dekun
a47a9b6377
Exit unit and perp/option units scale with k; plan page shows 以损定仓. Co-authored-by: Cursor <cursoragent@cursor.com>
81 lines
2.4 KiB
Python
81 lines
2.4 KiB
Python
"""以损定仓纯函数测试。"""
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from __future__ import annotations
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from app.strategy.risk_sizing import (
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BASE_EXIT_USDT,
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BASE_OPTION_ETH,
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BASE_PERP_ETH,
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compute_k,
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floor_k_1dp,
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unit_cost,
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)
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def test_floor_k_1dp() -> None:
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assert floor_k_1dp(1.29) == 1.2
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assert floor_k_1dp(0.19) == 0.1
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assert floor_k_1dp(0.09) == 0.0
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assert floor_k_1dp(2.0) == 2.0
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def test_compute_k_scales_1_2_15() -> None:
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# I=2000, A=20, fee=0.0005 → unit = 2*20 + 2000*0.0005*3 = 40 + 3 = 43
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# budget=43 → k=1.0
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r = compute_k(budget=43.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
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assert r.ok
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assert r.k == 1.0
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assert r.perp_qty_eth == BASE_PERP_ETH
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assert r.option_qty_eth == BASE_OPTION_ETH
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assert r.net_profit_target == BASE_EXIT_USDT
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assert r.max_loss is not None and r.max_loss <= 43.0 + 1e-6
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assert r.budget == 43.0
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def test_compute_k_custom_units() -> None:
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# option_unit=4 → premium unit = 20*4=80; fee=3; cost=83; budget=83 → k=1
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r = compute_k(
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budget=83.0,
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index_px=2000.0,
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option_ask=20.0,
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fee_rate=0.0005,
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perp_unit=0.5,
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option_unit=4.0,
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exit_unit=30.0,
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)
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assert r.ok
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assert r.k == 1.0
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assert r.perp_qty_eth == 0.5
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assert r.option_qty_eth == 4.0
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assert r.net_profit_target == 30.0
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def test_money_rounds_2dp() -> None:
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r = compute_k(budget=50.123456, index_px=1900.0, option_ask=18.5, fee_rate=0.0005)
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assert r.ok
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assert r.budget == round(50.123456, 2)
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assert r.max_loss is not None
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assert abs(r.max_loss * 100 - round(r.max_loss * 100)) < 1e-9
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def test_compute_k_never_exceeds_budget() -> None:
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r = compute_k(budget=50.0, index_px=1900.0, option_ask=18.5, fee_rate=0.0005)
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assert r.ok
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assert r.k is not None
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assert abs(r.k * 10 - round(r.k * 10)) < 1e-9 # 一位小数
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assert r.max_loss is not None and r.max_loss <= 50.0 + 1e-6
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assert r.perp_qty_eth == round(1.0 * r.k, 4)
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assert r.option_qty_eth == round(2.0 * r.k, 4)
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assert r.net_profit_target == round(15.0 * r.k, 4)
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def test_compute_k_too_small() -> None:
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# unit≈43, budget=2 → k_raw≪0.1
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r = compute_k(budget=2.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
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assert not r.ok
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assert "最小仓" in r.detail or "k=" in r.detail
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def test_unit_cost() -> None:
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assert abs(unit_cost(index_px=2000, option_ask=20, fee_rate=0.0005) - 43.0) < 1e-9
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