431 lines
18 KiB
Python
431 lines
18 KiB
Python
"""双轨对账报表(影子柜台 vs 实盘模拟,设计 §8.2)单元测试。
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纯 DB fixture:同一 db 文件里 live_*/paper_* 两套表(与 VPS backtest_results.db
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同构),验证四项对账指标 + 自动配对 + 报告落库。
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"""
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from __future__ import annotations
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import json
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import sqlite3
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import pytest
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from sanguo_trader.persistence import init_db as init_paper_db
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from sanguo_trader.shadow.reconcile_report import (
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PRICE_DIFF_BPS_MAX,
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build_reconcile_report,
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find_dual_track_pairs,
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load_reconcile_report,
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save_reconcile_report,
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)
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@pytest.fixture()
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def db(tmp_path):
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db_path = str(tmp_path / "t.db")
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init_paper_db(db_path) # paper_* 表
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from sanguo_live.persistence import init_db as init_live_db
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init_live_db(db_path) # live_* 表(同文件共存,与 VPS 一致)
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return db_path
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def _add_live_account(db, aid=5, strategy_class="channel_test"):
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO live_accounts (id,name,account,vt_symbol,strategy_class,"
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"strategy_name,status) VALUES (?,?,?,?,?,?,?)",
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(aid, "live-600000", "66639661", "hs300_subset",
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strategy_class, "portfolio_channel_test", "running"),
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)
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def _add_shadow_account(db, aid=39, strategy="channel_test"):
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO paper_accounts (id,name,strategy_type,mode,status,symbols,"
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"strategies) VALUES (?,?,?,?,?,?,?)",
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(aid, "paper", "portfolio", "shadow", "running", '["hs300_subset"]',
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json.dumps([{"name": strategy, "params": {}}])),
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)
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def _add_live_trade(db, aid, symbol, direction, price, volume, traded_at):
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO live_trades (account_id,strategy_name,symbol,direction,"
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"offset,price,volume,traded_at,vt_tradeid) VALUES (?,?,?,?,?,?,?,?,?)",
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(aid, "portfolio_channel_test", symbol, direction, "", price, volume,
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traded_at, f"t{price}{volume}{symbol}"),
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)
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def _add_paper_trade(db, aid, symbol, direction, price, volume, dt, bar_date):
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO paper_trades (account_id,strategy_id,datetime,symbol,"
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"direction,offset,match_session,price,volume,commission,stamp_duty,"
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"transfer_fee,rejected,bar_date) VALUES (?,?,?,?,?,?,?,?,?,?,?,0,0,?)",
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(aid, "channel_test", dt, symbol, direction, "open",
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"shadow_realtime", price, volume, 5.0, 0.0, bar_date),
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)
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def _add_live_balance(db, aid, date, cash, mv, total):
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO live_balance (account_id,date,cash,market_value,total) "
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"VALUES (?,?,?,?,?)", (aid, date, cash, mv, total),
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)
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def _add_paper_balance(db, aid, date, cash, mv, total):
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO paper_daily_balance (account_id,date,cash,market_value,"
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"total_equity) VALUES (?,?,?,?,?)", (aid, date, cash, mv, total),
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)
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def _add_live_position(db, aid, symbol, volume):
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO live_positions (account_id,symbol,volume,frozen,avg_price,"
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"updated_at) VALUES (?,?,?,?,?,?)",
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(aid, symbol, volume, 0.0, 10.0, "2026-08-15 15:00:00"),
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)
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def _add_paper_position(db, aid, symbol, volume):
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO paper_positions (account_id,scope,symbol,date,volume,"
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"frozen,avg_price,market_value,updated_at) VALUES (?,?,?,?,?,?,?,?,?)",
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(aid, "account", symbol, "2026-08-15", volume, 0, 10.0, volume * 10.0,
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"2026-08-15 15:00:00"),
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)
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D = "2026-08-15"
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class TestFindDualTrackPairs:
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def test_pairs_by_strategy_name(self, db):
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_add_live_account(db)
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_add_shadow_account(db)
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pairs = find_dual_track_pairs(db)
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assert pairs == [{"live_account_id": 5, "shadow_account_id": 39,
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"strategy": "channel_test"}]
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def test_no_shadow_no_pairs(self, db):
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_add_live_account(db)
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assert find_dual_track_pairs(db) == []
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class TestBuildReconcileReport:
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def test_all_pass_when_both_sides_identical(self, db):
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_add_live_account(db)
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_add_shadow_account(db)
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# 同笔成交(符号口径不同:live 用 600000.SH,shadow 用 600000.XSHG)
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_add_live_trade(db, 5, "510300.SH", "buy", 4.00, 1000, f"{D} 09:35:00")
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_add_paper_trade(db, 39, "510300.XSHG", "long", 4.00, 1000,
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f"{D} 09:35:00", D)
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# 持仓一致
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_add_live_position(db, 5, "510300.SH", 1000)
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_add_paper_position(db, 39, "510300.XSHG", 1000)
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# 净值:月初基线同 100 万,当日同 101 万 → 月偏差 0
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_add_live_balance(db, 5, "2026-08-01", 1_000_000, 0, 1_000_000)
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_add_live_balance(db, 5, D, 10_000, 1_000_000, 1_010_000)
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_add_paper_balance(db, 39, "2026-08-01", 1_000_000, 0, 1_000_000)
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_add_paper_balance(db, 39, D, 10_000, 1_000_000, 1_010_000)
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r = build_reconcile_report(db, 5, 39, D)
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assert r["trades"]["count_match"] is True
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assert r["trades"]["live_count"] == 1 and r["trades"]["shadow_count"] == 1
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assert r["trades"]["rows"][0]["symbol"] == "510300"
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assert r["trades"]["rows"][0]["price_diff_bps"] == pytest.approx(0, abs=1)
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assert r["trades"]["pass_price"] is True
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assert r["positions"]["match"] is True
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assert r["nav"]["mtd_deviation_pct"] == pytest.approx(0, abs=1e-9)
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assert r["passed"] is True
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def test_count_mismatch_fails(self, db):
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_add_live_account(db)
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_add_shadow_account(db)
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_add_live_trade(db, 5, "510300.SH", "buy", 4.00, 1000, f"{D} 09:35:00")
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_add_live_trade(db, 5, "510300.SH", "buy", 4.01, 500, f"{D} 10:00:00")
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_add_paper_trade(db, 39, "510300.XSHG", "long", 4.00, 1500,
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f"{D} 09:35:00", D)
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r = build_reconcile_report(db, 5, 39, D)
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assert r["trades"]["count_match"] is False # 2 vs 1
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def test_price_diff_over_10bps_fails(self, db):
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_add_live_account(db)
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_add_shadow_account(db)
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# 4.004 vs 4.000 = 10bps 边界;4.01 vs 4.00 = 25bps 超限
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_add_live_trade(db, 5, "510300.SH", "buy", 4.01, 1000, f"{D} 09:35:00")
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_add_paper_trade(db, 39, "510300.XSHG", "long", 4.00, 1000,
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f"{D} 09:35:00", D)
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r = build_reconcile_report(db, 5, 39, D)
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assert r["trades"]["rows"][0]["price_diff_bps"] == pytest.approx(25.0, abs=0.5)
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assert r["trades"]["pass_price"] is False
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assert PRICE_DIFF_BPS_MAX == 10
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def test_position_volume_mismatch_detected(self, db):
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_add_live_account(db)
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_add_shadow_account(db)
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_add_live_position(db, 5, "510300.SH", 1000)
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_add_paper_position(db, 39, "510300.XSHG", 800)
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_add_paper_position(db, 39, "159915.XSHE", 500) # 影子多出一只
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r = build_reconcile_report(db, 5, 39, D)
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assert r["positions"]["match"] is False
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vols = {row["symbol"]: row for row in r["positions"]["rows"]}
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assert vols["510300"]["live_volume"] == 1000
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assert vols["510300"]["shadow_volume"] == 800
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assert vols["159915"]["live_volume"] == 0
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def test_nav_mtd_deviation_over_threshold_fails(self, db):
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_add_live_account(db)
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_add_shadow_account(db)
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# live 月内 +1.0%,shadow 月内 -0.6% → 偏差 1.6% > 0.5%
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_add_live_balance(db, 5, "2026-08-01", 1_000_000, 0, 1_000_000)
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_add_live_balance(db, 5, D, 0, 1_010_000, 1_010_000)
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_add_paper_balance(db, 39, "2026-08-01", 1_000_000, 0, 1_000_000)
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_add_paper_balance(db, 39, D, 0, 994_000, 994_000)
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r = build_reconcile_report(db, 5, 39, D)
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assert r["nav"]["mtd_deviation_pct"] == pytest.approx(1.6, abs=0.01)
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assert r["nav"]["pass_nav"] is False
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def test_rejected_shadow_trades_excluded(self, db):
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_add_live_account(db)
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_add_shadow_account(db)
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_add_live_trade(db, 5, "510300.SH", "buy", 4.00, 1000, f"{D} 09:35:00")
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_add_paper_trade(db, 39, "510300.XSHG", "long", 4.00, 1000,
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f"{D} 09:35:00", D)
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with sqlite3.connect(db) as conn: # 影子拒单不应计入笔数
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conn.execute(
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"INSERT INTO paper_trades (account_id,strategy_id,datetime,symbol,"
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"direction,price,volume,rejected,reject_reason,bar_date) "
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"VALUES (39,'channel_test',?,'159915.XSHE','long',2.0,100,1,"
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"'涨停拒买',?)", (f"{D} 13:45:00", D))
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r = build_reconcile_report(db, 5, 39, D)
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assert r["trades"]["shadow_count"] == 1
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class TestPersistReconcileReport:
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def test_save_load_roundtrip_and_upsert(self, db):
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_add_live_account(db)
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_add_shadow_account(db)
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_add_paper_trade(db, 39, "510300.XSHG", "long", 4.0, 100, f"{D} 09:35", D)
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r1 = build_reconcile_report(db, 5, 39, D)
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save_reconcile_report(db, r1)
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r1["passed"] = True # 改一处再存 → upsert 覆盖
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save_reconcile_report(db, r1)
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loaded = load_reconcile_report(db, 5, 39, D)
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assert loaded is not None
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assert loaded["passed"] is True
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rows = load_reconcile_report(db, 5, 39, D, as_row=True)
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assert rows and rows[0]["live_account_id"] == 5
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class TestDailyReconcileHook:
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def test_runs_once_after_close_and_skips_before(self, db):
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"""15:10 前不跑;之后跑一次落库,同日第二次跳过。"""
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from datetime import datetime
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from sanguo_trader.shadow.reconcile_report import load_reconcile_report
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from sanguo_trader.shadow.supervisor import _maybe_daily_reconcile
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_add_live_account(db)
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_add_shadow_account(db)
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_add_live_trade(db, 5, "510300.SH", "buy", 4.0, 1000, f"{D} 09:35:00")
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_add_paper_trade(db, 39, "510300.XSHG", "long", 4.0, 1000,
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f"{D} 09:35:00", D)
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done: set = set()
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# 盘中 14:00 → 不跑
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_maybe_daily_reconcile(db, done, now=datetime(2026, 8, 15, 14, 0))
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assert done == set()
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assert load_reconcile_report(db, 5, 39, D) is None
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# 收盘后 15:30 → 跑并落库
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_maybe_daily_reconcile(db, done, now=datetime(2026, 8, 15, 15, 30))
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assert D in done
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assert load_reconcile_report(db, 5, 39, D) is not None
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# 同日再触发 → 跳过
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_maybe_daily_reconcile(db, done, now=datetime(2026, 8, 15, 16, 0))
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assert done == {D}
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class TestFindPairsByInstance:
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"""2026-08-16 v2 配对:同策略多账户按 instance_id 精确配(不再策略名 dict 收敛)。"""
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def test_same_strategy_multiple_lives_pair_by_instance(self, db):
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"""VPS 实况复刻:live#10/#11 同为 channel_test 不同实例,影子各归各。"""
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with sqlite3.connect(db) as conn:
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conn.executemany(
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"INSERT INTO live_accounts (id,name,account,vt_symbol,strategy_class,"
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"strategy_name,status,instance_id,interval) VALUES (?,?,?,?,?,?,?,?,?)",
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[(10, "live10", "66639661", "all", "channel_test", "s", "running", 4, "15m"),
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(11, "live11", "66639661", "all", "channel_test", "s", "running", 3, "d")],
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)
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conn.executemany(
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"INSERT INTO paper_accounts (id,name,strategy_type,mode,status,symbols,"
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"strategies,instance_id,interval) VALUES (?,?,?,?,?,?,?,?,?)",
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[(44, "sh44", "portfolio", "shadow", "running", '["all"]',
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json.dumps([{"name": "channel_test", "params": {}}]), 4, "15m"),
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(45, "sh45", "portfolio", "shadow", "running", '["all"]',
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json.dumps([{"name": "channel_test", "params": {}}]), 3, "d")],
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)
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pairs = {(p["live_account_id"], p["shadow_account_id"]): p["strategy"]
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for p in find_dual_track_pairs(db)}
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# v1 缺陷:策略名 dict 收敛 → 44/45 都配给 live#11;v2 按 instance 各归各
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assert pairs == {(10, 44): "channel_test", (11, 45): "channel_test"}
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def test_instance_prefers_same_interval(self, db):
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"""同实例不同周期(15m vs d):影子配同周期的 live。"""
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with sqlite3.connect(db) as conn:
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conn.executemany(
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"INSERT INTO live_accounts (id,name,account,vt_symbol,strategy_class,"
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"strategy_name,status,instance_id,interval) VALUES (?,?,?,?,?,?,?,?,?)",
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[(20, "liveA", "66639661", "all", "all_weather", "s", "running", 1, "15m"),
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(21, "liveB", "66639661", "all", "all_weather", "s", "running", 1, "d")],
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)
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conn.execute(
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"INSERT INTO paper_accounts (id,name,strategy_type,mode,status,symbols,"
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"strategies,instance_id,interval) VALUES (?,?,?,?,?,?,?,?,?)",
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(60, "sh60", "portfolio", "shadow", "running", '["all"]',
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json.dumps([{"name": "all_weather", "params": {}}]), 1, "d"),
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)
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pairs = find_dual_track_pairs(db)
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assert pairs == [{"live_account_id": 21, "shadow_account_id": 60,
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"strategy": "all_weather"}]
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# ===== B5 恒等式对账(spec §multi-strategy-instance-budget §B5) =====
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from sanguo_trader.shadow.reconcile_report import ( # noqa: E402
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IDENTITY_TOL_PCT, build_identity_report, load_identity_report,
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save_identity_report,
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)
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def _seed_snapshot(db, account="66639661", cash=1e6, mv=1e6, positions=None):
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from sanguo_live.persistence import upsert_account_snapshot
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upsert_account_snapshot(db, account, cash=cash, market_value=mv,
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total=cash + mv, positions=positions or [])
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def _seed_inst_mv(db, aid, mv, positions=None):
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"""实例账本:live_balance 最新市值 + live_positions 视图。"""
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with sqlite3.connect(db) as conn:
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conn.execute(
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"INSERT INTO live_balance (account_id,date,cash,market_value,total) "
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"VALUES (?,?,?,?,?)", (aid, "2026-08-19 15:00:00", 0, mv, mv))
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for sym, vol in (positions or {}).items():
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conn.execute(
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"INSERT INTO live_positions (account_id,symbol,volume,frozen,"
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"avg_price,updated_at) VALUES (?,?,?,?,?,?)",
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(aid, sym, vol, 0, 10, "x"))
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def test_identity_pass_within_tolerance(db):
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"""Σ实例市值≈快照市值(容差内)→ pass;逐票对账无未归因。"""
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_add_live_account(db, aid=5)
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_seed_snapshot(db, mv=1_000_000, positions=[
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{"symbol": "600036.SH", "volume": 1000, "can_use": 1000,
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"avg_price": 38, "mv": 38000}])
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_seed_inst_mv(db, 5, mv=997_000, positions={"600036.XSHG": 1000})
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r = build_identity_report(db, "2026-08-19")
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assert len(r["rows"]) == 1
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row = r["rows"][0]
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assert row["status"] == "pass" # 0.3% < 0.5% 容差
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assert row["instance_mv_total"] == 997_000
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assert row["unattributed_mv"] == 3_000
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assert row["unattributed_positions"] == [] # 逐票对齐
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assert r["identity_passed"] is True
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def test_identity_unattributed_position_listed(db):
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"""快照有实例没有的票(遗留/手动仓)→ 未归因票单列+超容差 FAIL。"""
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_add_live_account(db, aid=5)
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_seed_snapshot(db, mv=1_000_000, positions=[
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{"symbol": "600036.SH", "volume": 1000, "can_use": 1000,
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"avg_price": 38, "mv": 38000},
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{"symbol": "518880.SH", "volume": 5000, "can_use": 5000,
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"avg_price": 7, "mv": 35000}]) # 黄金ETF=手动仓
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_seed_inst_mv(db, 5, mv=500_000, positions={"600036.XSHG": 1000})
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r = build_identity_report(db)
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row = r["rows"][0]
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assert row["status"] == "unattributed_over_tol"
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assert row["unattributed_mv"] == 500_000
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unattr = row["unattributed_positions"]
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assert [p["symbol"] for p in unattr] == ["518880"]
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assert unattr[0]["diff"] == 5000
|
|
assert r["identity_passed"] is False
|
|
|
|
|
|
def test_identity_instance_over_snapshot_negative(db):
|
|
"""Σ实例>快照(旧全账户行叠加期)→ 未归因为负,如实呈现 FAIL。"""
|
|
_add_live_account(db, aid=5)
|
|
_seed_snapshot(db, mv=1_000_000)
|
|
_seed_inst_mv(db, 5, mv=8_000_000) # dae56e2 前的全账户行
|
|
r = build_identity_report(db)
|
|
assert r["rows"][0]["unattributed_mv"] == -7_000_000
|
|
assert r["rows"][0]["status"] == "unattributed_over_tol"
|
|
|
|
|
|
def test_identity_snapshot_missing_and_no_instances(db):
|
|
"""无快照→snapshot_missing;有快照无实例→no_instances(不算 FAIL)。"""
|
|
_add_live_account(db, aid=5) # 实例无快照
|
|
r = build_identity_report(db)
|
|
assert r["rows"][0]["status"] == "snapshot_missing"
|
|
assert r["identity_passed"] is False
|
|
# 反向:快照在、实例删光(重建期)
|
|
with sqlite3.connect(db) as conn:
|
|
conn.execute("DELETE FROM live_accounts")
|
|
_seed_snapshot(db, mv=1_000_000)
|
|
r2 = build_identity_report(db)
|
|
assert r2["rows"][0]["status"] == "no_instances"
|
|
assert r2["identity_passed"] is True # 无实例=无可归因,恒等式成立
|
|
|
|
|
|
def test_identity_multi_instance_sum(db):
|
|
"""多实例共享账户:Σ逐实例市值。"""
|
|
with sqlite3.connect(db) as conn:
|
|
conn.executemany(
|
|
"INSERT INTO live_accounts (id,name,account,vt_symbol,strategy_class,"
|
|
"strategy_name,status) VALUES (?,?,?,?,?,?,?)",
|
|
[(5, "a", "66639661", "x", "s", "s", "running"),
|
|
(6, "b", "66639661", "x", "s", "s", "running"),
|
|
(7, "c", "OTHER", "x", "s", "s", "running")])
|
|
_seed_snapshot(db, mv=1_000_000)
|
|
_seed_snapshot(db, account="OTHER", mv=500_000)
|
|
_seed_inst_mv(db, 5, 400_000)
|
|
_seed_inst_mv(db, 6, 595_000)
|
|
_seed_inst_mv(db, 7, 500_000)
|
|
r = build_identity_report(db)
|
|
by_acc = {row["account"]: row for row in r["rows"]}
|
|
assert by_acc["66639661"]["instance_mv_total"] == 995_000
|
|
assert by_acc["66639661"]["status"] == "pass"
|
|
assert by_acc["OTHER"]["status"] == "pass"
|
|
assert len(by_acc["66639661"]["instances"]) == 2 # 不串账号
|
|
|
|
|
|
def test_identity_save_load_roundtrip(db):
|
|
_add_live_account(db, aid=5)
|
|
_seed_snapshot(db, mv=1_000_000)
|
|
_seed_inst_mv(db, 5, 1_000_000)
|
|
r = build_identity_report(db, "2026-08-19")
|
|
save_identity_report(db, r)
|
|
loaded = load_identity_report(db, "2026-08-19")
|
|
assert len(loaded) == 1
|
|
assert loaded[0]["status"] == "pass"
|
|
assert loaded[0]["account"] == "66639661"
|
|
assert load_identity_report(db, "1999-01-01") == []
|
|
|
|
|
|
def test_identity_tolerance_constant():
|
|
"""容差 0.5%(spec §B5:价格时点差)。"""
|
|
assert IDENTITY_TOL_PCT == 0.5
|