dekun
ec244c63c6
Mutual hedge_mode, amplitude OTM selection, 1:1 risk sizing, win-leg/full close, dual audits and docs. Co-authored-by: Cursor <cursoragent@cursor.com>
67 lines
1.9 KiB
Python
67 lines
1.9 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_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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)
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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=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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assert r.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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