fix(live): 三策略定寸现金→总资产口径(卖后买现金窗口A修法,回原JQ语义) [vps]

08-25 9:30 事故(前后端session移交):small_cap同轮「全卖19只→马上全买20只」, 台账现金只被runner_live 60s归因轮询更新(唯一cash入口),买入定寸落在两轮之间 →卖出回款不可见→20笔买入全部目标0全天空仓;momentum同型撞运只入账首笔 79k/6≈13.2k/只(44%仓)。B修法(191270c,下单返回即时归因)已做;本A修法= 防御纵深第二层:定寸口径回总资产,归因异常/漏单时定寸也不再依赖未入账现金。改动: - all_weather.py 共享helper _total_value:B2 InstancePortfolio.total_value (=台账equity,实时价缺价回退成本)/jq原生total_value直接读;缺属性回退现金+Σ持仓市值(同语义) - momentum_timing_ex/small_cap_ex/value_selection_ex 三处轮动定寸 per_value=cash/N→total/N,守卫cash<=0→total<=0 - momentum 尾部卖出+买入抽独立方法 _rotate_positions(纯移动零逻辑变化, 便于回归直接钉死) - 原JQ语义per_value=stock_value/len本就是总资产口径,cash口径是移植失真; all_weather/channel_test的cash读取(递增建仓/现金铺余位语义)按移交指示不动 - 清三文件因此孤儿化的_available_cash import 测试:tests/portfolio/test_sizing_total_value.py 5条——helper 2(直读/回退) +每策略1条「卖出未入账时定寸不缩水」(fake现金旧值+持仓仍显示旧仓→per_value =总资产/3=3500而非现金/3≈333;目标3>旧仓2=事故真实形状,防买守卫提前break)。 portfolio+data_platform+api全量811绿。验收=08-26 9:30 momentum补仓满额 (~490k/6);与191270c同车推VPS(NAS恢复后)。
2026-08-25 20:49:01 +08:00
parent 0ede4e967e
commit 841ea1536e
5 changed files with 184 additions and 17 deletions
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+"""定寸总资产口径(A 修法,前后端 session 2026-08-25 移交)。
+
+08-25 9:30 事故:small_cap 同轮「全卖19只→马上全买20只」,台账现金只被
+runner_live 的 60s 归因轮询更新(唯一 cash 更新入口)→ 买入定寸在两轮轮询
+之间评估 → 卖出回款不可见 → 20 笔买入全部目标 0,全天空仓。B 修法
+(191270c,下单返回即时归因入账)已做;本组测试钉 **A 修法=防御纵深第二层**:
+定寸口径回总资产 per_value = 总资产/N(现金+持仓市值,卖出前后不变),
+即使台账归因滞后/异常,定寸也不再依赖未入账的现金。
+
+原 JQ 语义 ``per_value = stock_value/len`` 本就是总资产口径——cash 口径是
+移植时引入的失真,本修法=回原语义。守卫同步 cash<=0 → total<=0。
+"""
+from __future__ import annotations
+
+from datetime import datetime
+from typing import Any, List, Tuple
+
+import pytest
+from unittest.mock import MagicMock
+
+from tests.portfolio.conftest import FakeContext, FakePosition
+from sanguo_portfolio.strategies import (
+    MomentumTimingExStrategy,
+    SmallCapExStrategy,
+    ValueSelectionExStrategy,
+)
+from sanguo_portfolio.strategies.all_weather import _total_value
+
+
+# =================== 公共装配 ===================
+class _RecordingBroker:
+    """记录 order_target_value 委托;**不动 context**——精确模拟「卖出已成交、
+    台账归因未跑」的现金窗口(事故形态)。"""
+
+    def __init__(self) -> None:
+        self.orders: List[Tuple[str, float]] = []
+
+    def order_target_value(self, code: str, value: float) -> Any:
+        self.orders.append((code, float(value)))
+        return object()  # 非 None = 下单成功
+
+
+def _stale_cash_ctx(total: float = 10500.0, stale_cash: float = 1000.0) -> FakeContext:
+    """旧持仓 OLD_A(市值9000)/OLD_B(市值500);现金=回款未入账的旧值 1000。
+
+    ``portfolio.total_value`` 模拟 jq/B2 语义(引擎现算 现金+Σ市值,与归因无关):
+    - B2 实盘 InstancePortfolio.total_value = ledger equity(现价,缺价回退成本)
+    - 回测 jq portfolio 原生 total_value
+    现金口径会把定寸算成 1000/2=500;总资产口径 10500/2=5250——断言锚点。
+    """
+    ctx = FakeContext(
+        current_dt=datetime(2026, 8, 25, 9, 30),
+        positions={
+            "OLD_A.XSHG": FakePosition("OLD_A.XSHG", avg_cost=9.0, price=9.0, total=1000),
+            "OLD_B.XSHG": FakePosition("OLD_B.XSHG", avg_cost=5.0, price=5.0, total=100),
+        },
+        cash=stale_cash,
+    )
+    ctx.portfolio.total_value = total
+    return ctx
+
+
+def _assert_sized_by_total(broker: _RecordingBroker) -> None:
+    """卖出旧仓两只 + 新仓三只各按 总资产/3=3500 定寸(绝非现金/N≈333)。
+
+    目标 3 只 > 旧仓 2 只 = 事故真实形状(19 旧仓/20 目标):买入守卫
+    ``len(positions) >= target_num`` 因持仓视图滞后不提前 break,全部买入。
+    """
+    sells = [(c, v) for c, v in broker.orders if v == 0]
+    buys = [(c, v) for c, v in broker.orders if v > 0]
+    assert {c for c, _ in sells} == {"OLD_A.XSHG", "OLD_B.XSHG"}
+    assert [c for c, _ in buys] == ["NEW_1.XSHG", "NEW_2.XSHG", "NEW_3.XSHG"]
+    for _, v in buys:
+        assert v == pytest.approx(10500.0 / 3)
+        assert v > 1000.0  # 现金口径(1000/3≈333)必缩水——回归红线
+
+
+# =================== helper 层 ===================
+class TestTotalValueHelper:
+    def test_reads_portfolio_total_value(self):
+        """portfolio 带 total_value(jq 原生/B2)→ 直接读。"""
+        ctx = FakeContext(cash=123.0)
+        ctx.portfolio.total_value = 4567.0
+        assert _total_value(ctx) == pytest.approx(4567.0)
+
+    def test_fallback_cash_plus_positions_when_attr_missing(self):
+        """缺 total_value 属性 → 现金 + Σ持仓市值(同语义兜底)。"""
+        pos = FakePosition("A.XSHG", avg_cost=1.0, price=2.0, total=100)
+        pos.value = 900.0
+        ctx = FakeContext(positions={"A.XSHG": pos}, cash=1000.0)
+        assert _total_value(ctx) == pytest.approx(1900.0)
+
+
+# =================== 策略层:卖出未入账时定寸不缩水 ===================
+def test_momentum_rotate_sizes_by_total_value():
+    """momentum _rotate_positions:总资产定寸,对未入账卖出免疫。"""
+    broker = _RecordingBroker()
+    strat = MomentumTimingExStrategy(provider=MagicMock(), broker=broker)
+    strat._rotate_positions(_stale_cash_ctx(), ["NEW_1.XSHG", "NEW_2.XSHG", "NEW_3.XSHG"])
+    _assert_sized_by_total(broker)
+
+
+def test_small_cap_rebalance_sizes_by_total_value():
+    """small_cap _rebalance:同型回归。"""
+    broker = _RecordingBroker()
+    strat = SmallCapExStrategy(provider=MagicMock(), broker=broker)
+    strat.in_position_stocks = ["NEW_1.XSHG", "NEW_2.XSHG", "NEW_3.XSHG"]
+    strat._rebalance(_stale_cash_ctx())
+    _assert_sized_by_total(broker)
+
+
+def test_value_monthly_adjustment_sizes_by_total_value():
+    """value monthly_adjustment:同型回归(选股段打桩,只验定寸腿)。"""
+    broker = _RecordingBroker()
+    strat = ValueSelectionExStrategy(provider=MagicMock(), broker=broker)
+    strat._stock_pool = lambda *a, **k: ["C1.XSHG", "C2.XSHG"]
+    strat._get_stock_list = lambda *a, **k: ["NEW_1.XSHG", "NEW_2.XSHG", "NEW_3.XSHG"]
+    strat._get_limit_status = lambda stocks, date: {
+        s: {"is_limit_up": False, "is_limit_down": False, "is_paused": False}
+        for s in stocks
+    }
+    strat.monthly_adjustment(_stale_cash_ctx())
+    _assert_sized_by_total(broker)