"""通达信公式解析器测试(tokenizer / AST / 白名单求值 / 信号归类 / 安全性)。""" from __future__ import annotations import numpy as np import pandas as pd import pytest from easy_tdx.formula import FormulaError, compile_formula def _df(n: int = 60, seed: int = 3) -> pd.DataFrame: rng = np.random.default_rng(seed) dates = pd.date_range("2024-01-01", periods=n, freq="B") close = 10.0 * np.cumprod(1.0 + 0.002 + rng.normal(0, 0.015, n)) return pd.DataFrame( { "datetime": dates, "open": close * 0.999, "high": close * 1.02, "low": close * 0.98, "close": close, "vol": rng.uniform(1e6, 5e6, n), "amount": close * rng.uniform(1e6, 5e6, n), } ) # ── 编译与语法 ─────────────────────────────────────────────────────────────── def test_compile_and_outputs(): formula = compile_formula( """ N := 9; RSV := (C - LLV(L, N)) / (HHV(H, N) - LLV(L, N)) * 100; K := SMA(RSV, 3, 1); 金叉: CROSS(K, 20); 强度: K; """ ) res = formula.compute(_df()) assert "金叉" in res.signals assert "强度" in res.values frame = res.to_frame() assert list(frame.columns) == ["金叉", "强度"] assert len(frame) == 60 def test_syntax_error_has_position(): with pytest.raises(FormulaError): compile_formula("A := ;") with pytest.raises(FormulaError): compile_formula("A := UNKNOWN_FUNC(C)") with pytest.raises(FormulaError): compile_formula("A := B + ") # 引用未定义变量且语法断裂 def test_unknown_variable_rejected(): with pytest.raises(FormulaError, match="未知变量"): compile_formula("A: X1;").compute(_df()) def test_unknown_function_rejected(): with pytest.raises(FormulaError, match="白名单"): compile_formula("A: EVAL(C);").compute(_df()) def test_empty_formula_rejected(): with pytest.raises(FormulaError, match="为空"): compile_formula("{只有注释}") def test_no_python_eval_injection(): """公式层不走 Python eval:危险标识符按未知变量/函数拒绝。""" with pytest.raises(FormulaError): compile_formula("__import__('os'): 1;").compute(_df()) with pytest.raises(FormulaError): compile_formula("A: OPEN(C);").compute(_df()) # ── 语义正确性 ─────────────────────────────────────────────────────────────── def test_series_aliases(): """C/O/H/L/V/AMOUNT 别名与底层列一致。""" df = _df(50) res = compile_formula("高价: H; 低价: L; 收盘: CLOSE; 量: VOL; 额: AMOUNT;").compute(df) assert np.allclose(res.columns["高价"], df["high"]) assert np.allclose(res.columns["收盘"], df["close"]) assert np.allclose(res.columns["量"], df["vol"]) def test_ma_matches_mytt(): from easy_tdx.MyTT import MA df = _df(50) res = compile_formula("均线: MA(C, 5);").compute(df) assert np.allclose(res.columns["均线"], MA(df["close"].to_numpy(), 5), equal_nan=True) def test_cross_semantics(): """CROSS(A,B):A 上穿 B 的那一根为 1,其余 0。""" df = _df(50) res = compile_formula( """ 快: MA(C, 3); 慢: MA(C, 10); 金叉: CROSS(快, 慢); """ ).compute(df) golden = res.columns["金叉"] assert set(np.unique(golden[np.isfinite(golden)])).issubset({0.0, 1.0}) assert golden.sum() >= 0 # 结构完整(趋势数据至少存在或为 0) # CROSS 手工复算对拍 from easy_tdx.MyTT import CROSS, MA fast = MA(df["close"].to_numpy(), 3) slow = MA(df["close"].to_numpy(), 10) assert np.allclose(golden, CROSS(fast, slow), equal_nan=True) def test_safe_division_zero_denominator_nan(): """除零 → NaN(不炸、不 inf)。""" df = _df(30) res = compile_formula("比值: C / (C - C);").compute(df) # 分母全 0 assert np.isnan(res.columns["比值"]).all() def test_logic_operators(): df = _df(40) res = compile_formula( """ 条件1: C > MA(C, 5); 条件2: C > MA(C, 20); 同时: 条件1 AND 条件2; 任一: 条件1 OR 条件2; 取反: NOT(条件1); """ ).compute(df) c1 = res.columns["条件1"] > 0.5 c2 = res.columns["条件2"] > 0.5 assert np.allclose(res.columns["同时"] > 0.5, c1 & c2) assert np.allclose(res.columns["任一"] > 0.5, c1 | c2) assert np.allclose(res.columns["取反"] > 0.5, ~c1) def test_comparison_and_unary(): df = _df(30) res = compile_formula("跌幅: -(C - REF(C, 1)) / REF(C, 1) * 100; 平: C == C;").compute(df) assert (res.columns["平"] == 1.0).all() assert "跌幅" in res.values def test_warmup_nan_not_signal(): """预热期 NaN 不产生信号(比较含 NaN → 0)。""" df = _df(30) res = compile_formula("信号: CROSS(MA(C, 20), MA(C, 25));").compute(df) sig = res.columns["信号"] assert np.nanmax(np.nan_to_num(sig[:25])) <= 1.0 assert np.isnan(sig).sum() == 0 # 布尔输出不含 NaN def test_output_classification_boolean_vs_numeric(): """比较/逻辑输出 → 信号;数值输出 → 数值列;0/1 值域数值也归信号。""" df = _df(40) res = compile_formula( """ 布尔输出: C > REF(C, 1); 数值输出: MA(C, 5) - MA(C, 20); """ ).compute(df) assert res.signals == ["布尔输出"] assert res.values == ["数值输出"] def test_last_row_for_screening(): df = _df(30) res = compile_formula("买入: CROSS(MA(C, 3), MA(C, 10)); 值: MA(C, 5);").compute(df) last = res.last_row() assert set(last) == {"买入", "值"} assert last["买入"] in (0.0, 1.0) def test_chinese_identifier_and_comment(): df = _df(30) formula = compile_formula( """ {这是注释:N 周期} 周期 := 5; 均线: MA(C, 周期); """ ) res = formula.compute(df) assert res.columns["均线"][0] != res.columns["均线"][-1] def test_compiled_formula_reusable_across_frames(): f = compile_formula("值: MA(C, 5);") r1 = f.compute(_df(30, seed=1)) r2 = f.compute(_df(40, seed=2)) assert len(r1.columns["值"]) == 30 assert len(r2.columns["值"]) == 40 def test_compiled_formula_is_dataclass_safe(): """CompiledFormula 可 pickle(进程池/后台任务传输)。""" import pickle f = compile_formula("值: MA(C, 5);") f2 = pickle.loads(pickle.dumps(f)) assert np.allclose( f.compute(_df(20)).columns["值"], f2.compute(_df(20)).columns["值"], equal_nan=True )