"""品种感知费率模型测试（fees.py + 引擎 auto_fees 集成）。 覆盖： - 品种推断：沪深股票 / ETF / LOF / 可转债 / B 股 / 指数 / 北交所 - 费率解析：ETF/债券免印花税、B 股印花税保留、最低佣金差异 - 引擎集成：auto_fees 覆盖默认费率、显式费率优先、关闭时行为不变 """ from __future__ import annotations import numpy as np import pandas as pd import pytest from easy_tdx.backtest.engine import BacktestEngine from easy_tdx.backtest.fees import ( InstrumentKind, detect_instrument_kind, resolve_fee_model, ) from easy_tdx.backtest.strategy import Strategy # --------------------------------------------------------------------------- # # 品种推断 # --------------------------------------------------------------------------- # @pytest.mark.parametrize( ("symbol", "market", "expected"), [ ("600519", "SH", InstrumentKind.STOCK), # 贵州茅台 ("601398", "SH", InstrumentKind.STOCK), # 工商银行 ("000001", "SZ", InstrumentKind.STOCK), # 平安银行 ("300750", "SZ", InstrumentKind.STOCK), # 宁德时代（创业板） ("688981", "SH", InstrumentKind.STOCK), # 中芯国际（科创板） ("832000", "BJ", InstrumentKind.STOCK), # 北交所 ("510300", "SH", InstrumentKind.ETF), # 沪深300ETF ("588000", "SH", InstrumentKind.ETF), # 科创50ETF ("159915", "SZ", InstrumentKind.ETF), # 创业板ETF ("501018", "SH", InstrumentKind.LOF), # 南方原油 LOF ("160632", "SZ", InstrumentKind.LOF), # 深 LOF ("113050", "SH", InstrumentKind.BOND), # 沪可转债 ("123456", "SZ", InstrumentKind.BOND), # 深可转债 ("900901", "SH", InstrumentKind.B_SHARE), # 沪 B ("200002", "SZ", InstrumentKind.B_SHARE), # 深 B ("000001", "SH", InstrumentKind.INDEX), # 上证指数（同码不同市！） ("399001", "SZ", InstrumentKind.INDEX), # 深证成指 ("SH:510300", None, InstrumentKind.ETF), # 带前缀 symbol ("SZ:159915", None, InstrumentKind.ETF), ("510300", 1, InstrumentKind.ETF), # 通达信 int 市场 ("000001", 0, InstrumentKind.STOCK), ("510300", None, InstrumentKind.ETF), # 无市场，仅代码粗判 ("600519", None, InstrumentKind.STOCK), ], ) def test_detect_instrument_kind(symbol, market, expected): assert detect_instrument_kind(symbol, market) == expected def test_detect_kind_case_insensitive_and_spacing(): assert detect_instrument_kind(" sh:510300 ") == InstrumentKind.ETF assert detect_instrument_kind("sh510300") == InstrumentKind.ETF # --------------------------------------------------------------------------- # # 费率解析 # --------------------------------------------------------------------------- # def test_stock_fees_keep_stamp_tax(): fee = resolve_fee_model("SH:600519") assert fee.kind is InstrumentKind.STOCK assert fee.stamp_tax == pytest.approx(0.001) assert fee.commission == pytest.approx(0.0003) assert fee.min_commission == pytest.approx(5.0) def test_etf_fees_exempt_stamp_tax(): """核心法定差异：ETF 免印花税。""" fee = resolve_fee_model("SH:510300") assert fee.kind is InstrumentKind.ETF assert fee.stamp_tax == 0.0 def test_bond_fees_exempt_stamp_tax_and_lower_min(): fee = resolve_fee_model("SZ:123456") assert fee.kind is InstrumentKind.BOND assert fee.stamp_tax == 0.0 assert fee.min_commission < 5.0 def test_b_share_fees_keep_stamp_tax(): fee = resolve_fee_model("SH:900901") assert fee.kind is InstrumentKind.B_SHARE assert fee.stamp_tax == pytest.approx(0.001) def test_fee_model_frozen(): fee = resolve_fee_model("SH:510300") with pytest.raises(AttributeError): fee.commission = 0.0 # type: ignore[misc] # --------------------------------------------------------------------------- # # 引擎集成 # --------------------------------------------------------------------------- # class _AlwaysBuy(Strategy): """首根 K 线全仓买入、持有到末尾的极简策略（保证产生 BUY 交易）。""" def init(self) -> None: self._bought = False def next(self) -> None: if not self._bought: self.buy() self._bought = True def _df(n: int = 50) -> pd.DataFrame: dates = pd.date_range("2023-01-01", periods=n, freq="B") close = 10.0 + np.linspace(0, 2, n) return pd.DataFrame( { "datetime": dates, "open": close, "high": close * 1.01, "low": close * 0.99, "close": close, "vol": [1000.0] * n, } ) def test_engine_auto_fees_overrides_stamp_tax_for_etf(): """auto_fees=True 时 ETF 不收印花税（对比股票默认收）。""" # 股票（默认费率，stamp_tax=0.001） eng_stock = BacktestEngine(_AlwaysBuy, cash=100000.0) assert eng_stock._stamp_tax == pytest.approx(0.001) # ETF + auto_fees → stamp_tax 归零 eng_etf = BacktestEngine(_AlwaysBuy, cash=100000.0, symbol="SH:510300", auto_fees=True) assert eng_etf._stamp_tax == 0.0 assert eng_etf._commission == pytest.approx(0.0003) # 结果 config 里带 symbol 与解析后的费率 result = eng_etf.run(_df()) assert result.config["symbol"] == "SH:510300" assert result.config["stamp_tax"] == 0.0 assert result.config["min_commission"] == pytest.approx(5.0) def test_engine_explicit_fees_win_over_auto(): """显式传入非默认费率时，auto_fees 不覆盖用户意图。""" eng = BacktestEngine( _AlwaysBuy, cash=100000.0, commission=0.0001, min_commission=1.0, stamp_tax=0.0005, symbol="SH:510300", auto_fees=True, ) assert eng._commission == pytest.approx(0.0001) assert eng._min_commission == pytest.approx(1.0) assert eng._stamp_tax == pytest.approx(0.0005) def test_engine_auto_fees_without_symbol_is_noop(): """auto_fees=True 但没给 symbol → 保持默认（不报错）。""" eng = BacktestEngine(_AlwaysBuy, cash=100000.0, auto_fees=True) assert eng._commission == pytest.approx(0.0003) assert eng._stamp_tax == pytest.approx(0.001) def test_engine_default_behavior_unchanged(): """不传新参数时行为与旧版完全一致（向后兼容）。""" eng = BacktestEngine(_AlwaysBuy, cash=100000.0) assert eng._commission == pytest.approx(0.0003) assert eng._min_commission == pytest.approx(5.0) assert eng._stamp_tax == pytest.approx(0.001) assert eng._symbol is None def test_portfolio_engine_auto_fees_per_symbol(): """组合引擎按各标的逐只解析费率（股票收印花税、ETF 不收）。""" from easy_tdx.backtest.portfolio_engine import PortfolioBacktestEngine, StockData df = _df(60) stocks = [ StockData(code="600519", market="SH", df=df), StockData(code="510300", market="SH", df=df), ] engine = PortfolioBacktestEngine( strategy=_AlwaysBuy, stocks=stocks, total_cash=200000.0, auto_fees=True, ) result = engine.run() # 两只标的结果的 config 中费率不同 stock_cfg = result.individual_results["SH600519"].config etf_cfg = result.individual_results["SH510300"].config assert stock_cfg["stamp_tax"] == pytest.approx(0.001) assert etf_cfg["stamp_tax"] == 0.0