claude_dev
3aca14f723
run()循环体抽为step(bar_date,bars,prev_close,pending)→(pending,closes); run()改为调step。实走scheduler每日喂当日bar调step单步推进。 - 回放行为不变(test_engine原3用例pass) - 加test_engine_step_single_bar_advances: day1信号缓冲/day2撮合 - trader全量111/111通过
114 lines
4.7 KiB
Python
114 lines
4.7 KiB
Python
"""PaperEngine 主循环测试（mock data_source + mock 策略，spec §4）。"""
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from types import SimpleNamespace
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from sanguo_trader.account import Account
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from sanguo_trader.cta_adapter import PaperCtaEngine
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from sanguo_trader.engine import PaperEngine
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from sanguo_trader.models import AccountConfig, MatchSession
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from sanguo_trader.persistence import (
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init_db, list_daily_balance, list_trades, save_account,
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)
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from sanguo_trader.strategy_runner import StrategyRunner
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def _bar(date, o, h, l, c):
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return SimpleNamespace(open_price=o, high_price=h, low_price=l,
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close_price=c, datetime=date)
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class _FakeDataSource:
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def __init__(self, sections):
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self.sections = sections
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def iter_bars(self, symbols, start, end, interval, adjust="qfq", cfg=None):
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del symbols, start, end, interval, adjust, cfg
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for date, bars in self.sections:
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yield date, bars
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class _AlwaysBuyStrategy:
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def __init__(self, engine, vt_symbol):
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self.cta_engine = engine
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self.vt_symbol = vt_symbol
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def on_bar(self, bar):
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self.cta_engine.send_order(self, "LONG", "OPEN", bar.close_price, 100)
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def _build(tmp_path, sections, match_session=MatchSession.NEXT_OPEN):
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db = str(tmp_path / "e.db")
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init_db(db)
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aid = save_account(db, {"name": "t", "initial_capital": 1_000_000})
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cfg = AccountConfig(initial_capital=1_000_000)
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account = Account(1_000_000)
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cta = PaperCtaEngine("s1", match_session=match_session)
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strat = _AlwaysBuyStrategy(cta, "600000.SSE")
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cta.set_strategy(strat)
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runner = StrategyRunner("s1", strategy=strat, paper_cta_engine=cta, symbol="600000")
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pe = PaperEngine(account, [runner], _FakeDataSource(sections), cfg, db, aid,
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symbols=["600000"], start="2024-01-01", end="2024-12-31")
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return pe, db, aid, account, runner
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def test_engine_next_open_fills_at_next_bar_open(tmp_path):
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sections = [
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("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
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("2024-01-02", {"600000": _bar("2024-01-02", 10.5, 11.0, 10.0, 10.8)}),
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("2024-01-03", {"600000": _bar("2024-01-03", 10.8, 11.5, 10.5, 11.0)}),
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]
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pe, db, aid, *_ = _build(tmp_path, sections)
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pe.run()
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fills = [t for t in list_trades(db, aid) if not t["rejected"]]
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# day1 信号→day2 撮合@10.5(open)；day2 信号→day3 撮合@10.8(open)；day3 信号无day4
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assert len(fills) == 2
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assert fills[0]["price"] == 10.5
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assert fills[1]["price"] == 10.8
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def test_engine_current_close_fills_same_bar(tmp_path):
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sections = [
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("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
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("2024-01-02", {"600000": _bar("2024-01-02", 10.5, 11.0, 10.0, 10.8)}),
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]
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pe, db, aid, *_ = _build(tmp_path, sections, match_session=MatchSession.CURRENT_CLOSE)
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pe.run()
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fills = [t for t in list_trades(db, aid) if not t["rejected"]]
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assert len(fills) == 2
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assert fills[0]["price"] == 10.0 # 当根 close
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assert fills[1]["price"] == 10.8
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def test_engine_daily_balance_and_consistency(tmp_path):
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sections = [
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("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
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("2024-01-02", {"600000": _bar("2024-01-02", 10.5, 11.0, 10.0, 10.8)}),
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("2024-01-03", {"600000": _bar("2024-01-03", 10.8, 11.5, 10.5, 11.0)}),
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]
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pe, db, aid, account, runner = _build(tmp_path, sections)
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pe.run()
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balances = list_daily_balance(db, aid)
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assert len(balances) == 3
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# 总账持仓 = 分户持仓（day2+day3 各买100 = 200）
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assert account.positions["600000"].volume == 200
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assert runner.positions["600000"].volume == 200
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def test_engine_step_single_bar_advances(tmp_path):
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"""engine.step 单根推进（C-S3 实走每日入口）：day1 信号缓冲，day2 撮合。"""
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sections = [
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("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
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("2024-01-02", {"600000": _bar("2024-01-02", 10.5, 11.0, 10.0, 10.8)}),
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]
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pe, db, aid, account, runner = _build(tmp_path, sections)
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# day1 step：_AlwaysBuyStrategy 买单（NEXT_OPEN）→ 进 pending，当根不撮合
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pending, closes = pe.step("2024-01-01", sections[0][1], {}, [])
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assert len(pending) == 1
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assert account.positions.get("600000") is None
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assert closes["600000"] == 10.0
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# day2 step：撮合 day1 pending @ open 10.5；策略 on_bar(day2) 又发单进 pending 等 day3
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pending2, closes2 = pe.step("2024-01-02", sections[1][1], closes, pending)
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assert len(pending2) == 1 # day2 新信号（无 day3 不撮合）
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assert account.positions["600000"].volume == 100 # day1 单 day2 open 10.5 撮合 100 股
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# step 入库（day1+day2 各一条余额）
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assert len(list_daily_balance(db, aid)) == 2
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