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https://github.com/shy3130/tick-stock-panel.git
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shy3130
7f6cad0f8f
- 因子注册表按 id 合并下发完整生命周期 status (draft/active/watch/retired), registry 的 stability 降为其二元投影; asset_type 过滤适用资产 - FactorDiscovery 重构为 批量/单因子/挖掘 三视图 (MiningWorkbench), 标的列表解析兼容中英文逗号/分号/顿号/空白分隔 - FactorLibrary/FactorEditor/回测页配套调整 Signed-off-by: shy3130 <shy3130@qq.com>
376 lines
16 KiB
Python
376 lines
16 KiB
Python
"""因子 API (validate / trial) 契约测试 (P2)。"""
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from __future__ import annotations
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from datetime import date, timedelta
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import polars as pl
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import pytest
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from fastapi import FastAPI
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from fastapi.testclient import TestClient
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from app.api.factors import router
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@pytest.fixture()
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def cleanup_registry():
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"""测试注册的自定义因子在用例后注销, 不污染全局注册表 (快照测试依赖 77 基线)。"""
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created: set[str] = set()
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yield created
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from app.factors.registry import unregister_factor
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for fid in created:
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unregister_factor(fid)
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class _FakeEngine:
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"""合成面板: 3 只股票日收益固定 1%/2%/3%, 任何按价格排序的因子 IC 恒为 1。"""
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def __init__(self, n_days: int = 40) -> None:
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rows = []
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end = date.today()
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for index in range(n_days):
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day = end - timedelta(days=n_days - 1 - index)
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for symbol_id, daily_return in (("A", 0.01), ("B", 0.02), ("C", 0.03)):
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# 正基数且增速同序: C 永远最高价且回报最高 → 按价格排序的因子 IC 恒为 1
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rows.append({
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"symbol": symbol_id,
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"date": day,
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"close": (1.0 + daily_return) ** index * 10.0 * (ord(symbol_id) - ord("A") + 1),
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})
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self.panel = pl.DataFrame(rows).sort(["symbol", "date"])
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def load_panel(self, symbols, start, end, *, columns=None, asset_type="stock", **_kwargs):
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frame = self.panel
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if columns is not None:
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for column in columns:
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if column not in frame.columns:
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frame = frame.with_columns(pl.lit(None).cast(pl.Float64).alias(column))
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frame = frame.select(columns)
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return frame.filter((pl.col("date") >= start) & (pl.col("date") <= end))
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def _client(with_engine: bool = False) -> TestClient:
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app = FastAPI()
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app.include_router(router)
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if with_engine:
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app.state.backtest_engine = _FakeEngine()
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return TestClient(app)
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def test_validate_ok_formula() -> None:
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response = _client().post("/api/factors/validate", json={"formula": "rank(-ts_sum(change_pct, 5))"})
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assert response.status_code == 200
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payload = response.json()
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assert payload["ok"] is True
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assert payload["errors"] == []
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assert payload["dependencies"] == ["change_pct"]
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assert payload["warmup_bars"] == 6
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assert payload["cross_sectional"] is True
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def test_validate_future_function_rejected() -> None:
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response = _client().post("/api/factors/validate", json={"formula": "rank(ts_delta(close, -5))"})
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assert response.status_code == 200
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payload = response.json()
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assert payload["ok"] is False
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assert payload["errors"][0]["code"] == "E005"
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assert "position" in payload["errors"][0]
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def test_trial_golden_ic() -> None:
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response = _client(with_engine=True).post(
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"/api/factors/trial", json={"formula": "close", "days": 30},
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)
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assert response.status_code == 200
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payload = response.json()
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assert payload["ok"] is True
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assert payload["n_dates"] == 30 # 40 日面板, 首日无前收 → 39 个可算截面, 取最近 30
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assert payload["ic_mean"] == pytest.approx(1.0, abs=1e-9)
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assert payload["ic_win_rate"] == pytest.approx(1.0, abs=1e-9)
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# 恒定 IC 序列 std=0, IR 无定义 → None (除零保护)
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assert payload["ic_std"] in (None, 0.0)
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assert payload["ir"] is None
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assert len(payload["ic_series"]) == 30
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def test_trial_compile_failure_400() -> None:
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response = _client(with_engine=True).post(
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"/api/factors/trial", json={"formula": "nope_col + 1", "days": 30},
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)
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assert response.status_code == 400
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body = response.json()["detail"]
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assert body["errors"][0]["code"] == "E001"
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def test_trial_computes_virtual_factor_via_shared_path() -> None:
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# 引用虚拟因子 ma20_bias: 试算端点复用 _compute_missing_factors 补算路径
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# (compute_indicators 算 ma20 + materialize 物化 bias), 3 列粗面板即可出结果
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response = _client(with_engine=True).post(
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"/api/factors/trial", json={"formula": "ma20_bias", "days": 20},
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)
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assert response.status_code == 200
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payload = response.json()
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assert payload["ok"] is True
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assert payload["n_dates"] == 20
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assert payload["ic_mean"] is not None
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@pytest.mark.parametrize(
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("formula", "sign", "win_rate"),
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[("if_else(close > 40, close, 0)", 1.0, 1.0), ("if_else(close > 40, -close, 0)", -1.0, 0.0)],
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)
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def test_trial_excludes_undefined_ic_of_constant_cross_section(formula, sign, win_rate) -> None:
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"""截面上公式值全相同的日子 Rank IC 无定义 (pl.corr 返回 NaN 而非 null)。
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离散公式常见 (如 ETF 池里的 if_else(change_pct > 0.05, 1, 0), 当天没有标的满足
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时全为 0)。因子检验 (FactorBacktestService) 与挖掘都按 is_finite 剔除这类日子;
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试算只滤 null, NaN 混进统计后 IC 均值/标准差/IR 全部变成 NaN (响应里为 null),
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胜率还把 NaN 当成正 IC 计入 (polars 中 NaN > 0 为真)。
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合成面板: 前 10 个截面三只股票全为 0 (IC 无定义), 之后 26 个截面 |IC| = √3/2
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(两只并列), 最后 3 个截面 |IC| = 1; 取最近 30 个截面时恰好混入 1 个无定义截面。
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"""
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response = _client(with_engine=True).post(
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"/api/factors/trial", json={"formula": formula, "days": 30},
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)
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assert response.status_code == 200
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payload = response.json()
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assert payload["ic_mean"] == pytest.approx(sign * (26 * (3 ** 0.5 / 2) + 3) / 29, abs=1e-4)
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assert payload["ic_win_rate"] == pytest.approx(win_rate)
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assert payload["n_dates"] == 29
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assert [point["ic"] for point in payload["ic_series"] if point["ic"] is None] == []
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assert len(payload["ic_series"]) == 29
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def test_group_and_status_update_after_registry_load(tmp_path, cleanup_registry) -> None:
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"""改分组/状态在因子已注册 (启动加载后) 的真实路径下可用。
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回归保护: 同版本直接 register 会被注册表拒绝 ("版本未提升"),
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端点必须先注销再按新元数据注册。
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"""
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from pathlib import Path
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from types import SimpleNamespace
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from app.factors.registry import get_factor
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app = FastAPI()
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app.include_router(router)
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app.state.backtest_engine = _FakeEngine()
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app.state.repo = SimpleNamespace(store=SimpleNamespace(data_dir=Path(tmp_path)))
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client = TestClient(app)
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created = client.post("/api/factors/custom", json={
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"id": "uf_group_test", "label": "分组测试", "formula": "rank(-ts_sum(change_pct, 5))",
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})
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assert created.status_code == 200
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factor_id = created.json()["id"]
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cleanup_registry.add(factor_id)
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from app.factors import store
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store.load_into_registry(Path(tmp_path)) # 模拟重启后的注册状态
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registered = get_factor(factor_id)
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assert registered is not None and registered.group == "自定义"
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renamed = client.post(f"/api/factors/custom/{factor_id}/group", json={"group": "我的动量组"})
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assert renamed.status_code == 200
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assert renamed.json()["group"] == "我的动量组"
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refreshed = get_factor(factor_id)
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assert refreshed is not None and refreshed.group == "我的动量组" # 注册表同步
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on_disk = next(d for d in store.load_all(Path(tmp_path)) if d["id"] == factor_id)
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assert on_disk["group"] == "我的动量组" # 磁盘持久化
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activated = client.post(f"/api/factors/custom/{factor_id}/status", json={"status": "active"})
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assert activated.status_code == 200 # 修复前: 400 "版本未提升"
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assert get_factor(factor_id).stability == "stable"
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bad = client.post(f"/api/factors/custom/{factor_id}/group", json={"group": " "})
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assert bad.status_code == 400 # 空白分组名 fail-closed
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def test_update_custom_factor_bumps_version(tmp_path, cleanup_registry) -> None:
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"""编辑已有自定义因子: 版本提升注册 + 公式变化回 draft + 试算门禁。"""
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from pathlib import Path
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from types import SimpleNamespace
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from app.factors import store
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from app.factors.registry import get_factor
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cleanup_registry.add("uf_edit_test")
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app = FastAPI()
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app.include_router(router)
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app.state.backtest_engine = _FakeEngine()
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app.state.repo = SimpleNamespace(store=SimpleNamespace(data_dir=Path(tmp_path)))
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client = TestClient(app)
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data_dir = Path(tmp_path)
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created = client.post("/api/factors/custom", json={
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"id": "uf_edit_test", "label": "编辑测试", "formula": "rank(-ts_sum(change_pct, 5))",
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})
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assert created.status_code == 200
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assert created.json()["version"] == 1
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# 激活后再编辑: 公式变化 → 新版本 + 回 draft (生命周期语义)
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activated = client.post("/api/factors/custom/uf_edit_test/status", json={"status": "active"})
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assert activated.status_code == 200
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updated = client.post("/api/factors/custom/uf_edit_test/update", json={
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"label": "编辑测试v2", "group": "新分组", "formula": "rank(-ts_sum(change_pct, 10))",
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"description": "窗口从 5 改 10", "direction": "low",
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})
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assert updated.status_code == 200
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body = updated.json()
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assert body["version"] == 2 and body["status"] == "draft"
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spec = get_factor("uf_edit_test")
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assert spec is not None
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assert spec.version == 2 and spec.group == "新分组" and spec.label == "编辑测试v2"
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assert "change_pct" in spec.dependencies
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on_disk = next(d for d in store.load_all(data_dir) if d["id"] == "uf_edit_test")
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assert on_disk["version"] == 2 and on_disk["status"] == "draft"
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# 仅改元数据 (公式不变): 版本仍提升, 状态保留 (不回 draft)
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client.post("/api/factors/custom/uf_edit_test/status", json={"status": "active"})
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meta = client.post("/api/factors/custom/uf_edit_test/update", json={
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"label": "仅改名字", "group": "新分组", "formula": "rank(-ts_sum(change_pct, 10))",
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})
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assert meta.status_code == 200
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assert meta.json() == {"ok": True, "id": "uf_edit_test", "version": 3, "status": "active"}
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missing = client.post("/api/factors/custom/uf_nope/update", json={
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"label": "x", "formula": "close",
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})
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assert missing.status_code == 404
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def test_trial_response_includes_newey_west_t() -> None:
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response = _client(with_engine=True).post(
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"/api/factors/trial", json={"formula": "close", "days": 30},
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)
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assert response.status_code == 200
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payload = response.json()
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assert payload["n_dates"] == 30
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assert "t_newey_west" in payload # 恒定 IC 序列下可为 None, 但字段必须存在
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def test_delete_custom_and_composite_factor(tmp_path, cleanup_registry) -> None:
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"""删除契约: 复合因子可直接删; 成员被复合引用时 409 列引用方, force 才放行。"""
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from pathlib import Path
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from types import SimpleNamespace
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from app.factors import store
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from app.factors.registry import get_factor
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app = FastAPI()
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app.include_router(router)
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app.state.backtest_engine = _FakeEngine() # 创建门禁需试算
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app.state.repo = SimpleNamespace(store=SimpleNamespace(data_dir=Path(tmp_path)))
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client = TestClient(app)
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data_dir = Path(tmp_path)
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client.post("/api/factors/custom", json={
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"id": "uf_del_member", "label": "被引用成员", "formula": "rank(-ts_sum(change_pct, 5))",
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})
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cleanup_registry.add("uf_del_member")
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created = client.post("/api/factors/composite", json={
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"id": "cf_del_test", "label": "删除测试组合", "members": {"uf_del_member": 1.0, "momentum_10d": -0.5},
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})
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assert created.status_code == 200
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cleanup_registry.add("cf_del_test")
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# 404: 不存在的因子
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assert client.delete("/api/factors/custom/cf_nope").status_code == 404
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# 409: 成员被复合因子引用 → fail-closed, 返回引用方列表
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blocked = client.delete("/api/factors/custom/uf_del_member")
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assert blocked.status_code == 409
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detail = blocked.json()["detail"]
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assert "cf_del_test" in str(detail["references"])
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assert get_factor("uf_del_member") is not None # 引用未解除, 因子仍在
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# 复合因子本身可直接删除 (无人引用它)
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removed = client.delete("/api/factors/custom/cf_del_test")
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assert removed.status_code == 200
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assert removed.json() == {"ok": True, "id": "cf_del_test", "removed_references": []}
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assert get_factor("cf_del_test") is None
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assert all(d["id"] != "cf_del_test" for d in store.load_all(data_dir)) # 磁盘已删
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# 引用解除后成员可正常删除
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freed = client.delete("/api/factors/custom/uf_del_member")
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assert freed.status_code == 200
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assert get_factor("uf_del_member") is None
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def test_delete_with_strategy_reference_requires_force(tmp_path, cleanup_registry) -> None:
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"""策略文件引用同样拦截: 409 列出 strategies/*.json, force=true 放行。"""
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import json
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from pathlib import Path
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from types import SimpleNamespace
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from app.factors.registry import get_factor
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app = FastAPI()
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app.include_router(router)
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app.state.backtest_engine = _FakeEngine() # 创建门禁需试算
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app.state.repo = SimpleNamespace(store=SimpleNamespace(data_dir=Path(tmp_path)))
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client = TestClient(app)
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data_dir = Path(tmp_path)
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client.post("/api/factors/custom", json={
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"id": "uf_strat_ref", "label": "策略引用", "formula": "rank(-ts_sum(change_pct, 5))",
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})
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cleanup_registry.add("uf_strat_ref")
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strategies_dir = data_dir / "strategies"
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strategies_dir.mkdir()
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(strategies_dir / "my_strategy.json").write_text(
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json.dumps({"name": "my_strategy", "factors": {"uf_strat_ref": 1.0}}), encoding="utf-8",
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)
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blocked = client.delete("/api/factors/custom/uf_strat_ref")
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assert blocked.status_code == 409
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assert blocked.json()["detail"]["references"] == ["strategies/my_strategy.json"]
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forced = client.delete("/api/factors/custom/uf_strat_ref?force=true")
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assert forced.status_code == 200
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assert forced.json()["removed_references"] == ["strategies/my_strategy.json"]
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assert get_factor("uf_strat_ref") is None
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def test_list_factors_exposes_lifecycle_status(tmp_path, cleanup_registry):
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"""列表接口须下发完整生命周期 status (draft/active/watch/retired)。
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stability 只是 status 的二元投影 (active→stable, 其余→experimental),
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管理界面的状态列/筛选靠完整 status; 内置因子无盘上定义, status 为 null。
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"""
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import json as _json
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from types import SimpleNamespace
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from app.factors import store as factor_store
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definition = {
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"id": "uf_status_probe", "kind": "custom", "label": "状态探针",
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"group": "自定义", "formula": "rank(-ts_sum(change_pct, 5))",
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"description": "", "direction": "none", "version": 1, "status": "watch",
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"created_at": factor_store._now(), "updated_at": factor_store._now(),
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}
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factor_store.register_definition(definition)
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cleanup_registry.add("uf_status_probe")
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factor_dir = tmp_path / "user_data" / "custom_factors"
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factor_dir.mkdir(parents=True)
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(factor_dir / "uf_status_probe.json").write_text(
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_json.dumps(definition, ensure_ascii=False), encoding="utf-8",
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)
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app = FastAPI()
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app.include_router(router)
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app.state.repo = SimpleNamespace(store=SimpleNamespace(data_dir=tmp_path))
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client = TestClient(app)
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payload = client.get("/api/factors").json()
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probe = next(item for item in payload["factors"] if item["id"] == "uf_status_probe")
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assert probe["status"] == "watch"
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assert probe["stability"] == "experimental" # 二元投影保留, 向后兼容
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builtin = next(item for item in payload["factors"] if item["kind"] == "base")
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assert builtin["status"] is None
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