dekun
193 lines
6.0 KiB
Python
193 lines
6.0 KiB
Python
"""期期对冲：选约 / 定仓纯函数测试。"""
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from __future__ import annotations
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from app.exchange.candles import AmplitudeHL
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from app.strategy.oo_selection import (
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pick_otm_call_strike,
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pick_otm_put_strike,
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select_oo_pair,
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)
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from app.strategy.risk_sizing import compute_oo_sizing
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def test_otm_strikes_near_amplitude() -> None:
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strikes = [1800.0, 1850.0, 1900.0, 1950.0, 2000.0, 2050.0, 2100.0]
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assert pick_otm_call_strike(strikes, spot=1950, high=2040) == 2050.0
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assert pick_otm_put_strike(strikes, spot=1950, low=1860) == 1850.0
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def test_otm_strikes_reject_beyond_1pct() -> None:
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# 高点 2000，最近虚值 Call 仅 2100（偏离 5%）→ 拒绝
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strikes = [1900.0, 1950.0, 2100.0]
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assert pick_otm_call_strike(strikes, spot=1950, high=2000, max_dev_pct=1.0) is None
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# 低点 1900，最近虚值 Put 仅 1800（偏离 ~5.3%）→ 拒绝
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assert (
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pick_otm_put_strike(
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[1800.0, 1950.0, 2000.0], spot=1950, low=1900, max_dev_pct=1.0
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)
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is None
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)
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# 高点 2095，Call 2100 偏离约 0.24% → 通过
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assert (
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pick_otm_call_strike(strikes, spot=1950, high=2095, max_dev_pct=1.0) == 2100.0
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)
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def test_select_oo_pair_same_expiry(tmp_path=None) -> None:
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contracts = []
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for k in (1900, 2000, 2100):
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for side, letter in (("call", "C"), ("put", "P")):
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contracts.append(
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{
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"expiry_ymd": "260810",
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"expiry_ms": 1_786_320_000_000,
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"strike": float(k),
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"side": letter,
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"inst_id": f"ETH-{k}-{letter}",
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}
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)
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picked = select_oo_pair(
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contracts,
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spot=2000.0,
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high=2105.0,
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low=1890.0,
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min_hours=1.0,
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max_dev_pct=1.0,
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)
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assert picked is not None
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ymd, _ems, ck, pk, call_i, put_i = picked
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assert ymd == "260810"
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assert ck == 2100.0
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assert pk == 1900.0
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assert "C" in call_i and "P" in put_i
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def test_compute_oo_sizing_1_1_and_reward() -> None:
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r = compute_oo_sizing(
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budget=100.0,
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call_ask=5.0,
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put_ask=10.0, # Put 更贵 → 数量更少
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fee_rate=0.0,
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index_px=2000.0,
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cushion=1.0, # 测纯平分，不预留
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reward_ratio=2.0,
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)
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assert r.ok
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# 各 50U：Call 50/5=10，Put 50/10=5
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assert r.call_qty_eth == 10.0
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assert r.put_qty_eth == 5.0
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assert abs(float(r.net_profit_target or 0) - 200.0) < 1e-9
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assert abs(float(r.call_premium or 0) - 50.0) < 1e-6
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assert abs(float(r.put_premium or 0) - 50.0) < 1e-6
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def test_compute_oo_sizing_equal_asks() -> None:
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r = compute_oo_sizing(
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budget=100.0,
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call_ask=5.0,
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put_ask=5.0,
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fee_rate=0.0,
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index_px=2000.0,
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cushion=0.92,
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reward_ratio=2.0,
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)
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assert r.ok
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# 各腿 46U / 5 = 9.2
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assert r.call_qty_eth == 9.2
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assert r.put_qty_eth == 9.2
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assert abs(float(r.net_profit_target or 0) - 200.0) < 1e-9
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assert float(r.call_premium or 0) + float(r.put_premium or 0) <= 92.0 + 1e-6
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def test_amplitude_range_pct() -> None:
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a = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
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assert abs(a.range_pct - 3.0) < 1e-9
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def test_preview_oo_exit_budget_times_ratio(tmp_path, monkeypatch) -> None:
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monkeypatch.setenv("MODE", "SIM")
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from app.models.db import Database
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from app.sim.ledger import Ledger
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from app.strategy.risk_sizing import _preview_oo_sizing
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db = Database(tmp_path / "oo_prev.db")
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db.set_setting("hedge_mode", "option_option")
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db.set_setting("sizing_mode", "risk_based")
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db.set_setting("risk_loss_mode", "percent")
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db.set_setting("risk_loss_pct", "1")
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db.set_setting("risk_capital_source", "manual")
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db.set_setting("risk_manual_capital_usdt", "10000")
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db.set_setting("oo_reward_ratio", "2")
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monkeypatch.setattr("app.strategy.risk_sizing.get_db", lambda: db)
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# 无 session 盘口时仍应给出 预算×比
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out = _preview_oo_sizing(db, Ledger(db), {"hedge_mode": "option_option"})
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assert out.get("ok") is True
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assert abs(float(out.get("budget") or 0) - 100.0) < 1e-6
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assert abs(float(out.get("net_profit_target") or 0) - 200.0) < 1e-6
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db.close()
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def test_amplitude_max_gate() -> None:
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from app.strategy.oo_selection import build_oo_pick_core
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contracts = []
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for k in (1900, 1975, 2000, 2025, 2100):
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for side, letter in (("call", "C"), ("put", "P")):
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contracts.append(
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{
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"expiry_ymd": "260810",
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"expiry_ms": 1_786_320_000_000,
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"strike": float(k),
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"side": letter,
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"inst_id": f"ETH-{k}-{letter}",
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}
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)
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amp = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
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# 3% > 上限 1.5% → 拒
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assert (
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build_oo_pick_core(
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contracts=contracts,
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spot=2000,
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call_ask=5,
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put_ask=5,
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min_hours=1,
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min_leverage=1,
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amplitude_hours=12,
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amplitude_pct=1.5,
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amplitude=amp,
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)
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is None
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)
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# 3% ≤ 上限 3.5%，且 2025/1975 贴高低 ≤1% → 通过
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ok = build_oo_pick_core(
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contracts=contracts,
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spot=2000,
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call_ask=5,
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put_ask=5,
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min_hours=1,
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min_leverage=1,
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amplitude_hours=12,
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amplitude_pct=3.5,
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amplitude=amp,
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max_dev_pct=1.0,
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)
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assert ok is not None
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assert ok.call.strike == 2025.0
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assert ok.put.strike == 1975.0
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# 过滤关闭：振幅 3% 超过 1.5% 上限也可过
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ok_off = build_oo_pick_core(
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contracts=contracts,
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spot=2000,
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call_ask=5,
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put_ask=5,
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min_hours=1,
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min_leverage=1,
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amplitude_hours=12,
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amplitude_pct=1.5,
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amplitude=amp,
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max_dev_pct=1.0,
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amplitude_filter_enabled=False,
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)
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assert ok_off is not None
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