"""ZT 正T/反T 规则：方向选择、手数与资金/库存封顶、买卖触发条件。""" import unittest from strategy.zt.rounds import KIND_LONG_T, KIND_SHORT_T from strategy.zt.rules import ( choose_kind, entry_triggered, entry_volume, exit_triggered, exit_volume, price_allowed, ) BASE_COST = 10.0 class ChooseKindTests(unittest.TestCase): def test_band_decides_the_direction(self): self.assertEqual(choose_kind(9.0, BASE_COST, 1.0), KIND_LONG_T) self.assertEqual(choose_kind(11.0, BASE_COST, 1.0), KIND_SHORT_T) def test_neutral_band_does_nothing(self): for price in (9.91, 10.0, 10.09): with self.subTest(price=price): self.assertIsNone(choose_kind(price, BASE_COST, 1.0)) def test_invalid_inputs_yield_no_direction(self): for price, cost, band in ((0, BASE_COST, 1.0), (-1, BASE_COST, 1.0), (9.0, 0, 1.0), (9.0, BASE_COST, -1)): with self.subTest(price=price, cost=cost, band=band): self.assertIsNone(choose_kind(price, cost, band)) def test_zero_band_picks_a_side_but_never_both(self): self.assertEqual(choose_kind(9.99, BASE_COST, 0), KIND_LONG_T) self.assertEqual(choose_kind(10.01, BASE_COST, 0), KIND_SHORT_T) def test_price_cap(self): self.assertTrue(price_allowed(199.0, 200.0)) self.assertFalse(price_allowed(200.01, 200.0)) self.assertFalse(price_allowed(0, 200.0)) class EntryVolumeTests(unittest.TestCase): def test_long_t_uses_hands_and_is_capped_by_cash(self): self.assertEqual(entry_volume(KIND_LONG_T, price=10.0, open_hands=3, sell_ratio=0.5, base_qty=0, can_use_volume=0, available=100000.0), 300) self.assertEqual(entry_volume(KIND_LONG_T, price=10.0, open_hands=3, sell_ratio=0.5, base_qty=0, can_use_volume=0, available=2500.0), 200) self.assertEqual(entry_volume(KIND_LONG_T, price=10.0, open_hands=3, sell_ratio=0.5, base_qty=0, can_use_volume=0, available=999.0), 0) def test_long_t_never_forces_a_lot_when_cash_is_short(self): # 与 calc_buy_volume 的 max(1, ...) 不同：这里买不起就不买。 self.assertEqual(entry_volume(KIND_LONG_T, price=1500.0, open_hands=1, sell_ratio=0.5, base_qty=0, can_use_volume=0, available=5000.0), 0) def test_short_t_uses_ratio_and_is_capped_by_sellable_inventory(self): self.assertEqual(entry_volume(KIND_SHORT_T, price=10.0, open_hands=3, sell_ratio=0.5, base_qty=1000, can_use_volume=1000, available=0.0), 500) self.assertEqual(entry_volume(KIND_SHORT_T, price=10.0, open_hands=3, sell_ratio=0.5, base_qty=1000, can_use_volume=250, available=0.0), 200) self.assertEqual(entry_volume(KIND_SHORT_T, price=10.0, open_hands=3, sell_ratio=0.5, base_qty=1000, can_use_volume=99, available=0.0), 0) self.assertEqual(entry_volume(KIND_SHORT_T, price=10.0, open_hands=3, sell_ratio=0.5, base_qty=100, can_use_volume=100, available=0.0), 0) def test_unknown_kind_or_bad_price_does_nothing(self): self.assertEqual(entry_volume('???', price=10.0, open_hands=3, sell_ratio=0.5, base_qty=100, can_use_volume=100, available=1e6), 0) self.assertEqual(entry_volume(KIND_LONG_T, price=0.0, open_hands=3, sell_ratio=0.5, base_qty=0, can_use_volume=0, available=1e6), 0) class ExitVolumeTests(unittest.TestCase): def test_long_t_exit_is_limited_by_sellable_inventory(self): # 正T 当天买入的份额 T+1 才可卖：可卖为 0 时只能留成隔夜。 self.assertEqual(exit_volume(KIND_LONG_T, residual_qty=300, price=10.0, can_use_volume=0, available=1e6), 0) self.assertEqual(exit_volume(KIND_LONG_T, residual_qty=300, price=10.0, can_use_volume=300, available=1e6), 300) self.assertEqual(exit_volume(KIND_LONG_T, residual_qty=300, price=10.0, can_use_volume=250, available=1e6), 200) self.assertEqual(exit_volume(KIND_LONG_T, residual_qty=150, price=10.0, can_use_volume=100, available=1e6), 100) def test_short_t_exit_is_limited_by_cash(self): self.assertEqual(exit_volume(KIND_SHORT_T, residual_qty=500, price=10.0, can_use_volume=0, available=3000.0), 300) self.assertEqual(exit_volume(KIND_SHORT_T, residual_qty=500, price=10.0, can_use_volume=0, available=100000.0), 500) self.assertEqual(exit_volume(KIND_SHORT_T, residual_qty=500, price=10.0, can_use_volume=0, available=50.0), 0) def test_nothing_to_close(self): for residual in (0, -100): with self.subTest(residual=residual): self.assertEqual(exit_volume(KIND_LONG_T, residual_qty=residual, price=10.0, can_use_volume=1000, available=1e6), 0) class TriggerTests(unittest.TestCase): def test_entry_needs_direction_plus_confirmation(self): self.assertTrue(entry_triggered(KIND_LONG_T, 9.0, BASE_COST, band_pct=1.0, rebound_confirmed=True, retrace_confirmed=False)) self.assertFalse(entry_triggered(KIND_LONG_T, 9.0, BASE_COST, band_pct=1.0, rebound_confirmed=False, retrace_confirmed=True)) self.assertTrue(entry_triggered(KIND_SHORT_T, 11.0, BASE_COST, band_pct=1.0, rebound_confirmed=False, retrace_confirmed=True)) # 方向与位置不符时即使确认也不触发 self.assertFalse(entry_triggered(KIND_SHORT_T, 9.0, BASE_COST, band_pct=1.0, rebound_confirmed=True, retrace_confirmed=True)) self.assertFalse(entry_triggered(KIND_LONG_T, 10.0, BASE_COST, band_pct=1.0, rebound_confirmed=True, retrace_confirmed=True)) def test_short_t_exit_needs_fall_and_rebound(self): kwargs = dict(buy_fall_pct=1.0, profit_step_pct=1.0) self.assertTrue(exit_triggered(KIND_SHORT_T, 9.8, 10.0, rebound_confirmed=True, **kwargs)) self.assertFalse(exit_triggered(KIND_SHORT_T, 9.8, 10.0, rebound_confirmed=False, **kwargs)) self.assertFalse(exit_triggered(KIND_SHORT_T, 9.95, 10.0, rebound_confirmed=True, **kwargs)) def test_long_t_exit_needs_a_profit_step(self): kwargs = dict(buy_fall_pct=1.0, profit_step_pct=1.0) self.assertTrue(exit_triggered(KIND_LONG_T, 10.1, 10.0, rebound_confirmed=False, **kwargs)) self.assertFalse(exit_triggered(KIND_LONG_T, 10.0, 10.0, rebound_confirmed=True, **kwargs)) # 正T 平仓不看回落，回落到成本之下不卖 self.assertFalse(exit_triggered(KIND_LONG_T, 9.8, 10.0, rebound_confirmed=True, **kwargs)) def test_missing_basis_never_triggers(self): self.assertFalse(exit_triggered(KIND_LONG_T, 12.0, 0.0, buy_fall_pct=1.0, profit_step_pct=1.0, rebound_confirmed=True)) self.assertFalse(exit_triggered('???', 12.0, 10.0, buy_fall_pct=1.0, profit_step_pct=1.0, rebound_confirmed=True)) if __name__ == '__main__': unittest.main()