mirror of
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release: v1.16.2 — 三轮审计质量加固（B6.9→A7.9）
经三轮代码审计后的综合质量加固版本，覆盖协议核心层、数据正确性、 错误处理、测试真实度与可维护性。761 单测全绿（+58），ruff/mypy 全过。 主要修复： - 离线 .day 写入原子化（fsync + _repair_tail + 读取校验，CQS 守住） - 回测止损前视偏差（延迟下一根开盘 + 跳空保护） - VWAP 权重索引 / bar_time fail-fast / 绩效除零保护 - 闭包绑定 / 路径穿越 / naive datetime 跨时区 / ruff UP038 重构： - 抽 AsyncHeartbeatMixin 收敛 4 处心跳副本（12→1） - 统一 _RETRY_DELAYS 退避序列 / scanner 失败可观测性 新增 5 个测试文件 + 公共 API 类型契约，CI 加 Windows 矩阵 + trusted publishing 签名 + 锁文件。 详见 CHANGELOG.md
This commit is contained in:
GitHub
@@ -8,9 +8,14 @@ on:
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jobs:
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test:
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runs-on: ubuntu-latest
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runs-on: ${{ matrix.os }}
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strategy:
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fail-fast: false
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matrix:
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# 项目核心场景是读取 Windows 通达信安装目录下的 .day 文件，
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# 路径分隔符 / GBK 文件名 / tzdata 时区行为在 Windows 上与 Linux 不同，
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# 故补充 Windows 矩阵覆盖这些平台特有路径。
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os: [ubuntu-latest, windows-latest]
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python-version: ["3.10", "3.12", "3.13"]
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steps:
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- uses: actions/checkout@v4
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@@ -18,7 +23,8 @@ jobs:
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with:
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python-version: ${{ matrix.python-version }}
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- run: pip install -e ".[dev]"
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- run: python -m pytest tests/unit/ -v --tb=short --cov src/easy_tdx --cov-fail-under=50
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- run: pip install -r requirements-dev.txt
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- run: python -m pytest tests/unit/ -v --tb=short --cov src/easy_tdx --cov-fail-under=60
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- run: ruff check src/ tests/
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- run: ruff format --check src/ tests/
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@@ -26,4 +26,6 @@ jobs:
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- uses: pypa/gh-action-pypi-publish@release/v1
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with:
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attestations: false
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# 启用 PyPI 签名认证（sigstore provenance），让用户可验证产物来源。
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# id-token: write 已在上方 permissions 配置，OIDC trusted publishing 直连。
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attestations: true
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+3
-1
@@ -13,7 +13,6 @@ venv/
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.omc/
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.claude/
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.playwright-mcp/
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uv.lock
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docs/_build/
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FK/
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@@ -26,3 +25,6 @@ src/easy_tdx/exchange_margin.py
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# 本地文件，不递交到 GitHub
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CLAUDE.md
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# 代码审计报告（本地产物，不入库）
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audit-report-*.html
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@@ -2,6 +2,45 @@
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本文件记录 easy-tdx 的版本变更。格式遵循 [Keep a Changelog](https://keepachangelog.com/zh-CN/)。
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## [1.16.2] — 2026-07-02
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**质量加固版本** —— 经三轮代码审计（B 6.9 → A 7.6 → A 7.9）后的综合修复，覆盖协议核心层、数据正确性、错误处理、测试真实度与可维护性。**761 单测全绿**（+58），`ruff check` / `ruff format --check` / `mypy strict` 全部通过，CI 加 Windows 矩阵 + trusted publishing + 签名，达到稳定 PyPI 库发布质量。
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### 修复
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- **离线 `.day` 文件追加写入非原子，崩溃即损坏**（`offline/write_daily.py`，审计 #1）— 追加行情数据时若进程被杀 / 断电，会留下半截 bar 破坏整文件可读性。新增 `fsync + flush` 强制落盘，写入路径完成后调用独立的 `_repair_tail` 修复尾部残条，并在读取侧（`get_last_bar_date`）做完整性校验。**严格遵守 command-query separation**：「get」函数纯读不写，损坏清理只在写入路径触发——超出审计建议。
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- **回测止损存在前视偏差**（`backtest/execution.py`、`backtest/orders.py`，审计 #4）— 止损单当根触发当根成交，等于用未知的当根收盘价决策。改为延迟到**下一根开盘**成交，并加**跳空保护**（SELL 取 `min(开盘, 触发价)`，即对持仓者更不利的价格，模拟真实滑点）。新增专门的 gap 回归测试。
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- **VWAP 因子权重索引错误**（`factor/builtin/`，审计 #3）— `np.resize` 平铺权重时索引错位，导致计算用了未来数据（前视偏差）。显式用 `np.resize` 平铺，docstring 明确「仅用历史数据避免前视」。
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- **`bar_time` 非法值静默回退**（`_df.py`、`client.py`、`ex/client.py`、`mac/client.py`，审计 #5）— 传入非法 `bar_time` 时静默当作默认值处理，掩盖用户错误。改为 fail-fast 抛 `ValueError`（同步 + 异步路径都加）。
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- **绩效分析除零**（`backtest/performance.py`，审计 #11）— 日收益率 `np.diff(total) / total[:-1]` 在首根或中间净值为 0 时产生 `inf`，污染 sharpe / volatility 等指标。改为 `safe_prev = np.where(total[:-1] != 0, ..., np.nan)` + `np.isfinite` 过滤；总收益率在 `total[0] == 0` 时兜底为 `0.0`。新增 3 个边界回归测试（中间含 0 / 首根 = 0 / 全零）。
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- **闭包延迟绑定循环变量 `date`**（`client.py`，审计 #10）— `get_history_fund_flow` 在循环里用 `lambda` 捕获 `date`，所有闭包共享最后一次的值。改用默认参数 `_d=date` 立即绑定。
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- **路径穿越**（`offline/paths.py`，审计 #16）— 用户传入含 `/`、`\` 或 `..` 的代码可逃出 `vipdoc` 目录。新增清洗拒绝危险字符（保留通达信文件名常见的 `#`）。
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- **`ruff check` 报 2 个 UP038 错误致 CI 红灯**（`cninfo/client.py`、`factor/engine.py`，审计复审 N1）— `isinstance(x, (int, float))` 在 pyupgrade 规则下应改 `int | float`（PEP 604，Python ≥3.10 运行时合法）。修复后 `ruff check src/ tests/` 全过。
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- **naive datetime 跨时区误判缓存过期**（`client.py`、`config.py`，审计 #18）— 缓存时间戳用 naive datetime，UTC 机器（如 CI）与本地 +8 机器比较时差 8 小时，导致缓存频繁失效或永不过期。统一用 aware datetime（`Asia/Shanghai`），并兼容旧 naive 缓存（检测到 naive 时 localize）。
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### 变更
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- **抽出 `AsyncHeartbeatMixin`，收敛 4 处心跳副本**（`_reconnect.py`、`client.py`、`ex/client.py`、`ex/mac_client.py`、`mac/client.py`，审计复审 L1）— 4 个 async client（A股 / MAC / 扩展行情 / 扩展 MAC）的 `_start_heartbeat` / `_stop_heartbeat` / `_heartbeat_loop` 三件套**逐字节重复**（仅心跳命令和 logger 名不同），共 12 处副本。抽出到 `AsyncHeartbeatMixin`，子类只需实现 `_heartbeat_cmd()` 返回心跳 awaitable。同时统一 `_HEARTBEAT_RETRYABLE = (OSError, TdxConnectionError, TdxDecodeError)` 异常范围（审计 #6 收窄，不吞代码 bug）。未来改心跳策略只需改一处。
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- **统一重连退避序列 `_RETRY_DELAYS`**（`_reconnect.py`，审计 #2）— 原先 6 处 client 副本里 MAC 用 4 次退避、扩展行情用 1 次，韧性策略不一致（最高危的行为分歧）。统一为 `(0.1, 0.5, 1.0, 2.0)` 4 次指数退避。
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- **`unified.py` 重复方法加 `DeprecationWarning`**（审计 #14）— `UnifiedTdxClient` 与子 client 的同名方法重复，加弃用警告而非硬删，向后兼容。
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- **`MAJORITY` 投票因子退化时告警**（审计 #17）— 样本数 `n < 3` 时投票无意义，原静默退化，现加 `logger.warning`。
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- **scanner 并行扫描接入增量缓存**（`screen/scanner.py`，审计 #15）— 并行路径原先绕过 mtime 缓存，每次 `--workers` 全量重算 5000 只。现与串行路径一致地按 mtime 跳过未变文件。
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- **async gather 假并发诚实文档化**（`mac/client.py`，审计 #12）— 单 TCP 连接的 `asyncio.gather` 实际串行（受 `_execute_lock` 约束），docstring 明确说明「无并发加速收益，如需真正并发需连接池」。
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### 新增
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- **scanner 系统性失败可观测性**（`screen/scanner.py`，审计 #6 / 复审 L2）— 串行 + 并行扫描循环原先 `except Exception: continue` 完全静默，系统性失败（大量损坏 `.day` / 磁盘故障）被吞，用户得到空结果却以为「没有信号」。现在：① 每个单股失败记 `logger.warning`（带 `exc_info`）；② 失败率 ≥ 50% 时循环结束发醒目汇总告警；③ 策略计算异常记 debug（避免 5000 只批量刷屏）。新增 2 个 caplog 回归测试。
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- **公共 API 类型契约测试**（`tests/unit/test_public_api.py`，审计 #13 / 复审 L3）— 原先只验证 `__all__` 中每个名字「可导入」，无法捕获「类被误绑成模块 / None」。新增 `inspect.isclass` / `callable` 类型断言 + **契约完整性双向守卫**（同时检查「导出了但没声明类型」和「声明了但没导出」），防止 `__all__` 与类型契约表漂移。
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- **5 个关键路径测试文件**（审计 #9）— 新增 `test_client_reconnect.py`（验证精确退避序列 + 4 次重试耗尽）、`test_ex_reconnect.py`（扩展行情统一退避 + MAC 重登录每次重试）、`test_config.py`（三级 host 优先级 + 原子写 + 缓存合并）、`test_codec_bitmap.py`（字节级编解码往返）、`test_public_api.py`（见上）。覆盖率门槛 50 → 60（实测 61%）。
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### 发布工程
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- **CI 加 Windows 矩阵**（`.github/workflows/ci.yml`，审计 #7）— 原 CI 仅 Linux，而通达信用户主要在 Windows。加 `windows-latest` 矩阵 + `fail-fast: false`。
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- **启用 PyPI trusted publishing + sigstore 签名**（`.github/workflows/publish.yml`，审计 #8）— 发布产物加 attestations 签名认证，提升供应链可信度。
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- **锁定 dev 工具链 + 依赖加上界**（`requirements-dev.txt`、`pyproject.toml`，审计 #8）— 新增 `requirements-dev.txt` 锁定 pytest / mypy / ruff / scipy 版本（CI 可复现）；运行时依赖加下界 + 上界（`pandas>=2.0,<3`、`click>=8.0,<9`、`fastapi<1`）。
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- **删除 README 造假的 bandit 徽章**（审计 #8）— 徽章声称跑了 bandit 安全扫描但实际没有，移除。
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- **`ruff format` 全仓合规**（审计复审 V3-1）— 修复 2 个文件的格式不合规，`ruff format --check src/ tests/` 全过。
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## [1.16.1] — 2026-07-01
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### 修复
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@@ -4,8 +4,7 @@
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[](https://pypi.org/project/easy-tdx/)
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[](https://github.com/handsomejustin/easy-tdx)
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[](https://github.com/handsomejustin/easy-tdx)
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[](http://mypy-lang.org/)
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[](https://github.com/PyCQA/bandit)
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[](http://www.mypy-lang.org/)
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量化基金花百万买的毫秒级行情通道，散户连一根日线都要手动截图——这不是技术差距，这是数据霸凌。
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@@ -1,6 +1,6 @@
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# easy_tdx API 参考文档
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> 版本: 0.1.1 | 纯标准库，零运行时依赖 | 需要网络连接通达信行情服务器
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> 版本: 1.16.2 | 运行时依赖: pandas / tzdata / click | 需要网络连接通达信行情服务器
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## 目录
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@@ -197,8 +197,13 @@ self.sell(size=0) # 全部卖出
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|------|------|--------|------|
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| `size` | float | 0 | 交易数量，0 = 全仓/清仓 |
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| `price` | float \| None | None | 限价，None = 市价单 |
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| `stop_loss` | float \| None | None | 止损价（预留） |
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| `take_profit` | float \| None | None | 止盈价（预留） |
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| `stop_loss` | float \| None | None | 止损价。当根 bar 的 low 触及止损价时触发平仓信号 |
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| `take_profit` | float \| None | None | 止盈价。当根 bar 的 high 触及止盈价时触发平仓信号 |
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> **止损/止盈成交时点**：SL/TP 信号触发后，**延迟到下一根 bar 开盘成交**（与普通
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> 策略信号一致），而非在信号当根以触发价成交。若下一根跳空，取对持仓者更不利的实际
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> 开盘价（卖出取 `min(下一根开盘, 触发价)`）。这避免了"假设能在止损价精确成交"的
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> 前视偏差，回测结果更贴近真实滑点与跳空场景。
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**查看当前持仓**：
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@@ -7,6 +7,10 @@
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readme
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api_reference
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field_mapping
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backtest_usage
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quantitative-guide
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protocol-reverse-engineering
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protocol-unknown-fields
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indicator-zhuoyao
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indicator-bias-signal
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```
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+6
-4
@@ -4,11 +4,11 @@ build-backend = "hatchling.build"
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[project]
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name = "easy-tdx"
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version = "1.16.1"
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version = "1.16.2"
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description = "通达信 TCP 协议行情数据客户端，支持在线行情、离线数据读取与写入同步"
|
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readme = "README.md"
|
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requires-python = ">=3.10"
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dependencies = ["pandas>=2.0", "tzdata>=2024.1", "click>=8.0"]
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dependencies = ["pandas>=2.0,<3", "tzdata>=2024.1", "click>=8.0,<9"]
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[project.scripts]
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easy-tdx = "easy_tdx.cli:cli" # cli/__init__.py exposes the click group
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@@ -16,7 +16,7 @@ easy-tdx = "easy_tdx.cli:cli" # cli/__init__.py exposes the click group
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[project.optional-dependencies]
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dev = ["pytest>=8.0", "pytest-asyncio>=0.23", "pytest-cov", "mypy>=1.9", "ruff>=0.4", "scipy>=1.10"]
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science = ["scipy>=1.10"]
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web = ["fastapi>=0.110", "uvicorn[standard]>=0.29"]
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web = ["fastapi>=0.110,<1", "uvicorn[standard]>=0.29"]
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[tool.hatch.build.targets.wheel]
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packages = ["src/easy_tdx"]
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@@ -61,5 +61,7 @@ source = ["easy_tdx"]
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omit = ["tests/*"]
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[tool.coverage.report]
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fail_under = 50
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# 覆盖率门槛。从 50 提升到 60（审计 #9）：补充 reconnect/bitmap/config 测试后
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# 实测约 61%。进一步提到 70 需补 web/ 路由与更多 client 镜像测试，留待后续。
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fail_under = 60
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show_missing = true
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@@ -0,0 +1,22 @@
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# 开发工具链锁文件 —— 锁定 dev 依赖的具体版本，保证 CI 构建可复现。
|
||||
# 运行时依赖（pandas/tzdata/click 等）由 pyproject.toml 的下界+上界约束，
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# 此文件仅锁定 [dev] 工具链（pytest/mypy/ruff/scipy/coverage 等）。
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# 升级任一工具时请同步更新此文件并重新验证 CI。
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# 测试框架
|
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pytest==8.3.5
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pytest-asyncio>=0.23
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pytest-cov==7.1.0
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coverage==7.14.0
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# 静态检查
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mypy==2.1.0
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ruff==0.11.11
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# 科学计算（[dev] 与 [science] 可选依赖）
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scipy==1.17.0
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numpy==2.2.3
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# Web 可选依赖测试支持
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fastapi==0.115.11
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uvicorn==0.34.0
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@@ -43,12 +43,16 @@ from .models import (
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FinanceInfo,
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FinancialFileInfo,
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FinancialRecord,
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FundFlow,
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HistoricalFundFlow,
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KlineCategory,
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Market,
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MarketStat,
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MinuteBar,
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SecurityBar,
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SecurityInfo,
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SecurityQuote,
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TdxBlock,
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TransactionRecord,
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XdxrRecord,
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)
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@@ -88,6 +92,10 @@ __all__ = [
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"CompanyInfoCategory",
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"FinancialFileInfo",
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"FinancialRecord",
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"TdxBlock",
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"MarketStat",
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"FundFlow",
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"HistoricalFundFlow",
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# 异常
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"TdxError",
|
||||
"TdxConnectionError",
|
||||
|
||||
@@ -20,6 +20,17 @@ _BAR_TIME_END = "end"
|
||||
_CATEGORY_MINUTES: dict[int, int] = {0: 5, 1: 15, 2: 30, 3: 60, 7: 1, 8: 3}
|
||||
|
||||
|
||||
_VALID_BAR_TIMES = (_BAR_TIME_START, _BAR_TIME_END)
|
||||
|
||||
|
||||
def _check_bar_time(bar_time: str) -> None:
|
||||
"""校验 bar_time 取值，非法值立即抛错（fail-fast），避免静默按 "end" 处理。"""
|
||||
if bar_time not in _VALID_BAR_TIMES:
|
||||
raise ValueError(
|
||||
f"bar_time 必须是 {_BAR_TIME_START!r} 或 {_BAR_TIME_END!r}，得到: {bar_time!r}"
|
||||
)
|
||||
|
||||
|
||||
def _category_to_minutes(category: int) -> int | None:
|
||||
"""分钟级 KlineCategory → 每根 bar 的分钟数；日线及以上返回 None。"""
|
||||
return _CATEGORY_MINUTES.get(int(category))
|
||||
@@ -126,6 +137,7 @@ def _apply_bar_time_align_df(
|
||||
"""
|
||||
if bar_time == _BAR_TIME_START:
|
||||
return df
|
||||
_check_bar_time(bar_time)
|
||||
if not is_intraday or delta_minutes is None or delta_minutes <= 0:
|
||||
return df
|
||||
if df.empty:
|
||||
@@ -151,6 +163,7 @@ def _apply_bar_time_align_bars(
|
||||
"""
|
||||
if bar_time == _BAR_TIME_START:
|
||||
return bars
|
||||
_check_bar_time(bar_time)
|
||||
if not is_intraday or delta_minutes is None or delta_minutes <= 0:
|
||||
return bars
|
||||
result: list[Any] = []
|
||||
|
||||
@@ -0,0 +1,93 @@
|
||||
"""连接重连与心跳策略的共享定义。
|
||||
|
||||
将原本在 ``client.py`` 与 ``mac/client.py`` 各自定义的 ``_RETRY_DELAYS``
|
||||
提取到此统一来源，并供扩展行情 client（``ex/*``）复用，消除"6 处副本里
|
||||
两套不一致韧性策略"的问题（审计报告 #2）。
|
||||
|
||||
复审（L1）补充：4 个 async client（A股 / MAC / 扩展行情 / 扩展 MAC）的
|
||||
``_start_heartbeat`` / ``_stop_heartbeat`` / ``_heartbeat_loop`` 三件套此前
|
||||
逐字节重复（仅心跳命令和 logger 名不同）。这里抽出
|
||||
``AsyncHeartbeatMixin`` 收敛这些副本——子类只需实现 ``_heartbeat_cmd()``
|
||||
返回一个 awaitable 即可，未来改心跳策略只需改一处。
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
import logging
|
||||
from collections.abc import Awaitable
|
||||
|
||||
from .exceptions import TdxConnectionError, TdxDecodeError
|
||||
|
||||
# 连接断开时的指数退避序列（秒）。每次重连失败后按此序列 sleep 再重试，
|
||||
# 共 4 次尝试（0.1 + 0.5 + 1.0 + 2.0 = 3.6s 总退避时间）。
|
||||
# A 股 / MAC / 扩展行情 / 扩展 MAC 共 8 个 client 统一使用此序列。
|
||||
_RETRY_DELAYS: tuple[float, ...] = (0.1, 0.5, 1.0, 2.0)
|
||||
|
||||
# 心跳失败时收窄的可重试异常（审计 #6）：仅连接/解析类异常视为"本次失败、
|
||||
# 等下次重试"，不吞掉代码 bug 等非预期异常。子类无需重复声明此元组。
|
||||
# exceptions 模块为纯定义、零导入，顶部导入无循环依赖风险。
|
||||
_HEARTBEAT_RETRYABLE: tuple[type[BaseException], ...] = (
|
||||
OSError,
|
||||
TdxConnectionError,
|
||||
TdxDecodeError,
|
||||
)
|
||||
|
||||
|
||||
class AsyncHeartbeatMixin:
|
||||
"""async client 心跳三件套的共享实现（审计复审 L1）。
|
||||
|
||||
子类约定：
|
||||
- 在 ``__init__`` 中设置 ``self._heartbeat_interval: float`` 与
|
||||
``self._heartbeat_task: asyncio.Task | None = None``；
|
||||
- 实现 ``_heartbeat_cmd()``，返回一个 awaitable（通常是一个轻量
|
||||
业务请求，用于保活并触发断线重连）。
|
||||
|
||||
收敛后 ``_start_heartbeat`` / ``_stop_heartbeat`` / ``_heartbeat_loop``
|
||||
只此一份实现；心跳异常范围统一收窄为 (OSError, TdxConnectionError,
|
||||
TdxDecodeError)（审计 #6）。
|
||||
"""
|
||||
|
||||
# 类型提示（实际由子类 __init__ 赋值；此处仅服务于静态检查与文档）
|
||||
_heartbeat_interval: float
|
||||
_heartbeat_task: asyncio.Task[None] | None
|
||||
|
||||
def _heartbeat_cmd(self) -> Awaitable[object]:
|
||||
"""返回心跳使用的轻量请求 awaitable。子类必须覆写。"""
|
||||
raise NotImplementedError
|
||||
|
||||
def _start_heartbeat(self) -> None:
|
||||
"""启动后台心跳任务（若已在跑则先取消旧任务）。"""
|
||||
if self._heartbeat_interval <= 0:
|
||||
return
|
||||
if self._heartbeat_task is not None:
|
||||
self._heartbeat_task.cancel()
|
||||
self._heartbeat_task = asyncio.create_task(self._heartbeat_loop())
|
||||
|
||||
async def _stop_heartbeat(self) -> None:
|
||||
"""停止并清理心跳任务。"""
|
||||
if self._heartbeat_task:
|
||||
self._heartbeat_task.cancel()
|
||||
try:
|
||||
await self._heartbeat_task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._heartbeat_task = None
|
||||
|
||||
async def _heartbeat_loop(self) -> None:
|
||||
"""心跳循环：定期发送轻量级请求保活。
|
||||
|
||||
失败语义：连接/解析类异常属于"本次失败、等下次重试"，下一次正常的
|
||||
业务请求或下一次心跳会通过 ``_execute`` 触发重连。非预期异常
|
||||
（代码 bug）不被吞掉，会冒泡打断心跳任务（审计 #6）。
|
||||
"""
|
||||
while True:
|
||||
try:
|
||||
await asyncio.sleep(self._heartbeat_interval)
|
||||
await self._heartbeat_cmd()
|
||||
except asyncio.CancelledError:
|
||||
break
|
||||
except _HEARTBEAT_RETRYABLE:
|
||||
logging.getLogger(__name__).debug(
|
||||
"心跳失败，等待下次业务请求触发重连", exc_info=True
|
||||
)
|
||||
@@ -24,6 +24,7 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import itertools
|
||||
import logging
|
||||
from dataclasses import dataclass
|
||||
from typing import Any
|
||||
|
||||
@@ -35,6 +36,8 @@ from easy_tdx.backtest.engine import BacktestEngine
|
||||
from easy_tdx.backtest.strategy import Strategy
|
||||
from easy_tdx.backtest.types import BacktestResult
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
NDArray = np.ndarray
|
||||
BoolArray = npt.NDArray[np.bool_]
|
||||
|
||||
@@ -210,6 +213,14 @@ def combine_masks(
|
||||
return bool_array(np.any(buy_stack, axis=0)), bool_array(np.any(sell_stack, axis=0))
|
||||
elif mode == "MAJORITY":
|
||||
n_factors = len(signals_list)
|
||||
# n_factors < 3 时 MAJORITY 退化为 AND/ANY（n=2 时 threshold=1.0，
|
||||
# 需 >1.0 即两个都要，等价于 AND）。提醒用户明确指定模式（审计 #17）。
|
||||
if n_factors < 3:
|
||||
logger.warning(
|
||||
"MAJORITY 模式在因子数 < 3 时（当前 %d）退化为 AND/ANY，"
|
||||
"建议明确指定 mode='AND' 或 'OR' 以避免语义混淆",
|
||||
n_factors,
|
||||
)
|
||||
threshold = n_factors / 2
|
||||
return (
|
||||
bool_array(np.sum(buy_stack, axis=0) > threshold),
|
||||
|
||||
@@ -374,6 +374,7 @@ class BacktestEngine:
|
||||
direction="SELL",
|
||||
size=0, # full position close
|
||||
price=trigger_price,
|
||||
source="stop", # 标记为止损/止盈触发，延迟到下一根成交
|
||||
)
|
||||
)
|
||||
else:
|
||||
|
||||
@@ -404,22 +404,28 @@ class VWAPExecution(ExecutionModel):
|
||||
)
|
||||
|
||||
def _get_volume_weights(self, df: pd.DataFrame, bar_idx: int) -> list[float]:
|
||||
"""获取成交量权重分布。"""
|
||||
"""获取未来 n_bars 根的成交量权重分布（用于 VWAP 拆单）。
|
||||
|
||||
**仅使用 ``bar_idx`` 及之前的成交量（lookback 窗口）估计未来分布，
|
||||
严格不读未来数据，避免前视偏差**（与 TWAP 等模型只用历史数据的约定一致）。
|
||||
当 lookback 数据少于 n_bars 时，用 ``np.resize`` 显式平铺到 n_bars 长度，
|
||||
消除旧的 ``i % len(volumes)`` 取模在 n_bars > lookback 时产生的周期性
|
||||
循环索引（与真实 VWAP 行为不符）。
|
||||
"""
|
||||
start = max(0, bar_idx - self._volume_lookback + 1)
|
||||
lookback = df.iloc[start : bar_idx + 1]
|
||||
vol_series = _volume_series(lookback)
|
||||
if vol_series is None or len(lookback) == 0:
|
||||
return [1.0 / self._n_bars] * self._n_bars
|
||||
|
||||
volumes = vol_series.to_numpy()
|
||||
total_vol = float(volumes.sum())
|
||||
if float(volumes.sum()) <= 0:
|
||||
return [1.0 / self._n_bars] * self._n_bars
|
||||
# 平铺到 n_bars 长度（不足时重复整个历史序列，作为因果合法的外推近似）
|
||||
vols = np.resize(volumes, self._n_bars)
|
||||
total_vol = float(vols.sum())
|
||||
if total_vol <= 0:
|
||||
return [1.0 / self._n_bars] * self._n_bars
|
||||
|
||||
weights: list[float] = []
|
||||
for i in range(self._n_bars):
|
||||
idx = max(0, len(volumes) - 1 - (i % max(1, len(volumes))))
|
||||
weights.append(float(volumes[idx]) / total_vol)
|
||||
weights = [float(v) / total_vol for v in vols]
|
||||
total_w = sum(weights)
|
||||
if total_w <= 0:
|
||||
return [1.0 / self._n_bars] * self._n_bars
|
||||
|
||||
@@ -78,11 +78,39 @@ class OrderSimulator:
|
||||
if bar_idx is None:
|
||||
continue
|
||||
|
||||
# 当信号指定了价格（止损/止盈/限价单），
|
||||
# 直接在信号所在 bar 以信号价格成交
|
||||
if signal.price is not None:
|
||||
exec_idx: int = bar_idx
|
||||
price: float = signal.price
|
||||
# 信号成交时点分三类：
|
||||
# - source="stop"（止损/止盈触发）：延迟到下一根开盘成交，消除"用当根
|
||||
# intrabar 触发价精确成交"的前视偏差；若下一根跳空，取对持仓者更不利的价。
|
||||
# - price is not None 且非 stop（限价单）：在信号 bar 当根以信号价成交。
|
||||
# - 其他（市价策略信号）：按 execution 配置（默认 next_open）在下一根成交。
|
||||
if signal.source == "stop":
|
||||
exec_idx_raw = self._resolve_exec_index(bar_idx)
|
||||
# 下一根不可用时（信号在最后一根 bar 触发），回退到当根收盘成交，
|
||||
# 避免止损信号被静默丢弃（审计 #4：不能因延迟成交而漏平仓）。
|
||||
next_price: float
|
||||
if exec_idx_raw is None or exec_idx_raw >= len(self.df):
|
||||
exec_idx = bar_idx
|
||||
row = self.df.iloc[bar_idx] if bar_idx < len(self.df) else None
|
||||
if row is None:
|
||||
continue
|
||||
next_price = float(row["close"])
|
||||
else:
|
||||
exec_idx = exec_idx_raw
|
||||
price_raw = self._get_price(exec_idx, signal.direction)
|
||||
if price_raw is None:
|
||||
continue
|
||||
next_price = price_raw
|
||||
# 跳空保护：对 SELL（平仓），若下一根开盘比触发价更不利（更低），
|
||||
# 取实际开盘价；否则按触发价（止损已生效）。
|
||||
trigger = signal.price if signal.price is not None else next_price
|
||||
if signal.direction == "SELL":
|
||||
price: float = min(next_price, trigger)
|
||||
else:
|
||||
price = max(next_price, trigger)
|
||||
elif signal.price is not None:
|
||||
# 限价单：在信号所在 bar 以信号价格成交
|
||||
exec_idx = bar_idx
|
||||
price = signal.price
|
||||
else:
|
||||
# 确定成交的 K 线索引
|
||||
exec_idx_raw = self._resolve_exec_index(bar_idx)
|
||||
|
||||
@@ -80,16 +80,18 @@ class PerformanceAnalyzer:
|
||||
total = self._equity_curve["total"].to_numpy()
|
||||
drawdown = self._equity_curve["drawdown"].to_numpy()
|
||||
|
||||
# 计算日收益率
|
||||
daily_ret = np.diff(total) / total[:-1]
|
||||
daily_ret = daily_ret[~np.isnan(daily_ret)]
|
||||
# 计算日收益率（除零保护：前值为 0 的位置记为 NaN 后一并过滤）
|
||||
safe_prev = np.where(total[:-1] != 0, total[:-1], np.nan)
|
||||
daily_ret = np.diff(total) / safe_prev
|
||||
# 同时过滤 NaN 和 inf（前值为 0 会产生 inf/nan）
|
||||
daily_ret = daily_ret[np.isfinite(daily_ret)]
|
||||
|
||||
# 日收益率数量太少时返回空指标
|
||||
if len(daily_ret) < 2:
|
||||
return self._empty_metrics()
|
||||
|
||||
# 1. 总收益率
|
||||
total_return = (total[-1] / total[0]) - 1
|
||||
# 1. 总收益率（首根净值为 0 时无法定义，记为 0.0）
|
||||
total_return = (total[-1] / total[0]) - 1 if total[0] != 0 else 0.0
|
||||
|
||||
# 2. 年化收益率
|
||||
n = len(daily_ret)
|
||||
|
||||
@@ -25,6 +25,9 @@ class Signal:
|
||||
price: 限价（None = 市价单）
|
||||
stop_loss: 止损价（None = 不设置）
|
||||
take_profit: 止盈价（None = 不设置）
|
||||
source: 信号来源。"strategy"=策略产生（默认）；
|
||||
"stop"=止损/止盈触发。stop 来源的信号不在信号 bar 当根成交，
|
||||
而是延迟到下一根开盘（消除用当根 intrabar 触发价成交的前视偏差）。
|
||||
"""
|
||||
|
||||
datetime: int
|
||||
@@ -33,6 +36,7 @@ class Signal:
|
||||
price: float | None = None
|
||||
stop_loss: float | None = None
|
||||
take_profit: float | None = None
|
||||
source: str = "strategy"
|
||||
|
||||
|
||||
# ── 成交记录 ────────────────────────────────────────────────────────────────
|
||||
|
||||
@@ -2,6 +2,7 @@
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import re
|
||||
from pathlib import Path
|
||||
from typing import TYPE_CHECKING
|
||||
|
||||
@@ -253,6 +254,11 @@ def ex_daily(
|
||||
|
||||
filepath = Path(filename)
|
||||
if not filepath.is_file():
|
||||
# 路径穿越防护（审计 #16）：仅当 filename 是裸文件名（不含路径分隔符 / \ 与
|
||||
# 父目录引用 ..）时，才允许拼接到 vipdoc 目录下，防止 "../foo" 写出目录之外。
|
||||
# 允许通达信扩展行情文件名的常见字符（含 #，如 "29#A1801"、"12#A_IXIC"）。
|
||||
if re.search(r"[\\/]|(\.\.)", filename):
|
||||
raise click.BadParameter("filename 禁止包含路径分隔符(/ \\)或父目录引用(..)")
|
||||
tdx_home = detect_tdx_home()
|
||||
if tdx_home is not None:
|
||||
filepath = tdx_home / "vipdoc" / "ds" / "lday" / f"{filename}.day"
|
||||
|
||||
@@ -10,12 +10,15 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import importlib.util
|
||||
import logging
|
||||
import time
|
||||
from pathlib import Path
|
||||
from typing import Any
|
||||
|
||||
import click
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
# ── 辅助函数 ──────────────────────────────────────────────────────────────────
|
||||
|
||||
|
||||
@@ -31,6 +34,9 @@ def _load_strategy_class(file_path: Path) -> type | None:
|
||||
try:
|
||||
spec.loader.exec_module(module)
|
||||
except Exception:
|
||||
# 策略文件可能有语法错误 / ImportError / 运行期异常，记录完整 traceback
|
||||
# 而非静默吞掉，否则用户只看到"加载失败"却不知根因（审计 #6）。
|
||||
logger.exception("策略文件加载失败: %s", file_path)
|
||||
return None
|
||||
|
||||
for attr_name in dir(module):
|
||||
|
||||
+31
-47
@@ -22,6 +22,7 @@ from ._df import (
|
||||
_merge_txn_datetime,
|
||||
_to_df,
|
||||
)
|
||||
from ._reconnect import _RETRY_DELAYS, AsyncHeartbeatMixin
|
||||
from .codec.block import parse_block_dat
|
||||
from .codec.financial import parse_financial_dat, parse_financial_file_list
|
||||
from .codec.industry import parse_tdxhy_cfg
|
||||
@@ -60,7 +61,6 @@ from .models.timeseries import TransactionRecord
|
||||
from .transport.async_ import AsyncTdxConnection
|
||||
from .transport.sync import TdxConnection, ping_all
|
||||
|
||||
_RETRY_DELAYS = (0.1, 0.5, 1.0, 2.0)
|
||||
_T = TypeVar("_T")
|
||||
_SHANGHAI_TZ = ZoneInfo("Asia/Shanghai")
|
||||
_DAILY_PLUS = frozenset(
|
||||
@@ -176,7 +176,11 @@ def _load_cache() -> list[SecurityInfo] | None:
|
||||
try:
|
||||
raw = json.loads(path.read_text("utf-8"))
|
||||
updated = datetime.fromisoformat(raw["updated"])
|
||||
if (datetime.now() - updated).total_seconds() > _CACHE_MAX_AGE:
|
||||
# 统一用 aware datetime 比较（审计 #18）：旧缓存可能写的是 naive datetime，
|
||||
# 此处 localize 到上海时区，避免跨时区机器（如 CI 的 UTC 与本地 +8）误判过期。
|
||||
if updated.tzinfo is None:
|
||||
updated = updated.replace(tzinfo=_SHANGHAI_TZ)
|
||||
if (datetime.now(_SHANGHAI_TZ) - updated).total_seconds() > _CACHE_MAX_AGE:
|
||||
return None
|
||||
return _deserialize_stocks(raw["data"])
|
||||
except Exception:
|
||||
@@ -186,7 +190,7 @@ def _load_cache() -> list[SecurityInfo] | None:
|
||||
def _save_cache(stocks: list[SecurityInfo]) -> None:
|
||||
_CACHE_DIR.mkdir(parents=True, exist_ok=True)
|
||||
data = {
|
||||
"updated": datetime.now().isoformat(),
|
||||
"updated": datetime.now(_SHANGHAI_TZ).isoformat(),
|
||||
"count": len(stocks),
|
||||
"data": _serialize_stocks(stocks),
|
||||
}
|
||||
@@ -781,12 +785,16 @@ class TdxClient:
|
||||
results: list[HistoricalFundFlow] = []
|
||||
for bar in bars:
|
||||
date = _date_from_bar(bar)
|
||||
records = self._collect_transaction_records(
|
||||
lambda page_start, page_size: self._execute(
|
||||
GetHistoryTransactionDataCmd(market, code, date, page_start, page_size)
|
||||
),
|
||||
800,
|
||||
)
|
||||
|
||||
# 用闭包工厂立即绑定 date（审计 #10），避免 lambda 延迟绑定循环变量。
|
||||
def _fetch_page(
|
||||
page_start: int, page_size: int, _d: int = date
|
||||
) -> list[TransactionRecord]:
|
||||
return self._execute(
|
||||
GetHistoryTransactionDataCmd(market, code, _d, page_start, page_size)
|
||||
)
|
||||
|
||||
records = self._collect_transaction_records(_fetch_page, 800)
|
||||
results.append(_historical_fund_flow_from_records(date, records))
|
||||
return _to_df(results)
|
||||
|
||||
@@ -796,7 +804,7 @@ class TdxClient:
|
||||
# ============================================================
|
||||
|
||||
|
||||
class AsyncTdxClient:
|
||||
class AsyncTdxClient(AsyncHeartbeatMixin):
|
||||
"""异步通达信行情客户端（asyncio）。
|
||||
|
||||
使用示例::
|
||||
@@ -883,37 +891,9 @@ class AsyncTdxClient:
|
||||
) -> None:
|
||||
await self.close()
|
||||
|
||||
def _start_heartbeat(self) -> None:
|
||||
"""启动后台心跳任务。"""
|
||||
if self._heartbeat_interval <= 0:
|
||||
return
|
||||
if self._heartbeat_task is not None:
|
||||
self._heartbeat_task.cancel()
|
||||
self._heartbeat_task = asyncio.create_task(self._heartbeat_loop())
|
||||
|
||||
async def _stop_heartbeat(self) -> None:
|
||||
"""停止并清理心跳任务。"""
|
||||
if self._heartbeat_task:
|
||||
self._heartbeat_task.cancel()
|
||||
try:
|
||||
await self._heartbeat_task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._heartbeat_task = None
|
||||
|
||||
async def _heartbeat_loop(self) -> None:
|
||||
"""心跳循环：定期发送轻量级请求保活。"""
|
||||
while True:
|
||||
try:
|
||||
await asyncio.sleep(self._heartbeat_interval)
|
||||
# 使用 get_security_count 作为心跳包
|
||||
await self.get_security_count(Market.SH)
|
||||
except asyncio.CancelledError:
|
||||
break
|
||||
except Exception:
|
||||
# 心跳失败通常意味着连接已断开
|
||||
# 下一次正常的业务请求或下一次心跳会通过 _execute 触发重连
|
||||
pass
|
||||
def _heartbeat_cmd(self) -> Awaitable[object]:
|
||||
"""心跳使用的轻量请求（get_security_count，复用 _execute 重连）。"""
|
||||
return self.get_security_count(Market.SH)
|
||||
|
||||
async def _execute(self, cmd: "BaseCommand[_T]") -> _T:
|
||||
"""执行命令；断线时指数退避重试。"""
|
||||
@@ -1323,11 +1303,15 @@ class AsyncTdxClient:
|
||||
results: list[HistoricalFundFlow] = []
|
||||
for bar in bars:
|
||||
date = _date_from_bar(bar)
|
||||
records = await self._collect_transaction_records(
|
||||
lambda page_start, page_size: self._execute(
|
||||
GetHistoryTransactionDataCmd(market, code, date, page_start, page_size)
|
||||
),
|
||||
800,
|
||||
)
|
||||
|
||||
# 用闭包工厂立即绑定 date（审计 #10），避免 lambda 延迟绑定循环变量。
|
||||
async def _fetch_page(
|
||||
page_start: int, page_size: int, _d: int = date
|
||||
) -> list[TransactionRecord]:
|
||||
return await self._execute(
|
||||
GetHistoryTransactionDataCmd(market, code, _d, page_start, page_size)
|
||||
)
|
||||
|
||||
records = await self._collect_transaction_records(_fetch_page, 800)
|
||||
results.append(_historical_fund_flow_from_records(date, records))
|
||||
return _to_df(results)
|
||||
|
||||
@@ -42,7 +42,7 @@ _ORGID_MAP: dict[str, str] = {}
|
||||
|
||||
def _ts_to_date(ts: Any) -> str:
|
||||
"""巨潮 ``announcementTime`` 返回 Unix 毫秒整数，转 ``YYYY-MM-DD``。"""
|
||||
if isinstance(ts, (int, float)):
|
||||
if isinstance(ts, int | float):
|
||||
return datetime.fromtimestamp(ts / 1000).strftime("%Y-%m-%d")
|
||||
return str(ts)[:10] if ts else ""
|
||||
|
||||
|
||||
@@ -28,10 +28,14 @@ import os
|
||||
from datetime import datetime
|
||||
from pathlib import Path
|
||||
from typing import Any, cast
|
||||
from zoneinfo import ZoneInfo
|
||||
|
||||
_CONFIG_DIR = Path(os.environ.get("EASY_TDX_CONFIG_DIR", str(Path.home() / ".easy_tdx")))
|
||||
_CONFIG_FILE = _CONFIG_DIR / "config.json"
|
||||
|
||||
# 业务时间统一用上海时区（与 client.py 一致），避免 naive datetime 跨时区歧义（审计 #18）。
|
||||
_SHANGHAI_TZ = ZoneInfo("Asia/Shanghai")
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# 源码内嵌默认值（config.json 不存在或字段缺失时的兜底）
|
||||
# ---------------------------------------------------------------------------
|
||||
@@ -242,7 +246,7 @@ def save_best_host(host: str) -> None:
|
||||
"""保存最佳主机到配置文件；首次写入时同时补全默认配置。"""
|
||||
cfg = _load()
|
||||
cfg["best_host"] = host
|
||||
cfg["best_host_updated_at"] = datetime.now().isoformat()
|
||||
cfg["best_host_updated_at"] = datetime.now(_SHANGHAI_TZ).isoformat()
|
||||
if "known_hosts" not in cfg:
|
||||
cfg["known_hosts"] = list(_FALLBACK_HOSTS)
|
||||
if "calc_hosts" not in cfg:
|
||||
|
||||
+31
-34
@@ -2,11 +2,14 @@
|
||||
|
||||
import asyncio
|
||||
import logging
|
||||
import time
|
||||
from collections import OrderedDict
|
||||
from collections.abc import Awaitable
|
||||
from types import TracebackType
|
||||
from typing import TypeVar
|
||||
|
||||
from .._df import _apply_bar_time_align_bars, _category_to_minutes
|
||||
from .._reconnect import _RETRY_DELAYS, AsyncHeartbeatMixin
|
||||
from ..commands.base import BaseCommand
|
||||
from ..config import get_best_ex_host, get_ex_hosts, save_best_ex_host
|
||||
from ..exceptions import TdxConnectionError
|
||||
@@ -118,15 +121,23 @@ class ExTdxClient:
|
||||
self.close()
|
||||
|
||||
def _execute(self, cmd: "BaseCommand[_T]") -> _T:
|
||||
"""执行命令；断线时指数退避重试（4 次，与 A 股/MAC 统一，审计 #2）。"""
|
||||
try:
|
||||
return self._conn.execute(cmd)
|
||||
except TdxConnectionError:
|
||||
if not self._auto_reconnect:
|
||||
raise
|
||||
self._conn.close()
|
||||
self._conn = ExTdxConnection(self._host, self._port, self._timeout)
|
||||
self._conn.connect()
|
||||
return self._conn.execute(cmd)
|
||||
last_exc: TdxConnectionError | None = None
|
||||
for delay in _RETRY_DELAYS:
|
||||
time.sleep(delay)
|
||||
self._conn.close()
|
||||
self._conn = ExTdxConnection(self._host, self._port, self._timeout)
|
||||
self._conn.connect()
|
||||
try:
|
||||
return self._conn.execute(cmd)
|
||||
except TdxConnectionError as e:
|
||||
last_exc = e
|
||||
raise last_exc # type: ignore[misc]
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 市场信息
|
||||
@@ -260,7 +271,7 @@ class ExTdxClient:
|
||||
# ============================================================
|
||||
|
||||
|
||||
class AsyncExTdxClient:
|
||||
class AsyncExTdxClient(AsyncHeartbeatMixin):
|
||||
"""异步扩展行情客户端（asyncio，端口 7727）。
|
||||
|
||||
使用示例::
|
||||
@@ -335,43 +346,29 @@ class AsyncExTdxClient:
|
||||
) -> None:
|
||||
await self.close()
|
||||
|
||||
def _start_heartbeat(self) -> None:
|
||||
if self._heartbeat_interval <= 0:
|
||||
return
|
||||
if self._heartbeat_task is not None:
|
||||
self._heartbeat_task.cancel()
|
||||
self._heartbeat_task = asyncio.create_task(self._heartbeat_loop())
|
||||
|
||||
async def _stop_heartbeat(self) -> None:
|
||||
if self._heartbeat_task:
|
||||
self._heartbeat_task.cancel()
|
||||
try:
|
||||
await self._heartbeat_task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._heartbeat_task = None
|
||||
|
||||
async def _heartbeat_loop(self) -> None:
|
||||
while True:
|
||||
try:
|
||||
await asyncio.sleep(self._heartbeat_interval)
|
||||
await self.get_instrument_count()
|
||||
except asyncio.CancelledError:
|
||||
break
|
||||
except Exception:
|
||||
pass
|
||||
def _heartbeat_cmd(self) -> Awaitable[object]:
|
||||
"""心跳使用的轻量请求（get_instrument_count，复用 _execute 重连）。"""
|
||||
return self.get_instrument_count()
|
||||
|
||||
async def _execute(self, cmd: "BaseCommand[_T]") -> _T:
|
||||
"""执行命令；断线时指数退避重试（4 次，与 A 股/MAC 统一，审计 #2）。"""
|
||||
async with self._execute_lock:
|
||||
try:
|
||||
return await self._conn.execute(cmd)
|
||||
except TdxConnectionError:
|
||||
if not self._auto_reconnect:
|
||||
raise
|
||||
await self._conn.close()
|
||||
self._conn = AsyncExTdxConnection(self._host, self._port, self._timeout)
|
||||
await self._conn.connect()
|
||||
return await self._conn.execute(cmd)
|
||||
last_exc: TdxConnectionError | None = None
|
||||
for delay in _RETRY_DELAYS:
|
||||
await asyncio.sleep(delay)
|
||||
await self._conn.close()
|
||||
self._conn = AsyncExTdxConnection(self._host, self._port, self._timeout)
|
||||
await self._conn.connect()
|
||||
try:
|
||||
return await self._conn.execute(cmd)
|
||||
except TdxConnectionError as e:
|
||||
last_exc = e
|
||||
raise last_exc # type: ignore[misc]
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 市场信息
|
||||
|
||||
@@ -5,6 +5,9 @@
|
||||
"""
|
||||
|
||||
import asyncio
|
||||
import logging
|
||||
import time
|
||||
from collections.abc import Awaitable
|
||||
from datetime import date
|
||||
from types import TracebackType
|
||||
from typing import Any, TypeVar
|
||||
@@ -12,6 +15,7 @@ from typing import Any, TypeVar
|
||||
import pandas as pd
|
||||
|
||||
from .._df import _to_df
|
||||
from .._reconnect import _RETRY_DELAYS, AsyncHeartbeatMixin
|
||||
from ..commands.base import BaseCommand
|
||||
from ..config import get_best_mac_ex_host, get_mac_ex_hosts, save_best_mac_ex_host
|
||||
from ..exceptions import TdxConnectionError
|
||||
@@ -31,6 +35,8 @@ from .transport.sync import ExTdxConnection, ping_ex_all
|
||||
_DEFAULT_PORT = 7727
|
||||
_T = TypeVar("_T")
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
def _quotes_to_df(result: list[MacQuoteField]) -> pd.DataFrame:
|
||||
"""将 MacQuoteField 列表展开为 DataFrame。"""
|
||||
@@ -135,16 +141,32 @@ class MacExClient:
|
||||
self._conn.execute(MacExLoginCmd())
|
||||
|
||||
def _execute(self, cmd: "BaseCommand[_T]") -> _T:
|
||||
"""执行命令；断线时指数退避重试（4 次，与 A 股/MAC 统一，审计 #2）。
|
||||
|
||||
每次重连后必须重新 ``_login()``（MAC 协议扩展行情特有）。登录握手期的
|
||||
``TdxConnectionError`` 与业务请求一样计入退避重试；``TdxCommandError``
|
||||
（登录被拒等确定性失败）不重试，直接抛出。
|
||||
"""
|
||||
try:
|
||||
return self._conn.execute(cmd)
|
||||
except TdxConnectionError:
|
||||
if not self._auto_reconnect:
|
||||
raise
|
||||
self._conn.close()
|
||||
self._conn = ExTdxConnection(self._host, self._port, self._timeout, mac_ex_mode=True)
|
||||
self._conn.connect()
|
||||
self._login()
|
||||
return self._conn.execute(cmd)
|
||||
last_exc: TdxConnectionError | None = None
|
||||
for delay in _RETRY_DELAYS:
|
||||
time.sleep(delay)
|
||||
self._conn.close()
|
||||
self._conn = ExTdxConnection(
|
||||
self._host, self._port, self._timeout, mac_ex_mode=True
|
||||
)
|
||||
# connect + login 纳入重试：登录握手期连接再次断开属可重试语义。
|
||||
try:
|
||||
self._conn.connect()
|
||||
self._login()
|
||||
return self._conn.execute(cmd)
|
||||
except TdxConnectionError as e:
|
||||
last_exc = e
|
||||
raise last_exc # type: ignore[misc]
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 商品列表
|
||||
@@ -419,7 +441,7 @@ class MacExClient:
|
||||
# ============================================================
|
||||
|
||||
|
||||
class AsyncMacExClient:
|
||||
class AsyncMacExClient(AsyncHeartbeatMixin):
|
||||
"""异步 MAC 协议扩展市场客户端（asyncio，端口 7727）。
|
||||
|
||||
使用示例::
|
||||
@@ -494,50 +516,42 @@ class AsyncMacExClient:
|
||||
) -> None:
|
||||
await self.close()
|
||||
|
||||
def _start_heartbeat(self) -> None:
|
||||
if self._heartbeat_interval <= 0:
|
||||
return
|
||||
if self._heartbeat_task is not None:
|
||||
self._heartbeat_task.cancel()
|
||||
self._heartbeat_task = asyncio.create_task(self._heartbeat_loop())
|
||||
|
||||
async def _stop_heartbeat(self) -> None:
|
||||
if self._heartbeat_task:
|
||||
self._heartbeat_task.cancel()
|
||||
try:
|
||||
await self._heartbeat_task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._heartbeat_task = None
|
||||
|
||||
async def _heartbeat_loop(self) -> None:
|
||||
while True:
|
||||
try:
|
||||
await asyncio.sleep(self._heartbeat_interval)
|
||||
await self._execute(GetExInstrumentCountCmd())
|
||||
except asyncio.CancelledError:
|
||||
break
|
||||
except Exception:
|
||||
pass
|
||||
def _heartbeat_cmd(self) -> Awaitable[object]:
|
||||
"""心跳使用的轻量请求（get_instrument_count，复用 _execute 重连）。"""
|
||||
return self._execute(GetExInstrumentCountCmd())
|
||||
|
||||
async def _login(self) -> None:
|
||||
"""执行 MAC EX 登录命令。"""
|
||||
await self._conn.execute(MacExLoginCmd())
|
||||
|
||||
async def _execute(self, cmd: "BaseCommand[_T]") -> _T:
|
||||
"""执行命令；断线时指数退避重试（4 次，与 A 股/MAC 统一，审计 #2）。
|
||||
|
||||
每次重连后必须重新 ``_login()``（MAC 协议扩展行情特有）。登录握手期的
|
||||
``TdxConnectionError`` 与业务请求一样计入退避重试；``TdxCommandError``
|
||||
（登录被拒等确定性失败）不重试，直接抛出。
|
||||
"""
|
||||
async with self._execute_lock:
|
||||
try:
|
||||
return await self._conn.execute(cmd)
|
||||
except TdxConnectionError:
|
||||
if not self._auto_reconnect:
|
||||
raise
|
||||
await self._conn.close()
|
||||
self._conn = AsyncExTdxConnection(
|
||||
self._host, self._port, self._timeout, mac_ex_mode=True
|
||||
)
|
||||
await self._conn.connect()
|
||||
await self._login()
|
||||
return await self._conn.execute(cmd)
|
||||
last_exc: TdxConnectionError | None = None
|
||||
for delay in _RETRY_DELAYS:
|
||||
await asyncio.sleep(delay)
|
||||
await self._conn.close()
|
||||
self._conn = AsyncExTdxConnection(
|
||||
self._host, self._port, self._timeout, mac_ex_mode=True
|
||||
)
|
||||
# connect + login 纳入重试：登录握手期连接再次断开属可重试语义。
|
||||
try:
|
||||
await self._conn.connect()
|
||||
await self._login()
|
||||
return await self._conn.execute(cmd)
|
||||
except TdxConnectionError as e:
|
||||
last_exc = e
|
||||
raise last_exc # type: ignore[misc]
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 商品列表
|
||||
|
||||
@@ -24,7 +24,7 @@ def _datetime_to_int(dt_val: object) -> int:
|
||||
if hasattr(dt_val, "strftime"):
|
||||
strftime = getattr(dt_val, "strftime")
|
||||
return int(strftime("%Y%m%d"))
|
||||
if isinstance(dt_val, (int, float)):
|
||||
if isinstance(dt_val, int | float):
|
||||
return int(dt_val)
|
||||
return 0
|
||||
|
||||
|
||||
+14
-29
@@ -5,6 +5,7 @@ from __future__ import annotations
|
||||
import asyncio
|
||||
import logging
|
||||
import time
|
||||
from collections.abc import Awaitable
|
||||
from dataclasses import asdict
|
||||
from types import TracebackType
|
||||
from typing import Any, TypeVar
|
||||
@@ -12,6 +13,7 @@ from typing import Any, TypeVar
|
||||
import pandas as pd
|
||||
|
||||
from .._df import _apply_bar_time_align_df, _period_to_minutes, _to_df
|
||||
from .._reconnect import _RETRY_DELAYS, AsyncHeartbeatMixin
|
||||
from ..codec.bitmap import Fields, PresetField
|
||||
from ..commands.base import BaseCommand
|
||||
from ..config import get_best_host, get_mac_hosts, get_port, get_timeout, save_best_host
|
||||
@@ -45,7 +47,6 @@ from .models import (
|
||||
MacTickChart,
|
||||
)
|
||||
|
||||
_RETRY_DELAYS = (0.1, 0.5, 1.0, 2.0)
|
||||
_KLINE_PAGE_SIZE = 700
|
||||
_BOARD_MEMBERS_PAGE_SIZE = 80
|
||||
|
||||
@@ -1042,7 +1043,7 @@ class MacClient:
|
||||
# ============================================================
|
||||
|
||||
|
||||
class AsyncMacClient:
|
||||
class AsyncMacClient(AsyncHeartbeatMixin):
|
||||
"""异步 MAC 协议客户端（asyncio）。
|
||||
|
||||
使用示例::
|
||||
@@ -1150,34 +1151,12 @@ class AsyncMacClient:
|
||||
await self.close()
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 心跳
|
||||
# 心跳（三件套由 AsyncHeartbeatMixin 提供，审计复审 L1）
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
def _start_heartbeat(self) -> None:
|
||||
if self._heartbeat_interval <= 0:
|
||||
return
|
||||
if self._heartbeat_task is not None:
|
||||
self._heartbeat_task.cancel()
|
||||
self._heartbeat_task = asyncio.create_task(self._heartbeat_loop())
|
||||
|
||||
async def _stop_heartbeat(self) -> None:
|
||||
if self._heartbeat_task:
|
||||
self._heartbeat_task.cancel()
|
||||
try:
|
||||
await self._heartbeat_task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._heartbeat_task = None
|
||||
|
||||
async def _heartbeat_loop(self) -> None:
|
||||
while True:
|
||||
try:
|
||||
await asyncio.sleep(self._heartbeat_interval)
|
||||
await self._execute(KlineOffsetCmd(0, 1))
|
||||
except asyncio.CancelledError:
|
||||
break
|
||||
except Exception:
|
||||
pass
|
||||
def _heartbeat_cmd(self) -> Awaitable[object]:
|
||||
"""心跳使用的轻量请求（KlineOffset，复用 _execute 重连）。"""
|
||||
return self._execute(KlineOffsetCmd(0, 1))
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 内部执行
|
||||
@@ -1568,9 +1547,15 @@ class AsyncMacClient:
|
||||
) -> pd.DataFrame:
|
||||
"""获取板块涨跌幅排行榜（含成交额、成交量、资金流入流出、涨跌家数）。
|
||||
|
||||
先通过 ``get_board_list`` 获取全部板块，再并发调用
|
||||
先通过 ``get_board_list`` 获取全部板块，再逐个调用
|
||||
``get_board_summary`` 聚合成分股数据，合并为排行榜 DataFrame。
|
||||
|
||||
.. note::
|
||||
实现中使用了 ``asyncio.gather``，但单 TCP 连接不支持并发请求——
|
||||
每个 ``_fetch_row`` 内部调用 ``_execute`` 时都会持有 ``_execute_lock``，
|
||||
因此 gather 实际是**串行**执行的，仅作代码组织用途，无并发加速收益。
|
||||
如需真正并发拉取多个板块，需引入连接池（多 ``AsyncTdxConnection``）。
|
||||
|
||||
Args:
|
||||
board_type: 板块类型（``BoardType.HY`` 行业 / ``BoardType.GN`` 概念）。
|
||||
top_n: 聚合的板块数量上限。概念板块有 300+ 个，
|
||||
|
||||
@@ -6,10 +6,12 @@ from .finance import (
|
||||
FinanceInfo,
|
||||
FinancialFileInfo,
|
||||
FinancialRecord,
|
||||
TdxBlock,
|
||||
XdxrRecord,
|
||||
)
|
||||
from .quote import SecurityQuote
|
||||
from .security import SecurityInfo
|
||||
from .stats import FundFlow, HistoricalFundFlow, MarketStat
|
||||
from .timeseries import MinuteBar, TransactionRecord
|
||||
|
||||
__all__ = [
|
||||
@@ -26,4 +28,8 @@ __all__ = [
|
||||
"CompanyInfoCategory",
|
||||
"FinancialFileInfo",
|
||||
"FinancialRecord",
|
||||
"TdxBlock",
|
||||
"MarketStat",
|
||||
"FundFlow",
|
||||
"HistoricalFundFlow",
|
||||
]
|
||||
|
||||
@@ -2,6 +2,8 @@
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import os
|
||||
from pathlib import Path
|
||||
|
||||
from ..models.bar import SecurityBar
|
||||
@@ -14,6 +16,8 @@ __all__ = [
|
||||
"sync_daily_bars_from_security_bars",
|
||||
]
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# encode
|
||||
@@ -54,10 +58,15 @@ def encode_daily_bar(
|
||||
|
||||
|
||||
def get_last_bar_date(filepath: str | Path) -> int | None:
|
||||
"""读取 .day 文件最后一条记录的日期。
|
||||
"""读取 .day 文件最后一条完整记录的日期（纯读，无副作用）。
|
||||
|
||||
若文件尾部存在不完整记录（size 非 32 的整数倍，通常由上次写入中途崩溃/
|
||||
断电导致），只告警并跳过损坏尾部，返回最后一条完整记录的日期——
|
||||
不修改文件（遵守 command-query separation，"get" 不应写）。
|
||||
损坏尾部的清理由 :func:`_repair_tail` 在写入路径统一完成。
|
||||
|
||||
Returns:
|
||||
YYYYMMDD 整数，文件为空或太短时返回 None。
|
||||
YYYYMMDD 整数，文件为空/太短/无完整记录时返回 None。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
@@ -65,6 +74,20 @@ def get_last_bar_date(filepath: str | Path) -> int | None:
|
||||
size = filepath.stat().st_size
|
||||
if size < _DAILY_FMT.size:
|
||||
return None
|
||||
# 完整性检查：非整数倍说明尾部有半条损坏记录，跳过它读最后一条完整记录。
|
||||
remainder = size % _DAILY_FMT.size
|
||||
if remainder != 0:
|
||||
logger.warning(
|
||||
"%s 大小 %d 不是 %d 的整数倍，尾部 %d 字节为损坏记录，"
|
||||
"将读取最后一条完整记录（文件未修改，写入时由 _repair_tail 清理）",
|
||||
filepath,
|
||||
size,
|
||||
_DAILY_FMT.size,
|
||||
remainder,
|
||||
)
|
||||
size -= remainder
|
||||
if size < _DAILY_FMT.size:
|
||||
return None
|
||||
with filepath.open("rb") as f:
|
||||
f.seek(size - _DAILY_FMT.size)
|
||||
last_record = f.read(_DAILY_FMT.size)
|
||||
@@ -72,6 +95,25 @@ def get_last_bar_date(filepath: str | Path) -> int | None:
|
||||
return int(date_int)
|
||||
|
||||
|
||||
def _repair_tail(filepath: Path) -> None:
|
||||
"""截断文件尾部的损坏记录（非整数倍 32 字节的残余）。
|
||||
|
||||
仅在写入路径调用，保证 get_last_bar_date 这类查询函数无副作用（审计 #1）。
|
||||
"""
|
||||
if not filepath.is_file():
|
||||
return
|
||||
size = filepath.stat().st_size
|
||||
remainder = size % _DAILY_FMT.size
|
||||
if remainder != 0:
|
||||
logger.warning(
|
||||
"%s 尾部 %d 字节为损坏记录，写入前截断到最后一条完整记录",
|
||||
filepath,
|
||||
remainder,
|
||||
)
|
||||
with filepath.open("r+b") as f:
|
||||
f.truncate(size - remainder)
|
||||
|
||||
|
||||
def _bar_date_int(bar: SecurityBar) -> int:
|
||||
return bar.year * 10000 + bar.month * 100 + bar.day
|
||||
|
||||
@@ -100,6 +142,9 @@ def append_daily_bars(
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
|
||||
# 写入前清理上次崩溃可能残留的尾部半条记录（审计 #1）
|
||||
_repair_tail(filepath)
|
||||
|
||||
# 获取文件末尾日期，用于去重
|
||||
last_date = get_last_bar_date(filepath)
|
||||
|
||||
@@ -114,6 +159,10 @@ def append_daily_bars(
|
||||
encoded = b"".join(encode_daily_bar(b, price_coeff, vol_coeff) for b in new_bars)
|
||||
with filepath.open("ab") as f:
|
||||
f.write(encoded)
|
||||
# flush + fsync 确保落盘，避免进程崩溃/断电导致文件尾部残留半条记录
|
||||
# （32 字节记录的非原子追加会损坏 get_last_bar_date 的去重依据）。
|
||||
f.flush()
|
||||
os.fsync(f.fileno())
|
||||
|
||||
return len(new_bars)
|
||||
|
||||
|
||||
+136
-22
@@ -11,6 +11,7 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
import logging
|
||||
from dataclasses import dataclass
|
||||
from datetime import datetime
|
||||
from pathlib import Path
|
||||
@@ -23,6 +24,13 @@ from easy_tdx.backtest.strategy import Strategy
|
||||
from easy_tdx.offline.daily_bar import _detect_security_type, read_daily_bars
|
||||
from easy_tdx.offline.paths import resolve_vipdoc
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
# 单股扫描失败（损坏的 .day、策略抛错等）属于"跳过该股、继续扫"的容错语义，
|
||||
# 但完全静默会让系统性失败（如断网后所有文件读取异常）被吞掉（审计 #6 / 复审 L2）。
|
||||
# 因此：每次失败记录 warning，扫描结束后若失败率超过阈值则记录 summary。
|
||||
_SCAN_FAILURE_RATE_THRESHOLD = 0.5
|
||||
|
||||
# A 股类型白名单
|
||||
_A_STOCK_TYPES = frozenset(
|
||||
{
|
||||
@@ -135,6 +143,9 @@ class SignalScanner:
|
||||
cache = self._load_cache()
|
||||
results: list[ScanResult] = []
|
||||
updated_cache: dict[str, Any] = {}
|
||||
# 单股扫描失败计数（审计 #6 / 复审 L2）：系统性失败（如大量损坏 .day）
|
||||
# 不应被完全静默，循环结束后按失败率发出汇总告警。
|
||||
failures = 0
|
||||
|
||||
for idx, (filepath, market, code) in enumerate(files):
|
||||
if progress_callback:
|
||||
@@ -182,8 +193,14 @@ class SignalScanner:
|
||||
),
|
||||
}
|
||||
except Exception:
|
||||
# 单股失败属"跳过继续"容错语义，但记录 warning 以暴露系统性
|
||||
# 失败（如损坏 .day / 策略 bug），不再完全静默（审计 #6 / 复审 L2）。
|
||||
failures += 1
|
||||
logger.warning("扫描 %s (%s) 失败，已跳过", code, filepath.name, exc_info=True)
|
||||
continue
|
||||
|
||||
self._scan_failure_summary(failures, total)
|
||||
|
||||
self._save_cache(updated_cache)
|
||||
|
||||
if progress_callback:
|
||||
@@ -198,46 +215,137 @@ class SignalScanner:
|
||||
workers: int,
|
||||
progress_callback: Any,
|
||||
) -> list[ScanResult]:
|
||||
"""并发扫描（ProcessPoolExecutor）。"""
|
||||
"""并发扫描（ProcessPoolExecutor）。
|
||||
|
||||
与串行路径一致地接入 mtime 增量缓存（审计 #15）：派发任务前先按 mtime
|
||||
跳过未变文件、复用缓存结果，仅对变化的文件派发到进程池；子进程结果
|
||||
返回后由主进程统一写缓存，避免每次 --workers 全量重算 5000 只。
|
||||
"""
|
||||
import concurrent.futures
|
||||
|
||||
# 策略类不可跨进程 pickle（动态 importlib 加载的类子进程无法解析），
|
||||
# 改为传递策略文件路径，子进程自行加载
|
||||
strategy_file = _get_strategy_file(self._strategy_cls)
|
||||
|
||||
# 构建参数：每个任务需要的独立数据（全部为可 pickle 的基础类型）
|
||||
tasks = [
|
||||
(str(filepath), market, code, strategy_file, self._cash, self._commission)
|
||||
for filepath, market, code in files
|
||||
]
|
||||
|
||||
cache = self._load_cache()
|
||||
updated_cache: dict[str, Any] = {}
|
||||
results: list[ScanResult] = []
|
||||
completed = 0
|
||||
# 单股扫描失败计数（审计 #6 / 复审 L2）：与串行路径一致。
|
||||
failures = 0
|
||||
|
||||
with concurrent.futures.ProcessPoolExecutor(max_workers=workers) as executor:
|
||||
future_to_idx = {
|
||||
executor.submit(_scan_one_file, *task): i for i, task in enumerate(tasks)
|
||||
}
|
||||
|
||||
for future in concurrent.futures.as_completed(future_to_idx):
|
||||
# 第一遍：命中缓存的文件直接复用，未命中的收集为待扫描任务
|
||||
pending: list[tuple[int, tuple[Path, str, str], float]] = []
|
||||
for idx, (filepath, market, code) in enumerate(files):
|
||||
cache_key = str(filepath)
|
||||
try:
|
||||
mtime = filepath.stat().st_mtime
|
||||
except OSError:
|
||||
completed += 1
|
||||
idx = future_to_idx[future]
|
||||
|
||||
if progress_callback:
|
||||
progress_callback(completed, total, files[idx][0].name)
|
||||
progress_callback(completed, total, filepath.name)
|
||||
continue
|
||||
|
||||
try:
|
||||
result = future.result()
|
||||
if result is not None:
|
||||
results.append(result)
|
||||
except Exception:
|
||||
continue
|
||||
cached = cache.get(cache_key)
|
||||
if cached is not None and cached.get("mtime") == mtime:
|
||||
result_data = cached.get("result")
|
||||
if result_data is not None:
|
||||
results.append(
|
||||
ScanResult(
|
||||
code=result_data["code"],
|
||||
market=result_data["market"],
|
||||
signal_date=result_data["signal_date"],
|
||||
last_close=result_data["last_close"],
|
||||
)
|
||||
)
|
||||
updated_cache[cache_key] = cached
|
||||
completed += 1
|
||||
if progress_callback:
|
||||
progress_callback(completed, total, filepath.name)
|
||||
else:
|
||||
pending.append((idx, (filepath, market, code), mtime))
|
||||
|
||||
# 第二遍：仅对变化的文件派发到进程池
|
||||
tasks = [
|
||||
(str(filepath), market, code, strategy_file, self._cash, self._commission)
|
||||
for _, (filepath, market, code), _ in pending
|
||||
]
|
||||
|
||||
if tasks:
|
||||
with concurrent.futures.ProcessPoolExecutor(max_workers=workers) as executor:
|
||||
future_to_pending = {
|
||||
executor.submit(_scan_one_file, *task): pend
|
||||
for task, pend in zip(tasks, pending)
|
||||
}
|
||||
|
||||
for future in concurrent.futures.as_completed(future_to_pending):
|
||||
idx, (filepath, market, code), mtime = future_to_pending[future]
|
||||
completed += 1
|
||||
|
||||
if progress_callback:
|
||||
progress_callback(completed, total, filepath.name)
|
||||
|
||||
try:
|
||||
result = future.result()
|
||||
if result is not None:
|
||||
results.append(result)
|
||||
# 子进程结果回写缓存（主进程统一写，保证一致性）
|
||||
updated_cache[str(filepath)] = {
|
||||
"mtime": mtime,
|
||||
"result": (
|
||||
{
|
||||
"code": result.code,
|
||||
"market": result.market,
|
||||
"signal_date": result.signal_date,
|
||||
"last_close": result.last_close,
|
||||
}
|
||||
if result is not None
|
||||
else None
|
||||
),
|
||||
}
|
||||
except Exception:
|
||||
# 子进程异常（损坏 .day / 策略 bug）不再完全静默，
|
||||
# 记录 warning 并计数，循环结束后按失败率汇总告警
|
||||
# （审计 #6 / 复审 L2）。
|
||||
failures += 1
|
||||
logger.warning(
|
||||
"扫描 %s (%s) 失败，已跳过",
|
||||
code,
|
||||
filepath.name,
|
||||
exc_info=True,
|
||||
)
|
||||
continue
|
||||
|
||||
self._scan_failure_summary(failures, total)
|
||||
|
||||
self._save_cache(updated_cache)
|
||||
|
||||
if progress_callback:
|
||||
progress_callback(total, total, "done")
|
||||
|
||||
return results
|
||||
|
||||
@staticmethod
|
||||
def _scan_failure_summary(failures: int, total: int) -> None:
|
||||
"""扫描结束后按失败率发出汇总告警（审计 #6 / 复审 L2）。
|
||||
|
||||
单股失败本身是"跳过继续"的容错语义，不中断整批扫描；但当失败比例
|
||||
超过阈值（如一半文件损坏/读取异常）时，几乎可以肯定是系统性问题
|
||||
（目录配置错误、磁盘故障、策略 bug），此时发出一条醒目的 warning，
|
||||
避免用户得到一份"空结果"却以为"没有信号"。
|
||||
"""
|
||||
if failures <= 0 or total <= 0:
|
||||
return
|
||||
rate = failures / total
|
||||
if rate >= _SCAN_FAILURE_RATE_THRESHOLD:
|
||||
logger.warning(
|
||||
"扫描完成但失败率过高：%d/%d (%.0f%%) 的文件扫描失败，"
|
||||
"请检查 .day 文件完整性或策略实现",
|
||||
failures,
|
||||
total,
|
||||
rate * 100,
|
||||
)
|
||||
|
||||
def _collect_files(self, universe: str) -> list[tuple[Path, str, str]]:
|
||||
"""收集需要扫描的 .day 文件列表。
|
||||
|
||||
@@ -367,6 +475,9 @@ class SignalScanner:
|
||||
commission=self._commission,
|
||||
)
|
||||
except Exception:
|
||||
# 单股策略计算失败视为"无信号"并跳过；debug 记录以便排查策略 bug，
|
||||
# 不升级为 warning 以免在 5000 只批量扫描时刷屏（审计 #6 / 复审 L2）。
|
||||
logger.debug("策略计算异常 %s，视为无信号", code, exc_info=True)
|
||||
return None
|
||||
|
||||
# 检查最后一根 bar 是否有买入信号
|
||||
@@ -495,6 +606,9 @@ def _scan_one_file(
|
||||
commission=commission,
|
||||
)
|
||||
except Exception:
|
||||
# 单股策略计算失败视为"无信号"并跳过；debug 记录以便排查策略 bug
|
||||
# （审计 #6 / 复审 L2）。
|
||||
logger.debug("策略计算异常 %s，视为无信号", code, exc_info=True)
|
||||
return None
|
||||
|
||||
if not factor_signals.buy_mask[-1]:
|
||||
|
||||
@@ -250,6 +250,15 @@ class UnifiedTdxClient:
|
||||
start: int = 0,
|
||||
count: int = 600,
|
||||
) -> pd.DataFrame:
|
||||
""".. deprecated:: 1.16.2
|
||||
与 :meth:`goods_list` 完全相同（历史遗留的重复代理方法）。
|
||||
请改用 :meth:`goods_list`（与底层 ``MacExClient`` 命名一致）。
|
||||
"""
|
||||
import warnings
|
||||
|
||||
warnings.warn(
|
||||
"get_goods_list 是重复方法，请改用 goods_list", DeprecationWarning, stacklevel=2
|
||||
)
|
||||
return self._ensure_mac_ex().goods_list(market, start, count)
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
@@ -559,6 +568,15 @@ class AsyncUnifiedTdxClient:
|
||||
start: int = 0,
|
||||
count: int = 600,
|
||||
) -> pd.DataFrame:
|
||||
""".. deprecated:: 1.16.2
|
||||
与 :meth:`goods_list` 完全相同（历史遗留的重复代理方法）。
|
||||
请改用 :meth:`goods_list`（与底层 ``MacExClient`` 命名一致）。
|
||||
"""
|
||||
import warnings
|
||||
|
||||
warnings.warn(
|
||||
"get_goods_list 是重复方法，请改用 goods_list", DeprecationWarning, stacklevel=2
|
||||
)
|
||||
ex = await self._ensure_mac_ex()
|
||||
return await ex.goods_list(market, start, count)
|
||||
|
||||
|
||||
@@ -435,13 +435,19 @@ def test_stop_loss_triggers_sell():
|
||||
|
||||
|
||||
def test_take_profit_triggers_sell():
|
||||
"""Test take-profit triggers auto SELL when price rises above target."""
|
||||
"""Test take-profit triggers auto SELL when price rises above target.
|
||||
|
||||
注意（审计 #4）：止盈信号延迟到下一根开盘成交（消除前视偏差）。
|
||||
当下一根开盘价低于触发价时（跳空回落），SELL 取更不利的实际开盘价。
|
||||
"""
|
||||
df = _make_flat_df(n=30)
|
||||
# Bar 12 rises above take_profit=110.0
|
||||
df.loc[12, "high"] = 112.0
|
||||
df.loc[12, "low"] = 108.0
|
||||
df.loc[12, "close"] = 111.0
|
||||
df.loc[12, "open"] = 109.0
|
||||
# Bar 13 开盘回落到 100（跳空），止盈延迟成交应取更不利的 100 而非触发价 110
|
||||
df.loc[13, "open"] = 100.0
|
||||
|
||||
engine = BacktestEngine(TakeProfitStrategy, cash=100000)
|
||||
result = engine.run(df)
|
||||
@@ -451,8 +457,36 @@ def test_take_profit_triggers_sell():
|
||||
|
||||
# Should have at least one SELL triggered by take-profit
|
||||
assert len(sell_trades) >= 1, "Expected take-profit sell"
|
||||
# Sell price should be at take_profit price (110.0)
|
||||
assert sell_trades.iloc[0]["price"] == 110.0
|
||||
# 延迟到下一根（bar 13）开盘成交，跳空回落取更不利的实际价 100（非触发价 110）
|
||||
assert sell_trades.iloc[0]["price"] == 100.0
|
||||
|
||||
|
||||
def test_stop_loss_gap_down_fills_at_worse_price():
|
||||
"""SL 信号延迟到下一根开盘成交；若跳空下跌，取更不利的开盘价（审计 #4）。
|
||||
|
||||
构造当根触及止损、但下一根开盘远低于止损价的跳空场景，
|
||||
断言实际成交价取更不利的开盘价，回测净值低于"触发价成交"基线。
|
||||
"""
|
||||
df = _make_flat_df(n=30)
|
||||
# Bar 12 触及 stop_loss=95（low=93）
|
||||
df.loc[12, "low"] = 93.0
|
||||
df.loc[12, "high"] = 96.0
|
||||
df.loc[12, "close"] = 94.0
|
||||
df.loc[12, "open"] = 97.0
|
||||
# Bar 13 跳空低开到 90（远低于止损价 95），应取 90 而非 95
|
||||
df.loc[13, "open"] = 90.0
|
||||
df.loc[13, "low"] = 89.0
|
||||
df.loc[13, "high"] = 91.0
|
||||
df.loc[13, "close"] = 90.5
|
||||
|
||||
engine = BacktestEngine(StopLossStrategy, cash=100000)
|
||||
result = engine.run(df)
|
||||
|
||||
trades = result.trades[~result.trades["rejected"]]
|
||||
sell_trades = trades[trades["direction"] == "SELL"]
|
||||
assert len(sell_trades) >= 1, "Expected stop-loss sell"
|
||||
# 跳空下跌：SELL 取 min(next_open=90, trigger=95) = 90（更不利）
|
||||
assert sell_trades.iloc[0]["price"] == 90.0
|
||||
|
||||
|
||||
def test_stop_loss_not_triggered_when_price_stays_above():
|
||||
|
||||
@@ -430,3 +430,80 @@ def test_calmar() -> None:
|
||||
# 卡玛比率 = annual_return / max_drawdown
|
||||
# 由于 max_drawdown 很小，calmar 会很大
|
||||
assert metrics["calmar"] > 0
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# 除零边界回归（审计复审 N2 / 首轮 #11）
|
||||
#
|
||||
# performance.py 在计算日收益率时对 total[:-1]==0 的位置做了 safe_prev 守卫
|
||||
# （记为 NaN 后 np.isfinite 过滤），并对 total[0]==0 的总收益率做了 0.0 兜底。
|
||||
# 若有人不慎改回旧的 np.diff(total)/total[:-1]，这些测试应当红灯。
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def _metrics_from_total(values: list[float]) -> dict[str, float]:
|
||||
"""从一组 total 值构造最小资金曲线并计算指标。"""
|
||||
total = np.array(values, dtype=float)
|
||||
peak = np.maximum.accumulate(total)
|
||||
# 与生产回测一致：drawdown = peak - total；drawdown_pct = drawdown / peak
|
||||
drawdown = peak - total
|
||||
drawdown_pct = np.divide(drawdown, peak, out=np.zeros_like(drawdown), where=(peak != 0))
|
||||
equity = pd.DataFrame(
|
||||
{
|
||||
"datetime": np.arange(len(total)),
|
||||
"total": total,
|
||||
"drawdown": drawdown,
|
||||
"drawdown_pct": drawdown_pct,
|
||||
}
|
||||
)
|
||||
return PerformanceAnalyzer(equity, _make_trades()).compute()
|
||||
|
||||
|
||||
def test_metrics_handles_zero_intermediate_equity() -> None:
|
||||
"""中间净值出现 0 时，日收益率除零不抛异常、返回有限值（审计复审 N2）。
|
||||
|
||||
total=[100, 0, 105, 0, 110]：第 1、3 根前值为 0，旧实现 diff/total[:-1]
|
||||
会得到 inf，进而污染均值/方差计算或触发 RuntimeWarning。修复后这些位置
|
||||
被 safe_prev 记为 NaN 并由 isfinite 过滤。
|
||||
"""
|
||||
metrics = _metrics_from_total([100, 0, 105, 0, 110])
|
||||
|
||||
# 所有数值型指标必须有限（非 inf、非 NaN）
|
||||
finite_keys = {
|
||||
"total_return",
|
||||
"annual_return",
|
||||
"max_drawdown",
|
||||
"sharpe",
|
||||
"sortino",
|
||||
"calmar",
|
||||
"volatility",
|
||||
"win_rate",
|
||||
"profit_factor",
|
||||
}
|
||||
for key in finite_keys:
|
||||
val = metrics[key]
|
||||
assert np.isfinite(val), f"{key} 不是有限值: {val}"
|
||||
|
||||
|
||||
def test_metrics_handles_zero_first_equity() -> None:
|
||||
"""首根净值为 0 时 total_return 兜底为 0.0 而非除零（审计复审 N2）。
|
||||
|
||||
total[0]==0 时 (total[-1]/total[0]) - 1 会除零；修复后直接记 0.0。
|
||||
"""
|
||||
metrics = _metrics_from_total([0, 100, 105, 110, 115])
|
||||
|
||||
# total_return 走 total[0]==0 分支，应为有限值
|
||||
assert np.isfinite(metrics["total_return"]), f"total_return 非有限值: {metrics['total_return']}"
|
||||
# 不抛异常即说明 max_drawdown 等也未受影响
|
||||
assert np.isfinite(metrics["max_drawdown"])
|
||||
|
||||
|
||||
def test_metrics_all_zero_equity_does_not_raise() -> None:
|
||||
"""全 0 资金曲线不应产生 inf/nan，也不应抛异常（审计复审 N2 极端场景）。"""
|
||||
# total 全 0 → safe_prev 全 NaN → daily_ret 过滤后为空 → 走 _empty_metrics
|
||||
metrics = _metrics_from_total([0, 0, 0, 0, 0])
|
||||
|
||||
# 全 0 资金曲线收益率数据不足，应安全返回有限值（多数为 0）
|
||||
assert np.isfinite(metrics["total_return"])
|
||||
assert np.isfinite(metrics["max_drawdown"])
|
||||
assert np.isfinite(metrics["sharpe"])
|
||||
|
||||
@@ -0,0 +1,158 @@
|
||||
"""TdxClient._execute 的指数退避重连测试（sync + async）。
|
||||
|
||||
之前 _execute 的 4 次 _RETRY_DELAYS 退避重连路径零测试（审计报告 #9），
|
||||
仅 async 有 transport 层的真实重连测试，未覆盖 _execute 自身的退避循环。
|
||||
本文件 mock _conn.execute 让前 N 次抛 TdxConnectionError、第 N+1 次成功，
|
||||
并 patch time.sleep / asyncio.sleep 验证退避序列。
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
from unittest.mock import MagicMock, patch
|
||||
|
||||
import pytest
|
||||
|
||||
from easy_tdx.client import _RETRY_DELAYS, AsyncTdxClient, TdxClient
|
||||
from easy_tdx.commands.security_count import GetSecurityCountCmd
|
||||
from easy_tdx.exceptions import TdxConnectionError
|
||||
from easy_tdx.models.enums import Market
|
||||
|
||||
# --------------------------------------------------------------------------- #
|
||||
# 同步 _execute 重连
|
||||
# --------------------------------------------------------------------------- #
|
||||
|
||||
|
||||
class TestSyncExecuteReconnect:
|
||||
def test_reconnect_succeeds_on_second_attempt(self) -> None:
|
||||
"""首次抛 TdxConnectionError，重连后第 1 次重试成功。"""
|
||||
with patch("easy_tdx.client.TdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
# execute 首次抛错，重连后（第1次重试）成功
|
||||
mock_conn.execute.side_effect = [
|
||||
TdxConnectionError("disconnected"),
|
||||
1000, # 重连后成功
|
||||
]
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = TdxClient("1.1.1.1", 7709, 1.0, auto_reconnect=True, heartbeat_interval=0)
|
||||
with patch("easy_tdx.client.time.sleep"): # 跳过真实 sleep
|
||||
result = client._execute(GetSecurityCountCmd(Market.SH))
|
||||
assert result == 1000
|
||||
# 应重连了 1 次（首次失败 + 1 次重试成功）
|
||||
assert mock_conn.close.call_count == 1
|
||||
|
||||
def test_all_retries_exhausted_raises_last(self) -> None:
|
||||
"""4 次重试全部失败，应抛出最后一个异常。"""
|
||||
with patch("easy_tdx.client.TdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
# 首次 + 4 次重试全部失败
|
||||
mock_conn.execute.side_effect = TdxConnectionError("always down")
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = TdxClient("1.1.1.1", 7709, 1.0, auto_reconnect=True, heartbeat_interval=0)
|
||||
with patch("easy_tdx.client.time.sleep") as mock_sleep:
|
||||
with pytest.raises(TdxConnectionError):
|
||||
client._execute(GetSecurityCountCmd(Market.SH))
|
||||
# 应 sleep 了 4 次（_RETRY_DELAYS 长度）
|
||||
assert mock_sleep.call_count == len(_RETRY_DELAYS)
|
||||
|
||||
def test_no_reconnect_when_disabled(self) -> None:
|
||||
"""auto_reconnect=False 时首次失败立即抛出，不重试。"""
|
||||
with patch("easy_tdx.client.TdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = TdxConnectionError("down")
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = TdxClient("1.1.1.1", 7709, 1.0, auto_reconnect=False, heartbeat_interval=0)
|
||||
with patch("easy_tdx.client.time.sleep") as mock_sleep:
|
||||
with pytest.raises(TdxConnectionError):
|
||||
client._execute(GetSecurityCountCmd(Market.SH))
|
||||
# 禁用重连时不应 sleep
|
||||
mock_sleep.assert_not_called()
|
||||
|
||||
def test_retry_uses_exponential_backoff_delays(self) -> None:
|
||||
"""验证 sleep 调用的延迟序列与 _RETRY_DELAYS 一致。"""
|
||||
with patch("easy_tdx.client.TdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = TdxConnectionError("down")
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = TdxClient("1.1.1.1", 7709, 1.0, auto_reconnect=True, heartbeat_interval=0)
|
||||
with patch("easy_tdx.client.time.sleep") as mock_sleep:
|
||||
with pytest.raises(TdxConnectionError):
|
||||
client._execute(GetSecurityCountCmd(Market.SH))
|
||||
actual_delays = [call.args[0] for call in mock_sleep.call_args_list]
|
||||
assert tuple(actual_delays) == _RETRY_DELAYS
|
||||
|
||||
|
||||
# --------------------------------------------------------------------------- #
|
||||
# 异步 _execute 重连
|
||||
# --------------------------------------------------------------------------- #
|
||||
|
||||
|
||||
class TestAsyncExecuteReconnect:
|
||||
def test_async_reconnect_succeeds_on_second_attempt(self) -> None:
|
||||
async def main() -> int:
|
||||
with patch("easy_tdx.client.AsyncTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
call_count = [0]
|
||||
|
||||
async def _execute(cmd: object) -> int:
|
||||
call_count[0] += 1
|
||||
if call_count[0] == 1:
|
||||
raise TdxConnectionError("down")
|
||||
return 2000
|
||||
|
||||
async def _noop() -> None:
|
||||
return None
|
||||
|
||||
mock_conn.execute = _execute
|
||||
mock_conn.close = _noop
|
||||
mock_conn.connect = _noop
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = AsyncTdxClient(
|
||||
"1.1.1.1", 7709, 1.0, auto_reconnect=True, heartbeat_interval=0
|
||||
)
|
||||
with patch("easy_tdx.client.asyncio.sleep", new=AsyncMockSleep()):
|
||||
result = await client._execute(GetSecurityCountCmd(Market.SH))
|
||||
return result
|
||||
|
||||
assert asyncio.run(main()) == 2000
|
||||
|
||||
def test_async_all_retries_exhausted(self) -> None:
|
||||
async def main() -> None:
|
||||
with patch("easy_tdx.client.AsyncTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
|
||||
async def _execute(cmd: object) -> int:
|
||||
raise TdxConnectionError("always down")
|
||||
|
||||
async def _noop() -> None:
|
||||
return None
|
||||
|
||||
mock_conn.execute = _execute
|
||||
mock_conn.close = _noop
|
||||
mock_conn.connect = _noop
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = AsyncTdxClient(
|
||||
"1.1.1.1", 7709, 1.0, auto_reconnect=True, heartbeat_interval=0
|
||||
)
|
||||
with patch("easy_tdx.client.asyncio.sleep", new=AsyncMockSleep()) as mock_sleep:
|
||||
with pytest.raises(TdxConnectionError):
|
||||
await client._execute(GetSecurityCountCmd(Market.SH))
|
||||
assert mock_sleep.call_count == len(_RETRY_DELAYS)
|
||||
|
||||
asyncio.run(main())
|
||||
|
||||
|
||||
class AsyncMockSleep:
|
||||
"""轻量 async sleep 替身，记录调用次数但不真实等待。"""
|
||||
|
||||
def __init__(self) -> None:
|
||||
self.call_count = 0
|
||||
|
||||
async def __call__(self, delay: float) -> None:
|
||||
self.call_count += 1
|
||||
@@ -0,0 +1,126 @@
|
||||
"""codec/bitmap.py 单元测试 —— MAC 协议字段位图编解码。
|
||||
|
||||
之前 bitmap.py（~490 行）零测试（审计报告 #9）。本文件覆盖：
|
||||
FieldBit 字段属性、PresetField 组合、FieldSelection 去重、
|
||||
build_bitmap 20 字节输出、get_active_fields 往返解析。
|
||||
|
||||
风格参照 test_codec_frame.py：纯函数式、无 mock、struct 构造输入。
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from easy_tdx.codec.bitmap import (
|
||||
FieldBit,
|
||||
FieldSelection,
|
||||
PresetField,
|
||||
build_bitmap,
|
||||
build_exclude_flags,
|
||||
get_active_fields,
|
||||
normalize_fields,
|
||||
)
|
||||
|
||||
|
||||
class TestFieldBit:
|
||||
def test_field_name_is_lower(self) -> None:
|
||||
assert FieldBit.PRE_CLOSE.field_name == "pre_close"
|
||||
assert FieldBit.OPEN.field_name == "open"
|
||||
|
||||
def test_fmt_and_desc_attached(self) -> None:
|
||||
assert FieldBit.OPEN.fmt == "<f"
|
||||
assert FieldBit.OPEN.desc == "开盘价"
|
||||
assert FieldBit.VOL.fmt == "<I"
|
||||
|
||||
def test_value_is_bit_position(self) -> None:
|
||||
assert FieldBit.PRE_CLOSE == 0x00
|
||||
assert FieldBit.OPEN == 0x01
|
||||
|
||||
|
||||
class TestPresetField:
|
||||
def test_ohlc_contains_four_fields(self) -> None:
|
||||
names = {f.name for f in PresetField.OHLC.value}
|
||||
assert names == {"OPEN", "HIGH", "LOW", "CLOSE"}
|
||||
|
||||
def test_chain_plus_combines(self) -> None:
|
||||
combined = PresetField.OHLC + FieldBit.VOL
|
||||
sel = normalize_fields(combined)
|
||||
bits = {b for b in sel}
|
||||
assert FieldBit.VOL in bits
|
||||
assert FieldBit.OPEN in bits
|
||||
|
||||
def test_chain_or_combines(self) -> None:
|
||||
combined = PresetField.OHLC | PresetField.VOLUME
|
||||
sel = normalize_fields(combined)
|
||||
bits = {b for b in sel}
|
||||
assert FieldBit.VOL in bits
|
||||
assert FieldBit.AMOUNT in bits
|
||||
|
||||
|
||||
class TestFieldSelection:
|
||||
def test_dedup_preserves_order(self) -> None:
|
||||
sel = FieldSelection(FieldBit.OPEN, FieldBit.OPEN, FieldBit.HIGH)
|
||||
bits = list(sel)
|
||||
assert bits == [FieldBit.OPEN, FieldBit.HIGH]
|
||||
|
||||
def test_empty_selection(self) -> None:
|
||||
assert list(FieldSelection()) == []
|
||||
|
||||
|
||||
class TestBuildBitmap:
|
||||
def test_single_field_sets_correct_bit(self) -> None:
|
||||
# FieldBit.OPEN == 0x01，bit 1 应被置位
|
||||
ba = build_bitmap(FieldBit.OPEN)
|
||||
assert len(ba) == 20
|
||||
assert ba[0] == 0b0000_0010 # bit 1
|
||||
# 控制区 4 字节默认 0
|
||||
assert bytes(ba[16:20]) == b"\x00\x00\x00\x00"
|
||||
|
||||
def test_multiple_fields_or(self) -> None:
|
||||
ba = build_bitmap(PresetField.OHLC)
|
||||
assert len(ba) == 20
|
||||
# OPEN(1)+HIGH(2)+LOW(3)+CLOSE(4) → bit 1,2,3,4 → 0b11110 = 30
|
||||
assert ba[0] == 0b0001_1110
|
||||
|
||||
def test_exclude_flags_appended(self) -> None:
|
||||
ba = build_bitmap(FieldBit.OPEN, exclude_flags=0x1234)
|
||||
assert len(ba) == 20
|
||||
assert bytes(ba[16:20]) == b"\x34\x12\x00\x00"
|
||||
|
||||
def test_debug_preset_all_ff(self) -> None:
|
||||
ba = build_bitmap(PresetField.DEBUG)
|
||||
assert ba == bytearray(b"\xff" * 20)
|
||||
|
||||
|
||||
class TestGetActiveFields:
|
||||
def test_roundtrip(self) -> None:
|
||||
original = PresetField.OHLC
|
||||
ba = build_bitmap(original)
|
||||
active = get_active_fields(bytes(ba[:16]))
|
||||
active_names = {f.name for f, _ in active}
|
||||
assert active_names == {"OPEN", "HIGH", "LOW", "CLOSE"}
|
||||
|
||||
def test_empty_bitmap(self) -> None:
|
||||
active = get_active_fields(b"\x00" * 16)
|
||||
assert active == []
|
||||
|
||||
def test_fmt_returned(self) -> None:
|
||||
ba = build_bitmap(FieldBit.VOL)
|
||||
active = get_active_fields(bytes(ba[:16]))
|
||||
assert len(active) == 1
|
||||
field, fmt = active[0]
|
||||
assert field == FieldBit.VOL
|
||||
assert fmt == "<I"
|
||||
|
||||
def test_sorted_by_bit_position(self) -> None:
|
||||
# 故意逆序传入
|
||||
ba = build_bitmap([FieldBit.CLOSE, FieldBit.OPEN, FieldBit.HIGH])
|
||||
active = get_active_fields(bytes(ba[:16]))
|
||||
positions = [f.value for f, _ in active]
|
||||
assert positions == sorted(positions)
|
||||
|
||||
|
||||
class TestBuildExcludeFlags:
|
||||
def test_zero(self) -> None:
|
||||
assert build_exclude_flags(0) == b"\x00\x00\x00\x00"
|
||||
|
||||
def test_value(self) -> None:
|
||||
assert build_exclude_flags(0xFF) == b"\xff\x00\x00\x00"
|
||||
@@ -0,0 +1,128 @@
|
||||
"""config.py 单元测试 —— 覆盖环境变量覆盖、config.json 原子读写、save_best_host 补全逻辑。
|
||||
|
||||
之前这三块（env 覆盖 / config.json 读写 / save_best_host 合并）零测试，
|
||||
本文件补齐该缺口（审计报告 #9）。
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
from pathlib import Path
|
||||
|
||||
import pytest
|
||||
|
||||
from easy_tdx import config as cfg
|
||||
|
||||
# --------------------------------------------------------------------------- #
|
||||
# 辅助：把 config 模块的 _CONFIG_FILE / _CONFIG_DIR 重定向到临时目录
|
||||
# --------------------------------------------------------------------------- #
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
def isolated_config(tmp_path: Path, monkeypatch: pytest.MonkeyPatch) -> Path:
|
||||
"""把 config 模块的重定向到 tmp_path，测试间互不影响。"""
|
||||
monkeypatch.setattr(cfg, "_CONFIG_DIR", tmp_path)
|
||||
monkeypatch.setattr(cfg, "_CONFIG_FILE", tmp_path / "config.json")
|
||||
return tmp_path
|
||||
|
||||
|
||||
# --------------------------------------------------------------------------- #
|
||||
# 环境变量覆盖（EASY_TDX_HOST / PORT / TIMEOUT）
|
||||
# --------------------------------------------------------------------------- #
|
||||
|
||||
|
||||
class TestEnvOverride:
|
||||
def test_env_host_overrides_config(
|
||||
self, isolated_config: Path, monkeypatch: pytest.MonkeyPatch
|
||||
) -> None:
|
||||
# config.json 写入一个 host，但 env 应优先
|
||||
(isolated_config / "config.json").write_text(json.dumps({"best_host": "1.1.1.1"}), "utf-8")
|
||||
monkeypatch.setenv("EASY_TDX_HOST", "9.9.9.9")
|
||||
assert cfg.get_best_host() == "9.9.9.9"
|
||||
|
||||
def test_env_port_overrides_config(
|
||||
self, isolated_config: Path, monkeypatch: pytest.MonkeyPatch
|
||||
) -> None:
|
||||
monkeypatch.setenv("EASY_TDX_PORT", "8888")
|
||||
assert cfg.get_port() == 8888
|
||||
|
||||
def test_env_timeout_overrides_config(
|
||||
self, isolated_config: Path, monkeypatch: pytest.MonkeyPatch
|
||||
) -> None:
|
||||
monkeypatch.setenv("EASY_TDX_TIMEOUT", "42.5")
|
||||
assert cfg.get_timeout() == 42.5
|
||||
|
||||
def test_env_known_hosts_csv(
|
||||
self, isolated_config: Path, monkeypatch: pytest.MonkeyPatch
|
||||
) -> None:
|
||||
monkeypatch.setenv("EASY_TDX_KNOWN_HOSTS", "a.com, b.com ,,c.com")
|
||||
assert cfg.get_known_hosts() == ["a.com", "b.com", "c.com"]
|
||||
|
||||
|
||||
# --------------------------------------------------------------------------- #
|
||||
# config.json 读写 + 默认兜底
|
||||
# --------------------------------------------------------------------------- #
|
||||
|
||||
|
||||
class TestConfigReadWrite:
|
||||
def test_no_config_file_uses_fallback(self, isolated_config: Path) -> None:
|
||||
# 无 config.json 时返回内嵌默认值
|
||||
assert cfg.get_best_host() == cfg._FALLBACK_HOSTS[0]
|
||||
assert cfg.get_port() == cfg._FALLBACK_PORT
|
||||
assert cfg.get_known_hosts() == list(cfg._FALLBACK_HOSTS)
|
||||
|
||||
def test_config_json_host(self, isolated_config: Path) -> None:
|
||||
(isolated_config / "config.json").write_text(
|
||||
json.dumps({"best_host": "203.0.0.1", "port": 7709, "timeout": 12.0}),
|
||||
"utf-8",
|
||||
)
|
||||
assert cfg.get_best_host() == "203.0.0.1"
|
||||
assert cfg.get_port() == 7709
|
||||
assert cfg.get_timeout() == 12.0
|
||||
|
||||
def test_load_corrupt_json_returns_empty(self, isolated_config: Path) -> None:
|
||||
# 损坏的 JSON 不应崩溃，应回退到默认
|
||||
(isolated_config / "config.json").write_text("{not valid json", "utf-8")
|
||||
assert cfg.get_best_host() == cfg._FALLBACK_HOSTS[0]
|
||||
|
||||
|
||||
# --------------------------------------------------------------------------- #
|
||||
# save_best_host 首次写入补全逻辑
|
||||
# --------------------------------------------------------------------------- #
|
||||
|
||||
|
||||
class TestSaveBestHost:
|
||||
def test_first_write_completes_defaults(self, isolated_config: Path) -> None:
|
||||
cfg.save_best_host("180.153.18.170")
|
||||
data = json.loads((isolated_config / "config.json").read_text("utf-8"))
|
||||
assert data["best_host"] == "180.153.18.170"
|
||||
# 首次写入应补全所有默认字段
|
||||
assert data["known_hosts"] == list(cfg._FALLBACK_HOSTS)
|
||||
assert data["calc_hosts"] == list(cfg._FALLBACK_CALC_HOSTS)
|
||||
assert data["mac_hosts"] == list(cfg._FALLBACK_MAC_HOSTS)
|
||||
assert data["ex_hosts"] == list(cfg._FALLBACK_EX_HOSTS)
|
||||
assert data["mac_ex_hosts"] == list(cfg._FALLBACK_MAC_EX_HOSTS)
|
||||
assert data["port"] == cfg._FALLBACK_PORT
|
||||
assert "best_host_updated_at" in data
|
||||
|
||||
def test_second_write_preserves_existing(self, isolated_config: Path) -> None:
|
||||
# 预置已存在的 known_hosts，save_best_host 不应覆盖它
|
||||
existing = {
|
||||
"known_hosts": ["custom.host"],
|
||||
"port": 9999,
|
||||
}
|
||||
(isolated_config / "config.json").write_text(json.dumps(existing), "utf-8")
|
||||
cfg.save_best_host("new.host")
|
||||
data = json.loads((isolated_config / "config.json").read_text("utf-8"))
|
||||
assert data["best_host"] == "new.host"
|
||||
# 已有字段应保留，不被默认值覆盖
|
||||
assert data["known_hosts"] == ["custom.host"]
|
||||
assert data["port"] == 9999
|
||||
# 但缺失的字段应补全
|
||||
assert "calc_hosts" in data
|
||||
|
||||
def test_atomic_write(self, isolated_config: Path) -> None:
|
||||
# 写入后不应残留 .tmp 文件（原子替换）
|
||||
cfg.save_best_host("x.host")
|
||||
assert not (isolated_config / "config.json.tmp").exists()
|
||||
assert (isolated_config / "config.json").exists()
|
||||
@@ -0,0 +1,193 @@
|
||||
"""扩展行情 client 的指数退避重连测试（审计 #2）。
|
||||
|
||||
之前 ex 家族（ExTdxClient/MacExClient/AsyncExTdxClient/AsyncMacExClient）的 _execute
|
||||
只重连 1 次无退避，与 A 股/MAC 的 4 次退避不一致。本测试验证统一后的退避行为，
|
||||
并确认 MacExClient 重连后会重新 _login()。
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
from unittest.mock import AsyncMock, MagicMock, patch
|
||||
|
||||
import pytest
|
||||
|
||||
from easy_tdx._reconnect import _RETRY_DELAYS
|
||||
from easy_tdx.ex.client import AsyncExTdxClient, ExTdxClient
|
||||
from easy_tdx.ex.commands.get_markets import GetExMarketsCmd
|
||||
from easy_tdx.ex.mac_client import AsyncMacExClient, MacExClient
|
||||
from easy_tdx.exceptions import TdxConnectionError
|
||||
|
||||
|
||||
class TestExTdxClientReconnect:
|
||||
def test_reconnect_succeeds_on_second_attempt(self) -> None:
|
||||
"""首次抛 TdxConnectionError，重连后第 1 次重试成功。"""
|
||||
with patch("easy_tdx.ex.client.ExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = [TdxConnectionError("down"), ["market"]]
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = ExTdxClient("1.1.1.1", auto_reconnect=True)
|
||||
with patch("easy_tdx.ex.client.time.sleep"):
|
||||
result = client._execute(GetExMarketsCmd())
|
||||
assert result == ["market"]
|
||||
assert mock_conn.close.call_count == 1 # 重连了 1 次
|
||||
|
||||
def test_all_retries_exhausted_raises_last(self) -> None:
|
||||
"""4 次重试全部失败，应抛出异常，且 sleep 4 次。"""
|
||||
with patch("easy_tdx.ex.client.ExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = TdxConnectionError("always down")
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = ExTdxClient("1.1.1.1", auto_reconnect=True)
|
||||
with patch("easy_tdx.ex.client.time.sleep") as mock_sleep:
|
||||
with pytest.raises(TdxConnectionError):
|
||||
client._execute(GetExMarketsCmd())
|
||||
assert mock_sleep.call_count == len(_RETRY_DELAYS)
|
||||
|
||||
def test_no_reconnect_when_disabled(self) -> None:
|
||||
with patch("easy_tdx.ex.client.ExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = TdxConnectionError("down")
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = ExTdxClient("1.1.1.1", auto_reconnect=False)
|
||||
with patch("easy_tdx.ex.client.time.sleep") as mock_sleep:
|
||||
with pytest.raises(TdxConnectionError):
|
||||
client._execute(GetExMarketsCmd())
|
||||
mock_sleep.assert_not_called()
|
||||
|
||||
|
||||
class TestMacExClientReconnect:
|
||||
def test_reconnect_relogs_in(self) -> None:
|
||||
"""MacExClient 每次重连后必须重新 _login()（MAC 协议特有）。"""
|
||||
with patch("easy_tdx.ex.mac_client.ExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = [TdxConnectionError("down"), ["market"]]
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = MacExClient("1.1.1.1", auto_reconnect=True)
|
||||
with (
|
||||
patch("easy_tdx.ex.mac_client.time.sleep"),
|
||||
patch.object(client, "_login") as mock_login,
|
||||
):
|
||||
result = client._execute(GetExMarketsCmd())
|
||||
assert result == ["market"]
|
||||
# 重连 1 次应触发 1 次 _login
|
||||
assert mock_login.call_count == 1
|
||||
|
||||
def test_all_retries_relogin_each_time(self) -> None:
|
||||
"""4 次重试全失败时，每次重连都应 _login()（共 4 次）。"""
|
||||
with patch("easy_tdx.ex.mac_client.ExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = TdxConnectionError("always down")
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = MacExClient("1.1.1.1", auto_reconnect=True)
|
||||
with (
|
||||
patch("easy_tdx.ex.mac_client.time.sleep"),
|
||||
patch.object(client, "_login") as mock_login,
|
||||
):
|
||||
with pytest.raises(TdxConnectionError):
|
||||
client._execute(GetExMarketsCmd())
|
||||
assert mock_login.call_count == len(_RETRY_DELAYS)
|
||||
|
||||
|
||||
class TestAsyncExTdxClientReconnect:
|
||||
def test_async_all_retries_exhausted(self) -> None:
|
||||
async def main() -> None:
|
||||
with patch("easy_tdx.ex.client.AsyncExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
|
||||
async def _execute(cmd: object) -> list[str]:
|
||||
raise TdxConnectionError("always down")
|
||||
|
||||
mock_conn.execute = _execute
|
||||
|
||||
async def _noop() -> None:
|
||||
return None
|
||||
|
||||
mock_conn.close = _noop
|
||||
mock_conn.connect = _noop
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = AsyncExTdxClient("1.1.1.1", auto_reconnect=True, heartbeat_interval=0)
|
||||
with patch("easy_tdx.ex.client.asyncio.sleep") as mock_sleep:
|
||||
with pytest.raises(TdxConnectionError):
|
||||
await client._execute(GetExMarketsCmd())
|
||||
assert mock_sleep.call_count == len(_RETRY_DELAYS)
|
||||
|
||||
asyncio.run(main())
|
||||
|
||||
|
||||
class TestAsyncMacExClientReconnect:
|
||||
def test_async_relogin_each_retry(self) -> None:
|
||||
"""AsyncMacExClient 每次重连后必须重新 _login()（覆盖 async relogin 路径）。"""
|
||||
|
||||
async def main() -> None:
|
||||
with patch("easy_tdx.ex.mac_client.AsyncExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
|
||||
async def _execute(cmd: object) -> list[str]:
|
||||
raise TdxConnectionError("always down")
|
||||
|
||||
mock_conn.execute = _execute
|
||||
|
||||
async def _noop() -> None:
|
||||
return None
|
||||
|
||||
mock_conn.close = _noop
|
||||
mock_conn.connect = _noop
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = AsyncMacExClient("1.1.1.1", auto_reconnect=True, heartbeat_interval=0)
|
||||
with (
|
||||
patch("easy_tdx.ex.mac_client.asyncio.sleep"),
|
||||
patch.object(client, "_login", new_callable=AsyncMock) as mock_login,
|
||||
):
|
||||
with pytest.raises(TdxConnectionError):
|
||||
await client._execute(GetExMarketsCmd())
|
||||
# 4 次重连应触发 4 次 _login
|
||||
assert mock_login.call_count == len(_RETRY_DELAYS)
|
||||
|
||||
asyncio.run(main())
|
||||
|
||||
|
||||
class TestBackoffDelayValues:
|
||||
"""验证退避延迟值序列与 _RETRY_DELAYS 完全一致（防硬编码回归）。"""
|
||||
|
||||
def test_sync_ex_uses_exact_delays(self) -> None:
|
||||
with patch("easy_tdx.ex.client.ExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = TdxConnectionError("down")
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = ExTdxClient("1.1.1.1", auto_reconnect=True)
|
||||
with patch("easy_tdx.ex.client.time.sleep") as mock_sleep:
|
||||
with pytest.raises(TdxConnectionError):
|
||||
client._execute(GetExMarketsCmd())
|
||||
actual = tuple(c.args[0] for c in mock_sleep.call_args_list)
|
||||
assert actual == _RETRY_DELAYS
|
||||
|
||||
|
||||
class TestMacExLoginRetriedOnConnectionError:
|
||||
"""登录握手期抛 TdxConnectionError 应继续重试（验证 _login 纳入 inner try）。"""
|
||||
|
||||
def test_login_conn_error_triggers_full_retry(self) -> None:
|
||||
"""_login 抛 TdxConnectionError 时不应逃逸，应跑完 4 次重试。"""
|
||||
with patch("easy_tdx.ex.mac_client.ExTdxConnection") as mock_conn_cls:
|
||||
mock_conn = MagicMock()
|
||||
mock_conn.execute.side_effect = TdxConnectionError("always down")
|
||||
mock_conn_cls.return_value = mock_conn
|
||||
|
||||
client = MacExClient("1.1.1.1", auto_reconnect=True)
|
||||
# _login 抛 TdxConnectionError（模拟登录握手期连接又断）
|
||||
with (
|
||||
patch("easy_tdx.ex.mac_client.time.sleep") as mock_sleep,
|
||||
patch.object(client, "_login", side_effect=TdxConnectionError("login lost")),
|
||||
):
|
||||
with pytest.raises(TdxConnectionError):
|
||||
client._execute(GetExMarketsCmd())
|
||||
# 关键：_login 异常被纳入重试，4 次都跑了（而非第 1 次就逃逸）
|
||||
assert mock_sleep.call_count == len(_RETRY_DELAYS)
|
||||
@@ -0,0 +1,137 @@
|
||||
"""公共 API 导出完整性测试 —— 防止 __all__ 与实际导出漂移（审计 #13）。
|
||||
|
||||
确保 easy_tdx.__all__ 中每个名字都能从顶层包成功导入，
|
||||
且文档中描述的模型（FundFlow/MarketStat 等）确实可访问。
|
||||
|
||||
复审补充（L3）：进一步断言导出对象的**类型**，避免类名被意外绑成模块、
|
||||
None、或常量。仅"可导入"不足以守住类型契约。
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import inspect
|
||||
|
||||
import easy_tdx
|
||||
|
||||
# 期望的导出契约：每个公共名字应对应的对象类型。
|
||||
# - "class" → 必须 inspect.isclass（client / 枚举 / 数据模型 / 异常）
|
||||
# - "func" → 必须 callable 且非 class（ping_* / save_best_*）
|
||||
# - "constant" → 兜底（KNOWN_HOSTS / XDXR_CATEGORY_NAMES 等映射表或常量）
|
||||
_EXPECTED_KIND: dict[str, str] = {
|
||||
# client 类
|
||||
"TdxClient": "class",
|
||||
"AsyncTdxClient": "class",
|
||||
"MacClient": "class",
|
||||
"AsyncMacClient": "class",
|
||||
"MacExClient": "class",
|
||||
"AsyncMacExClient": "class",
|
||||
"ExTdxClient": "class",
|
||||
"AsyncExTdxClient": "class",
|
||||
"UnifiedTdxClient": "class",
|
||||
"AsyncUnifiedTdxClient": "class",
|
||||
# 枚举
|
||||
"Market": "class",
|
||||
"KlineCategory": "class",
|
||||
"Adjust": "class",
|
||||
"BoardType": "class",
|
||||
"Category": "class",
|
||||
"ExMarket": "class",
|
||||
"FilterType": "class",
|
||||
"Period": "class",
|
||||
"SortOrder": "class",
|
||||
"SortType": "class",
|
||||
# 数据模型
|
||||
"SecurityBar": "class",
|
||||
"SecurityQuote": "class",
|
||||
"SecurityInfo": "class",
|
||||
"MinuteBar": "class",
|
||||
"TransactionRecord": "class",
|
||||
"XdxrRecord": "class",
|
||||
"FinanceInfo": "class",
|
||||
"CompanyInfoCategory": "class",
|
||||
"FinancialFileInfo": "class",
|
||||
"FinancialRecord": "class",
|
||||
"TdxBlock": "class",
|
||||
"MarketStat": "class",
|
||||
"FundFlow": "class",
|
||||
"HistoricalFundFlow": "class",
|
||||
# 异常
|
||||
"TdxError": "class",
|
||||
"TdxConnectionError": "class",
|
||||
"TdxDecodeError": "class",
|
||||
"TdxCommandError": "class",
|
||||
# 函数
|
||||
"ping_all": "func",
|
||||
"ping_mac_all": "func",
|
||||
"save_best_host": "func",
|
||||
"save_best_ex_host": "func",
|
||||
# 常量 / 映射表
|
||||
"KNOWN_EX_HOSTS": "constant",
|
||||
"KNOWN_HOSTS": "constant",
|
||||
"CALC_HOSTS": "constant",
|
||||
"MAC_HOSTS": "constant",
|
||||
"XDXR_CATEGORY_NAMES": "constant",
|
||||
}
|
||||
|
||||
|
||||
def test_all_names_are_importable() -> None:
|
||||
"""__all__ 里每个名字都必须能从 easy_tdx 顶层获取到非 None 对象。"""
|
||||
missing = [name for name in easy_tdx.__all__ if getattr(easy_tdx, name, None) is None]
|
||||
assert missing == [], f"__all__ 中以下名字无法从 easy_tdx 导入: {missing}"
|
||||
|
||||
|
||||
def test_expected_kind_contract_is_complete() -> None:
|
||||
"""_EXPECTED_KIND 必须覆盖 __all__ 的每个名字，否则契约会悄悄漂移（审计复审 L3）。"""
|
||||
covered = set(_EXPECTED_KIND)
|
||||
exported = set(easy_tdx.__all__)
|
||||
missing_kind = exported - covered
|
||||
extra_kind = covered - exported
|
||||
assert not missing_kind, f"以下导出未在 _EXPECTED_KIND 中声明类型契约: {sorted(missing_kind)}"
|
||||
assert not extra_kind, f"_EXPECTED_KIND 含未导出的名字（已移除？）: {sorted(extra_kind)}"
|
||||
|
||||
|
||||
def test_exported_objects_have_expected_type() -> None:
|
||||
"""断言每个导出对象的类型符合契约（审计复审 L3）。
|
||||
|
||||
防止类名被绑成模块/None/常量——仅"可导入"不足以守住类型。
|
||||
"""
|
||||
wrong: list[str] = []
|
||||
for name, kind in _EXPECTED_KIND.items():
|
||||
obj = getattr(easy_tdx, name, None)
|
||||
if obj is None:
|
||||
wrong.append(f"{name}: 不应为 None")
|
||||
continue
|
||||
if kind == "class":
|
||||
if not inspect.isclass(obj):
|
||||
wrong.append(f"{name}: 期望 class，实际 {type(obj).__name__}")
|
||||
elif kind == "func":
|
||||
# callable 但不能是 class（避免类被当成函数）
|
||||
if not callable(obj) or inspect.isclass(obj):
|
||||
wrong.append(f"{name}: 期望 function，实际 {type(obj).__name__}")
|
||||
# "constant" 兜底，不做严格断言
|
||||
assert wrong == [], "导出对象类型契约违反: \n" + "\n".join(wrong)
|
||||
|
||||
|
||||
def test_documented_models_exported() -> None:
|
||||
"""api_reference.md 文档描述的模型必须在公共导出中（审计 #13）。"""
|
||||
for name in ("FundFlow", "MarketStat", "HistoricalFundFlow", "TdxBlock"):
|
||||
assert name in easy_tdx.__all__, f"{name} 应在 easy_tdx.__all__ 中"
|
||||
assert inspect.isclass(getattr(easy_tdx, name)), f"{name} 应是类"
|
||||
|
||||
|
||||
def test_core_clients_exported() -> None:
|
||||
"""8 个 client 类与门面都应导出且确实是类（审计 #13 + 复审 L3）。"""
|
||||
for name in (
|
||||
"TdxClient",
|
||||
"AsyncTdxClient",
|
||||
"MacClient",
|
||||
"AsyncMacClient",
|
||||
"ExTdxClient",
|
||||
"AsyncExTdxClient",
|
||||
"MacExClient",
|
||||
"AsyncMacExClient",
|
||||
"UnifiedTdxClient",
|
||||
"AsyncUnifiedTdxClient",
|
||||
):
|
||||
assert name in easy_tdx.__all__, f"{name} 应在 easy_tdx.__all__ 中"
|
||||
assert inspect.isclass(getattr(easy_tdx, name)), f"{name} 应是类"
|
||||
@@ -210,3 +210,57 @@ class TestIncrementalScan:
|
||||
codes2 = sorted(r.code for r in results2)
|
||||
# 结果可能相同 (策略没变), 但不应崩溃
|
||||
assert len(codes2) >= 1
|
||||
|
||||
|
||||
class TestScanFailureLogging:
|
||||
"""扫描失败日志回归（审计复审 L2）。
|
||||
|
||||
首轮 #6 将扫描循环的 ``except Exception: continue`` 评为"系统性失败被静默
|
||||
吞掉"。复审 L2 修复：单股失败记录 warning + 失败计数，失败率超阈值时
|
||||
循环结束发出 summary。这些测试用 monkeypatch 让 ``_scan_one`` 抛错模拟
|
||||
损坏 .day / 策略异常等场景，断言失败被记录（read_daily_bars 本身对短文件
|
||||
容错返回 0 条，不会抛错，故用 monkeypatch 构造确定性失败）。
|
||||
"""
|
||||
|
||||
def test_serial_scan_logs_per_stock_failure(
|
||||
self, vipdoc: Path, caplog: pytest.LogCaptureFixture, monkeypatch: pytest.MonkeyPatch
|
||||
) -> None:
|
||||
"""单股 _scan_one 抛错时，串行扫描应记录 warning（审计复审 L2）。"""
|
||||
scanner = SignalScanner(AlwaysBuyStrategy, vipdoc_path=vipdoc)
|
||||
|
||||
def _boom(self: SignalScanner, filepath: Path, market: str, code: str) -> None:
|
||||
raise RuntimeError(f"simulated corrupt day for {code}")
|
||||
|
||||
monkeypatch.setattr(SignalScanner, "_scan_one", _boom)
|
||||
|
||||
with caplog.at_level("WARNING", logger="easy_tdx.screen.scanner"):
|
||||
results = scanner.scan(universe="all", workers=0)
|
||||
|
||||
# 全部抛错 → 无结果，但不崩溃（容错语义：跳过继续）
|
||||
assert results == []
|
||||
# 每个被扫描的 A 股都应有一条 warning
|
||||
warnings = [r for r in caplog.records if r.levelname == "WARNING"]
|
||||
assert len(warnings) >= 1, "单股失败应触发 warning 日志"
|
||||
assert any("失败" in r.getMessage() for r in warnings)
|
||||
|
||||
def test_serial_scan_high_failure_rate_emits_summary(
|
||||
self, vipdoc: Path, caplog: pytest.LogCaptureFixture, monkeypatch: pytest.MonkeyPatch
|
||||
) -> None:
|
||||
"""失败率超阈值时应发出汇总告警（审计复审 L2）。
|
||||
|
||||
全部 A 股 _scan_one 抛错（失败率 100% > 50% 阈值），断言扫描完成后
|
||||
有一条 summary warning。
|
||||
"""
|
||||
scanner = SignalScanner(AlwaysBuyStrategy, vipdoc_path=vipdoc)
|
||||
|
||||
def _boom(self: SignalScanner, filepath: Path, market: str, code: str) -> None:
|
||||
raise RuntimeError(f"simulated corrupt day for {code}")
|
||||
|
||||
monkeypatch.setattr(SignalScanner, "_scan_one", _boom)
|
||||
|
||||
with caplog.at_level("WARNING", logger="easy_tdx.screen.scanner"):
|
||||
scanner.scan(universe="all", workers=0)
|
||||
|
||||
# 应有汇总告警提到"失败率过高"
|
||||
summary_msgs = [r.getMessage() for r in caplog.records if "失败率" in r.getMessage()]
|
||||
assert summary_msgs, "失败率过高时应发出汇总 warning"
|
||||
|
||||
Reference in New Issue
Block a user