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kevin9327andClaude Fable 5.1
71f7a6289f
create_order 的卖出预检读 positions.json 里的 available_qty, 而该值是上次 _materialize 时按「当时的今天」算出的 T+1 口径 (成交当日即 0); 跨日后只有再次 成交 / 除权 / 手动 rebuild 才会重建, 所以次日 (乃至此后每一天) 下卖单都被 「可卖数量不足 (T+1): 可卖 0」拒绝, 而持仓表 (overview 现算) 显示可卖 100。 改为与 _fill_order / overview 同口径, 用 _available_of(pos, cn_today()) 现算; 待成交卖出占用额度的校验同样以现算值为准。 Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
107 lines
4.9 KiB
Python
107 lines
4.9 KiB
Python
"""模拟盘 T+1 可卖数量在下单时按当前交易日现算, 不读物化持仓里过期的 available_qty。
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复现: 当日买入成交后 positions.json 里的 available_qty 是成交当日的 T+1 口径 (0);
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跨日后没有任何路径重建它 (只有再次成交 / 除权 / 手动 rebuild 才会), create_order
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的卖出预检却一直读这个 0, 而 overview 按当前交易日现算显示可卖 100 ——
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持仓表写着可卖, 下单却被「可卖数量不足 (T+1): 可卖 0」拒绝。
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"""
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from __future__ import annotations
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from datetime import date, timedelta
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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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from fastapi import FastAPI
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from fastapi.testclient import TestClient
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from app.api.paper import router
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from app.strategy import paper
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from app.tickflow.repository import DataStore, KlineRepository
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SYM = "600519.SH"
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DAY = date(2026, 9, 24) # 周四, 次日仍是交易日
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def _write_daily(tmp_path: Path, rows: list[tuple[date, float, float]]) -> None:
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"""写 kline_daily 分区: [(day, open, close)] (不复权 raw 价)。"""
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repo = KlineRepository(DataStore(tmp_path))
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df = pl.DataFrame(
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{
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"symbol": [SYM] * len(rows),
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"date": [r[0] for r in rows],
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"open": [r[1] for r in rows],
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"high": [max(r[1], r[2]) for r in rows],
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"low": [min(r[1], r[2]) for r in rows],
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"close": [r[2] for r in rows],
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"volume": [10000.0] * len(rows),
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"amount": [r[2] * 10000.0 for r in rows],
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}
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)
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repo.append_daily(df)
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def _buy_intraday(tmp_path: Path, monkeypatch, qty: int) -> None:
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"""DAY 盘中即时买入成交; 当日 T+1 不可卖 (两种口径此时一致, 均为 0)。"""
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monkeypatch.setattr(paper, "cn_today", lambda: DAY)
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_write_daily(tmp_path, [(DAY - timedelta(days=1), 10.0, 10.0)])
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paper.create_account(tmp_path, 1_000_000)
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_, err = paper.create_order(tmp_path, SYM, "buy", qty=qty, ref_price=10.0)
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assert err is None
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assert len(paper.evaluate_intraday(tmp_path, {SYM: 10.0})) == 1
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_, err = paper.create_order(tmp_path, SYM, "sell", qty=100)
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assert err is not None and "可卖数量不足" in err
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def test_sell_next_day_without_rematerialize(tmp_path, monkeypatch):
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"""次日可卖: 中间不重建物化持仓 (生产环境跨日后没有任何路径会重建)。"""
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_buy_intraday(tmp_path, monkeypatch, 100)
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monkeypatch.setattr(paper, "cn_today", lambda: DAY + timedelta(days=1))
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# 持仓表 (overview) 按当前交易日现算: 可卖 100
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assert paper.overview(tmp_path)["holdings"][0]["available_qty"] == 100
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sell, err = paper.create_order(tmp_path, SYM, "sell", qty=100)
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assert err is None and sell["status"] == "pending"
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def test_sell_next_day_after_settle_fill(tmp_path, monkeypatch):
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"""盘后结算成交 (close 单) 的买入, 次日同样可卖。"""
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monkeypatch.setattr(paper, "cn_today", lambda: DAY)
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_write_daily(tmp_path, [(DAY - timedelta(days=1), 10.0, 10.0), (DAY, 10.2, 10.8)])
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paper.create_account(tmp_path, 1_000_000)
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_, err = paper.create_order(tmp_path, SYM, "buy", qty=100, order_type="close", ref_price=10.0)
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assert err is None
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assert paper.settle_day(tmp_path, DAY.isoformat())["filled"] == 1
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monkeypatch.setattr(paper, "cn_today", lambda: DAY + timedelta(days=1))
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sell, err = paper.create_order(tmp_path, SYM, "sell", qty=100)
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assert err is None and sell["status"] == "pending"
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def test_pending_sell_quota_uses_current_day_availability(tmp_path, monkeypatch):
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"""超卖防护同样按当前交易日可卖数计: 可卖 200, 两张 100 股卖出单都能挂, 第三张拒。"""
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_buy_intraday(tmp_path, monkeypatch, 200)
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monkeypatch.setattr(paper, "cn_today", lambda: DAY + timedelta(days=1))
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s1, err = paper.create_order(tmp_path, SYM, "sell", qty=100)
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assert err is None and s1["status"] == "pending"
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s2, err = paper.create_order(tmp_path, SYM, "sell", qty=100)
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assert err is None and s2["status"] == "pending"
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_, err = paper.create_order(tmp_path, SYM, "sell", qty=100)
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assert err is not None and "可卖 200" in err and "待成交卖出 200" in err
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def test_api_sell_next_day_returns_200(tmp_path, monkeypatch):
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"""HTTP 层: 持仓接口显示可卖 100, 卖出下单应 200 而非 400「可卖 0」。"""
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_buy_intraday(tmp_path, monkeypatch, 100)
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monkeypatch.setattr(paper, "cn_today", lambda: DAY + timedelta(days=1))
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app = FastAPI()
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app.include_router(router)
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app.state.repo = SimpleNamespace(
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store=SimpleNamespace(data_dir=tmp_path),
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resolve_asset_type=lambda s: "stock",
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)
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client = TestClient(app)
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holdings = client.get("/api/paper/positions").json()["holdings"]
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assert holdings[0]["available_qty"] == 100
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r = client.post("/api/paper/orders", json={"symbol": SYM, "side": "sell", "qty": 100})
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assert r.status_code == 200, r.text
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assert r.json()["order"]["status"] == "pending"
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