fix(factor): compute_factors 时区对齐（边界 Asia/Shanghai aware，真数据跑通因子管线）

- Root cause: vnpy.alpha's to_datetime() creates naive datetimes from strings, causing SchemaError when comparing with timezone-aware DataFrame columns - Fix: Convert period boundaries to Asia/Shanghai-aware datetimes + localize DataFrame datetime column before passing to AlphaDataset - Restore data_adapter.py to fa7237b (removed ineffective tz stripping) - Add test_compute_factors_passes_aware_periods_to_alpha_dataset - Real data verification: 600000.SSE ma5 factor analysis successful - Container tests: 67 passed Co-Authored-By: Claude <noreply@anthropic.com>
2026-07-06 22:18:51 +08:00
parent fa7237b996
commit db2cc8c531
3 changed files with 140 additions and 11 deletions
@@ -85,7 +85,8 @@ def test_compute_factors_calls_prepare_and_fetch(tmp_path):
        mock_dataset_class.return_value = mock_dataset

        # Create DataFrame for convert_bars_to_alpha_df
-        mock_df = pl.DataFrame({
+        # The code will localize the datetime column to Asia/Shanghai, so the mock needs to return a DataFrame with naive datetime
+        initial_df = pl.DataFrame({
            "vt_symbol": ["600000.SSE"],
            "datetime": [datetime(2024, 1, 1)],
            "open": [1.0],
@@ -96,7 +97,7 @@ def test_compute_factors_calls_prepare_and_fetch(tmp_path):
            "turnover": [0.0],
            "open_interest": [0.0]
        })
-        mock_convert.return_value = mock_df
+        mock_convert.return_value = initial_df

        # Create session and load symbols
        lab_path = str(tmp_path / "alpha_lab")
@@ -111,13 +112,22 @@ def test_compute_factors_calls_prepare_and_fetch(tmp_path):
            ("2024-05-16", "2024-06-30")
        )

-        # Verify AlphaDataset was created with correct periods
-        mock_dataset_class.assert_called_once_with(
-            mock_df,
-            ("2024-01-01", "2024-04-30"),
-            ("2024-05-01", "2024-05-15"),
-            ("2024-05-16", "2024-06-30")
-        )
+        # Verify AlphaDataset was created with Asia/Shanghai-aware periods
+        from zoneinfo import ZoneInfo
+        _SH = ZoneInfo("Asia/Shanghai")
+
+        # The fix: compute_factors should convert period strings to Asia/Shanghai-aware datetimes
+        expected_train_period = (datetime(2024, 1, 1, tzinfo=_SH), datetime(2024, 4, 30, tzinfo=_SH))
+        expected_valid_period = (datetime(2024, 5, 1, tzinfo=_SH), datetime(2024, 5, 15, tzinfo=_SH))
+        expected_test_period = (datetime(2024, 5, 16, tzinfo=_SH), datetime(2024, 6, 30, tzinfo=_SH))
+
+        # Check that AlphaDataset was called once (don't compare DataFrames to avoid polars comparison issues)
+        assert mock_dataset_class.call_count == 1
+        call_args = mock_dataset_class.call_args
+        # Verify the periods are correct
+        assert call_args[0][1] == expected_train_period
+        assert call_args[0][2] == expected_valid_period
+        assert call_args[0][3] == expected_test_period

        # Verify add_feature was called for the factor
        mock_dataset.add_feature.assert_called_once_with("ma5", "ts_mean(close,5)")
@@ -132,6 +142,99 @@ def test_compute_factors_calls_prepare_and_fetch(tmp_path):
        assert isinstance(df, pl.DataFrame)


+def test_compute_factors_passes_aware_periods_to_alpha_dataset(tmp_path):
+    """Test that compute_factors converts period strings to Asia/Shanghai-aware datetimes.
+
+    This ensures vnpy.alpha's to_datetime() preserves timezone awareness,
+    preventing SchemaError when comparing aware datetime column with naive literals.
+
+    Requires polars - runs in container, skips locally.
+    """
+    import pytest
+    pytest.importorskip("polars")
+
+    from pathlib import Path
+    from datetime import datetime
+    from unittest.mock import MagicMock, call
+    from zoneinfo import ZoneInfo
+    from sanguo_factor.alpha_lab import AlphaLabSession
+    import polars as pl
+
+    # Create mock bar data
+    mock_bar = MagicMock()
+    mock_bar.vt_symbol = "600000.SSE"
+    mock_bar.datetime = datetime(2024, 1, 1)
+    mock_bar.open_price = 1.0
+    mock_bar.high_price = 1.0
+    mock_bar.low_price = 1.0
+    mock_bar.close_price = 1.0
+    mock_bar.volume = 1
+    mock_bar.turnover = 0
+    mock_bar.open_interest = 0
+
+    # Mock AlphaLab session initialization
+    with patch("vnpy.alpha.lab.AlphaLab"), \
+         patch("sanguo_data.datareader.read_db_daily") as mock_read, \
+         patch("sanguo_factor.data_adapter.save_alpha_lab_data"), \
+         patch("sanguo_factor.data_adapter.convert_bars_to_alpha_df") as mock_convert, \
+         patch("sanguo_factor.registry.get_factor") as mock_get_factor, \
+         patch("vnpy.alpha.dataset.AlphaDataset") as mock_dataset_class:
+
+        # Setup mock returns
+        mock_read.return_value = [mock_bar]
+        mock_get_factor.return_value = {"expression": "ts_mean(close,5)"}
+
+        # Create mock AlphaDataset instance
+        mock_dataset = MagicMock()
+        mock_dataset.fetch_raw.return_value = pl.DataFrame({
+            "datetime": [],
+            "vt_symbol": [],
+            "ma5": []
+        })
+        mock_dataset_class.return_value = mock_dataset
+
+        # Create DataFrame for convert_bars_to_alpha_df
+        # The code will localize the datetime column to Asia/Shanghai, so the mock needs to return a DataFrame with naive datetime
+        initial_df = pl.DataFrame({
+            "vt_symbol": ["600000.SSE"],
+            "datetime": [datetime(2024, 1, 1)],
+            "open": [1.0],
+            "high": [1.0],
+            "low": [1.0],
+            "close": [1.0],
+            "volume": [1.0],
+            "turnover": [0.0],
+            "open_interest": [0.0]
+        })
+        mock_convert.return_value = initial_df
+
+        # Create session and load symbols
+        lab_path = str(tmp_path / "alpha_lab")
+        session = AlphaLabSession(lab_path=lab_path)
+        session.load_symbols(["600000"], "2024-01-01", "2024-06-30", cfg=MagicMock())
+
+        # Test with string periods (should be converted to aware datetimes)
+        session.compute_factors(
+            ["ma5"],
+            ("2024-01-01", "2024-04-30"),  # String periods
+            ("2024-05-01", "2024-05-15"),
+            ("2024-05-16", "2024-06-30")
+        )
+
+        # Verify AlphaDataset was called with Asia/Shanghai-aware datetimes
+        call_args = mock_dataset_class.call_args
+        _, train_period, valid_period, test_period = call_args[0]
+
+        # Check that all period boundaries are datetime objects with Asia/Shanghai timezone
+        _SH = ZoneInfo("Asia/Shanghai")
+        for period_name, period in [("train", train_period), ("valid", valid_period), ("test", test_period)]:
+            start, end = period
+            assert isinstance(start, datetime), f"{period_name} period start should be datetime object, got {type(start)}"
+            assert isinstance(end, datetime), f"{period_name} period end should be datetime object, got {type(end)}"
+            assert start.tzinfo == _SH, f"{period_name} period start should be Asia/Shanghai-aware, got {start.tzinfo}"
+            assert end.tzinfo == _SH, f"{period_name} period end should be Asia/Shanghai-aware, got {end.tzinfo}"
+
+
 def test_loaded_bars_cache_eviction(tmp_path):
    """Test that _loaded_bars cache evicts oldest entries when exceeding cap."""
    from datetime import datetime
@@ -213,4 +316,4 @@ def test_loaded_bars_cache_eviction(tmp_path):

    finally:
        # Restore original __init__
-        AlphaLabSession.__init__ = original_init
+        AlphaLabSession.__init__ = original_init