fix!: 扩展日线槽位语义——第6槽为 float32 成交额,移除误导字段 hk_stock_amount(#57) (#61)

read_ex_daily_bars 原把第7槽(成交量)同时赋给 amount 与 vol(amount=vol),
真实成交额藏在第6槽 float32 重解释值里、以 hk_stock_amount 之名暴露。
实测对照:47#IF300 2023-09-11 第6槽 float32=186871758848(元)、第7槽
uint32=105358016(手),与标准市场 sh000300.day 同日 amount/vol 完全一致。

- _EX_DAILY_FMT: <IffffIIf → <IfffffIf,第6槽正名为 float32 成交额
- ExDailyBar.amount: int → float;移除语义错误的 hk_stock_amount 字段
- encode 端沿新 fmt 自动正确:大成交额按 float32 编码,不再溢出 uint32
- CLI offline ex-daily 输出新增 amount 列
- 新增真实样本回归测试(47#IF300 原始记录)+ 补齐缺失的 amount 往返断言

Co-authored-by: GitHub <action@github.com>
This commit is contained in:
毛利哥
2026-08-31 20:43:35 +08:00
committed by GitHub
co-authored by GitHub
parent 6c30b72e29
commit 12d308e1a4
5 changed files with 80 additions and 17 deletions
+42 -4
View File
@@ -26,7 +26,7 @@ def _make_ex_bar(
high: float = 3550.0,
low: float = 3480.0,
close: float = 3520.0,
amount: int = 123456,
amount: float = 123456.0,
vol: int = 98765,
settlement: float = 3510.0,
) -> ExDailyBar:
@@ -38,7 +38,6 @@ def _make_ex_bar(
amount=amount,
vol=vol,
settlement=settlement,
hk_stock_amount=0.0,
year=year,
month=month,
day=day,
@@ -53,7 +52,7 @@ def _make_raw_ex_bar(
high: float = 3550.0,
low: float = 3480.0,
close: float = 3520.0,
amount: int = 123456,
amount: float = 123456.0,
vol: int = 98765,
settlement: float = 3510.0,
) -> bytes:
@@ -101,7 +100,7 @@ class TestEncodeExDailyBar:
class TestExRoundTrip:
def test_single_bar_round_trip(self, tmp_path: Path) -> None:
bar = _make_ex_bar(open_=3500.0, close=3520.0, vol=98765)
bar = _make_ex_bar(open_=3500.0, close=3520.0, amount=123456.0, vol=98765)
encoded = encode_ex_daily_bar(bar)
filepath = tmp_path / "29#A1801.day"
@@ -113,6 +112,7 @@ class TestExRoundTrip:
assert b.year == 2026 and b.month == 6 and b.day == 6
assert abs(b.open - 3500.0) < 0.01
assert abs(b.close - 3520.0) < 0.01
assert abs(b.amount - 123456.0) < 0.01
assert b.vol == 98765
def test_multiple_bars_round_trip(self, tmp_path: Path) -> None:
@@ -188,3 +188,41 @@ class TestAppendExDailyBars:
bars = read_ex_daily_bars(filepath)
assert len(bars) == 2
# ---------------------------------------------------------------------------
# 真实样本回归(issue #57):槽位语义
# ---------------------------------------------------------------------------
# 47#IF300(扩展市场沪深300 指数)2023-09-11 的真实记录。
# 与标准市场 sh000300.day 同日对照:vol=105358016(手)、amount=186871758848.0(元)完全一致,
# 证明第 6 槽是 float32 成交额,第 7 槽是 uint32 成交量。
_REAL_IF300_20230911 = bytes.fromhex(
"ffb2340148c969451fc56c45856b6945a4786b45b3092e52c0a2470600000000"
)
class TestRealSampleSlots:
def test_amount_is_float32_turnover(self, tmp_path: Path) -> None:
filepath = tmp_path / "47#IF300.day"
filepath.write_bytes(_REAL_IF300_20230911)
bars = read_ex_daily_bars(filepath)
assert len(bars) == 1
b = bars[0]
assert (b.year, b.month, b.day) == (2023, 9, 11)
assert b.amount == 186871758848.0
assert b.vol == 105358016
assert abs(b.close - 3767.54) < 0.01
# amount 与 vol 不得串槽(回归:旧实现 amount=vol)
assert b.amount != b.vol
def test_large_amount_does_not_overflow(self, tmp_path: Path) -> None:
# 真实成交额动辄超 uint32 上限,第 6 槽必须按 float32 编码
bar = _make_ex_bar(amount=186871758848.0)
encoded = encode_ex_daily_bar(bar)
filepath = tmp_path / "47#IF300.day"
filepath.write_bytes(encoded)
(b,) = read_ex_daily_bars(filepath)
assert b.amount == 186871758848.0