53 lines
2.1 KiB
Rust
53 lines
2.1 KiB
Rust
use std::collections::BTreeMap;
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use fidc_core::{FuturesAccountState, FuturesContractSpec, FuturesDirection};
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#[test]
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fn futures_account_tracks_long_margin_pnl_and_settlement() {
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let spec = FuturesContractSpec::new(300.0, 0.12, 0.14);
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let mut account = FuturesAccountState::new(1_000_000.0);
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account.open("IF2501", FuturesDirection::Long, spec, 2, 4000.0, 12.0);
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account.mark_price("IF2501", FuturesDirection::Long, 4010.0);
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assert!((account.total_cash() - 999_988.0).abs() < 1e-6);
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assert!((account.margin() - 288_720.0).abs() < 1e-6);
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assert!((account.cash() - 711_268.0).abs() < 1e-6);
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assert!((account.position_equity() - 6_000.0).abs() < 1e-6);
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assert!((account.total_value() - 1_005_988.0).abs() < 1e-6);
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let settlement = BTreeMap::from([("IF2501".to_string(), 4020.0)]);
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let cash_delta = account.settle(&settlement);
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assert!((cash_delta - 12_000.0).abs() < 1e-6);
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assert!((account.total_cash() - 1_011_988.0).abs() < 1e-6);
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let position = account
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.position("IF2501", FuturesDirection::Long)
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.expect("long position");
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assert!((position.avg_price - 4020.0).abs() < 1e-6);
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assert!((position.equity()).abs() < 1e-6);
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}
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#[test]
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fn futures_account_tracks_short_close_cash_delta() {
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let spec = FuturesContractSpec::new(10.0, 0.1, 0.2);
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let mut account = FuturesAccountState::new(100_000.0);
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account.open("RB2501", FuturesDirection::Short, spec, 5, 3500.0, 3.0);
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account.mark_price("RB2501", FuturesDirection::Short, 3480.0);
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assert!((account.margin() - 34_800.0).abs() < 1e-6);
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assert!((account.position_equity() - 1_000.0).abs() < 1e-6);
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let cash_delta = account
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.close("RB2501", FuturesDirection::Short, 2, 3470.0, 2.0)
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.expect("close short");
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assert!((cash_delta - 598.0).abs() < 1e-6);
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assert!((account.total_cash() - 100_595.0).abs() < 1e-6);
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let position = account
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.position("RB2501", FuturesDirection::Short)
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.expect("remaining short position");
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assert_eq!(position.quantity, 3);
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assert!((position.equity() - 900.0).abs() < 1e-6);
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}
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