claude_dev
f940841a9a
C1 CRITICAL: is_one_word_lock/is_t_lock 用 == 比较价格，浮点尾数差 (5.5600000000000005 vs 5.56) 导致一字板当可成交。改用 math.isclose 容差比较 (pricetick/2)。新增 _price_eq()，所有价格 == 改用之； 相对比较 (low<open, high>open) 保留原语义。 H1 HIGH: limit_up/down_price 用 Python round() 是 banker's rounding (round(610.5)=610)，导致 5.55×1.10→6.10 而非 6.11。改用 decimal.Decimal(str(x)) + ROUND_HALF_UP。 测试： - 5.05 一字涨停 (浮点尾数差 case) - 9.99×1.2 创业板一字板 - 0.35×1.05 ST T 字板 - 5.55×1.10 → 6.11 (banker's 消除) - 4.45×0.90 → 4.01 60 tests pass, 100% cov 保持。 Refs: Phase 3c C-S0 review findings [C1][H1]
207 lines
7.1 KiB
Python
207 lines
7.1 KiB
Python
"""A 股涨跌停纯函数测试（板块表 + 封板判断）。全用 raw 价格。"""
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import pandas as pd
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from sanguo_trader.limit import (
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get_board,
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limit_ratio,
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limit_up_price,
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limit_down_price,
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is_one_word_lock,
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is_t_lock,
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is_locked_for_buy_symbol,
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is_locked_for_sell_symbol,
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)
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from sanguo_trader.models import AccountConfig
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CFG = AccountConfig(initial_capital=1_000_000)
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def bar(open, high, low, close):
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return pd.Series({"open": open, "high": high, "low": low, "close": close})
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# ---- 板块分类 ----
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def test_board_classification():
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assert get_board("600000") == "main" # 沪市主板
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assert get_board("000001") == "main" # 深市主板
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assert get_board("300750") == "gem" # 创业板
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assert get_board("301128") == "gem" # 创业板（301）
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assert get_board("688981") == "star" # 科创板
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assert get_board("689009") == "star" # 科创板（689）
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assert get_board("830799") == "bse" # 北交所
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assert get_board("920002") == "bse" # 北交所（920）
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# ---- 幅度查表 ----
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def test_limit_ratio():
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assert limit_ratio("main", is_st=False) == 0.10
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assert limit_ratio("gem", is_st=False) == 0.20
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assert limit_ratio("star", is_st=False) == 0.20
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assert limit_ratio("bse", is_st=False) == 0.30
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# ST 统一 5%
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assert limit_ratio("main", is_st=True) == 0.05
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assert limit_ratio("gem", is_st=True) == 0.05
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assert limit_ratio("star", is_st=True) == 0.05
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assert limit_ratio("bse", is_st=True) == 0.30 # 北交所 ST 同 30%
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# ---- 涨跌停价（按 pricetick 取整）----
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def test_limit_up_price_rounds_to_pricetick():
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# 10.00 * 1.10 = 11.00
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assert limit_up_price(10.0, 0.10, 0.01) == 11.0
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# 9.99 * 1.20 = 11.988 → 11.99
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assert limit_up_price(9.99, 0.20, 0.01) == 11.99
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# 5.00 * 1.30 = 6.5
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assert limit_up_price(5.0, 0.30, 0.01) == 6.5
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def test_limit_down_price_rounds_to_pricetick():
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# 10.00 * 0.90 = 9.00
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assert limit_down_price(10.0, 0.10, 0.01) == 9.0
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# 10.00 * 0.80 = 8.00
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assert limit_down_price(10.0, 0.20, 0.01) == 8.0
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# ---- 一字板 / T 字板 ----
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def test_one_word_lock_detected():
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up = limit_up_price(10.0, 0.10, 0.01)
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assert is_one_word_lock(bar(11.0, 11.0, 11.0, 11.0), up) is True
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# 非一字
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assert is_one_word_lock(bar(11.0, 11.5, 10.8, 11.0), up) is False
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assert is_one_word_lock(bar(11.0, 11.0, 10.5, 11.0), up) is False # T 字板非一字
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def test_t_lock_detected():
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up = limit_up_price(10.0, 0.10, 0.01)
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# T 字板：开=涨停 收=涨停 low<open
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assert is_t_lock(bar(11.0, 11.0, 10.5, 11.0), up) is True
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# 一字板不是 T 字板
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assert is_t_lock(bar(11.0, 11.0, 11.0, 11.0), up) is False
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# 开≠涨停 不是 T 字板
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assert is_t_lock(bar(10.5, 11.0, 10.5, 11.0), up) is False
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# ---- 买单封板拒单（按 symbol 自动判板块）----
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def test_buy_locked_one_word_main_board():
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# 主板 600000，一字涨停 → 买不进
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assert is_locked_for_buy_symbol(
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bar(11.0, 11.0, 11.0, 11.0), "600000", 10.0, CFG, is_st=False
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) is True
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def test_buy_locked_t_lock_conservative():
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# T 字板 → 保守拒买
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assert is_locked_for_buy_symbol(
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bar(11.0, 11.0, 10.5, 11.0), "600000", 10.0, CFG, is_st=False
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) is True
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def test_buy_not_locked_when_opened():
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# 开板（low 远低于涨停）→ 可买
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assert is_locked_for_buy_symbol(
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bar(10.5, 10.8, 10.2, 10.6), "600000", 10.0, CFG, is_st=False
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) is False
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def test_buy_locked_gem_board_20pct():
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# 创业板 300750，10.00 → 涨停 12.00
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assert is_locked_for_buy_symbol(
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bar(12.0, 12.0, 12.0, 12.0), "300750", 10.0, CFG, is_st=False
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) is True
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def test_buy_locked_star_board_20pct():
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# 科创板 688981
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assert is_locked_for_buy_symbol(
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bar(12.0, 12.0, 12.0, 12.0), "688981", 10.0, CFG, is_st=False
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) is True
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def test_buy_locked_bse_board_30pct():
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# 北交所 830799，5.00 → 涨停 6.5
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assert is_locked_for_buy_symbol(
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bar(6.5, 6.5, 6.5, 6.5), "830799", 5.0, CFG, is_st=False
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) is True
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def test_buy_locked_st_5pct():
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# ST 股 5% 涨停，10.00 → 10.50
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assert is_locked_for_buy_symbol(
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bar(10.5, 10.5, 10.5, 10.5), "600000", 10.0, CFG, is_st=True
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) is True
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# ---- 卖单封板（跌停对称）----
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def test_sell_locked_one_word_limit_down():
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# 主板一字跌停：10 → 9.0
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assert is_locked_for_sell_symbol(
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bar(9.0, 9.0, 9.0, 9.0), "600000", 10.0, CFG, is_st=False
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) is True
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def test_sell_locked_t_lock_limit_down():
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# 跌停 T 字板：开=跌停 收=跌停 high>open（盘中反弹过）
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assert is_locked_for_sell_symbol(
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bar(9.0, 9.5, 9.0, 9.0), "600000", 10.0, CFG, is_st=False
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) is True
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def test_sell_not_locked_when_opened():
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# 非跌停形态 → 可卖
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assert is_locked_for_sell_symbol(
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bar(9.5, 9.8, 9.2, 9.6), "600000", 10.0, CFG, is_st=False
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) is False
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# ---- C1: 浮点 == 比较漏判封板 ----
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# limit_up_price(5.05, 0.10, 0.01) 由于浮点 = 5.5600000000000005，
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# bar.open=5.56 时若用 == 比较会判 False → 一字板当可成交（CRITICAL）。
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def test_one_word_lock_float_precision_main_board():
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"""5.05 一字涨停：limit_up 浮点尾数差不应漏判。"""
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up = limit_up_price(5.05, 0.10, 0.01)
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# 触发条件：浮点 == 比较会失败（5.5600000000000005 != 5.56）
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assert is_one_word_lock(bar(5.56, 5.56, 5.56, 5.56), up) is True
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assert is_locked_for_buy_symbol(
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bar(5.56, 5.56, 5.56, 5.56), "600000", 5.05, CFG, is_st=False
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) is True
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def test_one_word_lock_float_precision_gem_board():
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"""创业板 300750，9.99×1.2 浮点尾数差。"""
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up = limit_up_price(9.99, 0.20, 0.01) # 11.988 → 11.99
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assert is_one_word_lock(bar(11.99, 11.99, 11.99, 11.99), up) is True
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assert is_locked_for_buy_symbol(
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bar(11.99, 11.99, 11.99, 11.99), "300750", 9.99, CFG, is_st=False
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) is True
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def test_t_lock_float_precision_st_stock():
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"""ST 0.35×1.05 = 0.3675 → 0.37（浮点尾数差），T 字板。"""
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up = limit_up_price(0.35, 0.05, 0.01)
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# T 字板：开=收=涨停，low<open
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assert is_t_lock(bar(0.37, 0.37, 0.35, 0.37), up) is True
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assert is_locked_for_buy_symbol(
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bar(0.37, 0.37, 0.35, 0.37), "600000", 0.35, CFG, is_st=True
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) is True
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def test_one_word_lock_still_detects_exact_match():
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"""精度修复不应破坏精确匹配场景。"""
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up = limit_up_price(10.0, 0.10, 0.01)
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assert is_one_word_lock(bar(11.0, 11.0, 11.0, 11.0), up) is True
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# ---- H1: round 是 banker's rounding → 用 Decimal ROUND_HALF_UP ----
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def test_limit_up_price_uses_half_up_not_bankers():
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# 5.55 * 1.10 = 6.105 → 6.105 / 0.01 = 610.5
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# banker's round(610.5) = 610（偶）→ 6.10 ❌
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# ROUND_HALF_UP → 611 → 6.11 ✅
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assert limit_up_price(5.55, 0.10, 0.01) == 6.11
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def test_limit_down_price_uses_half_up_not_bankers():
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# 4.45 * 0.90 = 4.005 → 4.005 / 0.01 = 400.5
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# banker's round(400.5) = 400 → 4.00 ❌
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# ROUND_HALF_UP → 401 → 4.01 ✅
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assert limit_down_price(4.45, 0.10, 0.01) == 4.01
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