49 lines
2.4 KiB
Python
49 lines
2.4 KiB
Python
# -*- coding: utf-8 -*-
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"""ishortfall：三价链分量+恒等式可加和+paper 机制性零+拒单两分法分标签。"""
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from sanguo_portfolio.ishortfall import OrderLeg, compute_components
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def test_identity_additivity_and_signs():
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legs = [OrderLeg(action="buy", qty=2300,
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fills=((14.00, 600), (14.01, 1700)),
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decision_price=13.98, arrival_price=13.99, close_price=14.05,
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fee=31.0),
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OrderLeg(action="sell", qty=1000, fills=((9.90, 400),),
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decision_price=9.95, arrival_price=9.94, close_price=9.90,
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reject_reason="TIMEOUT", fee=7.0)]
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r = compute_components(legs)
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fill_avg = (14.00 * 600 + 14.01 * 1700) / 2300
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assert abs(r["delay_cost"] - ((13.99 - 13.98) * 2300 - (9.94 - 9.95) * 400)) < 1e-9
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assert abs(r["impact_cost"] - ((fill_avg - 13.99) * 2300 - (9.90 - 9.94) * 400)) < 1e-9
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# 机会=未成交×(决策−收盘)×方向：卖出 600 股未成交=(9.95−9.90)×600
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assert abs(r["opportunity_cost"] - (9.95 - 9.90) * 600) < 1e-9
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assert abs(r["fee_total"] - 38.0) < 1e-9
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# 恒等式：Σ分量 == 直算 IS（金额级残差）
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assert r["identity_resid"] < 1e-6
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assert r["legs_count"] == 2 and r["legs_no_anchor"] == 0
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assert r["by_reason"]["TIMEOUT"] > 0 and r["by_reason_legs"]["TIMEOUT"] == 1
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def test_missing_anchor_counted_not_silent():
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r = compute_components([OrderLeg(action="buy", qty=100,
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fills=((10.0, 100),), fee=5.0)])
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assert r["legs_no_anchor"] == 1
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assert r["delay_cost"] == 0.0 and r["impact_cost"] == 0.0
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assert abs(r["fee_total"] - 5.0) < 1e-9 # 费用不依赖价格锚照算
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def test_filled_qty_without_fill_px():
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"""超时行场景：有累计成交量无逐笔价——qf 用 filled_qty，冲击不可算=0 不冒充。"""
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r = compute_components([OrderLeg(action="buy", qty=9000, filled_qty=4000,
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decision_price=10.5, arrival_price=10.5,
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close_price=10.3)])
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assert abs(r["opportunity_cost"] - (10.3 - 10.5) * 5000) < 1e-9
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assert r["impact_cost"] == 0.0
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assert abs(r["delay_cost"] - 0.0) < 1e-9 # 到达==决策(同锚)
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def test_paper_mechanism_zero_note():
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r = compute_components([])
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assert r["paper"]["mechanism_zero"] is True
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assert "机制性零" in r["paper"]["note"]
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