mirror of
https://github.com/shy3130/tick-stock-panel.git
synced 2026-11-02 10:26:13 +00:00
kevin9327andClaude Opus 5
eef2c84dee
ETF 与指数没有 live_agg, 每轮实时行情都走 _flush_live_enriched 的全量回退: 读近 90 个自然日的日K + 今日行情重算指标。春节/国庆长假前后 90 个自然日只有 56~59 个交易日, rolling_mean(60) / rolling_max(60) / shift(60) 窗口不满, 全部 ETF 与指数盘中 ma60、high_60d、low_60d、momentum_60d 为空, 依赖它们的 信号 (创60日新高/新低、MA20 上穿 MA60 等) 盘中不会触发; 盘后缓存读 300 个 自然日, 收盘后又有值。 股票盘中递推窗口已按交易日计数 (_live_agg_window_start)。回退路径多读 60 个 自然日, 用同一个函数确定窗口起点: 平时仍是 90 个自然日, 只在长假前后前移到 第 60 个交易日。 Closes #341 Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
102 lines
3.9 KiB
Python
102 lines
3.9 KiB
Python
"""ETF / 指数盘中 enriched (全量回退路径) 的历史窗口必须真有 60 个交易日。
|
|
|
|
ETF 与指数没有 live_agg, 每轮实时行情都走 _flush_live_enriched 的全量回退:
|
|
读近「90 个自然日」的日K + 今日行情重算指标。春节/国庆长假后 90 个自然日只有
|
|
56~59 个交易日, rolling_mean(60) / rolling_max(60) / shift(60) 窗口不满, 全部
|
|
ETF 与指数盘中 MA60、60 日极值、60 日动量为空 (创60日新高/新低、MA20 上穿 MA60
|
|
等信号一并失效), 而盘后缓存 (_refresh_etf_enriched / _refresh_index_enriched,
|
|
300 个自然日) 有值。股票盘中递推窗口已按交易日计数 (_live_agg_window_start)。
|
|
"""
|
|
from __future__ import annotations
|
|
|
|
import math
|
|
from datetime import date, timedelta
|
|
from pathlib import Path
|
|
from types import SimpleNamespace
|
|
|
|
import polars as pl
|
|
import pytest
|
|
|
|
import app.services.quote_service as qs_module
|
|
from app.indicators.pipeline import compute_enriched
|
|
from app.services.quote_service import QuoteService
|
|
|
|
TODAY = date(2026, 2, 26)
|
|
# 2026 元旦 + 春节休市 (2/16~2/23): 2025-11-28 ~ 2026-02-25 只有 57 个交易日
|
|
CLOSED = {date(2026, 1, 1), date(2026, 1, 2)} | {date(2026, 2, 16) + timedelta(days=i) for i in range(8)}
|
|
SYMBOLS = ("510300.SH", "159915.SZ")
|
|
WINDOW_COLUMNS = ("ma60", "high_60d", "low_60d", "momentum_60d")
|
|
TABLES = {"etf": "kline_etf_daily", "index": "kline_index_daily"}
|
|
|
|
|
|
def _trading_days() -> list[date]:
|
|
days: list[date] = []
|
|
d = TODAY - timedelta(days=299)
|
|
while d <= TODAY:
|
|
if d.weekday() < 5 and d not in CLOSED:
|
|
days.append(d)
|
|
d += timedelta(days=1)
|
|
return days
|
|
|
|
|
|
def _bars() -> pl.DataFrame:
|
|
rows = []
|
|
for n, symbol in enumerate(SYMBOLS):
|
|
for i, day in enumerate(_trading_days()):
|
|
close = round(4.0 + n + 0.3 * math.sin(i * 0.23 + n) + 0.002 * i, 3)
|
|
rows.append((symbol, day, close, close + 0.02, close - 0.02, close, 1e6 + 1e4 * i, 4e6))
|
|
return pl.DataFrame(
|
|
rows,
|
|
schema=["symbol", "date", "open", "high", "low", "close", "volume", "amount"],
|
|
orient="row",
|
|
).sort(["symbol", "date"])
|
|
|
|
|
|
class _StubRepo:
|
|
def __init__(self, data_dir: Path) -> None:
|
|
self.store = SimpleNamespace(data_dir=data_dir)
|
|
self.flushed: dict[str, pl.DataFrame] = {}
|
|
|
|
def get_enriched_latest_asset(self, asset_type: str):
|
|
return pl.DataFrame(), None
|
|
|
|
def flush_live_enriched_asset(self, asset_type: str, df: pl.DataFrame) -> None:
|
|
self.flushed[asset_type] = df
|
|
|
|
def merge_live_enriched_asset(self, asset_type: str, df: pl.DataFrame) -> None:
|
|
self.flushed[asset_type] = df
|
|
|
|
|
|
def test_fixture_holiday_window_has_fewer_than_60_trading_days():
|
|
days = _trading_days()
|
|
history = [d for d in days if TODAY - timedelta(days=90) <= d < TODAY]
|
|
assert len(history) < 60 # 构造前提: 长假让 90 个自然日不足 60 个交易日
|
|
|
|
|
|
@pytest.mark.parametrize("asset_type", ["etf", "index"])
|
|
def test_fallback_window_counts_trading_days(tmp_path, monkeypatch, asset_type):
|
|
bars = _bars()
|
|
table = tmp_path / TABLES[asset_type]
|
|
for part in bars.filter(pl.col("date") < TODAY).partition_by("date"):
|
|
out = table / f"date={part['date'][0].isoformat()}" / "part.parquet"
|
|
out.parent.mkdir(parents=True)
|
|
part.write_parquet(out)
|
|
|
|
monkeypatch.setattr(qs_module, "cn_today", lambda: TODAY)
|
|
qs = QuoteService()
|
|
repo = _StubRepo(tmp_path)
|
|
qs._repo = repo
|
|
qs._flush_live_enriched(
|
|
bars.filter(pl.col("date") == TODAY),
|
|
None,
|
|
asset_type=asset_type,
|
|
merge=asset_type == "index",
|
|
)
|
|
|
|
live = repo.flushed[asset_type].sort("symbol")
|
|
full = compute_enriched(bars).filter(pl.col("date") == TODAY).sort("symbol")
|
|
assert live["symbol"].to_list() == full["symbol"].to_list()
|
|
for column in WINDOW_COLUMNS:
|
|
assert full[column].null_count() == 0
|
|
assert live[column].to_list() == pytest.approx(full[column].to_list(), rel=1e-12), column
|