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88 lines
2.8 KiB
Python
88 lines
2.8 KiB
Python
"""滑点模型单元测试。"""
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from __future__ import annotations
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import pytest
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from easy_tdx.backtest.slippage import (
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FixedSlippage,
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PercentSlippage,
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SlippageModel,
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)
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class TestSlippageBase:
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"""基类验证。"""
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def test_cannot_instantiate_abc(self) -> None:
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"""不能直接实例化 ABC。"""
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with pytest.raises(TypeError):
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SlippageModel() # type: ignore[abstract]
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def test_subclass_must_implement_compute(self) -> None:
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"""子类必须实现 compute。"""
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class BadModel(SlippageModel):
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pass
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with pytest.raises(TypeError):
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BadModel() # type: ignore[abstract]
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class TestFixedSlippage:
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"""固定每股滑点。"""
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def test_zero_per_share(self) -> None:
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"""per_share=0 时无滑点。"""
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model = FixedSlippage(per_share=0.0)
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cost = model.compute(price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY")
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assert cost == 0.0
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def test_basic(self) -> None:
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"""基本计算：100 股 × 0.01 元/股 = 1.0。"""
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model = FixedSlippage(per_share=0.01)
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cost = model.compute(price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY")
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assert cost == pytest.approx(1.0)
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def test_large_size(self) -> None:
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"""大单。"""
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model = FixedSlippage(per_share=0.05)
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cost = model.compute(
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price=50.0, size=10000, volume=500000, volatility=0.2, direction="SELL"
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)
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assert cost == pytest.approx(500.0)
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def test_direction_irrelevant(self) -> None:
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"""方向不影响固定滑点。"""
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model = FixedSlippage(per_share=0.01)
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buy_cost = model.compute(
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price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY"
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)
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sell_cost = model.compute(
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price=10.0, size=100, volume=10000, volatility=0.3, direction="SELL"
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)
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assert buy_cost == sell_cost
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class TestPercentSlippage:
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"""按成交金额百分比滑点。"""
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def test_zero_rate(self) -> None:
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"""rate=0 时无滑点。"""
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model = PercentSlippage(rate=0.0)
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cost = model.compute(price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY")
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assert cost == 0.0
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def test_basic(self) -> None:
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"""10元 × 100股 × 0.001 = 1.0。"""
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model = PercentSlippage(rate=0.001)
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cost = model.compute(price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY")
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assert cost == pytest.approx(1.0)
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def test_high_price(self) -> None:
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"""高价股。"""
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model = PercentSlippage(rate=0.002)
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cost = model.compute(price=100.0, size=500, volume=20000, volatility=0.25, direction="BUY")
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# 100 × 500 × 0.002 = 100.0
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assert cost == pytest.approx(100.0)
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