307 lines
14 KiB
Python
307 lines
14 KiB
Python
# -*- coding: utf-8 -*-
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"""迟到成交对账回归(2026-08-25 P1:引擎 16s 超时弃跟踪 → 迟到 fill 永不进
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engine.get_trades → 账本幻影 500+700 股/-18060 不自愈)。
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a 窄修:下单返回非终态 → 进程内待对账名单;归因轮询按券商订单号直查 QMT
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成交(broker.get_trades 原始行),绕开 engine.get_trades 视图。
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b 宽修:15:05 EOD 对账——QMT 当日全量成交 vs live_trades 已落库行,
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按 trade_id 或 时间+代码+方向+价+量 对齐,缺失行按归因规则补插。
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事故时间线(前后端 session 08-25 21:35 定罪):orders 09:35:42-48 提交,
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引擎同步等待 16s 超时弃跟踪,迟到 fill 09:36:24+ 成交——两条路都必须兜住。
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"""
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from __future__ import annotations
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from datetime import datetime, timedelta
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from types import SimpleNamespace
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import pytest
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from sanguo_portfolio import live_reconcile
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from sanguo_portfolio.live_instance_ledger import LiveInstanceLedger
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from sanguo_portfolio.live_reconcile import (
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eod_reconcile, maybe_eod_reconcile, reconcile_pending, watch_pending_order,
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)
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# ------------------ 公共替身 ------------------
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def _order(oid="o1", broker_oid="1001", security="000049.XSHE", is_buy=True,
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amount=500, filled=0, status="open"):
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return SimpleNamespace(
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order_id=oid, _broker_order_id=broker_oid, security=security,
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is_buy=is_buy, amount=amount, filled=filled, status=status,
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)
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def _qmt_trade(order_id="1001", security="000049.XSHE", amount=500, price=15.0,
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trade_id="90001", time="2026-08-25 09:36:24", commission=0.0, tax=0.0):
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return {
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"trade_id": trade_id, "order_id": order_id, "security": security,
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"amount": amount, "price": price, "time": time,
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"commission": commission, "tax": tax,
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}
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def _engine(orders, broker_trades):
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"""engine 替身:get_orders 返回本实例 Order;broker.get_trades 返回
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QMT 当日全账户成交原始行(与本实例 engine.get_trades 无关)。"""
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broker = SimpleNamespace(get_trades=lambda: list(broker_trades))
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return SimpleNamespace(
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get_orders=lambda: {o.order_id: o for o in orders},
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broker=broker,
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)
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@pytest.fixture(autouse=True)
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def _clean_pending():
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live_reconcile._PENDING.clear()
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live_reconcile._LAST_EOD_DATE = ""
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yield
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live_reconcile._PENDING.clear()
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live_reconcile._LAST_EOD_DATE = ""
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@pytest.fixture
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def db(tmp_path):
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from sanguo_live.persistence import init_db
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path = str(tmp_path / "live.db")
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init_db(path)
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return path
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# ------------------ a 窄修:待对账名单 ------------------
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class TestWatchPendingOrder:
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def test_timeout_order_enters_watch_list(self):
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"""16s 超时形态:status=open / 部分成交 → 进名单。"""
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assert watch_pending_order(_order(status="open", filled=0)) is True
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assert watch_pending_order(_order(status="filling", filled=200)) is True
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assert "1001" in live_reconcile._PENDING
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def test_terminal_full_fill_not_watched(self):
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"""已终态且足额成交 → 无需对账。"""
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assert watch_pending_order(
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_order(status="filled", filled=500)) is False
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assert live_reconcile._PENDING == {}
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def test_terminal_but_partial_fill_watched(self):
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"""终态(撤单)但部分成交——残量成交仍可能迟到,进名单。"""
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assert watch_pending_order(
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_order(status="canceled", filled=300)) is True
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def test_none_and_local_reject_are_noop(self):
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assert watch_pending_order(None) is False
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assert watch_pending_order(_order(status="rejected", filled=0)) is False
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assert live_reconcile._PENDING == {}
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class TestReconcilePending:
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def test_late_fill_attributed_bypassing_engine_view(self, db):
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"""事故原样:engine.get_trades 已见不到该单(此处干脆不经过 engine 视图),
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但 QMT 原始行里有迟到 fill → 直查归因进账本+落库。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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watch_pending_order(_order(is_buy=True, amount=500))
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eng = _engine([_order(status="filled", filled=500)],
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[_qmt_trade(amount=500, price=15.0)])
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n = reconcile_pending(eng, led, db, 19, "momentum_timing")
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assert n == 1
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assert led.positions["000049.XSHE"]["volume"] == 500
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from sanguo_live.persistence import list_trades
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rows = list_trades(db, 19)
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assert len(rows) == 1
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assert rows[0]["vt_tradeid"] == "90001"
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assert rows[0]["direction"] == "buy"
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def test_idempotent_across_rounds_and_with_intraday_ids(self, db):
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"""同 trade_id 二轮不重复;与即时归因(engine 视图已记 deal_no)互幂等。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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watch_pending_order(_order())
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eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()])
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assert reconcile_pending(eng, led, db, 19, "s") == 1
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assert reconcile_pending(eng, led, db, 19, "s") == 0
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# 即时归因以同一 deal_no 已入账 → 对账再见到零增量
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assert led.apply_trade(True, "000049.XSHE", 15.0, 500, "90001",
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"2026-08-25") is False
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def test_foreign_trades_not_attributed(self, db):
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"""名单单 1001;QMT 行里别家 8800099 的成交不归因。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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watch_pending_order(_order())
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eng = _engine(
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[_order(status="filled", filled=500)],
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[_qmt_trade(order_id="8800099", trade_id="99xxx",
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security="600519.XSHG", amount=100, price=1500.0),
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_qmt_trade()])
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n = reconcile_pending(eng, led, db, 19, "s")
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assert n == 1
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assert "600519.XSHG" not in led.positions
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assert led.positions["000049.XSHE"]["volume"] == 500
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def test_watch_cleared_when_order_terminal(self, db):
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"""订单终态 + 成交已见 → 出名单;名单空后不再查 QMT。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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watch_pending_order(_order())
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eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()])
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reconcile_pending(eng, led, db, 19, "s")
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assert live_reconcile._PENDING == {}
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# 名单已空:broker 不可查也不报错
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eng2 = SimpleNamespace(get_orders=lambda: {}, broker=None)
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assert reconcile_pending(eng2, led, db, 19, "s") == 0
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def test_still_open_stays_watched(self, db):
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"""订单还挂着(未终态) → 留在名单下轮继续。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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watch_pending_order(_order())
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eng = _engine([_order(status="open", filled=0)], [])
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assert reconcile_pending(eng, led, db, 19, "s") == 0
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assert "1001" in live_reconcile._PENDING
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def test_missing_broker_oid_resolved_from_engine(self, db):
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"""下单返回时 _broker_order_id 尚未回填(异步路径)→ 下轮从
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engine 订单表按 engine order_id 解析后再直查。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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assert watch_pending_order(_order(broker_oid=None)) is True
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eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()])
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assert reconcile_pending(eng, led, db, 19, "s") == 1
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assert led.positions["000049.XSHE"]["volume"] == 500
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def test_cross_day_entry_dropped(self, db):
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"""隔夜名单出清(A股订单当日有效,跨日残单不再对账)。"""
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watch_pending_order(_order())
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for entry in live_reconcile._PENDING.values():
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entry["watched_date"] = "2026-08-24"
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eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()])
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led = LiveInstanceLedger(initial_cash=100_000)
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assert reconcile_pending(eng, led, db, 19, "s") == 0
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assert live_reconcile._PENDING == {}
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assert led.positions == {}
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# ------------------ b 宽修:EOD 对账回填 ------------------
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class TestEodReconcile:
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def test_backfills_missing_rows(self, db):
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"""QMT 有本实例成交、live_trades 无 → 补插账本+DB(vt_tradeid 带
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eod: 前缀标记回填来源)。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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eng = _engine([_order(status="filled", filled=700)],
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[_qmt_trade(security="000039.XSHE", amount=700,
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price=16.0, trade_id="90002")])
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summary = eod_reconcile(eng, led, db, 20, "small_cap")
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assert summary["backfilled"] == 1
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assert led.positions["000039.XSHE"]["volume"] == 700
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from sanguo_live.persistence import list_trades
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rows = list_trades(db, 20)
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assert len(rows) == 1
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assert rows[0]["vt_tradeid"] == "eod:90002"
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def test_existing_rows_not_duplicated(self, db):
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"""DB 已有同 trade_id 行(intraday 已记)→ 不重插不重记。"""
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from sanguo_live.persistence import save_trade
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save_trade(db, 20, {
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"strategy_name": "s", "symbol": "000049.XSHE",
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"direction": "buy", "offset": "open", "price": 15.0,
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"volume": 500, "traded_at": "2026-08-25 09:36:24",
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"vt_tradeid": "90001"})
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led = LiveInstanceLedger(initial_cash=100_000)
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led.apply_trade(True, "000049.XSHE", 15.0, 500, "90001", "2026-08-25")
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eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()])
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summary = eod_reconcile(eng, led, db, 20, "s")
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assert summary["backfilled"] == 0
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assert led.positions["000049.XSHE"]["volume"] == 500
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def test_tuple_match_covers_rows_saved_without_trade_id(self, db):
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"""intraday 行 vt_tradeid 为空(md5 兜底/旧数据)→ 按
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时间+代码+方向+价+量 对齐视为已覆盖,不双记。"""
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from sanguo_live.persistence import save_trade
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save_trade(db, 20, {
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"strategy_name": "s", "symbol": "000049.XSHE",
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"direction": "buy", "offset": "open", "price": 15.0,
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"volume": 500, "traded_at": "2026-08-25 09:36:24",
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"vt_tradeid": ""})
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led = LiveInstanceLedger(initial_cash=100_000)
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eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()])
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assert eod_reconcile(eng, led, db, 20, "s")["backfilled"] == 0
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assert led.positions == {}
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def test_foreign_trades_skipped(self, db):
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"""QMT 当日全账户成交含别家 → 只统计不归因。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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eng = _engine(
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[_order(status="filled", filled=500)],
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[_qmt_trade(order_id="8800099", security="600519.XSHG",
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amount=100, price=1500.0, trade_id="777")])
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summary = eod_reconcile(eng, led, db, 20, "s")
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assert summary["backfilled"] == 0
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assert summary["foreign"] == 1
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assert led.positions == {}
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def test_no_broker_is_safe(self):
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eod_reconcile(SimpleNamespace(get_orders=lambda: {}, broker=None),
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LiveInstanceLedger(), "", 1, "s") # 不抛
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class TestMaybeEodReconcile:
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def test_before_window_is_noop(self):
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assert maybe_eod_reconcile(
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SimpleNamespace(), LiveInstanceLedger(), "", 1, "s",
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now=datetime(2026, 8, 25, 14, 59)) is None
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def test_runs_once_per_day(self, db):
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"""窗口内首跑生效并记日;当日再调直接跳过。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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eng = _engine([_order(status="filled", filled=500)], [_qmt_trade()])
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s1 = maybe_eod_reconcile(eng, led, db, 20, "s",
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now=datetime(2026, 8, 25, 15, 6))
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assert s1 is not None and s1["backfilled"] == 1
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assert maybe_eod_reconcile(
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eng, led, db, 20, "s", now=datetime(2026, 8, 25, 15, 7)) is None
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def test_failure_retries_next_round(self, db):
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"""首轮 QMT 查询抛错 → 不记日,下轮重试(日终前自愈)。"""
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led = LiveInstanceLedger(initial_cash=100_000)
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def boom():
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raise RuntimeError("QMT 断连")
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eng = SimpleNamespace(get_orders=lambda: {},
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broker=SimpleNamespace(get_trades=boom))
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with pytest.raises(RuntimeError):
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maybe_eod_reconcile(eng, led, db, 20, "s",
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now=datetime(2026, 8, 25, 15, 6))
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assert live_reconcile._LAST_EOD_DATE == ""
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ok = _engine([], [])
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assert maybe_eod_reconcile(
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ok, led, db, 20, "s", now=datetime(2026, 8, 25, 15, 8)) == {
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"qmt_trades": 0, "ours": 0, "backfilled": 0, "foreign": 0}
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# ------------------ 事故重放 + seen_trade_ids ------------------
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class TestIncidentReplay:
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def test_full_chain_0935_timeout_0936_late_fill(self, db):
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"""完整时间线:09:35:42 提交即超时(名单)→ 09:36:24 迟到 fill
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(engine 视图缺失)→ 60s 轮询对账归因 → EOD 复核零缺口。"""
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led = LiveInstanceLedger(initial_cash=1_000_000)
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# 09:35:42 bt_order 返回:16s 等待超时,status=open filled=0
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watch_pending_order(_order(status="open", filled=0))
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# 09:36:24 迟到 fill:只在 QMT 原始行里(engine.get_trades 见不到)
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eng = _engine(
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[_order(status="filled", filled=500)],
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[_qmt_trade(time="2026-08-25 09:36:24", amount=500, price=15.0)])
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assert reconcile_pending(eng, led, db, 19, "momentum_timing") == 1
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# 名单出清 + EOD 复核:无缺口、无重复
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summary = eod_reconcile(eng, led, db, 19, "momentum_timing")
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assert summary["backfilled"] == 0
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from sanguo_live.persistence import list_trades
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assert len(list_trades(db, 19)) == 1
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# 账本口径:100万 − 500×15 − max(7500×0.0003,5)=5
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assert led.cash == pytest.approx(1_000_000 - 7500 - 5)
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class TestLedgerSeenIds:
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def test_seen_trade_ids_snapshot(self):
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led = LiveInstanceLedger()
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led.apply_trade(True, "000001.XSHE", 10.0, 100, "t1", "2026-08-25")
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snap = led.seen_trade_ids()
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assert snap == {"t1"}
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snap.add("t2") # 副本可改,不污染账本
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assert led.seen_trade_ids() == {"t1"}
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