287 lines
15 KiB
Python
287 lines
15 KiB
Python
# -*- coding: utf-8 -*-
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"""
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第四批模块单测 (实机运行, 零外部依赖)
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======================================
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运行: 在 tradingSystem 仓库根目录执行 python scripts/test_batch4_units.py
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覆盖: action_engine 四类自主动作的触发边界与数量口径 (FILL/ADD/DCA/TRIM) 及扫描剪枝。
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"""
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import os
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import sys
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import traceback
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sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from app.core import action_engine as ae # noqa: E402
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RESULTS = []
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def case(name):
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def deco(fn):
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RESULTS.append((name, fn))
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return fn
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return deco
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PARAMS = {"scale": 2_000_000, "stock_target_default": 0.06,
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"batch_split": (0.5, 0.25, 0.25), "cushion_solid": 0.03,
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"trim_peak": 0.06, "trim_giveback": 0.5,
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"dca_triggers": (-0.08, -0.15), "dca_deep_confirm": -0.15, "dca_max_ratio": 0.5,
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"no_chase_ma5": 0.06, "build_window_tdays": 10, "fill_max_loss": -0.03}
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def pos(**kw):
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p = {"ts_code": "600000.SH", "price": 10.0, "avg_cost": 10.0, "total_qty": 6000,
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"base_qty": 6000, "add_qty": 0, "dca_qty": 0, "market_value": 60_000,
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"cushion_pct": 0.0, "cushion_peak": 0.0, "target_pct": 0.06,
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"support_ref": None, "pressure_ref": None, "stop_ref": None,
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"fill_count": 0, "dca_count": 0, "frozen_reason": "NONE"}
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p.update(kw)
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return p
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def mkt(**kw):
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m = {"ma5": 10.0, "high5": 10.0, "tdays_since_open": 3, "tdays_since_last_add": 5}
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m.update(kw)
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return m
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# ================================================================ FILL
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@case("回踩补足·建仓期内浅亏未破支撑 → 按补足批额度补到目标")
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def _():
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c = ae.eval_fill(pos(price=9.8, cushion_pct=-0.02, support_ref=9.7, market_value=58_800),
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PARAMS, mkt())
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assert c and c["action"] == "FILL" and c["side"] == "buy", c
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assert c["qty"] == 3000, c # 补足批 3 万 ÷ 9.8 → 3000 股
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assert c["judge_required"] and not c["needs_user_confirm"]
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assert "未破支撑" in c["reason"]
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@case("回踩补足·每票一次 / 出建仓期 / 亏太深 / 破支撑 / 无支撑 一律不提")
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def _():
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base = dict(price=9.8, cushion_pct=-0.02, support_ref=9.7, market_value=58_800)
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assert ae.eval_fill(pos(**base, fill_count=1), PARAMS, mkt()) is None
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assert ae.eval_fill(pos(**base), PARAMS, mkt(tdays_since_open=11)) is None
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assert ae.eval_fill(pos(price=9.5, cushion_pct=-0.05, support_ref=9.0,
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market_value=57_000), PARAMS, mkt()) is None
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assert ae.eval_fill(pos(price=9.5, cushion_pct=-0.02, support_ref=9.7,
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market_value=57_000), PARAMS, mkt()) is None # 破支撑
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assert ae.eval_fill(pos(**{**base, "support_ref": None}), PARAMS, mkt()) is None
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# 已转盈就不是「回踩补足」的场景了
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assert ae.eval_fill(pos(price=10.5, cushion_pct=0.05, support_ref=9.7,
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market_value=63_000), PARAMS, mkt()) is None
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# ================================================================ ADD
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@case("盈利加仓·厚垫 + 创5日新高 → 按加仓批额度加")
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def _():
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c = ae.eval_add(pos(price=11.0, cushion_pct=0.10, market_value=66_000),
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PARAMS, mkt(ma5=10.6, high5=11.0))
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assert c and c["action"] == "ADD" and c["qty"] == 2700, c # 3万 ÷ 11 → 2700 股
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assert "创 5 日新高" in c["reason"], c
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# 站上压力位也算
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c2 = ae.eval_add(pos(price=11.0, cushion_pct=0.10, pressure_ref=10.9,
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market_value=66_000), PARAMS, mkt(ma5=10.6, high5=12.0))
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assert c2 and "压力位" in c2["reason"], c2
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@case("盈利加仓·薄垫/未突破/距上次<2日/追高 一律不提")
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def _():
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assert ae.eval_add(pos(price=11.0, cushion_pct=0.02, market_value=66_000),
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PARAMS, mkt(high5=11.0)) is None # 垫子不厚
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assert ae.eval_add(pos(price=10.5, cushion_pct=0.10, market_value=63_000),
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PARAMS, mkt(high5=12.0)) is None # 没新高没压力位
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assert ae.eval_add(pos(price=11.0, cushion_pct=0.10, market_value=66_000),
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PARAMS, mkt(high5=11.0, tdays_since_last_add=1)) is None
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assert ae.eval_add(pos(price=11.0, cushion_pct=0.10, market_value=66_000),
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PARAMS, mkt(ma5=10.0, high5=11.0)) is None # 距 MA5 10% > 6%
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# ================================================================ DCA
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@case("补仓·触及 -8% 首档 → 按底仓一半提, 不强制确认")
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def _():
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c = ae.eval_dca(pos(price=9.1, cushion_pct=-0.09, market_value=54_600), PARAMS, mkt())
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assert c and c["action"] == "DCA" and c["qty"] == 3000, c # 底仓 6000 × 50%
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assert c["needs_user_confirm"] is False and c["judge_required"], c
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assert c["hard_numbers"]["stage"] == 1
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@case("补仓·-15% 及更深 永远需用户确认 + 研判须答杀逻辑还是杀情绪")
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def _():
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c = ae.eval_dca(pos(price=8.4, cushion_pct=-0.16, market_value=50_400), PARAMS, mkt())
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assert c and c["needs_user_confirm"] is True, c
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assert c["hard_numbers"]["stage"] == 2 and "必须用户确认" in c["reason"], c
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@case("补仓·各档只评估一次 / 终身只执行一次 / 浮盈不评估")
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def _():
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assert ae.eval_dca(pos(cushion_pct=-0.09, dca_count=1), PARAMS, mkt()) is None
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assert ae.eval_dca(pos(cushion_pct=-0.16, dca_count=1), PARAMS, mkt()) is not None
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assert ae.eval_dca(pos(cushion_pct=-0.16, dca_count=2), PARAMS, mkt()) is None
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assert ae.eval_dca(pos(cushion_pct=-0.20, dca_qty=1000), PARAMS, mkt()) is None
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assert ae.eval_dca(pos(cushion_pct=-0.05), PARAMS, mkt()) is None
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assert ae.eval_dca(pos(cushion_pct=0.05), PARAMS, mkt()) is None
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# ================================================================ TRIM
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@case("保垫减仓·峰值≥6%且回吐过半 → 减 1/3, 不需研判不需确认")
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def _():
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c = ae.eval_trim(pos(cushion_peak=0.08, cushion_pct=0.04), PARAMS)
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assert c and c["action"] == "TRIM" and c["side"] == "sell", c
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assert c["qty"] == 2000, c # 6000 的 1/3
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assert not c["judge_required"] and not c["needs_user_confirm"], c
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@case("保垫减仓·峰值不足或回吐不到一半 不提")
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def _():
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assert ae.eval_trim(pos(cushion_peak=0.05, cushion_pct=-0.01), PARAMS) is None
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assert ae.eval_trim(pos(cushion_peak=0.08, cushion_pct=0.0401), PARAMS) is None
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assert ae.eval_trim(pos(cushion_peak=0.08, cushion_pct=None), PARAMS) is None
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assert ae.eval_trim(pos(cushion_peak=0.08, cushion_pct=0.04, total_qty=200),
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PARAMS) is None # 1/3 不足一手
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# ================================================================ 目标价到价 (EXIT)
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@case("目标价·到价产出清仓候选: 全部持仓 / 不送研判 / 强制交人裁决")
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def _():
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c = ae.eval_target(pos(price=13.0, target_price=12.5, total_qty=6050,
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avail_qty=6050, cushion_pct=0.30), PARAMS)
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assert c and c["action"] == ae.A_EXIT and c["side"] == "sell", c
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assert c["qty"] == 6050, c # 全部持仓, 零股一并 (与清仓命令同口径)
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assert not c["judge_required"], c # 减持不送研判
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assert c["needs_user_confirm"] is True, c # 必定交人
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assert c["source"] == ae.SRC_TARGET_PRICE, c
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assert c["confirm_why"] == ae.WHY_TARGET_PRICE_CONFIRM, c
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assert c["hard_numbers"]["target_price"] == 12.5, c["hard_numbers"]
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# 恰好等于目标价也算到价 (不设缓冲、不做平滑 —— 那个数是用户自己填的)
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assert ae.eval_target(pos(price=12.5, target_price=12.5), PARAMS) is not None
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@case("目标价·未到价 / 没设 / 取不到现价 / 空仓 一律不产出")
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def _():
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assert ae.eval_target(pos(price=12.4, target_price=12.5), PARAMS) is None # 差一分不算
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assert ae.eval_target(pos(price=13.0), PARAMS) is None # 没设目标价
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assert ae.eval_target(pos(price=13.0, target_price=0), PARAMS) is None
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# 取不到现价: price 是拿摊薄成本顶的假价, 绝不能折成「到价了」
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assert ae.eval_target(pos(price=13.0, target_price=12.5, price_ok=False), PARAMS) is None
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assert ae.eval_target(pos(price=0, target_price=12.5), PARAMS) is None
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assert ae.eval_target(pos(price=None, target_price=12.5), PARAMS) is None
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assert ae.eval_target(pos(price=13.0, target_price=12.5, total_qty=0), PARAMS) is None
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@case("扫描·目标价从个股参数命令读 (不读持仓行投影) / 冻结不挡 / 同轮买入让路")
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def _():
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ps = [pos(ts_code="600000.SH", price=13.0, cushion_pct=0.30, market_value=78_000,
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frozen_reason="COMMAND_HALT")]
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m = {"600000.SH": mkt(ma5=12.0, high5=13.0)}
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# 不传 stock_params → 这条动作根本不评估, 其余四类行为与从前一字不差
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r0 = ae.scan(positions=ps, params=PARAMS, market=m)
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assert not any(c["action"] == ae.A_EXIT for c in r0["candidates"]), r0["candidates"]
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# 传了命令表里的目标价 → 到价产出清仓候选; 冻结只禁增持, 挡不住它
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r = ae.scan(positions=ps, params=PARAMS, market=m,
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stock_params={"600000.SH": {"target_price": 12.5}})
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acts = {(c["ts_code"], c["action"]) for c in r["candidates"]}
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assert ("600000.SH", ae.A_EXIT) in acts, acts
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# 同轮买卖互斥: 一边提议清仓一边提议加仓是自相矛盾, 买入侧让路
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ps2 = [pos(ts_code="000001.SZ", price=13.0, cushion_pct=0.30, market_value=78_000)]
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m2 = {"000001.SZ": mkt(ma5=12.5, high5=13.0)} # 不追高那道过得去, 才真会出 ADD
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r2 = ae.scan(positions=ps2, params=PARAMS, market=m2,
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stock_params={"000001.SZ": {"target_price": 12.5}})
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acts2 = {c["action"] for c in r2["candidates"]}
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assert ae.A_EXIT in acts2 and "ADD" not in acts2, acts2
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assert any("买卖互斥" in (s.get("why") or "") for s in r2["skipped"]), r2["skipped"]
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# 传进来的持仓行不许被改写 (合并出的是本轮副本)
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assert "target_price" not in ps2[0], ps2[0]
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@case("扫描·同轮只发一条减持: 到价清仓优先于保垫减仓, 免得人点了采纳却卖不成")
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def _():
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# 复现被修掉的那个场景: 峰值安全垫 20% 回落到 9% 会触发保垫减仓, 同时现价已到目标价。
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# 修之前两条会一起留下 —— 保垫减仓不用确认、当场卖掉一部分, 而到价清仓记的是扫描那一刻
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# 的全部持仓、要等人拍板; 等人第二天点采纳, 持仓已经少了, 落指令时数量超过实际持仓,
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# 卖出前的检查会整条驳回, 人点了「清掉」结果一股没卖。
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ps = [pos(ts_code="600000.SH", price=13.0, total_qty=6000, avail_qty=6000,
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cushion_peak=0.20, cushion_pct=0.09, market_value=78_000)]
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m = {"600000.SH": mkt(ma5=12.0, high5=13.0)}
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r = ae.scan(positions=ps, params=PARAMS, market=m,
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stock_params={"600000.SH": {"target_price": 12.5}})
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sells = [c for c in r["candidates"] if c["side"] == ae.SELL]
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assert len(sells) == 1, sells # 一轮只发一条
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assert sells[0]["action"] == ae.A_EXIT, sells # 留下的是人设的目标价那条
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assert sells[0]["qty"] == 6000, sells # 数量仍是全部持仓
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assert any("一轮只发一条减持" in (s.get("why") or "") for s in r["skipped"]), r["skipped"]
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# 没设目标价时保垫减仓照旧, 老行为一个字不变
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r2 = ae.scan(positions=ps, params=PARAMS, market=m)
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sells2 = [c for c in r2["candidates"] if c["side"] == ae.SELL]
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assert len(sells2) == 1 and sells2[0]["action"] == ae.A_TRIM, sells2
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# ================================================================ 扫描
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@case("扫描·冻结票只评减仓 / 已在途不重复提 / 单票异常不拖垮整轮")
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def _():
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ps = [pos(ts_code="600000.SH", cushion_peak=0.08, cushion_pct=0.04,
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frozen_reason="COMMAND_HALT"),
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pos(ts_code="000001.SZ", price=11.0, cushion_pct=0.10, market_value=66_000),
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pos(ts_code="600519.SH", price=None, cushion_pct=0.10, market_value=66_000)]
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r = ae.scan(positions=ps, params=PARAMS, market={
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"600000.SH": mkt(), "000001.SZ": mkt(ma5=10.6, high5=11.0), "600519.SH": mkt()})
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acts = {(c["ts_code"], c["action"]) for c in r["candidates"]}
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assert ("600000.SH", "TRIM") in acts, acts # 冻结不挡减仓
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assert not any(c[0] == "600000.SH" and c[1] != "TRIM" for c in acts), acts
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assert ("000001.SZ", "ADD") in acts, acts
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# 2026-09-04 起这句话按冻结的三种来路分开写, 不再印枚举值。三种来路对交易员是
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# 三件不同的事: 你下的命令、你手设的、系统刹车期间。
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assert all("只卖不买" in s["why"] and "不评估加仓" in s["why"]
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for s in r["skipped"]), r["skipped"]
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assert any("你下过命令" in s["why"] for s in r["skipped"]), r["skipped"]
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for s in r["skipped"]: # 枚举值不许再出现在给人看的句子里
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for w in ("COMMAND_HALT", "MANUAL", "BRAKE"):
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assert w not in s["why"], s["why"]
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r2 = ae.scan(positions=ps, params=PARAMS,
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market={"600000.SH": mkt(), "000001.SZ": mkt(ma5=10.6, high5=11.0),
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"600519.SH": mkt()},
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skip={("000001.SZ", "ADD")})
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assert ("000001.SZ", "ADD") not in {(c["ts_code"], c["action"]) for c in r2["candidates"]}
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# 2026-08-06: skip 改成 {(代码, 动作): 原因} 的字典, 好让 skipped 说得出是哪一种跳过
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# (在途提议 / 在途指令 / 今日被规则闸拒过 / 今日被研判闸驳回过 —— 前两种明天照样被挡,
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# 后两种日切就重新评估)。这里传的仍是**集合**, 走的是向后兼容那条路, 所以拿到兜底话。
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assert any(s.get("why") == ae.SKIP_WHY_FALLBACK for s in r2["skipped"]), r2["skipped"]
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# 空仓票直接跳过, 不进候选
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r3 = ae.scan(positions=[pos(ts_code="300750.SZ", total_qty=0)], params=PARAMS, market={})
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assert r3["candidates"] == []
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@case("扫描·批次额度与距目标空间口径")
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def _():
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p = pos(market_value=100_000)
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assert ae.batch_amount(p, PARAMS, 0) == 60_000.0 # 底仓 50%
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assert ae.batch_amount(p, PARAMS, 1) == 30_000.0 # 补足 25%
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assert ae.batch_amount(p, PARAMS, 2) == 30_000.0 # 加仓 25%
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assert ae.room_to_target(p, PARAMS) == 20_000.0
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assert ae.room_to_target(pos(market_value=130_000), PARAMS) == 0.0
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# ---------------------------------------------------------------- runner
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def main():
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passed, failed = 0, 0
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for name, fn in RESULTS:
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try:
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fn()
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print(f" PASS {name}")
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passed += 1
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except Exception:
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print(f" FAIL {name}")
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traceback.print_exc()
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failed += 1
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print("-" * 60)
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if failed:
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print(f"FAILED: {failed} / {passed + failed}")
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sys.exit(1)
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print(f"ALL PASS ({passed} cases)")
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if __name__ == "__main__":
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main()
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