "_close_spot_px", lambda _snap: 1900.0)
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monkeypatch.setattr(m, "_ct_mult", lambda _id: 0.01)
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assert m.try_close_one_residual(m.list_residual_options()[0]) is None
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row = db.fetchone(
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"SELECT status FROM residual_options WHERE group_id=?", ("G-res",)
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)
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assert row is not None and row["status"] == "pending"
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db.close()
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def test_settings_exposes_residual_min_premium_pct(tmp_path, monkeypatch) -> None:
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monkeypatch.setenv("MODE", "SIM")
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from app.api import settings as settings_api
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from app.models.db import set_db
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d = Database(tmp_path / "set.db")
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set_db(d)
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try:
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d.set_setting("residual_min_premium_pct", "35")
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payload = settings_api._read_settings()
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assert float(payload["residual_min_premium_pct"]) == 35.0
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finally:
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set_db(None)
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d.close()
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