claude_dev
c6b19f4244
用户要模拟=回测准确: raw除权缺口致MA假信号, 必须双源。
- data_source: qfq→qfq_dir(干净qfq), raw→raw_dir; _check_adjust_cfg(cfg提供才校验)
- engine 双bar流: step(raw_bars,qfq_bars)撮合/盯市raw+策略on_bar qfq; run zip(raw,qfq)
- live_orchestrator: warmup用qfq(信号am); 去adjust参数(双源固定)
- raw_redownload --adjust(''raw/'qfq'); config qfq_dir
- 113/113通过
94 lines
3.5 KiB
Python
94 lines
3.5 KiB
Python
"""data_source 测试（mock _read_fn，不依赖 vnpy 链，spec §5/§3.3）。
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read_parquet 的真测试依赖 vnpy BarData + NAS parquet，本机无完整依赖，
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在容器内冒烟（spec §17）；本文件测 iter_bars 调度逻辑（adjust → dir_key 路由）。
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"""
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import logging
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from datetime import datetime
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from types import SimpleNamespace
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import pytest
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from sanguo_trader.data_source import iter_bars, fetch_day
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def _mock_bar(sym: str, date_str: str, close: float):
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return SimpleNamespace(
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symbol=sym,
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datetime=datetime.strptime(date_str, "%Y-%m-%d"),
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close_price=close,
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)
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def _cfg(paths):
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return SimpleNamespace(data_paths=paths)
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def test_iter_bars_cross_section_multi_symbol(monkeypatch):
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seen = []
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def mock_read(sym, start, end, cfg, dir_key):
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seen.append(dir_key)
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return [_mock_bar(sym, "2024-01-02", 10.5 if sym == "600000" else 15.5)]
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monkeypatch.setattr("sanguo_trader.data_source._read_fn", lambda iv: mock_read)
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sections = list(iter_bars(["600000", "000001"], "2024-01-01", "2024-01-31", "d"))
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assert len(sections) == 1
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_date, d = sections[0]
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assert d["600000"].close_price == 10.5
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assert all(k == "qfq_dir" for k in seen) # 默认 qfq → qfq_dir（双源）
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def test_iter_bars_raw_uses_raw_dir(monkeypatch, caplog):
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"""raw 模式路由到 raw_dir，不再 fallback qfq（task #79）。"""
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seen = []
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def mock_read(sym, start, end, cfg, dir_key):
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seen.append(dir_key)
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return [_mock_bar(sym, "2024-01-02", 10.01)]
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monkeypatch.setattr("sanguo_trader.data_source._read_fn", lambda iv: mock_read)
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with caplog.at_level(logging.WARNING):
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sections = list(iter_bars(
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["600000"], "2024-01-01", "2024-01-31", "d",
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adjust="raw", cfg=_cfg({"raw_dir": "/x/raw"}),
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))
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assert seen == ["raw_dir"] # raw → raw_dir
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assert "fallback" not in caplog.text.lower()
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assert sections[0][1]["600000"].close_price == 10.01
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def test_iter_bars_raw_missing_dir_raises(monkeypatch):
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"""raw 缺 raw_dir 配置 → 明确报错（不静默 fallback，防混源）。"""
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monkeypatch.setattr(
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"sanguo_trader.data_source._read_fn",
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lambda iv: lambda s, st, e, c, dir_key: [],
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)
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with pytest.raises(ValueError, match="raw_dir"):
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list(iter_bars(["600000"], "2024-01-01", "2024-01-31", "d",
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adjust="raw", cfg=_cfg({})))
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def test_iter_bars_raw_15min_unsupported(monkeypatch):
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"""raw 仅日线；15min+raw 报错（raw 15min 待分期项）。"""
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monkeypatch.setattr(
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"sanguo_trader.data_source._read_fn",
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lambda iv: lambda s, st, e, c, dir_key: [],
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)
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with pytest.raises(ValueError, match="日线"):
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list(iter_bars(["600000"], "2024-01-01", "2024-01-31", "15m",
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adjust="raw", cfg=_cfg({"raw_dir": "/x"})))
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def test_unsupported_interval_rejected():
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with pytest.raises(ValueError):
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# _read_fn 在生成器首次 next 时才执行，用 list 触发
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list(iter_bars(["600000"], "2024-01-01", "2024-01-31", "5m"))
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def test_fetch_day_returns_last_bar(monkeypatch):
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seen = []
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def mock_read(sym, start, end, cfg, dir_key):
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seen.append(dir_key)
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return [_mock_bar(sym, "2024-01-02", 10.0), _mock_bar(sym, "2024-01-02", 10.5)]
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monkeypatch.setattr("sanguo_trader.data_source._read_fn", lambda iv: mock_read)
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bar = fetch_day("600000", "2024-01-02", "d")
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assert bar.close_price == 10.5 # 取最后一个
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assert seen == ["qfq_dir"] # 默认 qfq → qfq_dir（双源）
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