235 lines
7.3 KiB
Python
235 lines
7.3 KiB
Python
"""matcher.py 撮合纯函数测试（match_session / 费率 / 100 股 / 封板）。
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raw 价格：PREV=10.0 即 raw 前收。
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拒单判断统一用 isinstance(r, PaperReject)（计划修正点：避免 walrus 表达式 bug）。
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"""
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import pandas as pd
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import pytest
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from sanguo_trader.matcher import cross_order
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from sanguo_trader.models import (
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AccountConfig,
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MatchSession,
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OrderSide,
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PaperOrder,
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PaperReject,
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PaperTrade,
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)
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CFG = AccountConfig(initial_capital=1_000_000)
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PREV = 10.0 # raw 前收
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def mkbar(open, high, low, close):
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return pd.Series({"open": open, "high": high, "low": low, "close": close})
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def buy(price=0, volume=100, market=True, session=MatchSession.NEXT_OPEN, symbol="600000"):
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return PaperOrder("s1", symbol, OrderSide.BUY, price, volume, market, session)
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def sell(price=0, volume=100, market=True, session=MatchSession.NEXT_OPEN, symbol="600000"):
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return PaperOrder("s1", symbol, OrderSide.SELL, price, volume, market, session)
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# ---- 撮合时点 ----
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def test_next_open_market_fill_uses_next_open():
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t = cross_order(buy(market=True), mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
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assert isinstance(t, PaperTrade)
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assert t.price == 10.5
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def test_current_close_fill_uses_current_close():
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o = buy(market=True, session=MatchSession.CURRENT_CLOSE)
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t = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
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assert isinstance(t, PaperTrade)
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assert t.price == 10.8
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# ---- 涨跌停封板拒单 ----
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def test_limit_up_one_word_rejects_buy():
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up = 11.0 # 10*1.1
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r = cross_order(buy(market=True), mkbar(up, up, up, up), PREV, CFG)
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assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
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def test_limit_up_t_lock_rejects_buy_conservatively():
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up = 11.0
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r = cross_order(buy(market=True), mkbar(up, up, 10.5, up), PREV, CFG)
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assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
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def test_limit_down_one_word_rejects_sell():
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down = 9.0 # 10*0.9
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r = cross_order(sell(market=True), mkbar(down, down, down, down), PREV, CFG)
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assert isinstance(r, PaperReject) and r.reason == "limit_down_locked"
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def test_gem_board_20pct_limit_up():
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# 创业板 300750，prev 10.00 → 涨停 12.00（20%）
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r = cross_order(
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PaperOrder("s1", "300750", OrderSide.BUY, 0, 100, True),
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mkbar(12.0, 12.0, 12.0, 12.0),
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10.0,
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CFG,
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)
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assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
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def test_star_board_20pct_limit_down():
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# 科创板 688981，prev 10.00 → 跌停 8.00（20%）
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r = cross_order(
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PaperOrder("s1", "688981", OrderSide.SELL, 0, 100, True),
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mkbar(8.0, 8.0, 8.0, 8.0),
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10.0,
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CFG,
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)
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assert isinstance(r, PaperReject) and r.reason == "limit_down_locked"
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def test_bse_board_30pct_limit_up():
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# 北交所 830799，prev 10.00 → 涨停 13.00（30%）
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r = cross_order(
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PaperOrder("s1", "830799", OrderSide.BUY, 0, 100, True),
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mkbar(13.0, 13.0, 13.0, 13.0),
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10.0,
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CFG,
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)
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assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
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def test_st_5pct_limit_up():
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# ST 主板 600000，prev 10.00 → 涨停 10.50（5%）
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r = cross_order(
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buy(market=True, symbol="600000"),
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mkbar(10.50, 10.50, 10.50, 10.50),
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10.0,
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CFG,
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is_st=True,
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)
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assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
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def test_call_auction_session_rejected():
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"""CALL_AUCTION 首版预留，不支持。"""
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o = buy(market=True, session=MatchSession.CALL_AUCTION)
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r = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
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assert isinstance(r, PaperReject) and r.reason == "unsupported_match_session"
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# ---- 限价单触价 ----
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def test_limit_buy_not_touched_rejected():
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o = PaperOrder("s1", "600000", OrderSide.BUY, 10.0, 100, is_market=False)
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# open 10.5 > 委托 10.0 → 触不到
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r = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
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assert isinstance(r, PaperReject) and r.reason == "limit_not_touched"
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def test_limit_buy_touched_fills():
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o = PaperOrder("s1", "600000", OrderSide.BUY, 10.5, 100, is_market=False)
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# open 10.5 <= 委托 10.5 → 成交
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t = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
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assert isinstance(t, PaperTrade) and t.price == 10.5
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def test_limit_sell_not_touched_rejected():
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o = PaperOrder(
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"s1", "600000", OrderSide.SELL, 11.0, 100,
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is_market=False, match_session=MatchSession.CURRENT_CLOSE,
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)
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# close 10.8 < 委托 11.0 → 卖不出
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r = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
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assert isinstance(r, PaperReject) and r.reason == "limit_not_touched"
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# ---- 100 股取整（买入）----
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def test_buy_rounds_down_to_100():
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t = cross_order(
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PaperOrder("s1", "600000", OrderSide.BUY, 0, 250, True),
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mkbar(10, 10, 10, 10),
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PREV,
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CFG,
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)
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assert isinstance(t, PaperTrade) and t.volume == 200
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def test_buy_below_100_rejected():
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r = cross_order(
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PaperOrder("s1", "600000", OrderSide.BUY, 0, 50, True),
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mkbar(10, 10, 10, 10),
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PREV,
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CFG,
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)
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assert isinstance(r, PaperReject) and r.reason == "volume_below_min_lot"
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def test_sell_odd_lot_allowed():
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"""卖出允许零股（退出持仓基本操作），不取整。"""
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t = cross_order(
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PaperOrder("s1", "600000", OrderSide.SELL, 0, 50, True),
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mkbar(10, 10, 10, 10),
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PREV,
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CFG,
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)
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assert isinstance(t, PaperTrade) and t.volume == 50
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# ---- 费用 ----
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def test_commission_uses_min_5_yuan():
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# 100 股 × 10 元 × 0.0003 = 0.3 → 不足 5 元，收 5
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t = cross_order(buy(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
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assert isinstance(t, PaperTrade)
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assert t.commission == 5.0
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def test_commission_above_min():
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# 1000 股 × 10 元 × 0.0003 = 3 → 仍 < 5；用 5000 股 × 10 = 50000 × 0.0003 = 15
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t = cross_order(
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PaperOrder("s1", "600000", OrderSide.BUY, 0, 5000, True),
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mkbar(10, 10, 10, 10),
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PREV,
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CFG,
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)
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assert isinstance(t, PaperTrade)
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assert t.commission == pytest.approx(15.0)
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def test_stamp_duty_only_on_sell():
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t_buy = cross_order(buy(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
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assert isinstance(t_buy, PaperTrade)
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assert t_buy.stamp_duty == 0.0
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t_sell = cross_order(sell(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
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assert isinstance(t_sell, PaperTrade)
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# 100*10*0.0005 = 0.5
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assert t_sell.stamp_duty == pytest.approx(0.5)
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def test_transfer_fee_single_sided_in_trade():
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t = cross_order(buy(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
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assert isinstance(t, PaperTrade)
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# 单边 100*10*0.00001 = 0.01；trade 里存单边，Account 算 ×2
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assert t.transfer_fee == pytest.approx(0.01)
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def test_trade_carries_match_session():
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t = cross_order(
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buy(market=True, session=MatchSession.CURRENT_CLOSE),
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mkbar(10.5, 11, 10.2, 10.8),
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PREV,
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CFG,
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)
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assert isinstance(t, PaperTrade)
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assert t.match_session == MatchSession.CURRENT_CLOSE
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def test_trade_carries_strategy_id_and_symbol():
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t = cross_order(
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PaperOrder("my_strat", "300750", OrderSide.BUY, 0, 100, True),
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mkbar(10, 10, 10, 10),
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10.0,
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CFG,
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)
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assert isinstance(t, PaperTrade)
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assert t.strategy_id == "my_strat"
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assert t.symbol == "300750"
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