Merge pull request #284 from kevin9327/fix/limit-ladder-prev-trading-day

fix(screener): 涨停梯队按分区找前一交易日, 不再按固定自然日回看

backend/app/services/screener.py

@@ -23,6 +23,9 @@ logger = logging.getLogger(__name__)
 _history_cache: dict[tuple[str, date, int], tuple[float, pl.DataFrame]] = {}
 _HISTORY_CACHE_TTL = 120.0  # 秒
 
+# load_prior_consecutive 最多回看多少个已存在的日分区 (缺列时继续往前找的上限)
+_PRIOR_PARTITION_SCAN = 10
+
 
 @dataclass
 class ScreenerResult:
@@ -109,15 +112,14 @@ class ScreenerService:
         可直接从 parquet 读取, 无需 _load_enriched_for_date 的全量指标重算
         (历史日期该慢路径最坏会触发 9 次全市场 compute_enriched_full)。
 
-        选取逻辑与旧循环等价: 在 as_of 前 1~9 天内找到第一个存在的日分区
-        (即前一交易日), 读取其 symbol + consec_col。存储列的值与重算值逐位一致
-        (连板计数为 run-length, 150 天 warmup 完全覆盖 A 股最长连板, 二者相等)。
+        由近到远取 as_of 之前已存在的日分区 (即前一交易日), 读取其
+        symbol + consec_col。存储列的值与重算值逐位一致 (连板计数为 run-length,
+        150 天 warmup 完全覆盖 A 股最长连板, 二者相等)。
 
         返回列: symbol, prev_consec。找不到前一交易日时返回空 DataFrame。
         """
         enriched_dir = self.repo.store.data_dir / self._enriched_dirname
-        for delta in range(1, 10):
-            candidate = as_of - timedelta(days=delta)
+        for candidate in self._prior_partition_dates(as_of, _PRIOR_PARTITION_SCAN):
             target_parquet = enriched_dir / f"date={candidate.isoformat()}" / "part.parquet"
             if not target_parquet.exists():
                 continue
@@ -140,6 +142,32 @@ class ScreenerService:
                 return pl.DataFrame()
         return pl.DataFrame()
 
+    def _prior_partition_dates(self, as_of: date, limit: int) -> list[date]:
+        """enriched 目录里早于 as_of 的分区日期, 由近到远最多 limit 个。
+
+        枚举分区目录而不是按自然日回看固定天数: 春节长假连着调休周末,
+        相邻两个交易日能隔 10~11 个自然日 (如 2024-02-08 → 2024-02-19),
+        固定窗口会整段落空。与 auction_benchmark._prev_trading_day
+        「本地日K分区日期 = 已知交易日集合」同口径。
+        """
+        enriched_dir = self.repo.store.data_dir / self._enriched_dirname
+        days: list[date] = []
+        try:
+            entries = list(enriched_dir.iterdir())
+        except OSError:
+            return []
+        for part in entries:
+            if not part.name.startswith("date="):
+                continue
+            try:
+                day = date.fromisoformat(part.name[5:])
+            except ValueError:
+                continue
+            if day < as_of:
+                days.append(day)
+        days.sort(reverse=True)
+        return days[:limit]
+
     def _compute_enriched_full(self, df_target: pl.DataFrame, target_date: date) -> pl.DataFrame:
         """从 14 列基础数据即时计算完整 enriched (含全部指标和信号)。
 

backend/tests/test_limit_ladder_prior_trading_day.py

@@ -0,0 +1,88 @@
+"""涨停梯队的「昨日连板数」不能按固定自然日窗口回看。
+
+load_prior_consecutive 原本在 as_of 前 1~9 个自然日里找分区。春节长假连着
+调休周末, 相邻两个交易日能隔 10~11 个自然日 (如 2024-02-08 到 2024-02-19),
+窗口整段落空, prev_consec 全被填 0: 断板(晋级失败)一栏空掉, 炸板股的板数
+从「昨日 N 板 + 1」退回 1 板。
+"""
+from __future__ import annotations
+
+import types
+from datetime import date
+
+import polars as pl
+import pytest
+
+from app.services.screener import ScreenerService
+
+_CONSEC_COL = "consecutive_limit_ups"
+
+
+def _write_partition(data_dir, day: date, rows: dict) -> None:
+    part = data_dir / "kline_daily_enriched" / f"date={day.isoformat()}"
+    part.mkdir(parents=True, exist_ok=True)
+    pl.DataFrame(rows).write_parquet(part / "part.parquet")
+
+
+def _service(data_dir) -> ScreenerService:
+    repo = types.SimpleNamespace(store=types.SimpleNamespace(data_dir=data_dir))
+    return ScreenerService(repo)
+
+
+@pytest.mark.parametrize(
+    ("prev_day", "as_of", "label"),
+    [
+        (date(2024, 2, 8), date(2024, 2, 19), "春节长假(11 个自然日)"),
+        (date(2023, 1, 20), date(2023, 1, 30), "春节长假(10 个自然日)"),
+        (date(2026, 6, 26), date(2026, 6, 29), "周末(3 个自然日)"),
+        (date(2026, 6, 29), date(2026, 6, 30), "相邻交易日"),
+    ],
+)
+def test_prior_consecutive_spans_any_holiday_gap(tmp_path, prev_day, as_of, label):
+    _write_partition(tmp_path, prev_day, {"symbol": ["600000.SH"], _CONSEC_COL: [3]})
+    _write_partition(tmp_path, as_of, {"symbol": ["600000.SH"], _CONSEC_COL: [0]})
+
+    got = _service(tmp_path).load_prior_consecutive(as_of, _CONSEC_COL)
+
+    assert not got.is_empty(), f"{label}: 没找到前一交易日分区"
+    assert got.to_dicts() == [{"symbol": "600000.SH", "prev_consec": 3}]
+
+
+def test_prior_consecutive_picks_the_nearest_earlier_partition(tmp_path):
+    """多个更早分区时取最近的一个, 不是最早的。"""
+    _write_partition(tmp_path, date(2024, 2, 6), {"symbol": ["600000.SH"], _CONSEC_COL: [1]})
+    _write_partition(tmp_path, date(2024, 2, 7), {"symbol": ["600000.SH"], _CONSEC_COL: [2]})
+    _write_partition(tmp_path, date(2024, 2, 8), {"symbol": ["600000.SH"], _CONSEC_COL: [3]})
+    _write_partition(tmp_path, date(2024, 2, 19), {"symbol": ["600000.SH"], _CONSEC_COL: [0]})
+
+    got = _service(tmp_path).load_prior_consecutive(date(2024, 2, 19), _CONSEC_COL)
+
+    assert got.to_dicts() == [{"symbol": "600000.SH", "prev_consec": 3}]
+
+
+def test_prior_consecutive_ignores_as_of_and_future_partitions(tmp_path):
+    """只看严格早于 as_of 的分区; 当日和更晚的分区不能被当成「昨日」。"""
+    _write_partition(tmp_path, date(2026, 6, 30), {"symbol": ["600000.SH"], _CONSEC_COL: [5]})
+    _write_partition(tmp_path, date(2026, 7, 1), {"symbol": ["600000.SH"], _CONSEC_COL: [6]})
+
+    got = _service(tmp_path).load_prior_consecutive(date(2026, 6, 30), _CONSEC_COL)
+
+    assert got.is_empty()
+
+
+def test_prior_consecutive_skips_partition_missing_the_column(tmp_path):
+    """前一天分区缺列时继续往前找 (保持旧循环行为)。"""
+    _write_partition(tmp_path, date(2026, 6, 26), {"symbol": ["600000.SH"], _CONSEC_COL: [4]})
+    _write_partition(tmp_path, date(2026, 6, 29), {"symbol": ["600000.SH"], "close": [10.0]})
+    _write_partition(tmp_path, date(2026, 6, 30), {"symbol": ["600000.SH"], _CONSEC_COL: [0]})
+
+    got = _service(tmp_path).load_prior_consecutive(date(2026, 6, 30), _CONSEC_COL)
+
+    assert got.to_dicts() == [{"symbol": "600000.SH", "prev_consec": 4}]
+
+
+def test_prior_consecutive_returns_empty_without_any_partition(tmp_path):
+    """本地没有 enriched 目录时返回空表, 不抛异常。"""
+    got = _service(tmp_path).load_prior_consecutive(date(2026, 6, 30), _CONSEC_COL)
+
+    assert got.is_empty()