59 lines
1.6 KiB
TypeScript
59 lines
1.6 KiB
TypeScript
import { describe, expect, test } from "bun:test";
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import { summarizeStructure, type ContractLeg } from "../src/structures";
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const leg = (contractId: string, right: "C" | "P", strike: number): ContractLeg => ({
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contractId,
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root: "SPY",
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expiry: "2025-01-17",
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right,
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strike,
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startTs: 0,
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endTs: 0
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});
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describe("structure summaries", () => {
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test("detects verticals", () => {
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const summary = summarizeStructure([leg("c1", "C", 100), leg("c2", "C", 105)]);
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expect(summary?.type).toBe("vertical");
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expect(summary?.legs).toBe(2);
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expect(summary?.strikes).toBe(2);
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});
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test("detects ladders", () => {
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const summary = summarizeStructure([
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leg("c1", "C", 100),
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leg("c2", "C", 105),
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leg("c3", "C", 110)
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]);
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expect(summary?.type).toBe("ladder");
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expect(summary?.strikes).toBe(3);
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});
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test("detects straddles", () => {
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const summary = summarizeStructure([leg("c1", "C", 100), leg("p1", "P", 100)]);
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expect(summary?.type).toBe("straddle");
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expect(summary?.rights).toBe("C/P");
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});
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test("detects strangles", () => {
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const summary = summarizeStructure([leg("c1", "C", 105), leg("p1", "P", 95)]);
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expect(summary?.type).toBe("strangle");
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expect(summary?.strikes).toBe(2);
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});
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test("detects rolls across expiries", () => {
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const summary = summarizeStructure([
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{
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...leg("c1", "C", 450),
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expiry: "2025-01-17"
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},
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{
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...leg("c2", "C", 455),
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expiry: "2025-02-21"
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}
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]);
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expect(summary?.type).toBe("roll");
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expect(summary?.rights).toBe("C");
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expect(summary?.strikes).toBe(2);
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});
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});
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