mirror of
https://ghfast.top/https://github.com/aeroxw/easy_tdx_max.git
synced 2026-09-12 19:14:19 +08:00
毛利哥andGitHub
12d308e1a4
read_ex_daily_bars 原把第7槽（成交量）同时赋给 amount 与 vol（amount=vol）， 真实成交额藏在第6槽 float32 重解释值里、以 hk_stock_amount 之名暴露。 实测对照：47#IF300 2023-09-11 第6槽 float32=186871758848（元）、第7槽 uint32=105358016（手），与标准市场 sh000300.day 同日 amount/vol 完全一致。 - _EX_DAILY_FMT: <IffffIIf → <IfffffIf，第6槽正名为 float32 成交额 - ExDailyBar.amount: int → float；移除语义错误的 hk_stock_amount 字段 - encode 端沿新 fmt 自动正确：大成交额按 float32 编码，不再溢出 uint32 - CLI offline ex-daily 输出新增 amount 列 - 新增真实样本回归测试（47#IF300 原始记录）+ 补齐缺失的 amount 往返断言 Co-authored-by: GitHub <action@github.com>
229 lines
7.6 KiB
Python
229 lines
7.6 KiB
Python
"""离线扩展市场日线写入测试（纯离线，无网络）。"""
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from __future__ import annotations
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import struct
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from pathlib import Path
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from easy_tdx.offline.ex_daily_bar import _EX_DAILY_FMT, ExDailyBar, read_ex_daily_bars
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from easy_tdx.offline.write_ex_daily import (
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append_ex_daily_bars,
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encode_ex_daily_bar,
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get_last_ex_bar_date,
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sync_ex_daily_bars,
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)
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# ---------------------------------------------------------------------------
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# helpers
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# ---------------------------------------------------------------------------
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def _make_ex_bar(
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year: int = 2026,
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month: int = 6,
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day: int = 6,
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open_: float = 3500.0,
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high: float = 3550.0,
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low: float = 3480.0,
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close: float = 3520.0,
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amount: float = 123456.0,
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vol: int = 98765,
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settlement: float = 3510.0,
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) -> ExDailyBar:
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return ExDailyBar(
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open=open_,
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close=close,
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high=high,
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low=low,
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amount=amount,
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vol=vol,
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settlement=settlement,
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year=year,
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month=month,
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day=day,
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)
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def _make_raw_ex_bar(
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year: int = 2026,
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month: int = 6,
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day: int = 6,
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open_: float = 3500.0,
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high: float = 3550.0,
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low: float = 3480.0,
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close: float = 3520.0,
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amount: float = 123456.0,
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vol: int = 98765,
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settlement: float = 3510.0,
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) -> bytes:
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date_int = year * 10000 + month * 100 + day
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return _EX_DAILY_FMT.pack(date_int, open_, high, low, close, amount, vol, settlement)
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# ---------------------------------------------------------------------------
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# encode_ex_daily_bar
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# ---------------------------------------------------------------------------
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class TestEncodeExDailyBar:
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def test_output_length(self) -> None:
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bar = _make_ex_bar()
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result = encode_ex_daily_bar(bar)
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assert len(result) == 32
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def test_date_encoding(self) -> None:
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bar = _make_ex_bar(year=2025, month=12, day=25)
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result = encode_ex_daily_bar(bar)
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date_int = struct.unpack_from("<I", result, 0)[0]
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assert date_int == 20251225
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def test_float_prices_preserved(self) -> None:
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bar = _make_ex_bar(open_=3500.5, high=3560.25, low=3479.75, close=3520.0)
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result = encode_ex_daily_bar(bar)
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op, hi, lo, cl = struct.unpack_from("<ffff", result, 4)
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assert abs(op - 3500.5) < 0.01
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assert abs(hi - 3560.25) < 0.01
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assert abs(lo - 3479.75) < 0.01
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assert abs(cl - 3520.0) < 0.01
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def test_settlement_encoding(self) -> None:
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bar = _make_ex_bar(settlement=3510.5)
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result = encode_ex_daily_bar(bar)
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(sett,) = struct.unpack_from("<f", result, 28)
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assert abs(sett - 3510.5) < 0.01
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# ---------------------------------------------------------------------------
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# round-trip
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# ---------------------------------------------------------------------------
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class TestExRoundTrip:
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def test_single_bar_round_trip(self, tmp_path: Path) -> None:
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bar = _make_ex_bar(open_=3500.0, close=3520.0, amount=123456.0, vol=98765)
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encoded = encode_ex_daily_bar(bar)
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filepath = tmp_path / "29#A1801.day"
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filepath.write_bytes(encoded)
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bars = read_ex_daily_bars(filepath)
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assert len(bars) == 1
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b = bars[0]
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assert b.year == 2026 and b.month == 6 and b.day == 6
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assert abs(b.open - 3500.0) < 0.01
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assert abs(b.close - 3520.0) < 0.01
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assert abs(b.amount - 123456.0) < 0.01
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assert b.vol == 98765
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def test_multiple_bars_round_trip(self, tmp_path: Path) -> None:
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bars_in = [
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_make_ex_bar(year=2026, month=6, day=4, open_=3400.0),
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_make_ex_bar(year=2026, month=6, day=5, open_=3450.0),
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_make_ex_bar(year=2026, month=6, day=6, open_=3500.0),
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]
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encoded = b"".join(encode_ex_daily_bar(b) for b in bars_in)
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filepath = tmp_path / "29#A1801.day"
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filepath.write_bytes(encoded)
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bars_out = read_ex_daily_bars(filepath)
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assert len(bars_out) == 3
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assert bars_out[0].day == 4
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assert bars_out[2].day == 6
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# ---------------------------------------------------------------------------
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# get_last_ex_bar_date
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# ---------------------------------------------------------------------------
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class TestGetLastExBarDate:
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def test_returns_last_date(self, tmp_path: Path) -> None:
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filepath = tmp_path / "test.day"
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filepath.write_bytes(_make_raw_ex_bar(year=2026, month=6, day=5))
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assert get_last_ex_bar_date(filepath) == 20260605
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def test_returns_none_for_empty(self, tmp_path: Path) -> None:
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filepath = tmp_path / "test.day"
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filepath.write_bytes(b"")
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assert get_last_ex_bar_date(filepath) is None
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# ---------------------------------------------------------------------------
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# append & sync
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# ---------------------------------------------------------------------------
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class TestAppendExDailyBars:
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def test_append_to_existing(self, tmp_path: Path) -> None:
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filepath = tmp_path / "test.day"
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filepath.write_bytes(_make_raw_ex_bar(year=2026, month=6, day=5))
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new_bar = _make_ex_bar(year=2026, month=6, day=6)
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written = append_ex_daily_bars(filepath, [new_bar])
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assert written == 1
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bars = read_ex_daily_bars(filepath)
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assert len(bars) == 2
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def test_skips_duplicate(self, tmp_path: Path) -> None:
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filepath = tmp_path / "test.day"
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filepath.write_bytes(_make_raw_ex_bar(year=2026, month=6, day=6))
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new_bar = _make_ex_bar(year=2026, month=6, day=6)
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written = append_ex_daily_bars(filepath, [new_bar])
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assert written == 0
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def test_sync_filters_correctly(self, tmp_path: Path) -> None:
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filepath = tmp_path / "test.day"
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filepath.write_bytes(_make_raw_ex_bar(year=2026, month=6, day=5))
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server_bars = [
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_make_ex_bar(year=2026, month=6, day=4),
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_make_ex_bar(year=2026, month=6, day=5),
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_make_ex_bar(year=2026, month=6, day=6),
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]
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written = sync_ex_daily_bars(filepath, server_bars)
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assert written == 1
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bars = read_ex_daily_bars(filepath)
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assert len(bars) == 2
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# ---------------------------------------------------------------------------
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# 真实样本回归（issue #57）：槽位语义
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# ---------------------------------------------------------------------------
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# 47#IF300（扩展市场沪深300 指数）2023-09-11 的真实记录。
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# 与标准市场 sh000300.day 同日对照：vol=105358016（手）、amount=186871758848.0（元）完全一致，
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# 证明第 6 槽是 float32 成交额，第 7 槽是 uint32 成交量。
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_REAL_IF300_20230911 = bytes.fromhex(
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"ffb2340148c969451fc56c45856b6945a4786b45b3092e52c0a2470600000000"
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)
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class TestRealSampleSlots:
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def test_amount_is_float32_turnover(self, tmp_path: Path) -> None:
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filepath = tmp_path / "47#IF300.day"
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filepath.write_bytes(_REAL_IF300_20230911)
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bars = read_ex_daily_bars(filepath)
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assert len(bars) == 1
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b = bars[0]
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assert (b.year, b.month, b.day) == (2023, 9, 11)
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assert b.amount == 186871758848.0
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assert b.vol == 105358016
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assert abs(b.close - 3767.54) < 0.01
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# amount 与 vol 不得串槽（回归：旧实现 amount=vol）
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assert b.amount != b.vol
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def test_large_amount_does_not_overflow(self, tmp_path: Path) -> None:
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# 真实成交额动辄超 uint32 上限，第 6 槽必须按 float32 编码
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bar = _make_ex_bar(amount=186871758848.0)
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encoded = encode_ex_daily_bar(bar)
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filepath = tmp_path / "47#IF300.day"
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filepath.write_bytes(encoded)
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(b,) = read_ex_daily_bars(filepath)
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assert b.amount == 186871758848.0
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