dekun
62 lines
1.9 KiB
Python
62 lines
1.9 KiB
Python
from app.strategy.signal import decide
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from app.strategy.exits import check_exits
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from app.sim.pricing import option_fill, perp_fill
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from app.strategy.clock import can_open_new, window_key
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from datetime import datetime
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from zoneinfo import ZoneInfo
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_SH = ZoneInfo("Asia/Shanghai")
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def test_signal_buy_call_short_perp() -> None:
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s = decide(20.0, 15.0)
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assert s is not None
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assert s.option_side == "call"
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assert s.perp_side == "short"
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def test_signal_buy_put_long_perp() -> None:
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s = decide(10.0, 16.0)
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assert s is not None
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assert s.option_side == "put"
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assert s.perp_side == "long"
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def test_signal_equal() -> None:
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assert decide(10.0, 10.0) is None
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def test_exit_premium_and_move() -> None:
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assert check_exits(
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perp_upl=50, initial_premium=40, move_points=1, exit_move_points=30
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).reason == "premium_cover"
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assert check_exits(
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perp_upl=1, initial_premium=40, move_points=30, exit_move_points=30
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).reason == "move_points"
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def test_perp_pricing() -> None:
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r = perp_fill(side="long", action="open", bid=100, ask=101, qty_eth=1, fee_rate=0.001)
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assert abs(r.fill_px - 101 * 1.001) < 1e-9
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def test_option_open_close_pricing() -> None:
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o = option_fill(action="open", bid=10, ask=12, qty_eth=2, fee_rate=0.001)
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assert o.fill_px > 12
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c = option_fill(action="close", bid=10, ask=12, qty_eth=2, fee_rate=0.001)
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assert c.fill_px < 10
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def test_window() -> None:
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# 17:00 can open, window key today
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n = datetime(2026, 7, 24, 17, 0, tzinfo=_SH)
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assert can_open_new(n) is True
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assert window_key(n) == "20260724"
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# 10:00 cannot open
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n2 = datetime(2026, 7, 24, 10, 0, tzinfo=_SH)
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assert can_open_new(n2) is False
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# 07:00 still previous window, can open
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n3 = datetime(2026, 7, 24, 7, 0, tzinfo=_SH)
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assert can_open_new(n3) is True
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assert window_key(n3) == "20260723"
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