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shy3130
9593883c59
按用户要求, 分钟红7不再是产品内置形态, 以自定义策略形态交付: - 移除 app/strategy/builtin/minute_red_streak.py; 运行时副本落在 data/strategies/custom/ (gitignore, 用户可自行修改调参) - 策略 id (minute_red_streak) 不变: 参数覆盖 / 策略池引用 / minute_filter 契约 (daily_history_bars + daily= 注入) 全部不受位置影响 - 仓库保留参考实现作为测试夹具 (tests/fixtures/strategies/), 25 个行为测试改由夹具加载, 引擎加载测试同时断言 source == "custom" - builtin 相关不变量更新: 内置 19 个全部 matrix_native, 无 minute_filter 本地验证: /api/strategies/reload 后 source=custom, 08-25 分区分钟扫描 命中 5 只 (用户实盘参数: 6根开5红+最高2红+20日涨停过+沪深主板50-200亿)。
527 lines
22 KiB
Python
527 lines
22 KiB
Python
"""分钟策略 (minute_filter 后端) 测试。
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覆盖:
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- minute_red_streak 形态: 命中 / 不足根数不触发 / 最高K不红 / rank_by 两口径 /
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乱序输入 / 最高价并列取更晚K线 / 开盘窗口(当日最早N根, 与最近N根区分)
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- 引擎加载校验: 只能声明 filter_minute_history、timeframes 必须且只能是 ["1m"]
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- 引擎 1m 运行: enriched 联表基础过滤 (剔除ST / 股价区间)、entry hits、
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日线 context 拒绝
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- ScreenerService 1m context: 当日分区优先、缺失回退最近分区、空库报错、
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非股票资产拒绝
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"""
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from __future__ import annotations
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import datetime as _dt
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import importlib.util
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from datetime import date, datetime
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from pathlib import Path
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import polars as pl
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from app.services.screener import ScreenerService
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from app.strategy.engine import StrategyDataContext, StrategyEngine
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# 分钟红7 已从内置策略改为自定义策略 (运行时 data/strategies/custom/, 不入库);
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# 测试通过仓库内的参考实现夹具加载, 覆盖同一份策略逻辑。
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STRATEGY_FIXTURE_DIR = Path(__file__).resolve().parent / "fixtures" / "strategies"
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_spec = importlib.util.spec_from_file_location(
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"minute_red_streak_fixture", STRATEGY_FIXTURE_DIR / "minute_red_streak.py"
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)
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minute_red_streak = importlib.util.module_from_spec(_spec)
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_spec.loader.exec_module(minute_red_streak)
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def _bars(symbol: str, candles: list[tuple[float, float, float]], start_hour: int = 9) -> pl.DataFrame:
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"""candles: (open, close, high) 序列, 时间从 start_hour:30 起每分钟一根。"""
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n = len(candles)
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base = datetime(2026, 8, 25, start_hour, 30)
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return pl.DataFrame({
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"symbol": [symbol] * n,
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"datetime": [base + _dt.timedelta(minutes=i) for i in range(n)],
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"open": [float(c[0]) for c in candles],
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"high": [float(c[2]) for c in candles],
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"low": [float(min(c[0], c[1])) for c in candles],
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"close": [float(c[1]) for c in candles],
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"volume": [100.0] * n,
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"amount": [10000.0] * n,
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})
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# ── 形态 ────────────────────────────────────────────────────────────
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def test_pattern_hits_five_red_of_seven_with_red_top_two():
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# 7根: 5红2绿, 绿K的最高价都压得比红K低 → 最高的两根(10.9/10.7)都是红
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candles = [
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(10.0, 10.2, 10.30), # 红
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(10.2, 10.1, 10.25), # 绿 (低高点)
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(10.1, 10.4, 10.50), # 红
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(10.4, 10.6, 10.70), # 红 (次高)
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(10.6, 10.5, 10.65), # 绿 (低高点)
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(10.5, 10.7, 10.80), # 红
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(10.7, 10.8, 10.90), # 红 (最高)
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]
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out = minute_red_streak.filter_minute_history(_bars("600000.SH", candles), {"require_limit_up": False})
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assert out["symbol"].to_list() == ["600000.SH"]
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row = out.row(0, named=True)
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assert row["red_count"] == 5
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assert row["top_red_count"] == 2
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assert row["close"] == 10.8
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def test_pattern_insufficient_bars_never_triggers():
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out = minute_red_streak.filter_minute_history(_bars("600000.SH", [(10.0, 10.2, 10.3)] * 6), {"require_limit_up": False})
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assert out.is_empty()
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def test_pattern_green_at_top_blocks_hit():
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# 5红, 但最高的一根是绿 (高开回落) → 最高两根不全红, 不触发
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candles = [
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(10.0, 10.2, 10.30), # 红
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(10.1, 10.4, 10.50), # 红
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(10.3, 10.6, 10.70), # 红
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(10.6, 10.5, 10.65), # 绿 (低高点)
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(10.4, 10.5, 10.55), # 红 (低高点)
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(11.5, 11.0, 12.00), # 绿 (最高)
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(11.0, 11.4, 11.90), # 红 (次高)
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]
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out = minute_red_streak.filter_minute_history(_bars("600000.SH", candles), {"require_limit_up": False})
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assert out.is_empty()
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def test_pattern_rank_by_close_uses_close_not_high():
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# high 口径最高两根是绿K冲高; close 口径最高两根是红K → 仅 close 口径命中
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candles = [
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(10.0, 10.5, 10.60), # 红
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(10.5, 10.9, 11.50), # 绿 (high 最高, 并列)
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(10.9, 11.2, 11.40), # 红
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(11.2, 11.3, 11.35), # 红
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(11.3, 11.4, 11.45), # 红 (close 次高)
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(11.4, 11.1, 11.50), # 绿 (high 最高, 并列)
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(11.1, 11.5, 11.55), # 红 (close 最高)
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]
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by_high = minute_red_streak.filter_minute_history(_bars("600000.SH", candles), {"require_limit_up": False})
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by_close = minute_red_streak.filter_minute_history(
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_bars("600000.SH", candles), {"rank_by_close": True, "require_limit_up": False}
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)
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assert by_high.is_empty()
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assert by_close["symbol"].to_list() == ["600000.SH"]
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def test_pattern_sorts_unordered_input_by_datetime():
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bars = pl.concat([
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_bars("600000.SH", [(10.0, 10.2, 10.30)]),
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_bars("600000.SH", [
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(10.2, 10.1, 10.25), (10.1, 10.4, 10.50), (10.4, 10.6, 10.70),
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(10.6, 10.5, 10.65), (10.5, 10.7, 10.80), (10.7, 10.8, 10.90),
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]),
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]).sample(fraction=1.0, shuffle=True, seed=7)
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out = minute_red_streak.filter_minute_history(bars, {"require_limit_up": False})
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assert out["symbol"].to_list() == ["600000.SH"]
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assert out.row(0, named=True)["close"] == 10.8 # 最后一根(时间最大)的收盘
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def test_pattern_three_way_high_tie_prefers_later_bars():
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# 三根 high 并列最高: 更早的绿K应被更晚的两根红K挤出 top2 → 命中
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# (若并列取更早, top2 = {红, 绿} → 不命中; 该测试固定 "同值取更晚" 契约)
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candles = [
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(10.0, 10.2, 10.30), # 红
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(10.1, 10.4, 10.50), # 红
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(10.2, 10.1, 10.25), # 绿 (低高点)
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(10.3, 10.6, 10.70), # 红
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(10.8, 10.5, 10.90), # 绿 (并列最高, 最早 → 被 top2 排除)
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(10.5, 10.6, 10.90), # 红 (并列最高, 中间)
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(10.6, 10.8, 10.90), # 红 (并列最高, 最晚)
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]
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out = minute_red_streak.filter_minute_history(_bars("600000.SH", candles), {"require_limit_up": False})
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assert out["symbol"].to_list() == ["600000.SH"]
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assert out.row(0, named=True)["top_red_count"] == 2
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def test_pattern_min_red_threshold_respected():
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# 4红3绿, 最高的两根红 → min_red=5 不命中, min_red=4 命中
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candles = [
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(10.0, 10.2, 10.30), # 红
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(10.2, 10.1, 10.25), # 绿
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(10.1, 10.4, 10.50), # 红
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(10.4, 10.3, 10.45), # 绿
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(10.3, 10.6, 10.70), # 红
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(10.6, 10.5, 10.65), # 绿
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(10.5, 10.8, 10.90), # 红
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]
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bars = _bars("600000.SH", candles)
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assert minute_red_streak.filter_minute_history(bars, {"min_red": 5, "require_limit_up": False}).is_empty()
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assert not minute_red_streak.filter_minute_history(bars, {"min_red": 4, "require_limit_up": False}).is_empty()
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def test_pattern_uses_opening_bars_even_if_day_turns_green():
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# 开盘7根 = 5红2绿命中; 第8/9根大绿回落 → 开盘窗口语义下仍命中,
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# 且 close 取窗口末根 (10.8) 而非全天最新价
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candles = [
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(10.0, 10.2, 10.30), # 红
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(10.2, 10.1, 10.25), # 绿 (低高点)
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(10.1, 10.4, 10.50), # 红
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(10.4, 10.6, 10.70), # 红 (次高)
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(10.6, 10.5, 10.65), # 绿 (低高点)
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(10.5, 10.7, 10.80), # 红
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(10.7, 10.8, 10.90), # 红 (最高) ← 窗口末根
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(10.8, 10.0, 10.85), # 开盘窗口外的绿
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(10.0, 9.5, 10.05), # 开盘窗口外的绿
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]
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out = minute_red_streak.filter_minute_history(_bars("600000.SH", candles), {"require_limit_up": False})
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assert out["symbol"].to_list() == ["600000.SH"]
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row = out.row(0, named=True)
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assert row["red_count"] == 5
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assert row["close"] == 10.8 # 窗口末根收盘, 不是第9根的 9.5
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assert row["last_datetime"] == datetime(2026, 8, 25, 9, 36)
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def test_pattern_opening_window_miss_not_rescued_by_late_reds():
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# 开盘7根仅4红不命中; 第8/9根转红 (最近7根口径会命中) → 开盘窗口仍不触发
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candles = [
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(10.0, 10.2, 10.30), # 红
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(10.2, 10.1, 10.25), # 绿
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(10.1, 10.4, 10.50), # 红
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(10.4, 10.3, 10.45), # 绿
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(10.3, 10.6, 10.70), # 红
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(10.6, 10.5, 10.65), # 绿
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(10.5, 10.8, 10.90), # 红
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(10.8, 10.9, 11.00), # 红 (窗口外)
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(10.9, 11.0, 11.10), # 红 (窗口外)
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]
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out = minute_red_streak.filter_minute_history(_bars("600000.SH", candles), {"require_limit_up": False})
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assert out.is_empty()
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# ── 涨停条件 (日线维度) ─────────────────────────────────────────────
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_HIT_CANDLES = [
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(10.0, 10.2, 10.30), # 红
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(10.2, 10.1, 10.25), # 绿 (低高点)
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(10.1, 10.4, 10.50), # 红
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(10.4, 10.6, 10.70), # 红 (次高)
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(10.6, 10.5, 10.65), # 绿 (低高点)
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(10.5, 10.7, 10.80), # 红
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(10.7, 10.8, 10.90), # 红 (最高)
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]
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def _daily(
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symbol: str,
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days: int,
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flag_on: set[int] | None = None,
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*,
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broken: bool = False,
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) -> pl.DataFrame:
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"""days 个交易日的日线帧; flag_on 指定第几天 (0=最早) 触发涨停信号。"""
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flag_on = flag_on or set()
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base = date(2026, 8, 25)
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return pl.DataFrame({
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"symbol": [symbol] * days,
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"date": [base - _dt.timedelta(days=days - i) for i in range(days)],
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"signal_limit_up": [i in flag_on and not broken for i in range(days)],
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"signal_broken_limit_up": [i in flag_on and broken for i in range(days)],
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})
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def test_pattern_limit_up_condition_filters_by_daily_signals():
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bars = pl.concat([
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_bars("600001.SH", _HIT_CANDLES),
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_bars("600002.SH", _HIT_CANDLES),
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_bars("600003.SH", _HIT_CANDLES),
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])
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daily = pl.concat([
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_daily("600001.SH", 20, {3}), # 收盘涨停 → 过
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_daily("600002.SH", 20, {15}, broken=True), # 炸板触及 → 过
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_daily("600003.SH", 20), # 无涨停 → 剔除
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])
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out = minute_red_streak.filter_minute_history(bars, {}, daily=daily)
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assert sorted(out["symbol"].to_list()) == ["600001.SH", "600002.SH"]
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assert sorted(out["recent_limit_ups"].to_list()) == [1, 1]
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def test_pattern_limit_up_lookback_window_boundary():
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# 25 个交易日, 涨停仅发生在第 5 天 (0=最早): 回看 20 日窗口 = 最后 20 根
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# (索引 5..24), 第 5 天在窗外 → 不命中; 回看放宽到 25 → 命中
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bars = _bars("600000.SH", _HIT_CANDLES)
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daily = _daily("600000.SH", 25, {4})
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assert minute_red_streak.filter_minute_history(bars, {}, daily=daily).is_empty()
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out = minute_red_streak.filter_minute_history(
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bars, {"limit_up_days": 25}, daily=daily
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)
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assert out["symbol"].to_list() == ["600000.SH"]
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def test_pattern_limit_up_fails_closed_without_daily():
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# 日线窗口缺失时失败闭合 (宁可漏过不可错报)
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out = minute_red_streak.filter_minute_history(_bars("600000.SH", _HIT_CANDLES), {})
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assert out.is_empty()
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def test_pattern_limit_up_disabled_ignores_daily():
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out = minute_red_streak.filter_minute_history(
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_bars("600000.SH", _HIT_CANDLES), {"require_limit_up": False}
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)
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assert out["symbol"].to_list() == ["600000.SH"]
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assert "recent_limit_ups" not in out.columns
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# ── 引擎加载与运行 ──────────────────────────────────────────────────
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def test_custom_minute_strategy_loads_with_minute_filter_backend():
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# 自定义策略与内置策略共用同一加载器: 夹具目录即一个 custom 目录
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engine = StrategyEngine(strategy_dirs=[STRATEGY_FIXTURE_DIR])
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assert not [e for e in engine.load_errors() if "minute" in e["file"]]
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s = engine.get("minute_red_streak")
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assert s.execution_backend == "minute_filter"
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assert s.filter_minute_history_fn is not None
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assert s.meta["timeframes"] == ["1m"]
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assert s.source == "custom"
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def _minute_code(sid: str, timeframes: str = '["1m"]', extra: str = "") -> str:
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return f'''import polars as pl
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META = {{"id": "{sid}", "name": "{sid}", "asset_types": ["stock"], "timeframes": {timeframes}}}
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EXECUTION_BACKEND = "minute_filter"
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{extra}
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def filter_minute_history(df, params):
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return df.group_by("symbol").agg(
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close=pl.col("close").max(), last_datetime=pl.col("datetime").max()
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)
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'''
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def test_minute_filter_backend_validation(tmp_path):
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(tmp_path / "ok.py").write_text(_minute_code("m_ok"))
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(tmp_path / "bad_filter.py").write_text(
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_minute_code("m_bad1", extra="def filter(df, params):\n return pl.lit(True)")
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)
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(tmp_path / "bad_tf.py").write_text(_minute_code("m_bad2", timeframes='["1d", "1m"]'))
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engine = StrategyEngine(strategy_dirs=[tmp_path])
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ids = {m["id"] for m in engine.list_strategies(include_research=True)}
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assert "m_ok" in ids
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assert "m_bad1" not in ids
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assert "m_bad2" not in ids
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assert any("only filter_minute_history" in e["error"] for e in engine.load_errors())
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assert any("timeframes" in e["error"] for e in engine.load_errors())
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def test_minute_filter_daily_history_validation(tmp_path):
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# 声明 daily_history_bars: fn 必须接受 daily 关键字, 且范围 [0, 250]
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(tmp_path / "m_daily_ok.py").write_text(
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'import polars as pl\n'
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'META = {"id": "m_daily_ok", "name": "x", "asset_types": ["stock"], '
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'"timeframes": ["1m"], "daily_history_bars": 20}\n'
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'EXECUTION_BACKEND = "minute_filter"\n'
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'def filter_minute_history(df, params, *, daily=None):\n'
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' return df.group_by("symbol").agg(close=pl.col("close").max())\n'
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)
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(tmp_path / "m_daily_kw.py").write_text(
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'import polars as pl\n'
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'META = {"id": "m_daily_kw", "name": "x", "asset_types": ["stock"], '
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'"timeframes": ["1m"], "daily_history_bars": 20}\n'
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'EXECUTION_BACKEND = "minute_filter"\n'
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'def filter_minute_history(df, params):\n'
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' return df.group_by("symbol").agg(close=pl.col("close").max())\n'
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)
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(tmp_path / "m_daily_range.py").write_text(
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'import polars as pl\n'
|
|
'META = {"id": "m_daily_range", "name": "x", "asset_types": ["stock"], '
|
|
'"timeframes": ["1m"], "daily_history_bars": 300}\n'
|
|
'EXECUTION_BACKEND = "minute_filter"\n'
|
|
'def filter_minute_history(df, params, *, daily=None):\n'
|
|
' return df.group_by("symbol").agg(close=pl.col("close").max())\n'
|
|
)
|
|
engine = StrategyEngine(strategy_dirs=[tmp_path])
|
|
assert engine.has("m_daily_ok")
|
|
assert engine.get("m_daily_ok").minute_daily_bars == 20
|
|
assert not engine.has("m_daily_kw")
|
|
assert not engine.has("m_daily_range")
|
|
assert any("'daily' keyword" in e["error"] for e in engine.load_errors())
|
|
assert any("[0, 250]" in e["error"] for e in engine.load_errors())
|
|
|
|
|
|
def test_minute_run_injects_daily_history(tmp_path):
|
|
# fn 直接消费 daily (对涨停信号求和), 验证引擎把 context.daily_history 注入
|
|
(tmp_path / "m_use_daily.py").write_text(
|
|
'import polars as pl\n'
|
|
'META = {"id": "m_use_daily", "name": "x", "asset_types": ["stock"], '
|
|
'"timeframes": ["1m"], "daily_history_bars": 10}\n'
|
|
'EXECUTION_BACKEND = "minute_filter"\n'
|
|
'def filter_minute_history(df, params, *, daily=None):\n'
|
|
' if daily is None:\n'
|
|
' return pl.DataFrame(schema={"symbol": pl.Utf8})\n'
|
|
' return daily.group_by("symbol").agg(\n'
|
|
' close=pl.col("signal_limit_up").sum() + 10.0)\n'
|
|
)
|
|
engine = StrategyEngine(strategy_dirs=[tmp_path])
|
|
context = StrategyDataContext(
|
|
asset_type="stock",
|
|
timeframe="1m",
|
|
as_of=date(2026, 8, 25),
|
|
current=pl.DataFrame({
|
|
"symbol": ["600001.SH"],
|
|
"name": ["正常股"],
|
|
"total_shares": [1e8],
|
|
"float_shares": [5e7],
|
|
"amount": [3e8],
|
|
"change_pct": [0.01],
|
|
}),
|
|
history=_bars("600001.SH", [(10.0, 10.2, 10.3)] * 7),
|
|
daily_history=_daily("600001.SH", 10, {2}),
|
|
)
|
|
result = engine.run("m_use_daily", context)
|
|
assert result.total == 1
|
|
assert result.rows[0]["close"] == 11 # 10 + 窗口内 1 次收盘涨停
|
|
|
|
|
|
def test_minute_context_run_applies_enriched_basic_filter(tmp_path):
|
|
(tmp_path / "m_basic.py").write_text(_minute_code("m_basic"))
|
|
engine = StrategyEngine(strategy_dirs=[tmp_path])
|
|
|
|
hist = pl.concat([
|
|
_bars("600001.SH", [(10.0, 20.0, 25.0)] * 7), # 命中, 收盘 20
|
|
_bars("600002.SH", [(10.0, 20.0, 25.0)] * 7), # 命中但 ST → 剔除
|
|
_bars("600003.SH", [(10.0, 20.0, 25.0)] * 7), # 命中
|
|
_bars("600004.SH", [(100.0, 200.0, 250.0)] * 7), # 命中但收盘 200 → 超上限剔除
|
|
])
|
|
current = pl.DataFrame({
|
|
"symbol": ["600001.SH", "600002.SH", "600003.SH", "600004.SH"],
|
|
"name": ["正常股", "ST垃圾", "正常股2", "高价股"],
|
|
"total_shares": [1e8, 1e8, 1e8, 1e8],
|
|
"float_shares": [5e7, 5e7, 5e7, 5e7],
|
|
"amount": [3e8, 3e8, 3e8, 3e8],
|
|
"change_pct": [0.01, 0.01, 0.01, 0.01],
|
|
})
|
|
context = StrategyDataContext(
|
|
asset_type="stock",
|
|
timeframe="1m",
|
|
as_of=date(2026, 8, 25),
|
|
current=current,
|
|
history=hist,
|
|
)
|
|
result = engine.run(
|
|
"m_basic", context, overrides={"basic_filter": {"price_max": 150.0}}
|
|
)
|
|
symbols = {r["symbol"] for r in result.rows}
|
|
assert symbols == {"600001.SH", "600003.SH"}
|
|
assert all("name" in r for r in result.rows) # enriched 列已联表
|
|
assert {h["symbol"] for h in result.entry_signal_hits} == symbols
|
|
|
|
|
|
def test_minute_strategy_rejects_daily_context(tmp_path):
|
|
(tmp_path / "m_daily.py").write_text(_minute_code("m_daily"))
|
|
engine = StrategyEngine(strategy_dirs=[tmp_path])
|
|
context = StrategyDataContext(
|
|
asset_type="stock",
|
|
timeframe="1d",
|
|
as_of=date(2026, 8, 25),
|
|
current=pl.DataFrame({"symbol": ["600001.SH"]}),
|
|
)
|
|
try:
|
|
engine.run("m_daily", context)
|
|
raise AssertionError("expected ValueError")
|
|
except ValueError as e:
|
|
assert "timeframe" in str(e)
|
|
|
|
|
|
# ── ScreenerService 1m context ──────────────────────────────────────
|
|
|
|
|
|
class _FakeMinuteRepo:
|
|
def __init__(self, partitions: dict[date, pl.DataFrame]):
|
|
self.partitions = partitions
|
|
|
|
def get_minute_by_dates(self, symbols, dates, asset_type="stock"):
|
|
frames = [self.partitions[d] for d in dates if d in self.partitions]
|
|
if not frames:
|
|
return pl.DataFrame()
|
|
return pl.concat(frames).filter(pl.col("symbol").is_in(symbols))
|
|
|
|
def latest_minute_date_global(self):
|
|
return max(self.partitions) if self.partitions else None
|
|
|
|
|
|
def _svc(partitions: dict[date, pl.DataFrame], asset_type: str = "stock") -> ScreenerService:
|
|
return ScreenerService(_FakeMinuteRepo(partitions), asset_type=asset_type) # type: ignore[arg-type]
|
|
|
|
|
|
def test_minute_context_prefers_as_of_partition():
|
|
d1, d2 = date(2026, 8, 24), date(2026, 8, 25)
|
|
svc = _svc({
|
|
d1: _bars("600001.SH", [(10.0, 10.2, 10.3)] * 3),
|
|
d2: _bars("600001.SH", [(10.0, 10.2, 10.3)] * 4),
|
|
})
|
|
ctx = svc.build_strategy_context(
|
|
None, d1, [], timeframe="1m",
|
|
current=pl.DataFrame({"symbol": ["600001.SH"], "name": ["x"]}),
|
|
)
|
|
assert ctx.history.height == 3 # as_of 当日分区, 不取更新的 d2
|
|
assert ctx.timeframe == "1m"
|
|
|
|
|
|
def test_minute_context_falls_back_to_latest_partition():
|
|
d1, d2 = date(2026, 8, 24), date(2026, 8, 25)
|
|
svc = _svc({
|
|
d1: _bars("600001.SH", [(10.0, 10.2, 10.3)] * 3),
|
|
d2: _bars("600001.SH", [(10.0, 10.2, 10.3)] * 4),
|
|
})
|
|
ctx = svc.build_strategy_context(
|
|
None, date(2026, 8, 20), [], timeframe="1m",
|
|
current=pl.DataFrame({"symbol": ["600001.SH"]}),
|
|
)
|
|
assert ctx.history.height == 4 # 回退到最近分区 d2
|
|
|
|
|
|
def test_minute_context_empty_store_raises_with_guidance():
|
|
svc = _svc({})
|
|
try:
|
|
svc.build_strategy_context(
|
|
None, date(2026, 8, 25), [], timeframe="1m",
|
|
current=pl.DataFrame({"symbol": ["600001.SH"]}),
|
|
)
|
|
raise AssertionError("expected ValueError")
|
|
except ValueError as e:
|
|
assert "分钟K" in str(e)
|
|
|
|
|
|
def test_minute_context_rejects_non_stock_asset():
|
|
svc = _svc({date(2026, 8, 25): _bars("510300.SH", [(10.0, 10.2, 10.3)] * 3)}, asset_type="etf")
|
|
try:
|
|
svc.build_strategy_context(
|
|
None, date(2026, 8, 25), [], timeframe="1m",
|
|
current=pl.DataFrame({"symbol": ["510300.SH"]}),
|
|
)
|
|
raise AssertionError("expected ValueError")
|
|
except ValueError as e:
|
|
assert "A 股" in str(e)
|
|
|
|
|
|
def test_minute_context_loads_daily_history_for_declared_strategies():
|
|
class _FakeEngine:
|
|
def minute_daily_history_bars(self, strategy_ids):
|
|
return 5
|
|
|
|
daily = _daily("600001.SH", 6, {1})
|
|
repo = _FakeMinuteRepo({date(2026, 8, 25): _bars("600001.SH", [(10.0, 10.2, 10.3)] * 3)})
|
|
repo.get_enriched_history = lambda target_date, lookback_days: daily # type: ignore[method-assign]
|
|
repo.get_instruments_asset = lambda asset_type: None # type: ignore[method-assign]
|
|
svc = ScreenerService(repo, asset_type="stock") # type: ignore[arg-type]
|
|
ctx = svc.build_strategy_context(
|
|
_FakeEngine(), date(2026, 8, 25), ["m_x"], timeframe="1m",
|
|
current=pl.DataFrame({"symbol": ["600001.SH"], "name": ["x"]}),
|
|
)
|
|
assert ctx.daily_history is not None
|
|
assert ctx.daily_history.height == 6 # 引擎声明 5 → 装配日线窗口
|
|
|
|
|
|
def test_minute_context_without_engine_skips_daily_history():
|
|
svc = _svc({date(2026, 8, 25): _bars("600001.SH", [(10.0, 10.2, 10.3)] * 3)})
|
|
ctx = svc.build_strategy_context(
|
|
None, date(2026, 8, 25), [], timeframe="1m",
|
|
current=pl.DataFrame({"symbol": ["600001.SH"]}),
|
|
)
|
|
assert ctx.daily_history is None # 无引擎声明 → 不装配日线
|