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shy3130
918c7ade7e
- 策略: 引擎只加载 data/strategies/{custom,ai,composite} 与研究模板目录,
原 25 个内置策略一次性迁移为用户自定义文件(ID 不变, 引用零迁移);
研究模板移至 app/strategy/research, 打包 spec 同步; 新装环境策略库为空
- 信号: 管线不再硬编码任何信号表达式; 涨跌停判定价成为运行时列
limit_up_price/limit_down_price(生效价∓0.005 容差), 20 个信号转为
data/user_data/custom_signals 定义(显式 column 沿用 signal_* 原列名);
依赖解析/注入顺序/当日路径 prev-join 全部定义驱动; 语义统一为历史路径
口径(顺带修正当日路径 BOLL 比较符与翘板/炸板空值两处既有偏差)
- 前端: 信号库单列表(全部可编辑), SignalPicker/监控选项/信号标签全走
定义接口; 回测页新增免责声明(模拟性质/数据源准确性不作保证/不构成
投资建议)
- 测试: 25 个策略夹具与 20 个信号种子入库 tests/fixtures, 受影响测试
全部自包含化(不依赖运行目录用户数据); 77 万行 MA 死叉新旧表达式对拍
逐行一致; 回测实跑 45 笔卖点信号出场验证矩阵链路
- 同批包含工作区既有进度: 策略结果 ext 列同日投影修复(含测试)、数据源插件、fuyao/auth/api_gateway/data_integrity 调整、README 信号库
描述与 strategy.md 导入路径补充
验证: 后端 2592 passed(空数据目录 CI 模拟 2588 passed, 4 例为模拟环境
伪影复验排除); 前端 vitest 125 passed + tsc 0 错 + vite build 通过
130 lines
4.7 KiB
Python
130 lines
4.7 KiB
Python
"""日内序列表 (PullConfig.time_field) 读侧取值: 每个 symbol 必须收敛到最新一盘。
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多盘并存的分区里, 策略/自选/告警/个股详情 (_load_ext_value_maps)、enriched 因子帧
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(ext_factors._timeseries_frame) 与板块资金流 (sector_rotation._load_sector_flow)
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都按 symbol 去重取一行。去重只看行序, 所以写入端必须保证分区内按时间列升序:
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合并去重后的行序不稳定时, 各 symbol 取到的是随机一盘。
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"""
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from __future__ import annotations
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from datetime import date
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from pathlib import Path
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from types import SimpleNamespace
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import polars as pl
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import pytest
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from app.api import screener
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from app.factors import ext_factors
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from app.services import sector_rotation
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from app.services.ext_data import ExtConfig, ExtConfigStore, ExtField, PullConfig, rows_to_parquet
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DAY = date(2026, 9, 15)
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SESSIONS = ("09:15:00", "09:20:00", "09:25:00")
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N_SYMBOLS = 2000
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def _config() -> ExtConfig:
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return ExtConfig(
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id="auction",
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label="集合竞价",
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mode="timeseries",
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fields=[
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ExtField("symbol", "string", "代码"),
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ExtField("ts", "string", "时刻"),
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ExtField("v", "float", "值"),
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],
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pull=PullConfig(url="https://x", time_field="ts"),
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)
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def _symbols() -> list[str]:
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return [f"{i:06d}.SZ" for i in range(1, N_SYMBOLS + 1)]
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def _write_three_sessions(data_dir: Path) -> ExtConfig:
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"""按真实拉取节奏逐盘写入: 每一盘一次 rows_to_parquet, 走合并去重分支。"""
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cfg = _config()
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ExtConfigStore(data_dir).upsert(cfg)
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for value, ts in enumerate(SESSIONS, start=1):
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rows = [{"symbol": sym, "ts": ts, "v": float(value)} for sym in _symbols()]
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rows_to_parquet(rows, cfg, data_dir, snapshot_date=DAY)
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return cfg
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@pytest.fixture()
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def data_dir(tmp_path: Path) -> Path:
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screener._ext_value_map_cache.clear()
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sector_rotation.invalidate_cache()
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d = tmp_path / "data"
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d.mkdir()
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return d
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def test_value_maps_take_latest_session_after_merge(data_dir):
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_write_three_sessions(data_dir)
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repo = SimpleNamespace(store=SimpleNamespace(db=None, data_dir=data_dir))
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vmap = screener._load_ext_value_maps(repo, "auction.v")["auction__v"]
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assert len(vmap) == N_SYMBOLS
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picked = {v for v in vmap.values()}
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assert picked == {3.0}, f"应全部取最新一盘 09:25 (v=3.0), 实际取到 {sorted(picked)}"
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def test_ext_factor_frame_takes_latest_session_after_merge(data_dir):
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cfg = _write_three_sessions(data_dir)
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frame = ext_factors._timeseries_frame(data_dir, cfg, cfg.fields)
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value_col = next(c for c in frame.columns if c not in ("symbol", "_ext_date") and c.endswith("v"))
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assert frame.height == N_SYMBOLS
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assert set(frame[value_col].to_list()) == {3.0}
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def test_sector_flow_takes_latest_session_after_merge(data_dir):
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_write_three_sessions(data_dir)
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flow = sector_rotation._load_sector_flow(data_dir, "auction.v")
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assert flow is not None
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assert flow.height == N_SYMBOLS
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assert set(flow["_flow"].to_list()) == {3.0}
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def test_fresh_partition_sorted_even_if_upstream_returns_latest_first(data_dir):
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"""首次落盘 (无旧分区, 不经合并去重): 上游按时间倒序返回也要按时间列升序落盘。"""
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cfg = _config()
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ExtConfigStore(data_dir).upsert(cfg)
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rows = [
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{"symbol": "000001.SZ", "ts": "09:25:00", "v": 3.0},
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{"symbol": "000001.SZ", "ts": "09:20:00", "v": 2.0},
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{"symbol": "000001.SZ", "ts": "09:15:00", "v": 1.0},
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]
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rows_to_parquet(rows, cfg, data_dir, snapshot_date=DAY)
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repo = SimpleNamespace(store=SimpleNamespace(db=None, data_dir=data_dir))
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vmap = screener._load_ext_value_maps(repo, "auction.v")["auction__v"]
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assert vmap == {"000001.SZ": 3.0}
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flow = sector_rotation._load_sector_flow(data_dir, "auction.v")
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assert flow is not None and flow["_flow"].to_list() == [3.0]
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def test_snapshot_table_without_time_field_row_order_unchanged(data_dir):
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"""未配置 time_field 的时序表: 写入不排序, 行为与改造前一致 (每 symbol 一行)。"""
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cfg = ExtConfig(
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id="plain",
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label="普通时序表",
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mode="timeseries",
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fields=[ExtField("symbol", "string", "代码"), ExtField("v", "float", "值")],
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pull=PullConfig(url="https://x"),
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)
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ExtConfigStore(data_dir).upsert(cfg)
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rows = [{"symbol": "000002.SZ", "v": 2.0}, {"symbol": "000001.SZ", "v": 1.0}]
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rows_to_parquet(rows, cfg, data_dir, snapshot_date=DAY)
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out = pl.read_parquet(
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data_dir / "ext_data" / "plain" / "timeseries" / f"date={DAY.isoformat()}" / "part.parquet"
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)
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assert out["symbol"].to_list() == ["000002.SZ", "000001.SZ"]
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