mirror of
https://github.com/shy3130/tick-stock-panel.git
synced 2026-11-02 10:26:13 +00:00
kevin9327andClaude Opus 5.5
18327c6519
只在全部分区都缺锚点时才不建标记, 有分区被跳过仍会建; 标记存在后迁移 短路, 被跳过的前复权分区永不换算, 读取时再被复权一次。任一分区缺锚点 即不建标记, 与注释、接口 docstring 和既有测试 docstring 一致。 Closes #433 Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
251 lines
11 KiB
Python
251 lines
11 KiB
Python
"""minute_adjust 复权投影 / 基准标记 / 存量迁移 测试。
|
|
|
|
固定因子样本数值断言 (CONTRIBUTING §9): 除权日前后 ratio、VWAP 一致性、
|
|
标记门控 (未迁移行为逐字节不变)、迁移幂等与混合基准收敛。
|
|
"""
|
|
|
|
from datetime import date, datetime
|
|
from pathlib import Path
|
|
|
|
import polars as pl
|
|
|
|
from app.services import minute_adjust
|
|
from app.tickflow.repository import DataStore, KlineRepository
|
|
|
|
# 样本: AA 除权日 2026-07-01, ex_factor=1.25 (10送2.5量级);
|
|
# BB 无除权事件。分钟窗口 06-30 (除权前) / 07-01 (除权日)。
|
|
AA, BB = "600001.SH", "600002.SH"
|
|
EX_DATE = date(2026, 7, 1)
|
|
EX_FACTOR = 1.25
|
|
RATIO_BEFORE = 1.0 / EX_FACTOR # 前复权: 除权日前一日价格 * 1/1.25
|
|
|
|
|
|
def _minute_frame(symbol: str, day: date, price: float, rows: int = 3) -> pl.DataFrame:
|
|
base = datetime(day.year, day.month, day.day, 9, 30)
|
|
return pl.DataFrame({
|
|
"symbol": [symbol] * rows,
|
|
"datetime": [base.replace(minute=30 + i) for i in range(rows)],
|
|
"open": [price] * rows,
|
|
"high": [price * 1.01] * rows,
|
|
"low": [price * 0.99] * rows,
|
|
"close": [price] * rows,
|
|
"volume": [100.0] * rows,
|
|
"amount": [price * 100 * 100] * rows, # volume(手)*100*price → VWAP=price
|
|
})
|
|
|
|
|
|
def _write_factor_table(data_dir: Path, rows: list[tuple[str, date, float]]) -> None:
|
|
d = data_dir / "adj_factor"
|
|
d.mkdir(parents=True, exist_ok=True)
|
|
pl.DataFrame(
|
|
{"symbol": [r[0] for r in rows], "trade_date": [r[1] for r in rows], "ex_factor": [r[2] for r in rows]},
|
|
schema={"symbol": pl.String, "trade_date": pl.Date, "ex_factor": pl.Float64},
|
|
).write_parquet(d / "all.parquet")
|
|
|
|
|
|
def _write_minute_partition(data_dir: Path, day: date, df: pl.DataFrame, etf: bool = False) -> None:
|
|
root = data_dir / ("kline_etf_minute" if etf else "kline_minute")
|
|
part = root / f"date={day.isoformat()}"
|
|
part.mkdir(parents=True, exist_ok=True)
|
|
df.write_parquet(part / "part.parquet")
|
|
|
|
|
|
def _write_daily_partition(data_dir: Path, day: date, closes: dict[str, float], etf: bool = False) -> None:
|
|
root = data_dir / ("kline_etf_daily" if etf else "kline_daily")
|
|
part = root / f"date={day.isoformat()}"
|
|
part.mkdir(parents=True, exist_ok=True)
|
|
pl.DataFrame({
|
|
"symbol": list(closes.keys()),
|
|
"close": list(closes.values()),
|
|
}).write_parquet(part / "part.parquet")
|
|
|
|
|
|
# ================================================================
|
|
# 复权投影数学
|
|
# ================================================================
|
|
|
|
def test_apply_adjustment_factor_math(tmp_path):
|
|
"""除权日前的价格与 amount * ratio, 除权日起不动; volume 不变。"""
|
|
_write_factor_table(tmp_path, [(AA, EX_DATE, EX_FACTOR)])
|
|
df = pl.concat([_minute_frame(AA, date(2026, 6, 30), 10.0), _minute_frame(AA, EX_DATE, 8.0)])
|
|
out = minute_adjust.apply_minute_adjustment(df, tmp_path, "stock")
|
|
|
|
before = out.filter(pl.col("datetime").dt.date() == date(2026, 6, 30))
|
|
after = out.filter(pl.col("datetime").dt.date() == EX_DATE)
|
|
assert abs(before["close"][0] - 10.0 * RATIO_BEFORE) < 1e-9
|
|
assert abs(before["high"][0] - 10.0 * 1.01 * RATIO_BEFORE) < 1e-9
|
|
assert abs(before["amount"][0] - 10.0 * 100 * 100 * RATIO_BEFORE) < 1e-6
|
|
assert before["volume"][0] == 100.0
|
|
assert abs(after["close"][0] - 8.0) < 1e-12
|
|
assert abs(after["amount"][0] - 8.0 * 100 * 100) < 1e-6
|
|
|
|
|
|
def test_apply_adjustment_vwap_consistency(tmp_path):
|
|
"""复权后 amount/(volume*100) 与复权 close 同口径 (均价线契约)。"""
|
|
_write_factor_table(tmp_path, [(AA, EX_DATE, EX_FACTOR)])
|
|
df = _minute_frame(AA, date(2026, 6, 30), 10.0)
|
|
out = minute_adjust.apply_minute_adjustment(df, tmp_path, "stock")
|
|
vwap = out["amount"][0] / (out["volume"][0] * 100)
|
|
assert abs(vwap - out["close"][0]) < 1e-9
|
|
|
|
|
|
def test_apply_adjustment_identity_cases(tmp_path):
|
|
"""指数恒等 / 无因子表恒等 / 无事件恒等 (fail-open 语义)。"""
|
|
df = _minute_frame(AA, date(2026, 6, 30), 10.0)
|
|
|
|
out_index = minute_adjust.apply_minute_adjustment(df, tmp_path, "index")
|
|
assert out_index.equals(df)
|
|
|
|
out_no_factors = minute_adjust.apply_minute_adjustment(df, tmp_path, "stock")
|
|
assert out_no_factors.equals(df)
|
|
|
|
_write_factor_table(tmp_path, [(BB, EX_DATE, EX_FACTOR)])
|
|
out_no_events = minute_adjust.apply_minute_adjustment(df, tmp_path, "stock")
|
|
assert out_no_events.equals(df)
|
|
|
|
|
|
def test_apply_adjustment_etf_routing(tmp_path):
|
|
"""ETF 用 adj_factor_etf 表路由。"""
|
|
etf = "159001.SZ"
|
|
(tmp_path / "adj_factor_etf").mkdir(parents=True)
|
|
pl.DataFrame({
|
|
"symbol": [etf], "trade_date": [EX_DATE], "ex_factor": [EX_FACTOR],
|
|
}, schema={"symbol": pl.String, "trade_date": pl.Date, "ex_factor": pl.Float64},
|
|
).write_parquet(tmp_path / "adj_factor_etf" / "all.parquet")
|
|
|
|
df = _minute_frame(etf, date(2026, 6, 30), 10.0)
|
|
out = minute_adjust.apply_minute_adjustment(df, tmp_path, "etf")
|
|
assert abs(out["close"][0] - 10.0 * RATIO_BEFORE) < 1e-9
|
|
|
|
|
|
# ================================================================
|
|
# 基准标记与读取门控
|
|
# ================================================================
|
|
|
|
def test_fetch_adjust_param_gated_by_marker(tmp_path):
|
|
assert minute_adjust.minute_fetch_adjust(tmp_path) == "forward"
|
|
minute_adjust.mark_minute_basis_raw(tmp_path)
|
|
assert minute_adjust.minute_fetch_adjust(tmp_path) == "none"
|
|
assert minute_adjust.minute_basis_is_raw(tmp_path) is True
|
|
|
|
|
|
def test_repository_marker_gate(tmp_path):
|
|
"""标记未开启 → 读取原样 (旧行为逐字节不变); 开启 → 读取应用投影。"""
|
|
_write_factor_table(tmp_path, [(AA, EX_DATE, EX_FACTOR)])
|
|
raw_day = date(2026, 6, 30)
|
|
_write_minute_partition(tmp_path, raw_day, _minute_frame(AA, raw_day, 10.0))
|
|
repo = KlineRepository(DataStore(tmp_path))
|
|
|
|
legacy = repo.get_minute(AA, raw_day)
|
|
assert abs(legacy["close"][0] - 10.0) < 1e-12 # 未迁移: 原始值原样返回
|
|
|
|
minute_adjust.mark_minute_basis_raw(tmp_path)
|
|
adjusted = repo.get_minute(AA, raw_day)
|
|
assert abs(adjusted["close"][0] - 10.0 * RATIO_BEFORE) < 1e-9
|
|
|
|
# 当日 (因子事件之后) 恒等短路
|
|
today_day = EX_DATE
|
|
_write_minute_partition(tmp_path, today_day, _minute_frame(AA, today_day, 8.0))
|
|
same = repo.get_minute(AA, today_day)
|
|
assert abs(same["close"][0] - 8.0) < 1e-12
|
|
|
|
|
|
# ================================================================
|
|
# 存量迁移
|
|
# ================================================================
|
|
|
|
def test_migration_mixed_basis_partitions(tmp_path):
|
|
"""前复权存量 → 原始; 原始存量 no-op; 全部成功建标记; 幂等。"""
|
|
_write_factor_table(tmp_path, [(AA, EX_DATE, EX_FACTOR)])
|
|
day = date(2026, 6, 30)
|
|
raw_price = 10.0
|
|
# AA: 旧架构落盘形态 — 价格为"拉取时前复权"(*1/1.25), amount 保持原始 (复权只动价格)
|
|
adjusted_stored = _minute_frame(AA, day, raw_price).with_columns(
|
|
[pl.col(c) * RATIO_BEFORE for c in ("open", "high", "low", "close")]
|
|
)
|
|
raw_stored = _minute_frame(BB, day, raw_price)
|
|
_write_minute_partition(tmp_path, day, pl.concat([adjusted_stored, raw_stored]))
|
|
_write_daily_partition(tmp_path, day, {AA: raw_price, BB: raw_price})
|
|
|
|
stats = minute_adjust.migrate_minute_to_raw(tmp_path)
|
|
assert stats["failed"] == 0
|
|
assert stats["marked"] is True
|
|
assert stats["converted_symbols"] == 1 # 仅 AA
|
|
assert minute_adjust.minute_basis_is_raw(tmp_path) is True
|
|
|
|
stored = pl.read_parquet(tmp_path / "kline_minute" / f"date={day.isoformat()}" / "part.parquet")
|
|
aa = stored.filter(pl.col("symbol") == AA)
|
|
bb = stored.filter(pl.col("symbol") == BB)
|
|
assert abs(aa["close"][0] - raw_price) < 1e-9 # 前复权被还原为原始
|
|
assert abs(bb["close"][0] - raw_price) < 1e-12 # 原始 no-op
|
|
assert abs(aa["amount"][0] - raw_price * 100 * 100) < 1e-6 # amount 本就原始, 不动
|
|
|
|
# 幂等: 二次运行为 no-op
|
|
stats2 = minute_adjust.migrate_minute_to_raw(tmp_path)
|
|
assert stats2["marked"] is True
|
|
assert stats2["converted_symbols"] == 0
|
|
|
|
|
|
def test_migration_missing_daily_anchor_skipped(tmp_path):
|
|
"""无日K锚点的分区跳过且不建标记 (未收敛), 日K补齐后可续跑。"""
|
|
_write_factor_table(tmp_path, [(AA, EX_DATE, EX_FACTOR)])
|
|
day = date(2026, 6, 30)
|
|
_write_minute_partition(tmp_path, day, _minute_frame(AA, day, 10.0)) # 无日K分区
|
|
|
|
stats = minute_adjust.migrate_minute_to_raw(tmp_path)
|
|
assert stats["skipped_no_daily"] == 1
|
|
assert stats["marked"] is False
|
|
assert minute_adjust.minute_basis_is_raw(tmp_path) is False
|
|
|
|
# 补齐日K锚点后续跑 → 收敛并标记
|
|
_write_daily_partition(tmp_path, day, {AA: 10.0})
|
|
stats2 = minute_adjust.migrate_minute_to_raw(tmp_path)
|
|
assert stats2["marked"] is True
|
|
|
|
|
|
def test_migration_partial_missing_anchor_not_marked(tmp_path):
|
|
"""部分分区缺日K锚点: 其余分区照常换算, 但不建标记; 日K补齐后续跑换算剩余分区并收敛。"""
|
|
_write_factor_table(tmp_path, [(AA, EX_DATE, EX_FACTOR)])
|
|
day1, day2 = date(2026, 6, 29), date(2026, 6, 30)
|
|
raw_price = 10.0
|
|
# 两个分区都是旧架构落盘形态 (拉取时前复权), 日K锚点只有 day1
|
|
for day in (day1, day2):
|
|
_write_minute_partition(
|
|
tmp_path, day,
|
|
_minute_frame(AA, day, raw_price).with_columns(
|
|
[pl.col(c) * RATIO_BEFORE for c in ("open", "high", "low", "close")]
|
|
),
|
|
)
|
|
_write_daily_partition(tmp_path, day1, {AA: raw_price})
|
|
|
|
stats = minute_adjust.migrate_minute_to_raw(tmp_path)
|
|
assert stats["skipped_no_daily"] == 1
|
|
assert stats["converted_symbols"] == 1
|
|
assert stats["marked"] is False
|
|
assert minute_adjust.minute_basis_is_raw(tmp_path) is False
|
|
|
|
# 补齐 day2 日K锚点后续跑 → day2 换算为原始价并建标记
|
|
_write_daily_partition(tmp_path, day2, {AA: raw_price})
|
|
stats2 = minute_adjust.migrate_minute_to_raw(tmp_path)
|
|
assert stats2["marked"] is True
|
|
assert stats2["converted_symbols"] == 1
|
|
stored = pl.read_parquet(tmp_path / "kline_minute" / f"date={day2.isoformat()}" / "part.parquet")
|
|
assert abs(stored["close"][0] - raw_price) < 1e-9
|
|
# 读取投影只复权一次: 除权日前 = 原始价 * 1/1.25
|
|
shown = minute_adjust.apply_minute_adjustment(stored, tmp_path)
|
|
assert abs(shown["close"][0] - raw_price * RATIO_BEFORE) < 1e-9
|
|
|
|
|
|
def test_migration_anchor_out_of_sane_range_rejected(tmp_path):
|
|
"""锚点偏离合理界 (数据异常) 不换算, 不产生破坏性写入。"""
|
|
_write_factor_table(tmp_path, [(AA, EX_DATE, EX_FACTOR)])
|
|
day = date(2026, 6, 30)
|
|
# 日K锚点 0.001 vs 分钟 10 → k=10000 超界: 视为异常, 原样保留
|
|
_write_minute_partition(tmp_path, day, _minute_frame(AA, day, 10.0))
|
|
_write_daily_partition(tmp_path, day, {AA: 0.001})
|
|
|
|
stats = minute_adjust.migrate_minute_to_raw(tmp_path)
|
|
assert stats["marked"] is True # 分区处理完成 (仅未换算), 仍可收敛
|
|
stored = pl.read_parquet(tmp_path / "kline_minute" / f"date={day.isoformat()}" / "part.parquet")
|
|
assert abs(stored["close"][0] - 10.0) < 1e-12
|