feat(portfolio): P1.3涨跌停/停牌过滤批量化双端—①all_weather monthly_adjustment三filter接线_get_limit_status批量预取(原不传status_map/date走无数据保留死分支,照买涨停照交易停牌;同small_cap等三策略) ②ShadowBroker涨跌停拒单(买撞涨停/卖撞跌停/停牌双向拒;limit_getter注入,未注入/异常/无状态降级放行等价旧行为) ③runner build_limit_getter(优先miniQMT实时tick lastPrice vs UpStop/DownStop与实盘同源,回退get_limit_status_batch日线口径);9新测试 [vps]

2026-08-14 23:04:15 +08:00
parent fbd0c39c6c
commit 61cc01efbe
5 changed files with 231 additions and 9 deletions
@@ -270,6 +270,57 @@ class TestMonthlyAdjustmentDecision:
        for etf in s.config.foreign_etf:
            assert etf in called_codes, f"未触发海外 ETF 下单: {etf}"

+    def test_foreign_etf_branch_skips_limitup_and_paused(self):
+        """P1.3:涨停(未持有)与停牌的 ETF 不买入——filter 批量预取接线。"""
+        s = make_strategy(
+            index_stocks_map={
+                "000300.XSHG": ["600519.XSHG"],
+                "399101.XSHE": ["000001.XSHE"],
+            },
+            price_df_map={
+                ("['600519.XSHG']", ("close",), 10): pd.DataFrame({
+                    "time": pd.to_datetime(["2024-09-20", "2024-09-30"]),
+                    "code": ["600519.XSHG"] * 2,
+                    "close": [15.0, 10.0],  # 跌
+                }),
+                ("['000001.XSHE']", ("close",), 10): pd.DataFrame({
+                    "time": pd.to_datetime(["2024-09-20", "2024-09-30"]),
+                    "code": ["000001.XSHE"] * 2,
+                    "close": [15.0, 10.0],  # 跌
+                }),
+            },
+        )
+        s.provider.get_fundamentals_df.return_value = make_fund_df([
+            {"code": "600519.XSHG", "circulating_market_cap": 20000, "market_cap": 20000},
+            {"code": "000001.XSHE", "circulating_market_cap": 500, "market_cap": 500},
+        ])
+        # 518880 涨停(未持有不买)、513030 停牌(不交易),其余正常
+        def _glbs(codes, date):
+            out = {}
+            for c in codes:
+                if c == "518880.XSHG":
+                    out[c] = {"is_limit_up": True, "is_limit_down": False, "is_paused": False}
+                elif c == "513030.XSHG":
+                    out[c] = {"is_limit_up": False, "is_limit_down": False, "is_paused": True}
+                else:
+                    out[c] = {"is_limit_up": False, "is_limit_down": False, "is_paused": False}
+            return out
+        s.provider.get_limit_status_batch.side_effect = _glbs
+
+        ctx = MagicMock()
+        ctx.current_dt = datetime(2024, 10, 8, 9, 30)
+        ctx.previous_date = "2024-09-30"
+        ctx.portfolio.positions = {}
+        ctx.portfolio.available_cash = 1_000_000
+
+        s.monthly_adjustment(ctx)
+
+        called_codes = [c.args[0] for c in s.broker.order_target_value.call_args_list]
+        assert "518880.XSHG" not in called_codes, "涨停 ETF 不应买入"
+        assert "513030.XSHG" not in called_codes, "停牌 ETF 不应交易"
+        for etf in ("513100.XSHG", "164824.XSHE", "159866.XSHE"):
+            assert etf in called_codes, f"正常 ETF 应下单: {etf}"
+
    def test_big_market_branch_when_b_trend_dominant(self):
        """b_mean > s_mean 且 b_mean > 0 → 开大(选 B_stocks)。"""
        s = make_strategy(
@@ -97,6 +97,92 @@ def test_no_price_rejects():
    assert "无参考价" in b.orders[oid]["reject_reason"]


+# ---- P1.3 涨跌停/停牌拒单(双轨对账:与实盘 QMT 约束对齐,减少对账噪音) ----
+
+def _limit_map_getter(status: dict):
+    return lambda sec: status.get(sec)
+
+
+def test_buy_rejected_when_limit_up():
+    b = _mk_broker(limit_getter=_limit_map_getter({
+        "600519.SH": {"is_limit_up": True, "is_limit_down": False, "is_paused": False},
+    }))
+    oid = _buy(b, "600519.SH", 100)
+    assert b.orders[oid]["status"] == "rejected"
+    assert "涨停" in b.orders[oid]["reject_reason"]
+    assert "600519.SH" not in b.positions
+
+
+def test_sell_rejected_when_limit_down():
+    b = _mk_broker(limit_getter=_limit_map_getter({
+        "600519.SH": {"is_limit_up": False, "is_limit_down": True, "is_paused": False},
+    }))
+    _buy(b, "600519.SH", 100, px=100.0)  # 买入时非跌停
+    oid = _sell(b, "600519.SH", 100)
+    assert b.orders[oid]["status"] == "rejected"
+    assert "跌停" in b.orders[oid]["reject_reason"]
+    assert b.positions["600519.SH"]["amount"] == 100
+
+
+def test_buy_sell_rejected_when_paused():
+    b = _mk_broker(limit_getter=_limit_map_getter({
+        "600519.SH": {"is_limit_up": False, "is_limit_down": False, "is_paused": True},
+    }))
+    oid = _buy(b, "600519.SH", 100)
+    assert b.orders[oid]["status"] == "rejected"
+    assert "停牌" in b.orders[oid]["reject_reason"]
+
+
+def test_limit_getter_failure_degrades_to_fill():
+    """limit_getter 抛异常 → 降级放行(等价无涨跌停数据的旧行为),不崩柜台。"""
+    def boom(sec):
+        raise RuntimeError("boom")
+    b = _mk_broker(limit_getter=boom)
+    oid = _buy(b, "600519.SH", 100)
+    assert b.orders[oid]["status"] == "filled"
+
+
+def test_no_limit_getter_keeps_old_behavior():
+    b = _mk_broker()  # 不注入 limit_getter
+    oid = _buy(b, "600519.SH", 100)
+    assert b.orders[oid]["status"] == "filled"
+
+
+# ---- build_limit_getter:provider 状态 → broker 语义映射 ----
+
+def test_limit_getter_maps_live_current_limit_up():
+    from sanguo_trader.shadow.runner import build_limit_getter
+
+    class P:
+        def get_live_current(self, sec):
+            # last_price == high_limit → 涨停
+            return {"last_price": 11.0, "high_limit": 11.0,
+                    "low_limit": 9.0, "paused": False}
+
+    g = build_limit_getter(P())
+    assert g("600519.SH") == {"is_limit_up": True, "is_limit_down": False,
+                              "is_paused": False}
+
+
+def test_limit_getter_falls_back_to_batch_when_no_live_current():
+    from sanguo_trader.shadow.runner import build_limit_getter
+
+    class P:
+        def get_limit_status_batch(self, codes, date):
+            return {c: {"is_limit_up": False, "is_limit_down": True,
+                        "is_paused": False} for c in codes}
+
+    g = build_limit_getter(P())
+    assert g("600519.SH")["is_limit_down"] is True
+
+
+def test_limit_getter_returns_none_without_any_source():
+    from sanguo_trader.shadow.runner import build_limit_getter
+
+    g = build_limit_getter(object())  # 两接口都没有
+    assert g("600519.SH") is None
+
+
 def test_on_trade_callback_receives_fills():
    seen: list[dict] = []
    b = ShadowBroker(