claude_dev
ab703e93ba
CALL_AUCTION枚举原拒单(unsupported), 现撮合用开盘价(open, 集合竞价确定开盘价). 当前定价同NEXT_OPEN(均为open); 未来区分开盘/尾盘集合竞价需扩枚举. test: call_auction fills@open(原rejected用例改).
332 lines
11 KiB
Python
332 lines
11 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_fills_at_open():
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"""集合竞价撮合用开盘价（最大成交量原则 → open，分期项）。"""
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o = buy(market=True, session=MatchSession.CALL_AUCTION)
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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 == 10.5 # 集合竞价开盘价 = open
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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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# ---- 科创板 200 股最小手数（分期项）----
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def test_star_buy_below_200_rejected():
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"""科创板 688981 买 150 股 < 200 → 拒单（200 股起）。"""
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r = cross_order(
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PaperOrder("s1", "688981", OrderSide.BUY, 0, 150, 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_star_buy_250_not_rounded_to_200():
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"""科创板 688981 买 250 股 → ≥200，1 股递增不取整，成交 250（非主板 100 整倍）。"""
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t = cross_order(
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PaperOrder("s1", "688981", 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 == 250
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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_double_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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# 双向 100*10*0.00001*2 = 0.02；matcher 直接出双向总额
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assert t.transfer_fee == pytest.approx(0.02)
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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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# ---- H4: 限价超涨停 / 跌停未拒 ----
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def test_limit_buy_above_limit_up_rejected():
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"""限价买单价格超涨停 → reject price_above_limit（触价检查前先查涨跌停）。"""
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# 主板 600000 prev 10.0 → 涨停 11.0；限价 11.50 超涨停
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o = PaperOrder("s1", "600000", OrderSide.BUY, 11.50, 100, is_market=False)
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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 == "price_above_limit"
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def test_limit_sell_below_limit_down_rejected():
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"""限价卖单价格低于跌停 → reject price_below_limit。"""
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# 主板 600000 prev 10.0 → 跌停 9.0；限价 8.50 跌破
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o = PaperOrder("s1", "600000", OrderSide.SELL, 8.50, 100, is_market=False)
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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 == "price_below_limit"
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def test_limit_buy_at_limit_up_not_rejected():
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"""限价 == 涨停价 不拒（严格 >，等号允许）。"""
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o = PaperOrder("s1", "600000", OrderSide.BUY, 11.0, 100, is_market=False)
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t = cross_order(o, mkbar(10.8, 11.0, 10.5, 10.9), PREV, CFG)
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assert isinstance(t, PaperTrade) and t.price == 10.8
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def test_limit_buy_above_gem_limit_up_rejected():
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"""创业板 20% 涨停边界：300750 prev 10.0 → 涨停 12.0；限价 12.50 拒单。"""
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o = PaperOrder("s1", "300750", OrderSide.BUY, 12.50, 100, is_market=False)
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r = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), 10.0, CFG)
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assert isinstance(r, PaperReject) and r.reason == "price_above_limit"
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# ---- H2: slippage 应用到 fill_price ----
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def test_slippage_added_to_buy_fill():
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"""买单 fill_price += slippage。"""
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cfg = AccountConfig(initial_capital=1_000_000, slippage=0.05)
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t = cross_order(buy(market=True), mkbar(10.0, 10, 10, 10), PREV, cfg)
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assert isinstance(t, PaperTrade)
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assert t.price == pytest.approx(10.05)
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def test_slippage_subtracted_from_sell_fill():
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"""卖单 fill_price -= slippage。"""
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cfg = AccountConfig(initial_capital=1_000_000, slippage=0.05)
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t = cross_order(sell(market=True), mkbar(10.0, 10, 10, 10), PREV, cfg)
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assert isinstance(t, PaperTrade)
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assert t.price == pytest.approx(9.95)
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def test_zero_slippage_preserves_fill_price():
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"""默认 slippage=0 → fill_price 不变（向后兼容）。"""
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t = cross_order(buy(market=True), mkbar(10.0, 10, 10, 10), PREV, CFG)
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assert isinstance(t, PaperTrade)
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assert t.price == 10.0
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def test_slippage_affects_gross_for_fees():
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"""slippage 后的 fill_price 用于费用计算（更真实）。"""
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cfg = AccountConfig(initial_capital=1_000_000, slippage=0.05)
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t = cross_order(sell(market=True), mkbar(10.0, 10, 10, 10), PREV, cfg)
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assert isinstance(t, PaperTrade)
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# 卖单：fill=9.95，gross=100*9.95=995.0
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# stamp_duty = 995.0 * 0.0005 = 0.4975
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assert t.stamp_duty == pytest.approx(995.0 * 0.0005)
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# ---- H3: 过户费双向（已有 test_transfer_fee_double_sided_in_trade 重命名断言更新）----
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def test_transfer_fee_double_sided_on_sell_too():
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"""卖单过户费同样双向（沪深一致）。"""
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t = cross_order(sell(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
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assert isinstance(t, PaperTrade)
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assert t.transfer_fee == pytest.approx(0.02)
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