feat(backtest): add SlippageModel ABC + FixedSlippage + PercentSlippage

tests/unit/test_backtest_slippage.py

@@ -0,0 +1,87 @@
+"""滑点模型单元测试。"""
+
+from __future__ import annotations
+
+import pytest
+
+from easy_tdx.backtest.slippage import (
+    FixedSlippage,
+    PercentSlippage,
+    SlippageModel,
+)
+
+
+class TestSlippageBase:
+    """基类验证。"""
+
+    def test_cannot_instantiate_abc(self) -> None:
+        """不能直接实例化 ABC。"""
+        with pytest.raises(TypeError):
+            SlippageModel()  # type: ignore[abstract]
+
+    def test_subclass_must_implement_compute(self) -> None:
+        """子类必须实现 compute。"""
+
+        class BadModel(SlippageModel):
+            pass
+
+        with pytest.raises(TypeError):
+            BadModel()  # type: ignore[abstract]
+
+
+class TestFixedSlippage:
+    """固定每股滑点。"""
+
+    def test_zero_per_share(self) -> None:
+        """per_share=0 时无滑点。"""
+        model = FixedSlippage(per_share=0.0)
+        cost = model.compute(price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY")
+        assert cost == 0.0
+
+    def test_basic(self) -> None:
+        """基本计算：100 股 × 0.01 元/股 = 1.0。"""
+        model = FixedSlippage(per_share=0.01)
+        cost = model.compute(price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY")
+        assert cost == pytest.approx(1.0)
+
+    def test_large_size(self) -> None:
+        """大单。"""
+        model = FixedSlippage(per_share=0.05)
+        cost = model.compute(
+            price=50.0, size=10000, volume=500000, volatility=0.2, direction="SELL"
+        )
+        assert cost == pytest.approx(500.0)
+
+    def test_direction_irrelevant(self) -> None:
+        """方向不影响固定滑点。"""
+        model = FixedSlippage(per_share=0.01)
+        buy_cost = model.compute(
+            price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY"
+        )
+        sell_cost = model.compute(
+            price=10.0, size=100, volume=10000, volatility=0.3, direction="SELL"
+        )
+        assert buy_cost == sell_cost
+
+
+class TestPercentSlippage:
+    """按成交金额百分比滑点。"""
+
+    def test_zero_rate(self) -> None:
+        """rate=0 时无滑点。"""
+        model = PercentSlippage(rate=0.0)
+        cost = model.compute(price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY")
+        assert cost == 0.0
+
+    def test_basic(self) -> None:
+        """10元 × 100股 × 0.001 = 1.0。"""
+        model = PercentSlippage(rate=0.001)
+        cost = model.compute(price=10.0, size=100, volume=10000, volatility=0.3, direction="BUY")
+        assert cost == pytest.approx(1.0)
+
+    def test_high_price(self) -> None:
+        """高价股。"""
+        model = PercentSlippage(rate=0.002)
+        cost = model.compute(price=100.0, size=500, volume=20000, volatility=0.25, direction="BUY")
+        # 100 × 500 × 0.002 = 100.0
+        assert cost == pytest.approx(100.0)