"""R609：独立标准库合成方法样例，不是实际历史绩效。"""
from decimal import Decimal as D
fills={'A':[(D('600'),D('100'),-1),(D('600'),D('100.2'),1)],'B':[(D('100'),D('100'),-1),(D('100'),D('101'),1)]}
gross={key:sum(q*p*side for q,p,side in rows) for key,rows in fills.items()}
notional={key:sum(q*p for q,p,side in rows) for key,rows in fills.items()}
def net(key,bps,unit='bps'):
    if unit!='bps': raise ValueError('unit mismatch')
    return gross[key]-notional[key]*D(str(bps))/D(10000)
flip=(gross['A']-gross['B'])*D(10000)/(notional['A']-notional['B'])
assert net('A',0)>net('B',0) and net('A',4)<net('B',4)
assert abs(net('A',flip)-net('B',flip))<D('1e-20')
assert D('10')*D('100')+D('1')>D('1000')
try: net('A',2,'percent')
except ValueError: pass
else: raise AssertionError('bad unit accepted')
print('gross='+str(gross)+' traded_notional='+str(notional))
print('flip_bps='+format(flip,'.6f')+' net_at_4bps='+str({k:net(k,4) for k in fills}))
print('fee_changes_cash_feasibility=rerun_required')