claude_dev
e2dc473682
根因(代码级实锤): broker._ref_price 优先用下单传入price,而市价单的price是保护性委托上限(策略侧行情×1.015,BrokerBase契明文'可用作保护价/参考价'非期望成交价)→影子每笔买入虚高~1.5%,卖侧对称低~1.5%。08-24证据三连:momentum/small_cap首次真实成交日25票价差紧聚-150bps(-112~-189);卖侧510500同样-1.54%(排除'晚一根bar随行情'解释);级联=虚价吃掉影子现金6k+→002038买第6只差1678元资金不足拒单(shadow_60日志)。排除用户初判的滑点/费率参数不一致(影子账户slippage=0.0费率正常)。回测/实走无此问题(matcher.py按bar开收价,另一套)。 修: _ref_price(security,price,market)——市价单成交基准=price_getter实时行情,行情不可得退回委托价(告警,可用性优先);限价单沿用传入价(触价语义,旧行为);buy/sell补市价转限价封顶(行情超保护上限按上限成交不追高,卖侧对称)。 +5测试(市价买卖按行情/超上限封顶/无行情退委托价/限价语义不变),trader 254绿+api 171绿。
392 lines
16 KiB
Python
392 lines
16 KiB
Python
"""ShadowBroker(影子柜台本地撮合)单元测试。
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纯逻辑测试:不依赖 bullet_trade/xtquant,价格由固定 price_getter 注入。
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"""
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from __future__ import annotations
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import asyncio
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from datetime import datetime
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import pytest
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from sanguo_trader.shadow.broker import ShadowBroker
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def _mk_broker(cash: float = 100_000.0, **kw) -> ShadowBroker:
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prices = kw.pop("prices", {"600519.SH": 100.0})
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fixed_now = kw.pop("now", datetime(2026, 8, 14, 10, 0, 0))
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return ShadowBroker(
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initial_cash=cash,
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price_getter=lambda s: prices.get(s),
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now_provider=lambda: fixed_now,
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**kw,
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)
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def _buy(b: ShadowBroker, sec: str, amt: int, px: float | None = None, **kw):
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return asyncio.run(b.buy(sec, amt, px, **kw))
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def _sell(b: ShadowBroker, sec: str, amt: int, px: float | None = None, **kw):
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return asyncio.run(b.sell(sec, amt, px, **kw))
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def test_buy_fills_with_commission_and_slippage():
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b = _mk_broker(cash=100_000, slippage=0.001, commission_rate=0.0003, min_commission=5)
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oid = _buy(b, "600519.SH", 100)
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assert b.orders[oid]["status"] == "filled"
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fill = b.orders[oid]["filled_price"]
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assert fill == pytest.approx(100.0 * 1.001, abs=0.01) # 买入上浮滑点
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# 现金扣减 = 全额 + 佣金(低于最低佣金取 5 元)
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commission = max(100 * fill * 0.0003, 5.0)
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assert b.cash == pytest.approx(100_000 - 100 * fill - commission)
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assert b.positions["600519.SH"]["amount"] == 100
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assert b.positions["600519.SH"]["avg_cost"] == pytest.approx(fill)
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def test_sell_charges_stamp_duty_and_slippage_down():
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b = _mk_broker(cash=100_000, slippage=0.001, stamp_duty_rate=0.001)
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_buy(b, "600519.SH", 200, px=100.0) # 固定委托价,滑点仍生效
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cash_after_buy = b.cash
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# T+1:当日买入不可卖 → 先模拟次日(before_open 清锁)
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b.before_open()
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oid = _sell(b, "600519.SH", 200, px=100.0)
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assert b.orders[oid]["status"] == "filled"
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fill = b.orders[oid]["filled_price"]
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assert fill == pytest.approx(100.0 * 0.999, abs=0.01) # 卖出下压滑点
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gross = 200 * fill
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commission = max(gross * 0.0003, 5.0)
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stamp = gross * 0.001
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assert b.cash == pytest.approx(cash_after_buy + gross - commission - stamp)
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assert "600519.SH" not in b.positions # 清仓移除
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def test_t1_blocks_same_day_sell():
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b = _mk_broker()
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_buy(b, "600519.SH", 200, px=100.0)
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oid = _sell(b, "600519.SH", 200, px=100.0) # 当日卖 → 拒
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assert b.orders[oid]["status"] == "rejected"
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assert "T+1" in b.orders[oid]["reject_reason"]
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# 次日可卖
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b.before_open()
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oid2 = _sell(b, "600519.SH", 200, px=100.0)
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assert b.orders[oid2]["status"] == "filled"
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def test_insufficient_cash_rejects():
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b = _mk_broker(cash=5_000)
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oid = _buy(b, "600519.SH", 100) # 需约 1 万
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assert b.orders[oid]["status"] == "rejected"
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assert "资金不足" in b.orders[oid]["reject_reason"]
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assert b.cash == 5_000 # 拒单不动账
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def test_odd_lot_floors_to_100():
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b = _mk_broker(cash=1_000_000)
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oid = _buy(b, "600519.SH", 250) # → 200
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assert b.orders[oid]["status"] == "filled"
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assert b.orders[oid]["filled_amount"] == 200
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oid2 = _buy(b, "600519.SH", 50) # 不足一手 → 拒
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assert b.orders[oid2]["status"] == "rejected"
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def test_no_price_rejects():
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b = _mk_broker(prices={})
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oid = _buy(b, "600519.SH", 100)
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assert b.orders[oid]["status"] == "rejected"
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assert "无参考价" in b.orders[oid]["reject_reason"]
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# ---- 市价单成交基准=实时行情(2026-08-24 双轨 4/6 红根因回归) ----
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def test_market_buy_fills_at_quote_not_protective_price():
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"""市价单带的 price 是保护上限(策略侧行情×1.015),成交基准必须是实时行情。
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08-24 实锤:momentum/small_cap 首次真实成交日,影子按保护价记账 → 25 票
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价差紧聚 -150bps + 级联现金虚耗 → 002038 影子资金不足漏买,双轨 4/6 红。
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BrokerBase 契约(bullet_trade/broker/base.py):market=True 时 price 亦视为
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市价,可用作保护价/参考价——不是期望成交价。
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"""
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b = _mk_broker(cash=1_000_000, slippage=0.0)
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oid = _buy(b, "600519.SH", 100, px=101.5, market=True)
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assert b.orders[oid]["status"] == "filled"
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assert b.orders[oid]["filled_price"] == pytest.approx(100.0) # 行情价,非 101.5
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def test_market_sell_fills_at_quote_not_protective_floor():
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"""卖侧对称:保护下限不作成交价(08-24 实锤 510500 影子卖 7.64 vs 实盘 7.76)。"""
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b = _mk_broker(cash=1_000_000, slippage=0.0)
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_buy(b, "600519.SH", 100, px=100.0)
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b.before_open()
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oid = _sell(b, "600519.SH", 100, px=98.5, market=True)
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assert b.orders[oid]["status"] == "filled"
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assert b.orders[oid]["filled_price"] == pytest.approx(100.0) # 行情价,非 98.5
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def test_market_buy_quote_beyond_protective_cap_fills_at_cap():
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"""行情已超保护上限(决策到成交间快速拉升):按上限成交(市价转限价语义),不追高。"""
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b = _mk_broker(cash=1_000_000, slippage=0.0, prices={"600519.SH": 105.0})
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oid = _buy(b, "600519.SH", 100, px=101.5, market=True)
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assert b.orders[oid]["filled_price"] == pytest.approx(101.5)
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def test_market_order_no_quote_falls_back_to_protective_price():
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"""行情不可得:退回委托价(告警)而非拒单——可用性优先,影子不因缺行情停摆。"""
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b = _mk_broker(cash=1_000_000, slippage=0.0, prices={})
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oid = _buy(b, "600519.SH", 100, px=101.5, market=True)
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assert b.orders[oid]["status"] == "filled"
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assert b.orders[oid]["filled_price"] == pytest.approx(101.5)
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def test_limit_order_keeps_passed_price_semantics():
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"""限价单(market=False)沿用传入价——触价语义不变。"""
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b = _mk_broker(cash=1_000_000, slippage=0.0)
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oid = _buy(b, "600519.SH", 100, px=99.0)
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assert b.orders[oid]["status"] == "filled"
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assert b.orders[oid]["filled_price"] == pytest.approx(99.0)
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# ---- P1.3 涨跌停/停牌拒单(双轨对账:与实盘 QMT 约束对齐,减少对账噪音) ----
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def _limit_map_getter(status: dict):
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return lambda sec: status.get(sec)
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def test_buy_rejected_when_limit_up():
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b = _mk_broker(limit_getter=_limit_map_getter({
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"600519.SH": {"is_limit_up": True, "is_limit_down": False, "is_paused": False},
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}))
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oid = _buy(b, "600519.SH", 100)
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assert b.orders[oid]["status"] == "rejected"
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assert "涨停" in b.orders[oid]["reject_reason"]
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assert "600519.SH" not in b.positions
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def test_sell_rejected_when_limit_down():
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b = _mk_broker(limit_getter=_limit_map_getter({
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"600519.SH": {"is_limit_up": False, "is_limit_down": True, "is_paused": False},
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}))
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_buy(b, "600519.SH", 100, px=100.0) # 买入时非跌停
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oid = _sell(b, "600519.SH", 100)
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assert b.orders[oid]["status"] == "rejected"
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assert "跌停" in b.orders[oid]["reject_reason"]
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assert b.positions["600519.SH"]["amount"] == 100
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def test_buy_sell_rejected_when_paused():
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b = _mk_broker(limit_getter=_limit_map_getter({
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"600519.SH": {"is_limit_up": False, "is_limit_down": False, "is_paused": True},
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}))
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oid = _buy(b, "600519.SH", 100)
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assert b.orders[oid]["status"] == "rejected"
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assert "停牌" in b.orders[oid]["reject_reason"]
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def test_limit_getter_failure_degrades_to_fill():
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"""limit_getter 抛异常 → 降级放行(等价无涨跌停数据的旧行为),不崩柜台。"""
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def boom(sec):
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raise RuntimeError("boom")
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b = _mk_broker(limit_getter=boom)
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oid = _buy(b, "600519.SH", 100)
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assert b.orders[oid]["status"] == "filled"
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def test_no_limit_getter_keeps_old_behavior():
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b = _mk_broker() # 不注入 limit_getter
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oid = _buy(b, "600519.SH", 100)
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assert b.orders[oid]["status"] == "filled"
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# ---- build_limit_getter:provider 状态 → broker 语义映射 ----
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def test_limit_getter_maps_live_current_limit_up():
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from sanguo_trader.shadow.runner import build_limit_getter
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class P:
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def get_live_current(self, sec):
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# last_price == high_limit → 涨停
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return {"last_price": 11.0, "high_limit": 11.0,
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"low_limit": 9.0, "paused": False}
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g = build_limit_getter(P())
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assert g("600519.SH") == {"is_limit_up": True, "is_limit_down": False,
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"is_paused": False}
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def test_limit_getter_falls_back_to_batch_when_no_live_current():
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from sanguo_trader.shadow.runner import build_limit_getter
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class P:
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def get_limit_status_batch(self, codes, date):
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return {c: {"is_limit_up": False, "is_limit_down": True,
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"is_paused": False} for c in codes}
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g = build_limit_getter(P())
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assert g("600519.SH")["is_limit_down"] is True
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def test_limit_getter_returns_none_without_any_source():
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from sanguo_trader.shadow.runner import build_limit_getter
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g = build_limit_getter(object()) # 两接口都没有
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assert g("600519.SH") is None
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def test_on_trade_callback_receives_fills():
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seen: list[dict] = []
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b = ShadowBroker(
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initial_cash=100_000,
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price_getter=lambda s: 10.0,
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on_trade=seen.append,
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)
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_buy(b, "600519.SH", 100)
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assert len(seen) == 1
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t = seen[0]
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assert t["side"] == "buy" and t["amount"] == 100 and t["price"] == pytest.approx(10.0)
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def test_get_account_info_totals():
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b = _mk_broker(cash=100_000)
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_buy(b, "600519.SH", 100, px=100.0)
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info = b.get_account_info()
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assert info["available_cash"] == pytest.approx(100_000 - 100 * 100.0 - max(100 * 100 * 0.0003, 5))
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assert info["market_value"] == pytest.approx(100 * 100.0) # price_getter=100
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assert info["total_value"] == pytest.approx(info["available_cash"] + info["market_value"])
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def test_avg_cost_weighted_on_second_buy():
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b = _mk_broker(cash=1_000_000, slippage=0.0)
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_buy(b, "600519.SH", 100, px=100.0)
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_buy(b, "600519.SH", 100, px=110.0)
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pos = b.positions["600519.SH"]
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assert pos["amount"] == 200
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assert pos["avg_cost"] == pytest.approx(105.0)
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def test_cancel_always_false_and_open_orders_empty():
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b = _mk_broker()
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_buy(b, "600519.SH", 100, px=100.0)
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assert asyncio.run(b.cancel_order("whatever")) is False
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assert b.get_open_orders() == [] # 即时成交,无挂单
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def test_live_engine_protocol_compat():
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"""LiveEngine 0.9.2 duck-typed 协议完整性(2026-08-14 VPS 实况教训:
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缺 supports_account_sync → 引擎 _start_background_jobs 启动即崩,影子进程崩溃循环)。"""
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from sanguo_trader.shadow.broker import ShadowBroker
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b = ShadowBroker()
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for attr in (
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"connect", "disconnect", "is_connected", "heartbeat",
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"before_open", "after_close", "cleanup",
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"supports_account_sync", "supports_orders_sync",
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"sync_account", "sync_orders",
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"get_account_info", "get_positions", "get_open_orders",
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):
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assert hasattr(b, attr), f"LiveEngine 需要 broker.{attr}, ShadowBroker 缺失"
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# 2026-08-19 起:账户同步必须开(引擎 context.portfolio 只认 sync_account
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# 快照,关闭=策略永远看到初始资金/0 持仓,次日轮换零卖出+买单全拒)
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assert b.supports_account_sync() is True
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assert b.supports_orders_sync() is False
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assert b.sync_orders() == []
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b.cleanup() # 不抛异常
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def test_sync_account_pushes_ledger_to_engine_contract():
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"""账户同步快照符合 _apply_account_snapshot 契约,T+1 买入锁定进 closeable。
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2026-08-19 VPS 实况回归:断连导致影子第 2 天轮换六连拒"资金不足"。
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"""
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b = _mk_broker(cash=100_000, slippage=0.0, commission_rate=0.0, min_commission=0)
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_buy(b, "600519.SH", 200, px=100.0)
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_buy(b, "000001.SZ", 100, px=10.0)
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assert b.supports_account_sync() is True
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snap = b.sync_account()
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assert snap["available_cash"] == pytest.approx(100_000 - 200 * 100 - 100 * 10)
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by_sec = {p["security"]: p for p in snap["positions"]}
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assert set(by_sec) == {"600519.SH", "000001.SZ"}
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# 当日买入:T+1 全部锁定不可卖
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assert by_sec["600519.SH"]["closeable_amount"] == 0
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assert by_sec["600519.SH"]["amount"] == 200
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assert by_sec["600519.SH"]["avg_cost"] == pytest.approx(100.0)
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assert by_sec["600519.SH"]["market_value"] == pytest.approx(200 * 100.0)
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# 次日(before_open 清锁)后可卖
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b.before_open()
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snap2 = b.sync_account()
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by_sec2 = {p["security"]: p for p in snap2["positions"]}
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assert by_sec2["600519.SH"]["closeable_amount"] == 200
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def test_get_account_info_asof_drives_daily_balance():
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"""as_of 判据:有持仓/有成交→今天(快照线程才肯写 paper_daily_balance),
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空账户→''(不写垃圾行)。2026-08-19 VPS 实况回归:缺 as_of 键→净值一行不写。"""
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today = "2026-08-14" # _mk_broker 固定 now
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b = _mk_broker()
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assert b.get_account_info().get("as_of") == "" # 新账户:无持仓无成交
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_buy(b, "600519.SH", 100, px=100.0)
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assert b.get_account_info()["as_of"] == today
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b2 = _mk_broker() # 只有历史成交、已清仓:也应有 as_of(现金即净值)
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b2.trades.append({"side": "sell", "security": "X", "amount": 1,
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"price": 1.0, "commission": 0, "stamp_duty": 0,
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"datetime": f"{today} 10:00:00"})
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assert b2.get_account_info()["as_of"] == today
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def test_restore_from_trades_rebuilds_cash_positions_and_t1():
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"""重启恢复:从落库成交重放出现金/持仓/加权成本/当日 T+1 锁定。
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手算基准:1,000,000 起步
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buy 600519.SH 100@10 fee5 → -1005
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buy 600519.SH 200@12 fee5 → -2405 (持仓300,avg=(1000+2400)/300)
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sell 600519.SH 100@11 fee5+stamp2 → +1093
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终态 cash=996,683,持仓 200@11.3333
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"""
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today = "2026-08-14"
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b = _mk_broker(cash=1_000_000) # 固定 now=2026-08-14 10:00
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trades = [
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{"side": "buy", "security": "600519.SH", "amount": 100, "price": 10.0,
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"commission": 5.0, "stamp_duty": 0.0, "datetime": f"{today} 09:35:00"},
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{"side": "buy", "security": "600519.SH", "amount": 200, "price": 12.0,
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"commission": 5.0, "stamp_duty": 0.0, "datetime": f"{today} 09:36:00"},
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{"side": "sell", "security": "600519.SH", "amount": 100, "price": 11.0,
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"commission": 5.0, "stamp_duty": 2.0, "datetime": f"{today} 13:45:00"},
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]
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b.restore_from_trades(trades)
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assert b.cash == pytest.approx(1_000_000 - 1005 - 2405 + 1093)
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assert b.positions["600519.SH"]["amount"] == 200
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assert b.positions["600519.SH"]["avg_cost"] == pytest.approx(3400 / 300)
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assert len(b.trades) == 3
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# 当日买入共 300 股 → T+1 锁定后 closeable = 200-300 → 0
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snap = b.sync_account()
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pos = {p["security"]: p for p in snap["positions"]}["600519.SH"]
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assert pos["closeable_amount"] == 0
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# 隔日重放(成交日期非今天) → 不锁
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b2 = _mk_broker()
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b2.restore_from_trades([
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{"side": "buy", "security": "600519.SH", "amount": 100, "price": 10.0,
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"commission": 5.0, "stamp_duty": 0.0, "datetime": "2026-08-13 09:35:00"}])
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snap2 = b2.sync_account()
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assert snap2["positions"][0]["closeable_amount"] == 100
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def test_hist_trades_mapping_offset_to_side():
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"""runner 恢复链路契约:paper_trades 行(offset=open/close)→ buy/sell。"""
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from sanguo_trader.shadow.runner import _hist_trades_for_restore
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rows = [
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{"symbol": "600519.XSHG", "offset": "open", "volume": 100,
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"price": 10.0, "commission": 5.0, "stamp_duty": 0.0,
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"datetime": "2026-08-18 09:35:00"},
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{"symbol": "600519.XSHG", "offset": "close", "volume": 100,
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"price": 11.0, "commission": 5.0, "stamp_duty": 2.0,
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"datetime": "2026-08-19 13:45:00"},
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]
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hist = _hist_trades_for_restore(rows)
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assert hist[0]["side"] == "buy"
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assert hist[1]["side"] == "sell"
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assert hist[0]["security"] == "600519.XSHG"
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assert hist[1]["amount"] == 100
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