claude_dev
e5e4eef807
- Account: cash资金T0/合并持仓/equity盯市/cash_enough买单检查 - StrategyRunner: 分户持仓+realized_pnl归因/unrealized_pnl - transfer_fee 直接用(matcher已双向,不再×2,review H3) - unfreeze_all 对称(总账+分户,T+1每日解冻) 7 tests passed.
88 lines
3.4 KiB
Python
88 lines
3.4 KiB
Python
"""Account + StrategyRunner 双层记账测试（spec §7）。"""
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import pytest
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from sanguo_trader.account import Account
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from sanguo_trader.strategy_runner import StrategyRunner
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from sanguo_trader.models import MatchSession, OrderSide, PaperTrade
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def mktrade(side, price=10.0, volume=100, commission=5.0, stamp=0.0,
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transfer_fee=0.02, strategy_id="s1", symbol="600000"):
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return PaperTrade(
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strategy_id, symbol, side, price, volume, commission,
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stamp, transfer_fee, "", MatchSession.NEXT_OPEN,
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)
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def test_capital_t0_sell_then_buy_immediately():
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"""资金 T+0：卖出现金立即可用于再买。"""
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acc = Account(initial_capital=1_000_000)
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acc.apply_trade(mktrade(OrderSide.BUY, price=10.0, volume=100))
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acc.unfreeze_all()
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cash_after_buy = acc.cash
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acc.apply_trade(mktrade(OrderSide.SELL, price=11.0, volume=100, stamp=0.55))
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assert acc.cash > cash_after_buy # 卖出后现金立即增加
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assert acc.cash_enough(mktrade(OrderSide.BUY, price=11.0, volume=50)) # 可立即再买
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def test_share_t1_buy_frozen_until_unfreeze():
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"""股票 T+1：买入当日 frozen，unfreeze 后才可卖。"""
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acc = Account(initial_capital=1_000_000)
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acc.apply_trade(mktrade(OrderSide.BUY, volume=100))
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pos = acc.positions["600000"]
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assert pos.frozen == 100
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assert pos.available == 0
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acc.unfreeze_all()
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assert pos.available == 100
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def test_cash_enough_insufficient_rejected():
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acc = Account(initial_capital=1000)
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# cost = 10*100 + 5 + 0.02 = 1005.02 > 1000
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assert acc.cash_enough(mktrade(OrderSide.BUY, price=10.0, volume=100)) is False
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def test_transfer_fee_not_doubled_on_buy():
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"""review H3：matcher 出双向 transfer_fee，Account 直接用不再 ×2。"""
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acc = Account(initial_capital=1_000_000)
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acc.apply_trade(mktrade(OrderSide.BUY, price=10.0, volume=100, transfer_fee=0.02))
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assert acc.cash == pytest.approx(1_000_000 - 1005.02)
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def test_double_entry_account_equals_sum_of_runners():
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"""双层记账一致性：总账持仓 = 各分户持仓之和。"""
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acc = Account(initial_capital=1_000_000)
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r1 = StrategyRunner("s1")
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r2 = StrategyRunner("s2")
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t1 = mktrade(OrderSide.BUY, volume=100, strategy_id="s1")
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t2 = mktrade(OrderSide.BUY, volume=200, strategy_id="s2")
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for t in (t1, t2):
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acc.apply_trade(t)
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r1.apply_trade(t1)
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r2.apply_trade(t2)
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assert acc.positions["600000"].volume == 300
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assert r1.positions["600000"].volume + r2.positions["600000"].volume == 300
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def test_runner_realized_pnl_on_sell():
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acc = Account(initial_capital=1_000_000)
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runner = StrategyRunner("s1")
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buy_t = mktrade(OrderSide.BUY, price=10.0, volume=100, strategy_id="s1")
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acc.apply_trade(buy_t)
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runner.apply_trade(buy_t)
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acc.unfreeze_all()
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runner.unfreeze_all()
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sell_t = mktrade(OrderSide.SELL, price=12.0, volume=100, stamp=0.6, strategy_id="s1")
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acc.apply_trade(sell_t)
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runner.apply_trade(sell_t)
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# (12-10)*100 - 5(佣) - 0.6(印) - 0.02(过) = 194.38
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assert runner.realized_pnl == pytest.approx(194.38)
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def test_equity_mark_to_market():
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acc = Account(initial_capital=1_000_000)
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acc.apply_trade(mktrade(OrderSide.BUY, price=10.0, volume=100))
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acc.unfreeze_all()
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acc.mark_to_market({"600000": 11.0})
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assert acc.market_value == pytest.approx(1100.0)
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assert acc.equity == pytest.approx(acc.cash + 1100.0)
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