dekun
f1e3d5527a
Monitor no longer shows ATM Put bias while semi-auto is authorized for Call. Co-authored-by: Cursor <cursoragent@cursor.com>
286 lines
9.2 KiB
Python
286 lines
9.2 KiB
Python
from datetime import datetime
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from zoneinfo import ZoneInfo
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from app.sim.liquidity import bid_mark_ok
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from app.sim.pricing import option_fill, perp_fill
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from app.strategy.clock import (
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can_open_new,
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expiry_blocked_by_one_per_day,
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used_expiry_ymds_for_day,
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window_key,
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)
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from app.strategy.exits import check_expiry_close, check_exits
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from app.strategy.signal import decide
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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_decide_fixed_long_put() -> None:
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from app.strategy.signal import decide_fixed
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s = decide_fixed(20.0, 15.0, perp_side="long")
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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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assert s.bias == "fixed_long_put"
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def test_decide_fixed_short_call() -> None:
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from app.strategy.signal import decide_fixed
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s = decide_fixed(20.0, 15.0, perp_side="short")
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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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assert s.bias == "fixed_short_call"
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def test_decide_fixed_needs_only_own_leg() -> None:
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from app.strategy.signal import decide_fixed
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# 半自动多/空：对侧卖一缺失仍可定方向
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sc = decide_fixed(8.2, None, perp_side="short")
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assert sc is not None and sc.option_side == "call"
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sp = decide_fixed(None, 11.4, perp_side="long")
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assert sp is not None and sp.option_side == "put"
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assert decide_fixed(None, None, perp_side="short") is None
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def test_signal_strike_below_spot_call_short() -> None:
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# 现价 1859、ATM 1850：即使 Put 卖一更高，也走 Call+空
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s = decide(10.0, 20.0, strike=1850, mark_px=1859)
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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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assert s.bias == "strike_below_spot"
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def test_signal_strike_above_spot_put_long() -> None:
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# 现价 1859、ATM 1875：即使 Call 卖一更高，也走 Put+多
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s = decide(20.0, 10.0, strike=1875, mark_px=1859)
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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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assert s.bias == "strike_above_spot"
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def test_signal_strike_flat_falls_back_to_ask() -> None:
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s = decide(20.0, 15.0, strike=1860, mark_px=1860)
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assert s is not None
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assert s.bias == "call_ask_gt_put"
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assert s.option_side == "call"
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def test_exit_fixed_and_premium_multiple() -> None:
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fixed = check_exits(
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net_pnl=15.0,
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exit_mode="fixed_usdt",
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net_profit_target=15,
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premium_exit_multiple=1,
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initial_premium=40,
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)
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assert fixed.reason == "fixed_usdt"
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assert fixed.target == 15
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assert (
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check_exits(
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net_pnl=14.9,
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exit_mode="fixed_usdt",
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net_profit_target=15,
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premium_exit_multiple=1,
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initial_premium=40,
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).should_close
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is False
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)
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prem = check_exits(
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net_pnl=40.0,
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exit_mode="premium_multiple",
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net_profit_target=15,
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premium_exit_multiple=1,
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initial_premium=40,
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)
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assert prem.reason == "premium_multiple"
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assert prem.target == 40
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half = check_exits(
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net_pnl=20.0,
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exit_mode="premium_multiple",
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net_profit_target=15,
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premium_exit_multiple=0.5,
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initial_premium=40,
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)
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assert half.should_close is True
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assert half.target == 20
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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_weekend_skip() -> None:
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# 2026-07-24 周五可开；25/26 周六日不可开
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fri = datetime(2026, 7, 24, 17, 0, tzinfo=_SH)
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sat = datetime(2026, 7, 25, 12, 0, tzinfo=_SH)
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sun = datetime(2026, 7, 26, 10, 0, tzinfo=_SH)
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mon = datetime(2026, 7, 27, 9, 0, tzinfo=_SH)
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assert can_open_new(fri, skip_weekends=True) is True
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assert can_open_new(sat, skip_weekends=True) is False
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assert can_open_new(sun, skip_weekends=True) is False
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assert can_open_new(mon, skip_weekends=True) is True
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assert can_open_new(sat, skip_weekends=False) is True
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assert window_key(fri) == "20260724"
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def test_one_expiry_per_day(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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db = Database(tmp_path / "one_exp.db")
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# 日历已跨到 8.3，但 8.2 开过的 260803 仍须占用
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day = datetime(2026, 8, 3, 0, 0, 2, tzinfo=_SH)
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with db._lock:
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db._conn.execute(
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"""INSERT INTO groups(group_id, status, expiry_ymd, open_at_ms)
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VALUES ('G-20260802-01','closed','260803',1)"""
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)
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db._conn.execute(
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"""INSERT INTO groups(group_id, status, expiry_ymd, open_at_ms)
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VALUES ('G-20260801-01','closed','260802',1)"""
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)
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db._conn.commit()
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used = used_expiry_ymds_for_day(db, day)
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assert used == {"260803", "260802"}
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assert expiry_blocked_by_one_per_day("260803", used, enabled=True) is True
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assert expiry_blocked_by_one_per_day("260804", used, enabled=True) is False
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assert expiry_blocked_by_one_per_day("260803", used, enabled=False) is False
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db.close()
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def test_bid_mark_deviation_30pct() -> None:
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# |7-10|/10 = 30% → 允许（≤30%）
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ok, _ = bid_mark_ok(bid=7.0, mark=10.0, max_dev_pct=30)
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assert ok is True
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ok2, _ = bid_mark_ok(bid=6.9, mark=10.0, max_dev_pct=30)
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assert ok2 is False
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ok3, why = bid_mark_ok(bid=None, mark=10.0, max_dev_pct=30)
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assert ok3 is False
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assert "买一" in why
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def test_expiry_close() -> None:
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assert check_expiry_close(expiry_ms=None).should_close is False
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d = check_expiry_close(expiry_ms=1_000, now_ms=999)
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assert d.should_close is False
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d2 = check_expiry_close(expiry_ms=1_000, now_ms=1_000)
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assert d2.should_close is True
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assert d2.reason == "expiry"
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d3 = check_expiry_close(expiry_ms=1_000, now_ms=1_001)
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assert d3.should_close is True
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def test_deep_otm_and_expiry_settle() -> None:
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from app.sim.pricing import is_deep_otm, option_expiry_settle, option_intrinsic
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assert is_deep_otm(option_side="call", strike=1860, spot=1840) is True
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assert is_deep_otm(option_side="call", strike=1860, spot=1882) is False
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assert is_deep_otm(option_side="put", strike=1860, spot=1882) is True
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assert option_intrinsic(option_side="call", strike=1860, spot=1840) == 0.0
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settled = option_expiry_settle(intrinsic=0.0, qty_eth=2.0, fee_rate=0.0005)
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assert settled.fill_px == 0.0
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assert settled.notional == 0.0
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def test_pair_from_held_option_inst() -> None:
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from app.exchange.option_ids import flip_option_side, pair_from_option_inst
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put = "ETH-USD_UM-260727-1880-P"
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pair = pair_from_option_inst(put)
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assert pair is not None
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assert pair.strike == 1880
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assert pair.expiry_ymd == "260727"
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assert pair.put_inst_id == put
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assert pair.call_inst_id == "ETH-USD_UM-260727-1880-C"
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assert flip_option_side(put) == pair.call_inst_id
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bn = "ETH-260727-1890-C"
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bp = pair_from_option_inst(bn)
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assert bp is not None
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assert bp.strike == 1890
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assert bp.call_inst_id == bn
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assert bp.put_inst_id == "ETH-260727-1890-P"
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def test_option_intrinsic_and_close_bid_floor() -> None:
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from app.sim.pricing import (
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option_expiry_settle,
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option_intrinsic,
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resolve_option_close_bid,
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)
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assert option_intrinsic(option_side="call", strike=1860, spot=1882) == 22.0
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assert option_intrinsic(option_side="put", strike=1860, spot=1882) == 0.0
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assert option_intrinsic(option_side="put", strike=1860, spot=1840) == 20.0
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# 到期：严格按内在价值，无滑点
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settled = option_expiry_settle(intrinsic=22.0, qty_eth=2.0, fee_rate=0.0005)
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assert settled.fill_px == 22.0
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assert settled.slip == 0.0
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assert settled.notional == 44.0
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assert abs(settled.fee - 44.0 * 0.0005) < 1e-12
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# 紧急：对齐 OKX 市价卖，只按买一（垃圾买一不抬到内在价值/标记）
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assert (
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resolve_option_close_bid(
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bid=0.2, mark=22.0, intrinsic=22.0, bypass_liquidity=True
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)
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== 0.2
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)
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# 常规：内在价值地板
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assert (
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resolve_option_close_bid(
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bid=0.2, mark=0.2, intrinsic=22.0, bypass_liquidity=False
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)
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== 22.0
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)
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# 买一高于内在价值，保留买一
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assert (
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resolve_option_close_bid(
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bid=25.0, mark=24.0, intrinsic=22.0, bypass_liquidity=True
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)
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== 25.0
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)
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# 紧急无买一 → 无法定价（不能用标记）
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assert (
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resolve_option_close_bid(
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bid=None, mark=3.0, intrinsic=22.0, bypass_liquidity=True
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)
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is None
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)
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