275 lines
12 KiB
Python
275 lines
12 KiB
Python
"""SanguoMiniQmtProvider 单元测试(mock xtquant)。
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bullet-trade 装了(0.2.0+),MiniQMTProvider 基类可继承。
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xtquant 没 装,通过 mock_xtquant fixture 注入 sys.modules。
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"""
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from __future__ import annotations
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import math
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import pandas as pd
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import pytest
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from sanguo_portfolio import SanguoMiniQmtProvider
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pytestmark = pytest.mark.requires_bullet_trade
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class TestSanguoMiniQmtProviderInstantiation:
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def test_can_instantiate_with_mock_xtquant(self, mock_xtquant):
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# Arrange + Act
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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# Assert
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assert provider.name == "sanguo_miniqmt"
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# 应继承 MiniQMTProvider
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from bullet_trade.data.providers.miniqmt import MiniQMTProvider
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assert isinstance(provider, MiniQMTProvider)
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class TestGetFundamentalsDf:
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def test_returns_dataframe_with_required_columns(self, mock_xtquant):
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# Arrange
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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stocks = ["600519.XSHG", "601318.XSHG"]
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# Act
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df = provider.get_fundamentals_df(stocks, date="2024-09-30")
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# Assert
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assert isinstance(df, pd.DataFrame)
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assert len(df) == 2
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# 核心列都在
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for col in [
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"code", "market_cap", "circulating_market_cap",
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"pe_ratio", "pb_ratio", "ps_ratio", "pcf_ratio",
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"roe", "roa", "eps",
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"total_liability", "total_sheet_owner_equities", "retained_profit",
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"roic",
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]:
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assert col in df.columns, f"missing col: {col}"
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# index 是 jq-style code
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assert "600519.XSHG" in df.index
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def test_empty_stocks_returns_empty_df(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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df = provider.get_fundamentals_df([], date="2024-09-30")
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assert isinstance(df, pd.DataFrame)
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assert len(df) == 0
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# 空表也要有列定义,方便上层 select
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assert "code" in df.columns
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def test_market_cap_in_yi_unit(self, mock_xtquant):
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"""close × total_capital / 1e8 = 亿元。茅台 1600 × 12.56e8 / 1e8 = 20096 亿。"""
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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df = provider.get_fundamentals_df(["600519.XSHG"], date="2024-09-30")
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mc = float(df.iloc[0]["market_cap"])
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# 茅台市值应在 20000 亿左右(允许 close 1600±10)
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assert 19000 < mc < 22000, f"market_cap 异常: {mc}"
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def test_pe_ratio_finite_for_profitable_stock(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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df = provider.get_fundamentals_df(["600519.XSHG"], date="2024-09-30")
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pe = float(df.iloc[0]["pe_ratio"])
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assert math.isfinite(pe)
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assert pe > 0
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def test_roic_computed(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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df = provider.get_fundamentals_df(["600519.XSHG"], date="2024-09-30")
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roic = float(df.iloc[0]["roic"])
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# 茅台 mock 数据:oper=1.2e10, tax=25%, eqy=2.2e11, debt=0, cash=1.7e11
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# NOPAT = 1.2e10 * 0.75 = 9e9
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# IC = 2.2e11 + 0 - 1.7e11 = 5e10
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# ROIC = 9e9 / 5e10 = 0.18
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assert 0.05 < roic < 0.5, f"ROIC 异常: {roic}"
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def test_financial_data_failure_returns_empty_df(self, mock_xtquant):
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"""xtdata.get_financial_data 抛异常时返空表(不崩)。"""
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mock_xtquant["xtdata"].get_financial_data.side_effect = Exception("QMT offline")
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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df = provider.get_fundamentals_df(["600519.XSHG"], date="2024-09-30")
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assert df.empty
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class TestGetFundamentalsQueryDictMode:
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def test_dict_with_stocks_returns_dataframe(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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query = {"stocks": ["600519.XSHG", "601318.XSHG"], "date": "2024-09-30"}
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df = provider.get_fundamentals(query)
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assert len(df) == 2
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def test_dict_with_filter_callable_applied(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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query = {
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"stocks": ["600519.XSHG", "601318.XSHG"],
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"date": "2024-09-30",
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"filter": lambda d: d["roe"] > 0.3, # 只保留茅台(归一后 roe=0.30)
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}
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df = provider.get_fundamentals(query)
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assert len(df) == 1
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assert df.iloc[0]["code"] == "600519.XSHG"
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def test_dict_with_order_by_applied(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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query = {
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"stocks": ["600519.XSHG", "601318.XSHG"],
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"date": "2024-09-30",
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"order_by": [("market_cap", "desc")],
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}
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df = provider.get_fundamentals(query)
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assert df.iloc[0]["code"] == "600519.XSHG" # 茅台市值 > 平安
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def test_dict_with_limit_applied(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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query = {
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"stocks": ["600519.XSHG", "601318.XSHG"],
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"date": "2024-09-30",
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"limit": 1,
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}
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df = provider.get_fundamentals(query)
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assert len(df) == 1
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class TestSetDataProviderInjection:
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def test_set_data_provider_accepts_sanguo_provider(self, mock_xtquant):
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"""set_data_provider 注入 SanguoMiniQmtProvider 实例。"""
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from bullet_trade.data.api import get_data_provider, set_data_provider
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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# Act
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set_data_provider(provider)
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# Assert
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active = get_data_provider()
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assert active is provider
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assert active.name == "sanguo_miniqmt"
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# ======================== 本地库委托(2026-08-19 生产缺口修复) ========================
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# VPS 实盘/影子 8-18/8-19 连续两天空转根因:SanguoMiniQmtProvider 缺
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# get_closes_panel/get_constituent_ex + get_fundamentals_df 不认 fields +
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# get_index_stocks 忽略历史日期(前后端 session 巡检实锤,见 memory
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# data-session-todo-miniqmt-provider-gaps)。修法:内部持有 LocalUnifiedProvider
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# 读本地 dbbardata/constituent_unified(与回测同口径)。
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def _make_delegate_db(tmp_path) -> str:
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"""dbbardata + constituent_unified 小样本库(委托 LocalUnifiedProvider 用)。"""
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import sqlite3
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db = tmp_path / "delegate.db"
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c = sqlite3.connect(str(db))
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c.execute(
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"CREATE TABLE dbbardata(symbol TEXT, exchange TEXT, datetime TEXT, "
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"interval TEXT, volume REAL, turnover REAL, open_interest REAL, "
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"open_price REAL, high_price REAL, low_price REAL, close_price REAL)"
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)
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for i, dt in enumerate(["2024-06-18 00:00:00", "2024-06-19 00:00:00",
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"2024-06-20 00:00:00"]):
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c.execute(
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"INSERT INTO dbbardata VALUES(?,?,?,?,?,?,?,?,?,?,?)",
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("600519", "SSE", dt, "d", 1000.0, 1e6, 0,
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1000.0 + i, 1005.0 + i, 995.0 + i, 1000.0 + i),
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)
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c.execute(
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"CREATE TABLE constituent_unified(index_code TEXT, code TEXT, "
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"code_name TEXT, source TEXT, in_current INT, was_removed INT)"
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)
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c.executemany(
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"INSERT INTO constituent_unified VALUES(?,?,?,?,?,?)",
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[
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("000985", "600519", "贵州茅台", "csindex", 1, 0),
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("000985", "000858", "五粮液", "csindex", 0, 1), # 被踢也在并集
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],
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)
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c.commit()
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c.close()
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return str(db)
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@pytest.fixture
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def delegate_provider(mock_xtquant, tmp_path):
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"""配好本地库路径的 SanguoMiniQmtProvider(db_path/data_dir 透传统一 provider)。"""
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db = _make_delegate_db(tmp_path)
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return SanguoMiniQmtProvider({
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"db_path": db, "data_dir": str(tmp_path), "auto_download": False,
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})
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class TestGetClosesPanelDelegation:
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"""get_closes_panel/get_closes_panel_ex 委托本地 dbbardata(同回测口径)。"""
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def test_returns_wide_table_from_local_db(self, delegate_provider):
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panel = delegate_provider.get_closes_panel(
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["600519.XSHG"], "2024-06-18", "2024-06-20", fq="raw",
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)
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assert isinstance(panel, pd.DataFrame)
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assert list(panel.columns) == ["600519.XSHG"]
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assert len(panel) == 3
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assert abs(panel["600519.XSHG"].iloc[0] - 1000.0) < 1e-6
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assert abs(panel["600519.XSHG"].iloc[-1] - 1002.0) < 1e-6
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def test_ex_alias_returns_same_result(self, delegate_provider):
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old = delegate_provider.get_closes_panel(
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["600519.XSHG"], "2024-06-18", "2024-06-20", fq="raw",
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)
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ex = delegate_provider.get_closes_panel_ex(
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["600519.XSHG"], "2024-06-18", "2024-06-20", fq="raw",
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)
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pd.testing.assert_frame_equal(old, ex)
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def test_missing_symbol_returns_nan_column(self, delegate_provider):
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panel = delegate_provider.get_closes_panel(
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["600519.XSHG", "999999.XSHG"], "2024-06-18", "2024-06-20",
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)
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assert list(panel.columns) == ["600519.XSHG", "999999.XSHG"]
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assert panel["999999.XSHG"].isna().all()
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def test_pure_digit_codes_accepted(self, delegate_provider):
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panel = delegate_provider.get_closes_panel(
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["600519"], "2024-06-18", "2024-06-20",
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)
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assert abs(panel["600519"].iloc[-1] - 1002.0) < 1e-6
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class TestGetIndexStocksDelegation:
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"""get_index_stocks/get_constituent_ex 委托 constituent_unified(支持历史日期口径)。"""
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def test_reads_constituent_unified_union(self, delegate_provider):
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stocks = delegate_provider.get_index_stocks("000985.XSHG", "2024-06-19")
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# 并集语义:在册 + 被踢(was_removed)都返回
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assert set(stocks) == {"600519.XSHG", "000858.XSHE"}
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def test_constituent_ex_delegates_same(self, delegate_provider):
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old = delegate_provider.get_index_stocks("000985.XSHG", "2024-06-19")
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ex = delegate_provider.get_constituent_ex("000985.XSHG", "2024-06-19")
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assert old == ex
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def test_unknown_index_falls_back_to_xt_latest(self, delegate_provider, mock_xtquant, caplog):
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"""表里没有的指数 → WARNING + 回退 miniQMT 最新成分(宁可降级不空转)。"""
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mock_xtquant["xtdata"].get_index_weight.return_value = {"600519.SH": 0.5}
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with caplog.at_level("WARNING", logger="sanguo_portfolio.providers.sanguo_fundamentals"):
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stocks = delegate_provider.get_index_stocks("399303.XSHE", "2024-06-19")
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assert stocks == ["600519.XSHG"]
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assert any("回退" in r.message for r in caplog.records)
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class TestGetFundamentalsDfFields:
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"""get_fundamentals_df 加 fields 契约(对齐 unified:keep = code + 请求列)。"""
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def test_fields_filters_columns(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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df = provider.get_fundamentals_df(
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["600519.XSHG"], date="2024-09-30", fields=["market_cap", "eps"],
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)
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assert list(df.columns) == ["code", "market_cap", "eps"]
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assert 19000 < float(df.iloc[0]["market_cap"]) < 22000
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def test_fields_none_keeps_all_columns(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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df = provider.get_fundamentals_df(["600519.XSHG"], date="2024-09-30")
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assert "roe" in df.columns # fields=None 全列(向后兼容)
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def test_ex_alias_accepts_fields(self, mock_xtquant):
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provider = SanguoMiniQmtProvider({"mode": "backtest", "auto_download": False})
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df = provider.get_fundamentals_df_ex(
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["600519.XSHG"], date="2024-09-30", fields=["eps"],
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)
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assert list(df.columns) == ["code", "eps"]
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