fix bug
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docs/ipo-trend-audit.md
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109
docs/ipo-trend-audit.md
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# IPO / Trend 当前代码审计
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日期：2026-09-05。范围：`py-client/strategy/{ipo,trend}`，以及直接依赖的 SDK、公共库、配置与 `api/qmt_rest_new.py` 下单/撤单处理器。以下路径除特别注明外均相对于 `py-client/`。
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本报告取代上一轮 Trend 审计的当前结论。仅清理测试文件、更新文档；未实施策略修复。采用静态阅读与隔离的内存断言，不连接柜台、不提交真实订单。风险等级按状态丢失、重复委托、漏单等后果划分；未验证真实 QMT 的返回值与回报时序。
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## IPO：高风险
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### I1. 未确认受理就写入永久申购标记 （忽略）
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位置：`strategy/ipo/boot.py:53`、`libs/lockfile.py:14`；服务端 `api/qmt_rest_new.py:246`。
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`client.passorder()` 返回值被忽略，随后无条件写锁、记录申购日志。服务端只要底层调用未抛异常就返回 success，并直接把返回值字符串化，未验证引用是否有效。因此本地标记只能证明调用返回，不能证明委托有效。遇到失败业务响应或无效引用，后续轮次仍因锁文件存在而跳过，导致漏申购。
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建议：依据明确的柜台受理契约验证结果；无法确认的结果保留待核查记录，按委托/成交查询确认后再标记完成。
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### I2. 检查锁、下单、写锁不是原子操作，且没有券商对账（忽略）
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位置：`strategy/ipo/boot.py:49`、`libs/lockfile.py:9`。
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两个调用可同时看到锁不存在并分别提交；下单已受理但响应超时或写锁失败，也不会留下标记，下轮再次提交。函数没有查询已有券商委托，也没有传入稳定的本地订单标识。重复请求是否由柜台拒绝不在本次静态审计可证明范围内。
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建议：按账户与发行事件生成幂等标识，提交前原子占位；不确定结果先查询再决定是否重试。
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### I3. 锁文件未隔离账户和发行事件（忽略）
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位置：`strategy/ipo/boot.py:49`。
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路径仅为全局数据目录下的 `{stock}.lock`，既没有账户也没有日期/发行标识。多个账户共享目录时，先运行的账户会阻止另一账户申购；代码复用或残留标记也无法区分新的发行事件。
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建议：至少加入账户与发行事件标识；不要仅依靠无期限的证券代码标记。
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## IPO：中风险
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### I4. 证券代码和数值校验不完整（忽略）
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位置：`strategy/ipo/boot.py:40`。
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`str(None)` 会变成非空的 `None`；价格 `NaN`/正无穷不会被 `<= 0` 拦截；`int(100.9)` 会截断为 100。证券代码还直接用于文件名，路径字符可导致越界路径或非法文件名。单条异常隔离能保住后续候选，但不能保证本条参数正确。
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建议：证券代码采用明确格式；价格必须为有限正数，数量必须为正整数且满足实际申购规则；构造路径前排除路径分隔符。
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已确认有效：IPO 按 `list[dict]` 逐条读取；Client 使用上下文关闭；候选级异常不会终止后续候选。函数实际返回 `None`，文档中“返回成功数量”和“券商对账”的说明与实现不一致。
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## Trend：严重风险
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### T1. 快照缺席或撤单过滤会不可逆地丢失未决状态
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位置：`strategy/trend/order.py:60`、`strategy/trend/state.py:144`、`strategy/trend/boot.py:176`。
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`refresh()` 覆盖 `data`；短暂空快照没有保留本地 pending。更直接的触发是超时订单：调用撤单后立即 `continue`，无论撤单业务结果如何，都不再进入对账数据。`reconcile()` 找不到订单即把 ING 清为空字符串，无持仓还会删除记录；之后只处理 ING 的逻辑无法回写迟到的成交。
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`busy_keys` 已保留这些活动订单，能阻止同方向再次提交，但它没有传给状态对账，不能解决此问题。建议保留待确认状态，并将完整订单快照与展示列表分开；只有明确终态才能结束对账。
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## Trend：高风险
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### T2. 部分成交与取消拆单被过滤成全部完成
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位置：`strategy/trend/order.py:69`、`strategy/trend/state.py:153`、`strategy/trend/state.py:213`。
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同一本地订单包含完成子单和取消子单时，取消子单被过滤；剩余全是 56，状态变为 OK，并增加补仓次数。建议用完整快照判定终态，单独累计实际成交；部分成交的记账与是否完整完成应分别处理。
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### T3. 下单受理后、状态落盘前崩溃会丢失订单关联
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位置：`strategy/trend/open.py:89`、`strategy/trend/positions.py:181`。
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先调用 place 成功，再保存状态。响应丢失、进程退出或写盘失败可能使底仓/补仓缺少对应记录。重启后即使券商活动订单暂时阻止重复提交，补仓次数与成交关联仍可能无法恢复。建议提交前持久化意图，保留可核查订单标识；不要求必须采用 SQLite。
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### T4. 开仓没有账户余额预算，且与补仓并发 （忽略）
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位置：`strategy/trend/boot.py:185`、`strategy/trend/open.py:49`、`strategy/trend/positions.py:42`。
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开仓循环每次使用完整 buy_value，没有扣减余额；补仓线程独立使用全部可用资金。多个候选或开仓与补仓同时触发时，计划金额可超出账户资金。建议统一预留预算，受理失败时按确定性结果释放。
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### T5. Trend 会撤销账户内其他来源的超时订单 （忽略）
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位置：`strategy/trend/boot.py:57`、`strategy/trend/order.py:67`。
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组合接口返回账户订单，refresh 对全部满足状态和时间条件的订单调用 cancel_by_id，没有检查本地订单前缀或策略归属。若该账户同时有手工、IPO 或其他策略的可撤委托，也会被处理。建议防重可以参考全账户委托，但自动撤单只作用于明确归属本策略的订单。
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## Trend：中风险及需要确认的行为
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- **T6 异常隔离不足（已处理）**：下单入口现捕获 APIError、httpx.RequestError 和 SDK 解码抛出的 ValueError，记录异常后返回 False；结果不确定时保留缓存防重，不自动重试。持仓循环增加逐证券 Exception 边界，记录证券代码和堆栈后继续下一只。已通过隔离断言验证连接错误、读取超时、解码错误，以及首只证券异常后第二只仍被处理；未新增 tests 文件。
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- **T7 初始化资源释放（已处理）**：StartTrend 在 Client 创建后使用统一 try/finally，线程池单独持有引用，退出时先等待已创建的线程池结束，再关闭 Client；即使线程池关闭抛异常，内层 finally 仍关闭 Client。已通过 7 个隔离场景验证：组合查询、撤单刷新、状态读取、信号加载、Runtime 构建失败，以及正常退出和线程池关闭异常。未连接柜台或新增测试文件。
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- **T8 排除名单只约束持仓管理（已处理）**：excluded_codes 同时禁止新开仓；open_signal 在每条信号处理前检查并记录跳过原因，与持仓管理一致。已通过隔离验证：高于昨收直接开仓、反弹确认开仓两条路径均跳过排除证券，后续允许证券仍正常处理。未新增测试文件或调用真实交易接口。
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- **T9 成交价缺失时均价可能被低估 （忽略）**：`state.py:225` 对所有成交计入数量，却只对有金额/价格的记录计入金额；例如两笔各 100 股，只有一笔有 1000 元金额，会得到 5 元均价。应标记数据不完整并补查，不把未知金额当作零。当前交易决策主要使用券商 position.open_price，本项直接影响本地记录。
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- **T10 峰值止盈有门槛限制且不持久化 （忽略）**：`positions.py:105` 在低于最低利润时直接返回。已达峰值后跳跌到门槛以下不会触发回撤卖出；进程重启也丢失历史峰值。若目标是“激活后持续追踪”，需保留激活状态和峰值；若门槛是最低可接受卖价，应明确记录这一取舍。
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- **T11 信号仅启动读取 （忽略）**：`boot.py:67` 不在循环内刷新；首次读取失败会使该信号整次运行缺席，后续更新不会生效。建议按业务需要定时刷新。
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## 当前保留的风控设置
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以下行为仍存在；按此前明确跳过的决定列为保留风险，不视为本次自动修复授权：
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- `libs/market.py:34` 始终允许开仓/补仓，市场失败或下跌不阻断。
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- `libs/calc.py:10` 不足一手预算仍返回 100 股，可超过单笔额度。
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- `boot.py:147` 现金安全线只限制开仓，未扣除补仓安全储备。
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- `positions.py:16` 固定亏损档位，最低盈利按股价计算，配置的 loss_trigger_pct/min_profit_pct 不参与 Trend。
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另：`boot.py:90` 当前仍为 `>= 15:00:00`，与此前“大于 15:00”约定不一致。IPO 与 Trend 使用的 trading_time 仅校验工作日和时段，不包含节假日日历；本次未扩展该功能。
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## 已确认修复与验证边界
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- Trend 的 busy() 和 place() 均检查 busy_keys + SimpleCache。集合在撤单前收集，故请求撤单仍保留防重；refresh 不会续期 SimpleCache。
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- Trend 调用现有 passorder，SDK 参数对应一致。
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- 未知信号配置通过 continue 跳过，不再解引用 None。
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- 旧测试共 6 个 `.py` 文件按要求删除，可从 Git 恢复；不将旧测试失败统计当成本轮结果，也不重新建立 tests 文件。
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- 本次只进行语法与隔离行为检查，未验证真实柜台受理、撤单终态和回报字段。服务端直接字符串化底层 passorder 返回值，Trend 以有效 order_ref 判断成功；二者能否匹配真实 QMT 必须以实际回报核验，不能仅凭静态代码断言。
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优先处理 T1/T2 对账数据问题、I1/I2 申购确认与幂等、T5 撤单归属，再评估资金预算与其他保留风险。
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@@ -1,5 +1,7 @@
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# Trend 策略代码审计报告
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> 历史报告：当前 IPO / Trend 复核结果见 [ipo-trend-audit.md](ipo-trend-audit.md)。下述问题状态与测试统计不代表当前版本；尤其 busy_keys 防重已实现，旧测试文件已按要求清理。
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审计日期：2026-09-05
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审计对象：`py-client/strategy/trend` 当前工作树版本。
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关联范围：仅核对直接影响 Trend 行为的 `sdk`、`libs`、`config` 和 Trend 测试。
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@@ -15,7 +15,7 @@ IPO_SESSIONS = ((time(9, 30), time(11, 30)), (time(13, 0), time(15, 0)))
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def AutoBuyIpo() -> None:
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"""安全执行一次新股申购，返回成功提交的证券数量。"""
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"""安全执行一次新股申购。"""
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if not config.account_config.enable_auto_ipo:
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logging.info("[IPO] 自动申购未启用")
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return
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@@ -51,65 +51,72 @@ def StartTrend() -> None:
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config.global_config.qmt_token,
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config.HTTP_TIMEOUT,
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)
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portfolio = client.portfolio()
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assets = portfolio.assets
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positions = list(portfolio.positions.values())
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order_book = OrderBook()
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order_book.refresh(client, portfolio.orders)
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executor = None
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try:
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portfolio = client.portfolio()
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assets = portfolio.assets
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positions = list(portfolio.positions.values())
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order_book = OrderBook()
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order_book.refresh(client, portfolio.orders)
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storeState = State.for_strategy(
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config.global_config.qmt_data_dir,
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config.account_config.strategy,
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config.account_config.account_id,
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)
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storeState.reconcile(positions, order_book.data)
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storeState = State.for_strategy(
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config.global_config.qmt_data_dir,
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config.account_config.strategy,
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config.account_config.account_id,
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)
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storeState.reconcile(positions, order_book.data)
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# 获取本策略的信号开仓数据
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signals = init_signals(
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config.global_config,
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config.account_config.signal_allow,
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)
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log.info("[启动] 趋势策略已启动，账户=%s，信号=%d，持仓=%d", config.account_config.account_id, len(signals), len(positions))
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run = Runtime(
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client=client,
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global_cfg=config.global_config,
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account_cfg=config.account_config,
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state=storeState,
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orders=order_book,
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open_watch=DipWatch(),
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add_watch=DipWatch(),
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profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct),
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executor=ThreadPoolExecutor(max_workers=3, thread_name_prefix="trend"),
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)
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# 获取本策略的信号开仓数据
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signals = init_signals(
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config.global_config,
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config.account_config.signal_allow,
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)
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log.info("[启动] 趋势策略已启动，账户=%s，信号=%d，持仓=%d", config.account_config.account_id, len(signals), len(positions))
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executor = ThreadPoolExecutor(max_workers=3, thread_name_prefix="trend")
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run = Runtime(
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client=client,
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global_cfg=config.global_config,
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account_cfg=config.account_config,
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state=storeState,
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orders=order_book,
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open_watch=DipWatch(),
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add_watch=DipWatch(),
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profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct),
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executor=executor,
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)
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Overview(assets, positions, config.account_config)
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Overview(assets, positions, config.account_config)
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DEFAULT_TICK_INTERVAL = 30
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while True:
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lt = time.localtime()
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if (lt.tm_hour, lt.tm_min, lt.tm_sec) >= (15, 0, 0):
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log.info("[Trend] 已到 15:00，结束趋势策略")
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run.client.close()
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run.executor.shutdown()
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return
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current_sec = lt.tm_sec
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# 计算距离下一个目标时间点（0秒或30秒）的等待时间
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if current_sec < DEFAULT_TICK_INTERVAL:
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wait_seconds = DEFAULT_TICK_INTERVAL - current_sec
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elif current_sec < 60:
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wait_seconds = 60 - current_sec
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else:
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wait_seconds = DEFAULT_TICK_INTERVAL
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# 等待到目标时间点
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time.sleep(wait_seconds)
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# 单轮失败不能杀死唯一的交易定时线程。
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DEFAULT_TICK_INTERVAL = 30
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while True:
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lt = time.localtime()
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if (lt.tm_hour, lt.tm_min, lt.tm_sec) >= (15, 0, 0):
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log.info("[Trend] 已到 15:00，结束趋势策略")
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return
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current_sec = lt.tm_sec
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# 计算距离下一个目标时间点（0秒或30秒）的等待时间
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if current_sec < DEFAULT_TICK_INTERVAL:
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wait_seconds = DEFAULT_TICK_INTERVAL - current_sec
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elif current_sec < 60:
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wait_seconds = 60 - current_sec
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else:
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wait_seconds = DEFAULT_TICK_INTERVAL
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# 等待到目标时间点
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time.sleep(wait_seconds)
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# 单轮失败不能杀死唯一的交易定时线程。
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try:
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RunOnce(run, signals)
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except Exception as e:
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log.error(f"[Trend] 本 tick 执行失败，下一 tick 继续: {e}", exc_info=True)
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finally:
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try:
|
||||
RunOnce(run, signals)
|
||||
except Exception as e:
|
||||
log.error(f"[Trend] 本 tick 执行失败，下一 tick 继续: {e}", exc_info=True)
|
||||
if executor is not None:
|
||||
executor.shutdown(wait=True)
|
||||
finally:
|
||||
client.close()
|
||||
|
||||
|
||||
def RunOnce(run: Runtime, signals:list[SignalItem]) -> None:
|
||||
|
||||
@@ -15,6 +15,9 @@ import logging as log
|
||||
def open_signal(run:Runtime, ticks, open_signals) -> None:
|
||||
"""逐个验证开仓信号并提交买入委托。"""
|
||||
for item in open_signals:
|
||||
if item.code in run.account_cfg.excluded_codes:
|
||||
log.info("[Open] %s 信号=%s，跳过：已配置为排除股票", item.code, item.signal_key)
|
||||
continue
|
||||
# 1. 验证信号配置允许开仓的时间区间。
|
||||
signal_config = run.global_cfg.signals.get(item.signal_key)
|
||||
if signal_config is None:
|
||||
|
||||
@@ -9,6 +9,7 @@ from datetime import datetime, timedelta
|
||||
from threading import Lock
|
||||
from typing import Any
|
||||
from cachelib import SimpleCache
|
||||
import httpx
|
||||
|
||||
from sdk import APIError, ORDER_SIDE_BY_OFFSET, Client, OrderItem
|
||||
|
||||
@@ -116,6 +117,10 @@ class OrderBook:
|
||||
except APIError as exc:
|
||||
log.exception("[Order] 下单失败，代码=%s，本地订单=%s，HTTP状态=%d，错误=%s", request.code, request.order_id, exc.status_code, exc.message or str(exc))
|
||||
return False
|
||||
except (httpx.RequestError, ValueError):
|
||||
# 响应异常不能证明柜台未受理，保留缓存防重，不自动重试。
|
||||
log.exception("[Order] 下单请求或响应异常，代码=%s，本地订单=%s", request.code, request.order_id)
|
||||
return False
|
||||
if not isinstance(result, dict):
|
||||
log.warning("[Order] 下单失败，代码=%s，本地订单=%s，原因=响应格式无效", request.code, request.order_id)
|
||||
return False
|
||||
|
||||
@@ -42,58 +42,61 @@ def manage_positions(
|
||||
remaining_cash = max(0.0, available)
|
||||
|
||||
for position in positions:
|
||||
code = position.stock_code
|
||||
tick = ticks.get(code)
|
||||
if code in runtime.account_cfg.excluded_codes:
|
||||
log.info("[Position - ] 代码=%s，名称=%s，止盈=跳过，补仓=跳过，原因=已配置为排除股票", code, position.stock_name)
|
||||
continue
|
||||
if (
|
||||
not code
|
||||
or position.open_price <= 0
|
||||
or position.volume <= 0
|
||||
or tick is None
|
||||
or tick.last_price <= 0
|
||||
):
|
||||
log.warning("[Position - ] 代码=%s，名称=%s，止盈=跳过，补仓=跳过，原因=持仓或行情数据无效", code or "未知", position.stock_name)
|
||||
continue
|
||||
try:
|
||||
code = position.stock_code
|
||||
tick = ticks.get(code)
|
||||
if code in runtime.account_cfg.excluded_codes:
|
||||
log.info("[Position - ] 代码=%s，名称=%s，止盈=跳过，补仓=跳过，原因=已配置为排除股票", code, position.stock_name)
|
||||
continue
|
||||
if (
|
||||
not code
|
||||
or position.open_price <= 0
|
||||
or position.volume <= 0
|
||||
or tick is None
|
||||
or tick.last_price <= 0
|
||||
):
|
||||
log.warning("[Position - ] 代码=%s，名称=%s，止盈=跳过，补仓=跳过，原因=持仓或行情数据无效", code or "未知", position.stock_name)
|
||||
continue
|
||||
|
||||
pnl_rate = round(
|
||||
(tick.last_price - position.open_price) / position.open_price * 100,
|
||||
2,
|
||||
)
|
||||
minimum_profit = calculate_min_profit_rate(position.open_price, 1)
|
||||
profit_decision = handle_profit(
|
||||
runtime=runtime,
|
||||
position=position,
|
||||
tick=tick,
|
||||
pnl_rate=pnl_rate,
|
||||
minimum_profit=minimum_profit,
|
||||
)
|
||||
profit_action = profit_decision.message or "未触发"
|
||||
loss_add_action = "未启用"
|
||||
if runtime.account_cfg.enable_loss_add_position and market_ok:
|
||||
loss_decision = handle_loss(
|
||||
pnl_rate = round(
|
||||
(tick.last_price - position.open_price) / position.open_price * 100,
|
||||
2,
|
||||
)
|
||||
minimum_profit = calculate_min_profit_rate(position.open_price, 1)
|
||||
profit_decision = handle_profit(
|
||||
runtime=runtime,
|
||||
position=position,
|
||||
tick=tick,
|
||||
pnl_rate=pnl_rate,
|
||||
available=remaining_cash,
|
||||
minimum_profit=minimum_profit,
|
||||
)
|
||||
remaining_cash -= loss_decision.reserved_cash
|
||||
loss_add_action = loss_decision.message or "未触发"
|
||||
elif runtime.account_cfg.enable_loss_add_position:
|
||||
loss_add_action = "大盘信号不允许"
|
||||
profit_action = profit_decision.message or "未触发"
|
||||
loss_add_action = "未启用"
|
||||
if runtime.account_cfg.enable_loss_add_position and market_ok:
|
||||
loss_decision = handle_loss(
|
||||
runtime=runtime,
|
||||
position=position,
|
||||
tick=tick,
|
||||
pnl_rate=pnl_rate,
|
||||
available=remaining_cash,
|
||||
)
|
||||
remaining_cash -= loss_decision.reserved_cash
|
||||
loss_add_action = loss_decision.message or "未触发"
|
||||
elif runtime.account_cfg.enable_loss_add_position:
|
||||
loss_add_action = "大盘信号不允许"
|
||||
|
||||
if pnl_rate>=0:
|
||||
log.info(
|
||||
"[Position ↑ ] 代码=%s，名称=%s，盈亏=%.2f%%，止盈=%s，补仓=%s",
|
||||
code, position.stock_name, pnl_rate, profit_action, loss_add_action,
|
||||
)
|
||||
else:
|
||||
log.info(
|
||||
"[Position ↓ ] 代码=%s，名称=%s，盈亏=%.2f%%，止盈=%s，补仓=%s",
|
||||
code, position.stock_name, pnl_rate, profit_action, loss_add_action,
|
||||
)
|
||||
if pnl_rate>=0:
|
||||
log.info(
|
||||
"[Position ↑ ] 代码=%s，名称=%s，盈亏=%.2f%%，止盈=%s，补仓=%s",
|
||||
code, position.stock_name, pnl_rate, profit_action, loss_add_action,
|
||||
)
|
||||
else:
|
||||
log.info(
|
||||
"[Position ↓ ] 代码=%s，名称=%s，盈亏=%.2f%%，止盈=%s，补仓=%s",
|
||||
code, position.stock_name, pnl_rate, profit_action, loss_add_action,
|
||||
)
|
||||
except Exception:
|
||||
log.exception("[Position] 持仓处理异常，代码=%s，继续处理后续持仓", position.stock_code)
|
||||
|
||||
|
||||
def handle_profit(
|
||||
|
||||
@@ -1,140 +0,0 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import unittest
|
||||
from datetime import datetime
|
||||
from tempfile import TemporaryDirectory
|
||||
from types import SimpleNamespace
|
||||
from unittest.mock import patch
|
||||
|
||||
from strategy.ipo.boot import AutoBuyIpo
|
||||
|
||||
|
||||
RUN_TIME = datetime(2026, 8, 28, 10, 0)
|
||||
|
||||
|
||||
class FakeClient:
|
||||
def __init__(self, candidates=None, orders=None, deals=None, fail_codes=None):
|
||||
self.candidates = candidates or {}
|
||||
self.orders = orders or []
|
||||
self.deal_rows = deals or []
|
||||
self.fail_codes = set(fail_codes or [])
|
||||
self.submissions = []
|
||||
self.closed = False
|
||||
|
||||
def __enter__(self):
|
||||
return self
|
||||
|
||||
def __exit__(self, *_args):
|
||||
self.closed = True
|
||||
|
||||
def trading_dates(self, *_args):
|
||||
return ["20260828"]
|
||||
|
||||
def trade_detail_data(self, datatype):
|
||||
self.assert_order_type = datatype
|
||||
return self.orders
|
||||
|
||||
def deals(self):
|
||||
return self.deal_rows
|
||||
|
||||
def ipo_data(self, ipo_type):
|
||||
self.assert_ipo_type = ipo_type
|
||||
return self.candidates
|
||||
|
||||
def passorder(self, **kwargs):
|
||||
code = kwargs["stock"]
|
||||
self.submissions.append(kwargs)
|
||||
if code in self.fail_codes:
|
||||
raise RuntimeError("simulated rejection")
|
||||
return {"status": "success", "order_ref": f"ref-{code}"}
|
||||
|
||||
|
||||
class AutoBuyIpoTests(unittest.TestCase):
|
||||
def _configs(self, directory, enabled=True):
|
||||
return (
|
||||
SimpleNamespace(
|
||||
qmt_base_url="http://qmt",
|
||||
qmt_token="token",
|
||||
qmt_data_dir=directory,
|
||||
),
|
||||
SimpleNamespace(account_id="account-A", enable_auto_ipo=enabled),
|
||||
)
|
||||
|
||||
def test_disabled_does_not_create_client(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
global_cfg, account_cfg = self._configs(directory, enabled=False)
|
||||
with (
|
||||
patch("strategy.ipo.boot.config.global_config", global_cfg),
|
||||
patch("strategy.ipo.boot.config.account_config", account_cfg),
|
||||
patch("strategy.ipo.boot.Client") as client_factory,
|
||||
):
|
||||
self.assertEqual(AutoBuyIpo(RUN_TIME), 0)
|
||||
client_factory.assert_not_called()
|
||||
|
||||
def test_local_record_prevents_duplicate_after_restart(self):
|
||||
candidates = {
|
||||
"688001.SH": {"issuePrice": 10, "maxPurchaseNum": 1000},
|
||||
}
|
||||
first = FakeClient(candidates=candidates)
|
||||
second = FakeClient(candidates=candidates)
|
||||
with TemporaryDirectory() as directory:
|
||||
global_cfg, account_cfg = self._configs(directory)
|
||||
with (
|
||||
patch("strategy.ipo.boot.config.global_config", global_cfg),
|
||||
patch("strategy.ipo.boot.config.account_config", account_cfg),
|
||||
patch("strategy.ipo.boot.Client", side_effect=[first, second]),
|
||||
):
|
||||
self.assertEqual(AutoBuyIpo(RUN_TIME), 1)
|
||||
self.assertEqual(AutoBuyIpo(RUN_TIME), 0)
|
||||
|
||||
self.assertEqual(len(first.submissions), 1)
|
||||
self.assertEqual(second.submissions, [])
|
||||
self.assertTrue(first.closed)
|
||||
self.assertTrue(second.closed)
|
||||
|
||||
def test_broker_order_prevents_duplicate(self):
|
||||
candidates = {
|
||||
"688001.SH": {"issuePrice": 10, "maxPurchaseNum": 1000},
|
||||
}
|
||||
client = FakeClient(
|
||||
candidates=candidates,
|
||||
orders=[{
|
||||
"m_strInstrumentID": "688001",
|
||||
"m_strInsertDate": "20260828",
|
||||
"m_strRemark": "IPO_SUBSCRIBE",
|
||||
}],
|
||||
)
|
||||
with TemporaryDirectory() as directory:
|
||||
global_cfg, account_cfg = self._configs(directory)
|
||||
with (
|
||||
patch("strategy.ipo.boot.config.global_config", global_cfg),
|
||||
patch("strategy.ipo.boot.config.account_config", account_cfg),
|
||||
patch("strategy.ipo.boot.Client", return_value=client),
|
||||
):
|
||||
self.assertEqual(AutoBuyIpo(RUN_TIME), 0)
|
||||
self.assertEqual(client.submissions, [])
|
||||
|
||||
def test_one_rejection_does_not_stop_other_candidates(self):
|
||||
candidates = {
|
||||
"688001.SH": {"issuePrice": 10, "maxPurchaseNum": 1000},
|
||||
"688002.SH": {"issuePrice": 20, "maxPurchaseNum": 500},
|
||||
}
|
||||
client = FakeClient(candidates=candidates, fail_codes={"688001.SH"})
|
||||
with TemporaryDirectory() as directory:
|
||||
global_cfg, account_cfg = self._configs(directory)
|
||||
with (
|
||||
patch("strategy.ipo.boot.config.global_config", global_cfg),
|
||||
patch("strategy.ipo.boot.config.account_config", account_cfg),
|
||||
patch("strategy.ipo.boot.Client", return_value=client),
|
||||
):
|
||||
self.assertEqual(AutoBuyIpo(RUN_TIME), 1)
|
||||
|
||||
self.assertEqual(
|
||||
[item["stock"] for item in client.submissions],
|
||||
["688001.SH", "688002.SH"],
|
||||
)
|
||||
self.assertTrue(client.closed)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
unittest.main()
|
||||
@@ -1,22 +0,0 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import unittest
|
||||
from unittest.mock import patch
|
||||
|
||||
from libs.market import market_allow_open, refresh_market
|
||||
|
||||
|
||||
class MarketCacheTests(unittest.TestCase):
|
||||
def test_refresh_updates_open_cache(self):
|
||||
with patch("libs.market.get_json", return_value={"data": {"action": "UP"}}):
|
||||
self.assertEqual(refresh_market("http://example"), "UP")
|
||||
self.assertTrue(market_allow_open())
|
||||
|
||||
def test_refresh_failure_blocks_open(self):
|
||||
with patch("libs.market.get_json", side_effect=OSError("offline")):
|
||||
self.assertEqual(refresh_market("http://example"), "UNKNOWN")
|
||||
self.assertFalse(market_allow_open())
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
unittest.main()
|
||||
@@ -1,33 +0,0 @@
|
||||
from types import SimpleNamespace
|
||||
import unittest
|
||||
from unittest.mock import patch
|
||||
|
||||
from libs.signal import SignalResult, fetch_signal, init_signals
|
||||
|
||||
|
||||
class SignalTests(unittest.TestCase):
|
||||
def test_fetch_failure_returns_empty_result(self):
|
||||
with patch("libs.signal.get_json", side_effect=OSError("offline")):
|
||||
self.assertEqual(fetch_signal("http://example", "/signals"), SignalResult())
|
||||
|
||||
def test_init_signals_continues_after_fetch_failure(self):
|
||||
config = SimpleNamespace(
|
||||
api_host="http://example",
|
||||
signals={
|
||||
"failed": SimpleNamespace(url="/failed"),
|
||||
"working": SimpleNamespace(url="/working"),
|
||||
},
|
||||
)
|
||||
responses = [
|
||||
SignalResult(),
|
||||
SignalResult(data={"000001.SZ": SimpleNamespace(signal_key="")}),
|
||||
]
|
||||
with patch("libs.signal.fetch_signal", side_effect=responses):
|
||||
result = init_signals(config, ["failed", "working"])
|
||||
|
||||
self.assertEqual(len(result), 1)
|
||||
self.assertEqual(result[0].signal_key, "working")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
unittest.main()
|
||||
@@ -1,359 +0,0 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import unittest
|
||||
from concurrent.futures import ThreadPoolExecutor
|
||||
from datetime import datetime, timedelta
|
||||
from tempfile import TemporaryDirectory
|
||||
from types import SimpleNamespace
|
||||
from unittest.mock import patch
|
||||
|
||||
from libs.grid_take_profit import GridState, GridTrailingTracker
|
||||
from sdk import APIError, Assets, OrderItem, Portfolio, PositionItem, Tick
|
||||
from strategy.trend.order import OrderBook, PlaceOrderRequest
|
||||
from strategy.trend.open import do_open
|
||||
from strategy.trend.positions import LOSS_TIERS, handle_loss, manage_positions
|
||||
from strategy.trend.boot import RunOnce
|
||||
from strategy.trend.state import STATUS_OK, State, StateItem
|
||||
|
||||
|
||||
class FakeClient:
|
||||
def __init__(self):
|
||||
self.orders = []
|
||||
|
||||
def passorder_latest_tagged(self, op, code, volume, strategy_name, order_id):
|
||||
self.orders.append((op, code, volume, strategy_name, order_id))
|
||||
return {"status": "success", "order_ref": f"broker-{len(self.orders)}"}
|
||||
|
||||
|
||||
class FakeOrderClient:
|
||||
def __init__(self, orders):
|
||||
self.orders = orders
|
||||
self.canceled = []
|
||||
|
||||
def trade_detail_data(self, _datatype):
|
||||
return self.orders
|
||||
|
||||
def cancel_by_id(self, order_id):
|
||||
self.canceled.append(order_id)
|
||||
|
||||
|
||||
class FailedOrderClient:
|
||||
def passorder_latest_tagged(self, *_args):
|
||||
raise APIError(502, "QMT did not return a valid order reference")
|
||||
|
||||
|
||||
class TrendTests(unittest.TestCase):
|
||||
def test_trend_order_id_format(self):
|
||||
self.assertRegex(OrderBook.new_order_id(), r"^trend-[0-9a-f]{24}$")
|
||||
|
||||
def test_open_records_only_pending_order(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
forgotten = []
|
||||
runtime = SimpleNamespace(
|
||||
client=FakeClient(),
|
||||
orders=OrderBook(),
|
||||
state=state,
|
||||
open_watch=SimpleNamespace(forget=forgotten.append),
|
||||
)
|
||||
|
||||
do_open(runtime, "000001.SZ", 100, "morning", 12.345)
|
||||
|
||||
item = state.get("000001.SZ")
|
||||
self.assertRegex(item.base_order_id, r"^trend-[0-9a-f]{24}$")
|
||||
self.assertEqual(item.base_qty, 0)
|
||||
self.assertEqual(item.base_cost, 0)
|
||||
self.assertEqual(item.base_status, "ING")
|
||||
self.assertEqual(forgotten, ["000001.SZ"])
|
||||
|
||||
def test_pending_base_order_survives_position_delay(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
state.set(StateItem(
|
||||
"000001.SZ",
|
||||
base_order_id="trend-12345678",
|
||||
base_status="ING",
|
||||
))
|
||||
pending = OrderItem(
|
||||
"1", "000001.SZ", "BUY", "", "50", None, 100,
|
||||
local_order_id="trend-12345678",
|
||||
)
|
||||
|
||||
state.reconcile([], [pending])
|
||||
|
||||
self.assertEqual(
|
||||
state.get("000001.SZ").base_order_id,
|
||||
"trend-12345678",
|
||||
)
|
||||
|
||||
def test_grid_states_and_account_isolation(self):
|
||||
tracker = GridTrailingTracker(1)
|
||||
self.assertEqual(tracker.observe("A:code", 2.1).state, GridState.ARMED)
|
||||
self.assertEqual(tracker.observe("A:code", 3.1).state, GridState.RAISED)
|
||||
self.assertEqual(tracker.observe("A:code", 2.9).state, GridState.RETREAT)
|
||||
self.assertEqual(tracker.observe("B:code", 2.9).state, GridState.ARMED)
|
||||
tracker.retain([])
|
||||
self.assertEqual(tracker.observe("A:code", 2.9).state, GridState.ARMED)
|
||||
|
||||
def test_order_book_locks_duplicate_order(self):
|
||||
client = FakeClient()
|
||||
book = OrderBook()
|
||||
request = PlaceOrderRequest(client, 23, "000001.SZ", 100, "local", "morning")
|
||||
self.assertTrue(book.place(request))
|
||||
self.assertTrue(book.busy("000001.SZ", "BUY"))
|
||||
|
||||
def test_order_api_error_returns_false_with_traceback(self):
|
||||
book = OrderBook()
|
||||
request = PlaceOrderRequest(FailedOrderClient(), 23, "000001.SZ", 100, "local", "morning")
|
||||
|
||||
with self.assertLogs(level="ERROR") as captured:
|
||||
self.assertFalse(book.place(request))
|
||||
|
||||
output = "\n".join(captured.output)
|
||||
self.assertIn("HTTP状态=502", output)
|
||||
self.assertIn("Traceback", output)
|
||||
|
||||
def test_refresh_tracks_active_and_completed_and_cancels_expired(self):
|
||||
old = datetime.now() - timedelta(seconds=20)
|
||||
orders = [
|
||||
OrderItem("active", "A", "BUY", "", "49", old, 100),
|
||||
OrderItem("completed", "B", "SELL", "", "56", old, 100),
|
||||
OrderItem("canceled", "C", "BUY", "", "54", old, 100),
|
||||
OrderItem("failed", "D", "BUY", "", "57", old, 100),
|
||||
]
|
||||
client = FakeOrderClient(orders)
|
||||
book = OrderBook(cancel_timeout_sec=10)
|
||||
|
||||
book.refresh(client, orders)
|
||||
|
||||
self.assertEqual({item.id for item in book.data}, {"completed"})
|
||||
self.assertEqual(client.canceled, ["active"])
|
||||
|
||||
def test_position_dataclasses_execute_without_type_error(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
position = PositionItem(
|
||||
stock_code="000001.SZ", volume=100, can_use_volume=100,
|
||||
open_price=10, market_value=1000,
|
||||
)
|
||||
state.sync_positions([position])
|
||||
runtime = SimpleNamespace(
|
||||
client=FakeClient(), state=state, orders=OrderBook(),
|
||||
open_watch=SimpleNamespace(forget=lambda _code: None),
|
||||
add_watch=SimpleNamespace(triggered=lambda *_args: False, forget=lambda _code: None),
|
||||
profit_tracker=GridTrailingTracker(1),
|
||||
account_cfg=SimpleNamespace(
|
||||
account_id="A", excluded_codes=[], grid_step_pct=1,
|
||||
enable_loss_add_position=False, buy_value=5000,
|
||||
strategy="trend",
|
||||
),
|
||||
)
|
||||
manage_positions(runtime, {"000001.SZ": Tick(last_price=10.1)}, [position], True, 5000)
|
||||
|
||||
def test_position_log_contains_code_name_profit_and_loss_actions(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
position = PositionItem(
|
||||
stock_code="000001.SZ", stock_name="平安银行", volume=100,
|
||||
can_use_volume=100, open_price=10, market_value=1000,
|
||||
)
|
||||
state.sync_positions([position])
|
||||
runtime = SimpleNamespace(
|
||||
client=FakeClient(), state=state, orders=OrderBook(),
|
||||
add_watch=SimpleNamespace(triggered=lambda *_args: False),
|
||||
profit_tracker=GridTrailingTracker(1),
|
||||
account_cfg=SimpleNamespace(
|
||||
account_id="A", excluded_codes=[], grid_step_pct=1,
|
||||
enable_loss_add_position=False, buy_value=5000,
|
||||
strategy="trend",
|
||||
),
|
||||
)
|
||||
|
||||
with self.assertLogs(level="INFO") as captured:
|
||||
manage_positions(
|
||||
runtime,
|
||||
{"000001.SZ": Tick(last_price=10.1)},
|
||||
[position],
|
||||
True,
|
||||
5000,
|
||||
)
|
||||
|
||||
output = "\n".join(captured.output)
|
||||
self.assertIn("代码=000001.SZ", output)
|
||||
self.assertIn("名称=平安银行", output)
|
||||
self.assertIn("止盈=未触发", output)
|
||||
self.assertIn("补仓=未启用", output)
|
||||
|
||||
def test_loss_tier_boundary_does_not_overflow(self):
|
||||
self.assertEqual(len(LOSS_TIERS), 2)
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
position = PositionItem(stock_code="A", volume=100, open_price=10, market_value=1000)
|
||||
state.sync_positions([position])
|
||||
item = state.get("A")
|
||||
item.added_num = len(LOSS_TIERS)
|
||||
state.set(item)
|
||||
runtime = SimpleNamespace(
|
||||
state=state, account_cfg=SimpleNamespace(buy_value=5000, strategy="trend"),
|
||||
add_watch=SimpleNamespace(triggered=lambda *_args: True), orders=OrderBook(),
|
||||
client=FakeClient(),
|
||||
)
|
||||
decision = handle_loss(runtime, position, Tick(last_price=5), -60, 5000)
|
||||
self.assertFalse(decision.submitted)
|
||||
|
||||
def test_loss_tiers_zero_and_one(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
position = PositionItem(stock_code="A", volume=100, open_price=10, market_value=1000)
|
||||
state.sync_positions([position])
|
||||
runtime = SimpleNamespace(
|
||||
state=state, account_cfg=SimpleNamespace(buy_value=5000, strategy="trend"),
|
||||
add_watch=SimpleNamespace(triggered=lambda *_args: False),
|
||||
orders=OrderBook(), client=FakeClient(),
|
||||
)
|
||||
first = handle_loss(runtime, position, Tick(last_price=7), -30, 5000)
|
||||
self.assertIn("等待", first.message)
|
||||
item = state.get("A")
|
||||
item.added_num = 1
|
||||
state.set(item)
|
||||
before_second_tier = handle_loss(runtime, position, Tick(last_price=6), -40, 5000)
|
||||
self.assertEqual(before_second_tier.message, "")
|
||||
second = handle_loss(runtime, position, Tick(last_price=5), -50, 5000)
|
||||
self.assertIn("等待", second.message)
|
||||
|
||||
def test_reconcile_split_orders_complete_only_when_all_are_status_56(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
position = PositionItem(stock_code="A", volume=100, open_price=10)
|
||||
state.set(StateItem("A", base_order_id="local-1", base_status="ING"))
|
||||
completed = OrderItem(
|
||||
"1", "A", "BUY", "", "56", None, 50, "local-1",
|
||||
traded_volume=50, trade_price=10.1,
|
||||
)
|
||||
processing = OrderItem("2", "A", "BUY", "", "50", None, 50, "local-1")
|
||||
|
||||
state.reconcile([position], [completed, processing])
|
||||
self.assertEqual(state.get("A").base_status, "ING")
|
||||
|
||||
state.reconcile(
|
||||
[position],
|
||||
[
|
||||
completed,
|
||||
OrderItem(
|
||||
"2", "A", "BUY", "", "56", None, 50, "local-1",
|
||||
traded_volume=50, trade_price=10.3,
|
||||
),
|
||||
],
|
||||
)
|
||||
item = state.get("A")
|
||||
self.assertEqual(item.base_status, STATUS_OK)
|
||||
self.assertEqual(item.base_qty, 100)
|
||||
self.assertEqual(item.base_cost, 10.2)
|
||||
|
||||
canceled = OrderItem("2", "A", "BUY", "", "54", None, 50, "local-1")
|
||||
item = state.get("A")
|
||||
item.base_status = "ING"
|
||||
state.set(item)
|
||||
state.reconcile([position], [completed, canceled])
|
||||
self.assertEqual(state.get("A").base_status, "")
|
||||
|
||||
def test_reconcile_records_filled_add_order(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
position = PositionItem(stock_code="A", volume=200, open_price=10)
|
||||
state.set(StateItem(
|
||||
"A",
|
||||
base_qty=100,
|
||||
base_cost=10,
|
||||
base_status=STATUS_OK,
|
||||
added_order_id="add-1",
|
||||
added_status="ING",
|
||||
))
|
||||
completed = OrderItem(
|
||||
"1", "A", "BUY", "", "56", None, 100, "add-1",
|
||||
traded_volume=100, trade_amount=950,
|
||||
)
|
||||
|
||||
state.reconcile([position], [completed])
|
||||
|
||||
item = state.get("A")
|
||||
self.assertEqual(item.added_status, STATUS_OK)
|
||||
self.assertEqual(item.added_num, 1)
|
||||
self.assertEqual(item.added_qty, 100)
|
||||
self.assertEqual(item.added_cost, 9.5)
|
||||
|
||||
def test_low_cash_still_runs_position_management(self):
|
||||
client = SimpleNamespace(
|
||||
portfolio=lambda: Portfolio(
|
||||
assets=Assets(total=10000, available=10),
|
||||
positions={"A": PositionItem(stock_code="A", volume=100, open_price=10)},
|
||||
orders=[],
|
||||
),
|
||||
full_tick=lambda _codes: {"A": Tick(last_price=11)},
|
||||
)
|
||||
with ThreadPoolExecutor(max_workers=2) as executor:
|
||||
runtime = SimpleNamespace(
|
||||
client=client,
|
||||
account_cfg=SimpleNamespace(min_cash_ratio=0.1),
|
||||
global_cfg=SimpleNamespace(api_host="http://example"),
|
||||
orders=SimpleNamespace(refresh=lambda _client, _orders: None, data=[]),
|
||||
state=SimpleNamespace(
|
||||
codes=["A"],
|
||||
reconcile=lambda *_args: None,
|
||||
),
|
||||
executor=executor,
|
||||
)
|
||||
with (
|
||||
patch("strategy.trend.boot.trading_time", return_value=True),
|
||||
patch("strategy.trend.boot.market_allow_open", return_value=True),
|
||||
patch("strategy.trend.boot.open_signal") as open_mock,
|
||||
patch("strategy.trend.boot.manage_positions") as manage_mock,
|
||||
):
|
||||
RunOnce(runtime, [])
|
||||
open_mock.assert_not_called()
|
||||
manage_mock.assert_called_once()
|
||||
|
||||
def test_state_without_broker_order_allows_reopen(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = State.for_strategy(directory, "trend", "A")
|
||||
state.set(StateItem(
|
||||
"A",
|
||||
base_order_id="missing-order",
|
||||
base_qty=100,
|
||||
base_status="ING",
|
||||
))
|
||||
state.save()
|
||||
client = SimpleNamespace(
|
||||
portfolio=lambda: Portfolio(
|
||||
assets=Assets(total=10000, available=5000),
|
||||
positions={},
|
||||
orders=[],
|
||||
),
|
||||
full_tick=lambda _codes: {"A": Tick(last_price=10)},
|
||||
)
|
||||
signal = SimpleNamespace(code="A", signal_key="morning")
|
||||
with ThreadPoolExecutor(max_workers=2) as executor:
|
||||
runtime = SimpleNamespace(
|
||||
client=client,
|
||||
account_cfg=SimpleNamespace(min_cash_ratio=0.1),
|
||||
global_cfg=SimpleNamespace(api_host="http://example"),
|
||||
orders=OrderBook(),
|
||||
state=state,
|
||||
open_watch=SimpleNamespace(forget=lambda _code: None),
|
||||
add_watch=SimpleNamespace(forget=lambda _code: None),
|
||||
executor=executor,
|
||||
)
|
||||
with (
|
||||
patch("strategy.trend.boot.trading_time", return_value=True),
|
||||
patch("strategy.trend.boot.market_allow_open", return_value=True),
|
||||
patch("strategy.trend.boot.open_signal") as open_mock,
|
||||
patch("strategy.trend.boot.manage_positions"),
|
||||
):
|
||||
RunOnce(runtime, [signal])
|
||||
|
||||
open_mock.assert_called_once()
|
||||
self.assertEqual(state.codes, [])
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
unittest.main()
|
||||
@@ -1,42 +0,0 @@
|
||||
import unittest
|
||||
from datetime import datetime, timedelta
|
||||
from unittest.mock import Mock
|
||||
|
||||
from sdk import OrderItem
|
||||
from strategy.trend.order import OrderBook, PlaceOrderRequest
|
||||
|
||||
|
||||
class TrendBusyTests(unittest.TestCase):
|
||||
def test_snapshot_blocks_order_without_local_cache(self):
|
||||
book = OrderBook()
|
||||
client = Mock()
|
||||
order = OrderItem("1", "A", "BUY", "", "50", None, 100)
|
||||
book.refresh(client, [order])
|
||||
self.assertTrue(book.busy("A", "BUY"))
|
||||
self.assertFalse(book.busy("A", "SELL"))
|
||||
self.assertFalse(book.place(PlaceOrderRequest(client, 23, "A", 100, "local", "trend")))
|
||||
client.passorder.assert_not_called()
|
||||
book.refresh(client, [])
|
||||
self.assertFalse(book.busy("A", "BUY"))
|
||||
|
||||
def test_cancel_request_keeps_order_busy_until_terminal_snapshot(self):
|
||||
book = OrderBook()
|
||||
client = Mock()
|
||||
order = OrderItem("1", "A", "BUY", "", "50", datetime.now() - timedelta(seconds=20), 100)
|
||||
book.refresh(client, [order])
|
||||
client.cancel_by_id.assert_called_once_with("1")
|
||||
self.assertTrue(book.busy("A", "BUY"))
|
||||
order.status = "54"
|
||||
book.refresh(client, [order])
|
||||
self.assertFalse(book.busy("A", "BUY"))
|
||||
|
||||
def test_empty_snapshot_keeps_local_cache_protection(self):
|
||||
book = OrderBook()
|
||||
client = Mock()
|
||||
client.passorder.return_value = {"status": "success", "order_ref": "1"}
|
||||
request = PlaceOrderRequest(client, 23, "A", 100, "local", "trend")
|
||||
self.assertTrue(book.place(request))
|
||||
book.refresh(client, [])
|
||||
self.assertTrue(book.busy("A", "BUY"))
|
||||
self.assertFalse(book.place(request))
|
||||
client.passorder.assert_called_once()
|
||||
@@ -1,35 +0,0 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import unittest
|
||||
from datetime import datetime
|
||||
from tempfile import TemporaryDirectory
|
||||
|
||||
from sdk import OrderItem, PositionItem
|
||||
from strategy.zt.state import BUYING, DONE, SELLING, SOLD, TState, TStateItem
|
||||
|
||||
|
||||
class ZTStateTests(unittest.TestCase):
|
||||
def test_reconcile_marks_sell_and_buy_orders_completed(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = TState.for_strategy(directory, "zt", "A")
|
||||
state.set(TStateItem("A", 1000, 10, "2026-08-31", SELLING, "sell-1", 500, 11))
|
||||
position = PositionItem(stock_code="A", volume=500, open_price=10)
|
||||
state.reconcile([position], [OrderItem("1", "A", "SELL", "", "56", datetime.now(), 500, "sell-1")], "2026-08-31")
|
||||
self.assertEqual(state.get("A").phase, SOLD)
|
||||
|
||||
item = state.get("A")
|
||||
item.phase, item.buy_order_id = BUYING, "buy-1"
|
||||
state.set(item)
|
||||
state.reconcile([position], [OrderItem("2", "A", "BUY", "", "56", datetime.now(), 500, "buy-1")], "2026-08-31")
|
||||
self.assertEqual(state.get("A").phase, DONE)
|
||||
|
||||
def test_new_position_becomes_dcm_base_state(self):
|
||||
with TemporaryDirectory() as directory:
|
||||
state = TState.for_strategy(directory, "zt", "A")
|
||||
state.reconcile([PositionItem(stock_code="A", volume=800, open_price=12.5)], [], "2026-08-31")
|
||||
item = state.get("A")
|
||||
self.assertEqual((item.base_qty, item.base_cost), (800, 12.5))
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
unittest.main()
|
||||
Reference in New Issue
Block a user