# -*- coding: utf-8 -*- """迟到成交对账回归(2026-08-25 P1:引擎 16s 超时弃跟踪 → 迟到 fill 永不进 engine.get_trades → 账本幻影 500+700 股/-18060 不自愈)。 a 窄修:下单返回非终态 → 进程内待对账名单;归因轮询按券商订单号直查 QMT 成交(broker.get_trades 原始行),绕开 engine.get_trades 视图。 b 宽修:15:05 EOD 对账——QMT 当日全量成交 vs live_trades 已落库行, 按 trade_id 或 时间+代码+方向+价+量 对齐,缺失行按归因规则补插。 事故时间线(前后端 session 08-25 21:35 定罪):orders 09:35:42-48 提交, 引擎同步等待 16s 超时弃跟踪,迟到 fill 09:36:24+ 成交——两条路都必须兜住。 """ from __future__ import annotations from datetime import datetime, timedelta from types import SimpleNamespace import pytest from sanguo_portfolio import live_reconcile from sanguo_portfolio.live_instance_ledger import LiveInstanceLedger from sanguo_portfolio.live_reconcile import ( eod_reconcile, maybe_eod_reconcile, reconcile_pending, watch_pending_order, ) # ------------------ 公共替身 ------------------ def _order(oid="o1", broker_oid="1001", security="000049.XSHE", is_buy=True, amount=500, filled=0, status="open", add_time_=None): """替身字段名必须贴真实 bullet_trade Order(08-31 教训:曾被喂不存在的 ``datetime``=,把守恒跨日过滤的属性错位 bug 锁进了断言)。""" return SimpleNamespace( order_id=oid, _broker_order_id=broker_oid, security=security, is_buy=is_buy, amount=amount, filled=filled, status=status, add_time=add_time_, ) _TODAY = datetime.now().strftime("%Y-%m-%d") def _qmt_trade(order_id="1001", security="000049.XSHE", amount=500, price=15.0, trade_id="90001", time=None, commission=0.0, tax=0.0): """time 缺省=动态今天(EOD 对账按当日过滤,写死日期跨日必翻红,08-26 实锤)。""" time = time or f"{_TODAY} 09:36:24" return { "trade_id": trade_id, "order_id": order_id, "security": security, "amount": amount, "price": price, "time": time, "commission": commission, "tax": tax, } def _engine(orders, broker_trades): """engine 替身:get_orders 返回本实例 Order;broker.get_trades 返回 QMT 当日全账户成交原始行(与本实例 engine.get_trades 无关)。""" broker = SimpleNamespace(get_trades=lambda: list(broker_trades)) return SimpleNamespace( get_orders=lambda: {o.order_id: o for o in orders}, broker=broker, ) @pytest.fixture(autouse=True) def _clean_pending(): live_reconcile._PENDING.clear() live_reconcile._LAST_EOD_DATE = "" live_reconcile._LAST_GAP_LOG_SIG = "" live_reconcile._LAST_REJ_LOG_SIG = "" yield live_reconcile._PENDING.clear() live_reconcile._LAST_EOD_DATE = "" live_reconcile._LAST_GAP_LOG_SIG = "" live_reconcile._LAST_REJ_LOG_SIG = "" @pytest.fixture def db(tmp_path): from sanguo_live.persistence import init_db path = str(tmp_path / "live.db") init_db(path) return path # ------------------ a 窄修:待对账名单 ------------------ class TestWatchPendingOrder: def test_timeout_order_enters_watch_list(self): """16s 超时形态:status=open / 部分成交 → 进名单。""" assert watch_pending_order(_order(status="open", filled=0)) is True assert watch_pending_order(_order(status="filling", filled=200)) is True assert "1001" in live_reconcile._PENDING def test_terminal_full_fill_not_watched(self): """已终态且足额成交 → 无需对账。""" assert watch_pending_order( _order(status="filled", filled=500)) is False assert live_reconcile._PENDING == {} def test_terminal_but_partial_fill_watched(self): """终态(撤单)但部分成交——残量成交仍可能迟到,进名单。""" assert watch_pending_order( _order(status="canceled", filled=300)) is True def test_none_and_local_reject_are_noop(self): assert watch_pending_order(None) is False assert watch_pending_order(_order(status="rejected", filled=0)) is False assert live_reconcile._PENDING == {} class TestReconcilePending: def test_late_fill_attributed_bypassing_engine_view(self, db): """事故原样:engine.get_trades 已见不到该单(此处干脆不经过 engine 视图), 但 QMT 原始行里有迟到 fill → 直查归因进账本+落库。""" led = LiveInstanceLedger(initial_cash=100_000) watch_pending_order(_order(is_buy=True, amount=500)) eng = _engine([_order(status="filled", filled=500)], [_qmt_trade(amount=500, price=15.0)]) n = reconcile_pending(eng, led, db, 19, "momentum_timing") assert n == 1 assert led.positions["000049.XSHE"]["volume"] == 500 from sanguo_live.persistence import list_trades rows = list_trades(db, 19) assert len(rows) == 1 assert rows[0]["vt_tradeid"] == "90001" assert rows[0]["direction"] == "buy" def test_idempotent_across_rounds_and_with_intraday_ids(self, db): """同 trade_id 二轮不重复;与即时归因(engine 视图已记 deal_no)互幂等。""" led = LiveInstanceLedger(initial_cash=100_000) watch_pending_order(_order()) eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()]) assert reconcile_pending(eng, led, db, 19, "s") == 1 assert reconcile_pending(eng, led, db, 19, "s") == 0 # 即时归因以同一 deal_no 已入账 → 对账再见到零增量 assert led.apply_trade(True, "000049.XSHE", 15.0, 500, "90001", "2026-08-25") is False def test_foreign_trades_not_attributed(self, db): """名单单 1001;QMT 行里别家 8800099 的成交不归因。""" led = LiveInstanceLedger(initial_cash=100_000) watch_pending_order(_order()) eng = _engine( [_order(status="filled", filled=500)], [_qmt_trade(order_id="8800099", trade_id="99xxx", security="600519.XSHG", amount=100, price=1500.0), _qmt_trade()]) n = reconcile_pending(eng, led, db, 19, "s") assert n == 1 assert "600519.XSHG" not in led.positions assert led.positions["000049.XSHE"]["volume"] == 500 def test_watch_cleared_when_order_terminal(self, db): """订单终态 + 成交已见 → 出名单;名单空后不再查 QMT。""" led = LiveInstanceLedger(initial_cash=100_000) watch_pending_order(_order()) eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()]) reconcile_pending(eng, led, db, 19, "s") assert live_reconcile._PENDING == {} # 名单已空:broker 不可查也不报错 eng2 = SimpleNamespace(get_orders=lambda: {}, broker=None) assert reconcile_pending(eng2, led, db, 19, "s") == 0 def test_still_open_stays_watched(self, db): """订单还挂着(未终态) → 留在名单下轮继续。""" led = LiveInstanceLedger(initial_cash=100_000) watch_pending_order(_order()) eng = _engine([_order(status="open", filled=0)], []) assert reconcile_pending(eng, led, db, 19, "s") == 0 assert "1001" in live_reconcile._PENDING def test_missing_broker_oid_resolved_from_engine(self, db): """下单返回时 _broker_order_id 尚未回填(异步路径)→ 下轮从 engine 订单表按 engine order_id 解析后再直查。""" led = LiveInstanceLedger(initial_cash=100_000) assert watch_pending_order(_order(broker_oid=None)) is True eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()]) assert reconcile_pending(eng, led, db, 19, "s") == 1 assert led.positions["000049.XSHE"]["volume"] == 500 def test_cross_day_entry_dropped(self, db): """隔夜名单出清(A股订单当日有效,跨日残单不再对账)。""" watch_pending_order(_order()) for entry in live_reconcile._PENDING.values(): entry["watched_date"] = "2026-08-24" eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()]) led = LiveInstanceLedger(initial_cash=100_000) assert reconcile_pending(eng, led, db, 19, "s") == 0 assert live_reconcile._PENDING == {} assert led.positions == {} # ------------------ b 宽修:EOD 对账回填 ------------------ class TestEodReconcile: def test_backfills_missing_rows(self, db): """QMT 有本实例成交、live_trades 无 → 补插账本+DB(vt_tradeid 带 eod: 前缀标记回填来源)。""" led = LiveInstanceLedger(initial_cash=100_000) eng = _engine([_order(status="filled", filled=700)], [_qmt_trade(security="000039.XSHE", amount=700, price=16.0, trade_id="90002")]) summary = eod_reconcile(eng, led, db, 20, "small_cap") assert summary["backfilled"] == 1 assert led.positions["000039.XSHE"]["volume"] == 700 from sanguo_live.persistence import list_trades rows = list_trades(db, 20) assert len(rows) == 1 assert rows[0]["vt_tradeid"] == "eod:90002" def test_existing_rows_not_duplicated(self, db): """DB 已有同 trade_id 行(intraday 已记)→ 不重插不重记。""" from sanguo_live.persistence import save_trade save_trade(db, 20, { "strategy_name": "s", "symbol": "000049.XSHE", "direction": "buy", "offset": "open", "price": 15.0, "volume": 500, "traded_at": f"{_TODAY} 09:36:24", "vt_tradeid": "90001"}) led = LiveInstanceLedger(initial_cash=100_000) led.apply_trade(True, "000049.XSHE", 15.0, 500, "90001", "2026-08-25") eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()]) summary = eod_reconcile(eng, led, db, 20, "s") assert summary["backfilled"] == 0 assert led.positions["000049.XSHE"]["volume"] == 500 def test_tuple_match_covers_rows_saved_without_trade_id(self, db): """intraday 行 vt_tradeid 为空(md5 兜底/旧数据)→ 按 时间+代码+方向+价+量 对齐视为已覆盖,不双记。""" from sanguo_live.persistence import save_trade save_trade(db, 20, { "strategy_name": "s", "symbol": "000049.XSHE", "direction": "buy", "offset": "open", "price": 15.0, "volume": 500, "traded_at": f"{_TODAY} 09:36:24", "vt_tradeid": ""}) led = LiveInstanceLedger(initial_cash=100_000) eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()]) assert eod_reconcile(eng, led, db, 20, "s")["backfilled"] == 0 assert led.positions == {} def test_foreign_trades_skipped(self, db): """QMT 当日全账户成交含别家 → 只统计不归因。""" led = LiveInstanceLedger(initial_cash=100_000) eng = _engine( [_order(status="filled", filled=500)], [_qmt_trade(order_id="8800099", security="600519.XSHG", amount=100, price=1500.0, trade_id="777")]) summary = eod_reconcile(eng, led, db, 20, "s") assert summary["backfilled"] == 0 assert summary["foreign"] == 1 assert led.positions == {} def test_no_broker_is_safe(self): eod_reconcile(SimpleNamespace(get_orders=lambda: {}, broker=None), LiveInstanceLedger(), "", 1, "s") # 不抛 def test_twin_fill_backfilled_not_swallowed(self, db): """孪生成交回补(08-27 001234 实锤):同分钟+同价+同量的两笔成交仅 成交编号不同,集合式五元组判重把第二笔吞成"已覆盖"→账本短 100 股 →幻影持仓。计数感知后第二笔必须补上。""" from sanguo_live.persistence import save_trade led = LiveInstanceLedger(initial_cash=1_000_000) led.apply_trade(True, "001234.XSHE", 22.17, 200, "seed_buy", _TODAY) save_trade(db, 20, { "strategy_name": "s", "symbol": "001234.XSHE", "direction": "buy", "offset": "open", "price": 22.17, "volume": 200, "traded_at": f"{_TODAY} 09:20:00", "vt_tradeid": "seed_buy"}) # 事件路径只记到孪生之一(vt_tradeid=哈希,非成交编号) led.apply_trade(False, "001234.XSHE", 22.35, 100, "hash_a", _TODAY) save_trade(db, 20, { "strategy_name": "s", "symbol": "001234.XSHE", "direction": "sell", "offset": "close", "price": 22.35, "volume": 100, "traded_at": f"{_TODAY} 09:31:57", "vt_tradeid": "hash_a"}) eng = _engine( [_order(status="filled", amount=200, filled=200, is_buy=False, security="001234.XSHE", broker_oid="235")], [_qmt_trade(order_id="235", security="001234.XSHE", amount=100, price=22.35, trade_id="1010000032376071", time=f"{_TODAY} 09:31:57"), _qmt_trade(order_id="235", security="001234.XSHE", amount=100, price=22.35, trade_id="1010000032376079", time=f"{_TODAY} 09:31:57")]) summary = eod_reconcile(eng, led, db, 20, "small_cap_ex") assert summary["backfilled"] == 1 # 买200-卖200:清零后台账不再持有该键(volume 视为 0) assert led.positions.get("001234.XSHE", {}).get("volume", 0) == 0 def test_conservation_gap_alarm_when_journal_also_missing(self, db, caplog): """守恒校验:订单 filled=1100 但台账只记 1000(连 QMT 流水都缺这行 的极端形态,补插无从下手)→ 计数守恒不平时大声告警,不再静默幻影。""" from sanguo_live.persistence import save_trade led = LiveInstanceLedger(initial_cash=1_000_000) led.apply_trade(False, "001234.XSHE", 22.35, 1000, "h1", _TODAY) save_trade(db, 20, { "strategy_name": "s", "symbol": "001234.XSHE", "direction": "sell", "offset": "close", "price": 22.35, "volume": 1000, "traded_at": f"{_TODAY} 09:31:57", "vt_tradeid": "h1"}) eng = _engine( [_order(status="filled", amount=1100, filled=1100, is_buy=False, security="001234.XSHE", broker_oid="235")], [_qmt_trade(order_id="235", security="001234.XSHE", amount=1000, price=22.35, trade_id="known1", time=f"{_TODAY} 09:31:57")]) with caplog.at_level("WARNING"): summary = eod_reconcile(eng, led, db, 20, "small_cap_ex") assert summary["backfilled"] == 0 assert summary["conservation_gaps"] == [{ "symbol": "001234", "side": "sell", "order_volume": 1100, "ledger_volume": 1000, "gap": 100}] assert any("守恒缺口" in r.message for r in caplog.records) def test_conservation_balanced_no_alarm(self, db, caplog): """守恒平时零告警(订单合计=台账合计,含 EOD 回填后的量)。""" led = LiveInstanceLedger(initial_cash=1_000_000) eng = _engine( [_order(status="filled", amount=500, filled=500, is_buy=False, security="000049.XSHE", broker_oid="1001")], [_qmt_trade(amount=500, price=15.0)]) with caplog.at_level("WARNING"): summary = eod_reconcile(eng, led, db, 20, "s") assert summary["backfilled"] == 1 # 先回填 assert summary["conservation_gaps"] == [] # 回填后守恒平,零缺口 def test_twin_10_fills_vs_9_ledger_rows_backfill(self, db): """08-28 003011 原样复现:订单 1200 全成,事件路径只落 9 笔(哈希 id, 同分钟 120@20.45),QMT 快照 10 笔齐全 → 第 10 笔必须补插、守恒平。 (该测试通过=匹配逻辑对孪生正确;当日生产「补插 0」只能出自 15:05 快照内容缺行——由缺口重试制兜底,见 TestMaybeEodReconcile。)""" from sanguo_live.persistence import save_trade led = LiveInstanceLedger(initial_cash=1_000_000) for i in range(9): led.apply_trade(True, "003011.XSHE", 20.45, 120, f"hash_{i}", _TODAY) save_trade(db, 20, { "strategy_name": "s", "symbol": "003011.XSHE", "direction": "buy", "offset": "open", "price": 20.45, "volume": 120, "traded_at": f"{_TODAY} 09:32:38", "vt_tradeid": f"hash_{i}"}) qmt = [_qmt_trade(order_id="326", security="003011.XSHE", amount=120, price=20.45, trade_id=f"10100000325577{41 + i}", time=f"{_TODAY} 09:32:{29 + i}") for i in range(10)] eng = _engine( [_order(status="filled", amount=1200, filled=1200, is_buy=True, security="003011.XSHE", broker_oid="326")], qmt) summary = eod_reconcile(eng, led, db, 20, "small_cap_ex") assert summary["backfilled"] == 1 assert summary["conservation_gaps"] == [] assert led.positions["003011.XSHE"]["volume"] == 1200 def test_rejected_order_alarm(self, db, caplog): """08-28 600818 形态:当日买入废单(filled=0)→ EOD 汇总告警,当天可见。""" led = LiveInstanceLedger() eng = _engine( [_order(status="rejected", filled=0, amount=10900, is_buy=True, security="600818.XSHG", broker_oid="661")], []) with caplog.at_level("WARNING"): summary = eod_reconcile(eng, led, db, 19, "momentum") assert summary["rejected_orders"] == [ {"symbol": "600818", "side": "buy", "amount": 10900, "why": "废单(柜台报rejected)"}] assert any("废单" in r.message for r in caplog.records) def test_rejected_partial_or_crossday_not_in_alarm(self, db, caplog): """部分成交残量的废单(守恒/补插已覆盖)与昨日废单都不进清单。""" led = LiveInstanceLedger() eng = _engine( [_order(status="rejected", filled=300, amount=500, broker_oid="a"), _order(status="rejected", filled=0, amount=200, broker_oid="b", add_time_="2020-01-01 10:00:00")], []) with caplog.at_level("WARNING"): summary = eod_reconcile(eng, led, db, 19, "s") assert summary["rejected_orders"] == [] assert not any("废单" in r.message for r in caplog.records) def test_stale_order_suspected_alarm(self, db, caplog): """09-01 盲区补第二肢:当日订单 EOD 非终态+零成交 = 疑似废单。 08-31 T+1 探针实锤:柜台级拒单不进 QMT 当日订单 API,订单状态 永停非终态——等柜台报 rejected 等不到,只能提交侧自证。 """ led = LiveInstanceLedger() eng = _engine( [_order(status="submitted", filled=0, amount=100, is_buy=False, security="300059.XSHE", broker_oid="p1")], []) with caplog.at_level("WARNING"): summary = eod_reconcile(eng, led, db, 18, "channel_test") assert summary["rejected_orders"] == [ {"symbol": "300059", "side": "sell", "amount": 100, "why": "疑似废单(EOD非终态零成交)"}] assert any("废单" in r.message for r in caplog.records) def test_cancelled_or_crossday_stale_not_suspected(self, db, caplog): """正常撤单(零成交但已到终态)与昨日挂死单都不进疑似清单。""" led = LiveInstanceLedger() eng = _engine( [_order(status="cancelled", filled=0, broker_oid="c1"), _order(status="submitted", filled=0, broker_oid="c2", add_time_="2020-01-01 10:00:00")], []) with caplog.at_level("WARNING"): summary = eod_reconcile(eng, led, db, 18, "s") assert summary["rejected_orders"] == [] assert not any("废单" in r.message for r in caplog.records) def test_yesterday_order_no_conservation_gap(self, db, caplog): """08-31 守恒误报回归:引擎跨交易日存活(进程不死)时,**昨日**的 终态足额订单不得进当日守恒对比——台账只记当日行,历史订单计入 必然产生假缺口(原 ``datetime`` 属性误读恒 None,过滤从不生效)。""" led = LiveInstanceLedger(initial_cash=1_000_000) from datetime import timedelta as _td yday = (datetime.now() - _td(days=1)).strftime("%Y-%m-%d 09:30:00") eng = _engine( [_order(status="filled", filled=500, broker_oid="old", add_time_=yday), _order(status="filled", filled=500, broker_oid="new")], [_qmt_trade(order_id="new", trade_id="t-new")]) with caplog.at_level("WARNING"): summary = eod_reconcile(eng, led, db, 19, "s") assert summary["conservation_gaps"] == [] assert summary["rejected_orders"] == [] def test_gap_warning_dedup_on_identical_retry(self, db, caplog): """缺口重试轮:内容不变只首轮回 WARNING,重复轮降级 INFO 防刷屏。""" from sanguo_live.persistence import save_trade led = LiveInstanceLedger(initial_cash=1_000_000) led.apply_trade(False, "001234.XSHE", 22.35, 1000, "h1", _TODAY) save_trade(db, 20, { "strategy_name": "s", "symbol": "001234.XSHE", "direction": "sell", "offset": "close", "price": 22.35, "volume": 1000, "traded_at": f"{_TODAY} 09:31:57", "vt_tradeid": "h1"}) eng = _engine( [_order(status="filled", amount=1100, filled=1100, is_buy=False, security="001234.XSHE", broker_oid="235")], [_qmt_trade(order_id="235", security="001234.XSHE", amount=1000, price=22.35, trade_id="known1", time=f"{_TODAY} 09:31:57")]) with caplog.at_level("INFO"): eod_reconcile(eng, led, db, 20, "s") eod_reconcile(eng, led, db, 20, "s") warns = [r for r in caplog.records if "守恒缺口" in r.message and r.levelname == "WARNING"] infos = [r for r in caplog.records if "守恒缺口" in r.message and r.levelname == "INFO"] assert len(warns) == 1 assert len(infos) == 1 class TestMaybeEodReconcile: def test_before_window_is_noop(self): assert maybe_eod_reconcile( SimpleNamespace(), LiveInstanceLedger(), "", 1, "s", now=datetime(2026, 8, 25, 14, 59)) is None def test_runs_once_per_day(self, db): """窗口内首跑生效并记日;当日再调直接跳过。""" led = LiveInstanceLedger(initial_cash=100_000) eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()]) s1 = maybe_eod_reconcile(eng, led, db, 20, "s", now=datetime(2026, 8, 25, 15, 6)) assert s1 is not None and s1["backfilled"] == 1 assert maybe_eod_reconcile( eng, led, db, 20, "s", now=datetime(2026, 8, 25, 15, 7)) is None def test_failure_retries_next_round(self, db): """首轮 QMT 查询抛错 → 不记日,下轮重试(日终前自愈)。""" led = LiveInstanceLedger(initial_cash=100_000) def boom(): raise RuntimeError("QMT 断连") eng = SimpleNamespace(get_orders=lambda: {}, broker=SimpleNamespace(get_trades=boom)) with pytest.raises(RuntimeError): maybe_eod_reconcile(eng, led, db, 20, "s", now=datetime(2026, 8, 25, 15, 6)) assert live_reconcile._LAST_EOD_DATE == "" ok = _engine([], []) assert maybe_eod_reconcile( ok, led, db, 20, "s", now=datetime(2026, 8, 25, 15, 8)) == { "qmt_trades": 0, "ours": 0, "backfilled": 0, "foreign": 0, "conservation_gaps": [], "rejected_orders": []} def test_gap_keeps_retrying_until_closed(self, db): """守恒缺口敞开 → 不记日持续重查;视图补全后补插+守恒平+记日 (08-28 003011:15:05 快照缺第 10 笔,晚间补全即当晚自愈)。""" from sanguo_live.persistence import save_trade led = LiveInstanceLedger(initial_cash=1_000_000) led.apply_trade(False, "001234.XSHE", 22.35, 1000, "h1", _TODAY) save_trade(db, 20, { "strategy_name": "s", "symbol": "001234.XSHE", "direction": "sell", "offset": "close", "price": 22.35, "volume": 1000, "traded_at": f"{_TODAY} 09:31:57", "vt_tradeid": "h1"}) order = _order(status="filled", amount=1100, filled=1100, is_buy=False, security="001234.XSHE", broker_oid="235") # 15:06 快照:QMT 只有 1000(缺孪生 100)→ 有缺口,不记日 eng_missing = _engine([order], [ _qmt_trade(order_id="235", security="001234.XSHE", amount=1000, price=22.35, trade_id="known1", time=f"{_TODAY} 09:31:57")]) s1 = maybe_eod_reconcile(eng_missing, led, db, 20, "s", now=datetime(2026, 8, 25, 15, 6)) assert s1 is not None and s1["conservation_gaps"] assert live_reconcile._LAST_EOD_DATE == "" # 22:30 快照:视图补全(孪生 100 出现)→ 补插+守恒平+记日 eng_full = _engine([order], [ _qmt_trade(order_id="235", security="001234.XSHE", amount=1000, price=22.35, trade_id="known1", time=f"{_TODAY} 09:31:57"), _qmt_trade(order_id="235", security="001234.XSHE", amount=100, price=22.35, trade_id="twin2", time=f"{_TODAY} 09:31:57")]) s2 = maybe_eod_reconcile(eng_full, led, db, 20, "s", now=datetime(2026, 8, 25, 22, 30)) assert s2["backfilled"] == 1 assert s2["conservation_gaps"] == [] assert live_reconcile._LAST_EOD_DATE != "" # 记日后当日不再跑 assert maybe_eod_reconcile(eng_full, led, db, 20, "s", now=datetime(2026, 8, 25, 22, 40)) is None def test_after_retry_window_marks_done(self, db): """23:00 后仍不平 → 记日放弃(当日 API 零点翻篇,再查无意义)。""" led = LiveInstanceLedger() eng = _engine([], []) assert maybe_eod_reconcile(eng, led, db, 20, "s", now=datetime(2026, 8, 25, 23, 1)) is None assert live_reconcile._LAST_EOD_DATE == "2026-08-25" # ------------------ 事故重放 + seen_trade_ids ------------------ class TestIncidentReplay: def test_full_chain_0935_timeout_0936_late_fill(self, db): """完整时间线:09:35:42 提交即超时(名单)→ 09:36:24 迟到 fill (engine 视图缺失)→ 60s 轮询对账归因 → EOD 复核零缺口。""" led = LiveInstanceLedger(initial_cash=1_000_000) # 09:35:42 bt_order 返回:16s 等待超时,status=open filled=0 watch_pending_order(_order(status="open", filled=0)) # 09:36:24 迟到 fill:只在 QMT 原始行里(engine.get_trades 见不到) eng = _engine( [_order(status="filled", filled=500)], [_qmt_trade(amount=500, price=15.0)]) assert reconcile_pending(eng, led, db, 19, "momentum_timing") == 1 # 名单出清 + EOD 复核:无缺口、无重复 summary = eod_reconcile(eng, led, db, 19, "momentum_timing") assert summary["backfilled"] == 0 from sanguo_live.persistence import list_trades assert len(list_trades(db, 19)) == 1 # 账本口径:100万 − 500×15 − max(7500×0.0003,5)=5 assert led.cash == pytest.approx(1_000_000 - 7500 - 5) class TestLedgerSeenIds: def test_seen_trade_ids_snapshot(self): led = LiveInstanceLedger() led.apply_trade(True, "000001.XSHE", 10.0, 100, "t1", "2026-08-25") snap = led.seen_trade_ids() assert snap == {"t1"} snap.add("t2") # 副本可改,不污染账本 assert led.seen_trade_ids() == {"t1"} # ------------------ 重启兜底:remark 指纹重建(2026-09-01 002646 事故) ------------------ def _qmt_order_row(order_id="1090", remark="bt:live_19:ab12cd34", security="600276.XSHG", amount=600, filled=600, status=56, is_buy=True): """贴 QmtBroker.sync_orders 行键(状态为 raw 码,56=全部成交)。""" return {"order_id": order_id, "security": security, "amount": amount, "filled": filled, "status": status, "is_buy": is_buy, "order_remark": remark} def _restarted_engine(qmt_orders, qmt_trades): """重启后的 engine 替身:订单注册表为空(进程态已失),broker 行为贴 QmtBroker(get_orders 带 remark + _map_order_status 归一)。""" broker = SimpleNamespace( get_orders=lambda: list(qmt_orders), get_trades=lambda: list(qmt_trades), _map_order_status=lambda raw: SimpleNamespace( value="filled" if raw == 56 else f"raw_{raw}"), ) return SimpleNamespace(get_orders=lambda: {}, broker=broker) class TestRemarkRebuildAfterRestart: """002646 形态:轮换杀进程 → QMT 视图 18:48-19:15 才补全迟到成交 → 新进程 EOD「本实例=0」记日,孤儿成交永久失联。remark 指纹重建 own 集 后,重启照样能归因/补插/守恒。""" def test_backfill_via_remark_after_restart(self, db): """engine 订单空 + QMT 订单 remark=本实例 → 迟到成交照常补插+守恒平。""" led = LiveInstanceLedger(initial_cash=1_000_000) eng = _restarted_engine( [_qmt_order_row(order_id="1090", amount=600, filled=600)], [_qmt_trade(order_id="1090", security="600276.XSHG", amount=600, price=7.0, trade_id="99016")]) summary = eod_reconcile(eng, led, db, 19, "s") assert summary["ours"] == 1 # remark 重建归因成功 assert summary["backfilled"] == 1 # 002646 那笔 600 股补回来 assert summary["conservation_gaps"] == [] rows = live_reconcile_eod_rows(db, 19) assert rows and rows[-1]["volume"] == 600 def test_other_instance_remark_not_attributed(self, db): """别家实例的 remark 前缀(live_18)不归因给 live_19。""" led = LiveInstanceLedger(initial_cash=1_000_000) eng = _restarted_engine( [_qmt_order_row(order_id="1080", remark="bt:live_18:ffff1111")], [_qmt_trade(order_id="1080", security="600276.XSHG", amount=600, price=7.0, trade_id="99017")]) summary = eod_reconcile(eng, led, db, 19, "s") assert summary["ours"] == 0 assert summary["backfilled"] == 0 assert summary["foreign"] == 1 def test_row_without_side_excluded(self, db, caplog): """is_buy 缺失的 remark 行弃用——方向不明宁可漏归因不可错归因。""" led = LiveInstanceLedger(initial_cash=1_000_000) row = _qmt_order_row(order_id="1091") row["is_buy"] = None eng = _restarted_engine( [row], [_qmt_trade(order_id="1091", security="600276.XSHG", amount=100, price=7.0, trade_id="99018")]) with caplog.at_level("WARNING"): summary = eod_reconcile(eng, led, db, 19, "s") assert summary["backfilled"] == 0 assert any("方向" in r.message or "弃用" in r.message for r in caplog.records) def test_sell_direction_propagates(self, db): """卖出方向的 remark 重建单,补插行 direction=sell(错方向入账=反向污染)。""" led = LiveInstanceLedger(initial_cash=1_000_000) eng = _restarted_engine( [_qmt_order_row(order_id="1092", is_buy=False)], [_qmt_trade(order_id="1092", security="600276.XSHG", amount=600, price=7.0, trade_id="99019")]) summary = eod_reconcile(eng, led, db, 19, "s") assert summary["backfilled"] == 1 rows = live_reconcile_eod_rows(db, 19) assert rows[-1]["direction"] == "sell" def live_reconcile_eod_rows(db, account_id): from sanguo_live.persistence import list_trades return list_trades(db, account_id)