feat(backtest): add ExecutionModel ABC + ImmediateExecution

2026-09-12 18:04:20 +08:00 · 2026-06-12 20:53:07 +08:00
parent 6414c2cc11
commit 0772666be3
2 changed files with 356 additions and 0 deletions
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+"""执行仿真引擎单元测试。"""
+
+from __future__ import annotations
+
+import pandas as pd
+import pytest
+
+from easy_tdx.backtest.execution import ExecutionModel, ImmediateExecution
+from easy_tdx.backtest.types import Signal
+
+
+def _make_df(n: int = 20) -> pd.DataFrame:
+    """构造测试用K线数据。"""
+    data = {
+        "datetime": [20240101 + i for i in range(n)],
+        "open": [100.0 + i for i in range(n)],
+        "close": [101.0 + i for i in range(n)],
+        "high": [102.0 + i for i in range(n)],
+        "low": [99.0 + i for i in range(n)],
+        "volume": [10000] * n,
+    }
+    return pd.DataFrame(data)
+
+
+class TestExecutionBase:
+    """基类验证。"""
+
+    def test_cannot_instantiate_abc(self) -> None:
+        with pytest.raises(TypeError):
+            ExecutionModel()  # type: ignore[abstract]
+
+
+class TestImmediateExecution:
+    """即时成交。"""
+
+    def test_buy_signal(self) -> None:
+        df = _make_df(10)
+        model = ImmediateExecution()
+        signal = Signal(datetime=20240101, direction="BUY", size=100)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=20000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 1
+        assert trades[0].direction == "BUY"
+        assert trades[0].price == 101.0
+
+    def test_sell_signal(self) -> None:
+        df = _make_df(10)
+        model = ImmediateExecution()
+        signal = Signal(datetime=20240101, direction="SELL", size=100)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=0,
+            position=200,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 1
+        assert trades[0].direction == "SELL"
+
+    def test_signal_at_last_bar(self) -> None:
+        df = _make_df(10)
+        model = ImmediateExecution()
+        signal = Signal(datetime=20240109, direction="BUY", size=100)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=9,
+            cash=20000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 0
+
+    def test_with_slippage_model(self) -> None:
+        from easy_tdx.backtest.slippage import FixedSlippage
+
+        df = _make_df(10)
+        model = ImmediateExecution()
+        signal = Signal(datetime=20240101, direction="BUY", size=100)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=20000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=FixedSlippage(per_share=0.01),
+        )
+        assert len(trades) == 1
+        assert trades[0].slippage == pytest.approx(1.0)
+
+    def test_commission_on_buy(self) -> None:
+        df = _make_df(10)
+        model = ImmediateExecution()
+        signal = Signal(datetime=20240101, direction="BUY", size=100)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=20000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 1
+        assert trades[0].commission >= 5.0
+
+    def test_stamp_tax_on_sell(self) -> None:
+        df = _make_df(10)
+        model = ImmediateExecution()
+        signal = Signal(datetime=20240101, direction="SELL", size=100)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=0,
+            position=200,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 1
+        assert trades[0].commission > 10.0
+
+    def test_full_position_buy(self) -> None:
+        df = _make_df(10)
+        model = ImmediateExecution()
+        signal = Signal(datetime=20240101, direction="BUY", size=0)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=20000,
+            position=0,
+            position_mode="full",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 1
+        assert trades[0].size == 100