from datetime import UTC, datetime, timedelta, timezone from decimal import ROUND_CEILING, ROUND_FLOOR, Decimal import pytest from alphapulse.trading.plan import ( OrderSpec, PlanContext, PlanError, SymbolRules, TradePlan, desired_orders, diff_orders, next_routine_at, round_to_step, size_plan, split_take_profits, ) BTC = SymbolRules(tick_size=Decimal("0.1"), step_size=Decimal("0.0001"), min_notional=Decimal("50")) def context(**overrides) -> PlanContext: values = { "angle": "long", "mark_price": Decimal("82000"), "capital": Decimal("1000"), "other_notional": Decimal("0"), "rules": BTC, "has_plan": False, "position_side": None, } return PlanContext(**{**values, **overrides}) def long_plan(**overrides) -> TradePlan: values = { "action": "plan", "summary": "长线做多", "reasons": "支撑区", "risks": "无", "direction": "long", "confidence": "medium", "entries": [{"price": "81000", "ratio": "0.4", "basis": "区1"}, {"price": "80000", "ratio": "0.6", "basis": "区2"}], "stop": "79500", "stop_basis": "区下沿外", "take_profits": [{"price": "83000", "basis": "压1"}, {"price": "84000", "basis": "压2"}, {"price": "85000", "basis": "压3"}], "entry_valid_hours": "24", "max_hold_hours": "48", "invalidation": {"direction": "below", "price": "79800", "timeframe": "4h", "basis": "跌破区"}, } return TradePlan.model_validate({**values, **overrides}) def short_term_plan(**overrides) -> TradePlan: values = { "action": "plan", "summary": "短线做空", "reasons": "压力区", "risks": "无", "direction": "short", "confidence": "medium", "entries": [{"price": "82500", "ratio": "1", "basis": "压力区"}], "stop": "82900", "take_profits": [{"price": "81800", "basis": "支1"}, {"price": "81300", "basis": "支2"}], "entry_valid_hours": "4", "max_hold_hours": "24", "invalidation": {"direction": "above", "price": "82800", "timeframe": "15m", "basis": "站上区"}, } return TradePlan.model_validate({**values, **overrides}) def errors_of(plan: TradePlan, ctx: PlanContext) -> str: with pytest.raises(PlanError) as e: size_plan(plan, ctx) return "；".join(e.value.errors) def test_round_to_step(): assert round_to_step(Decimal("81000.05"), Decimal("0.1"), ROUND_FLOOR) == Decimal("81000.0") # 整数输入不能变成指数形式 assert str(round_to_step(Decimal("80500"), Decimal("0.1"), ROUND_FLOOR)) == "80500.0" assert round_to_step(Decimal("82500.01"), Decimal("0.1"), ROUND_CEILING) == Decimal("82500.1") assert round_to_step(Decimal("0.00829908"), Decimal("0.0001"), ROUND_FLOOR) == Decimal("0.0082") def test_split_take_profits_keeps_total(): parts = split_take_profits(Decimal("0.0206"), (Decimal("0.5"), Decimal("0.3"), Decimal("0.2")), Decimal("0.0001")) assert parts == [Decimal("0.0103"), Decimal("0.0061"), Decimal("0.0042")] assert sum(parts) == Decimal("0.0206") assert split_take_profits(Decimal("0.001"), (Decimal("0.5"), Decimal("0.3"), Decimal("0.2")), Decimal("0.001")) == [0, 0, Decimal("0.001")] def test_long_plan_sizing_matches_hand_calculation(): sizing = size_plan(long_plan(), context()) # 均价 0.4×81000 + 0.6×80000 = 80400；单位亏损 900 + (80400+79500)×0.0004 = 963.96；20 ÷ 963.96 = 0.020747 assert sizing["average_price"] == "80400.0" assert [e["quantity"] for e in sizing["entries"]] == ["0.0082", "0.0124"] assert sizing["quantity"] == "0.0206" assert sizing["notional"] == "1656.20" assert sizing["risk_amount"] == "20.00" assert sizing["risk_at_stop"] == "19.82" # (0.5×2600 + 0.3×3600 + 0.2×4600) ÷ 900；只成交首档 (0.5×2000 + 0.3×3000 + 0.2×4000) ÷ 1500 assert sizing["reward_risk"] == "3.67" assert sizing["reward_risk_first_only"] == "1.80" assert [t["quantity"] for t in sizing["take_profits"]] == ["0.0103", "0.0061", "0.0042"] assert sizing["capped_by_leverage"] is False def test_low_confidence_halves_risk(): sizing = size_plan(long_plan(confidence="low"), context()) assert sizing["risk_amount"] == "10.00" # 10 ÷ 963.96 = 0.010374：0.4 档 0.0041，0.6 档 0.0062 assert sizing["quantity"] == "0.0103" def test_leverage_cap_counts_other_positions(): sizing = size_plan(long_plan(), context(other_notional=Decimal("2000"))) assert sizing["capped_by_leverage"] is True assert Decimal(sizing["notional"]) <= Decimal("1000") def test_short_term_short_plan(): sizing = size_plan(short_term_plan(), context(angle="short")) # 止盈 1 盈亏比 700 ÷ 400 assert sizing["reward_risk"] == "1.75" assert sizing["risk_amount"] == "10.00" assert len(sizing["take_profits"]) == 2 def test_short_prices_round_up(): sizing = size_plan(short_term_plan(entries=[{"price": "82500.01", "ratio": "1", "basis": "x"}]), context(angle="short")) assert sizing["entries"][0]["price"] == "82500.1" def test_rejects_wrong_counts_and_timeframe(): message = errors_of(short_term_plan(entries=[{"price": "82500", "ratio": "0.5", "basis": "a"}, {"price": "82600", "ratio": "0.5", "basis": "b"}]), context(angle="short")) assert "短线只能 1 档入场" in message assert "长线失效条件的周期只能是 4h" in errors_of(long_plan(invalidation={"direction": "below", "price": "79800", "timeframe": "1h", "basis": "x"}), context()) assert "长线须给 3 个止盈" in errors_of(long_plan(take_profits=[{"price": "83000", "basis": "a"}]), context()) def test_rejects_bad_price_order(): message = errors_of(long_plan(stop="80500"), context()) assert "做多时止损 80500.0 应在失效价 79800 之外" in message assert "止盈 1 81000.0 已越过现价" in errors_of(long_plan(take_profits=[{"price": "81000", "basis": "a"}, {"price": "84000", "basis": "b"}, {"price": "85000", "basis": "c"}], entries=[{"price": "80500", "ratio": "1", "basis": "a"}]), context()) def test_rejects_low_reward_risk(): # (0.5×400 + 0.3×600 + 0.2×800) ÷ 500 = 1.08 plan = long_plan(take_profits=[{"price": "80400", "basis": "a"}, {"price": "80600", "basis": "b"}, {"price": "80800", "basis": "c"}], entries=[{"price": "80000", "ratio": "1", "basis": "a"}]) assert "盈亏比 1.08" in errors_of(plan, context(mark_price=Decimal("80300"))) def test_rejects_entries_below_min_notional(): message = errors_of(long_plan(entries=[{"price": "81000", "ratio": "0.02", "basis": "a"}, {"price": "80000", "ratio": "0.98", "basis": "b"}]), context()) assert "最小下单金额 50" in message assert "第 1 档" in message def test_action_rules(): assert "不能用 keep" in errors_of(TradePlan(action="keep", summary="s", reasons="r", risks="x"), context()) assert "不能用 wait" in errors_of(TradePlan(action="wait", summary="s", reasons="r", risks="x"), context(position_side="long")) assert size_plan(TradePlan(action="wait", summary="s", reasons="r", risks="x"), context()) == {} satisfied = TradePlan(action="wait", summary="s", reasons="r", risks="x", reevaluate=[{"direction": "above", "price": "81000", "timeframe": "1h", "basis": "x"}]) assert "已经满足" in errors_of(satisfied, context()) assert "方向必须一致" in errors_of(long_plan(), context(position_side="short")) # ---------- 有持仓时的新计划 ---------- def managed_plan(**overrides) -> TradePlan: values = { "action": "plan", "summary": "调整", "reasons": "r", "risks": "x", "direction": "long", "confidence": "medium", "stop": "80000", "take_profits": [{"price": "83000", "basis": "a"}, {"price": "84000", "basis": "b"}, {"price": "85000", "basis": "c"}], "invalidation": {"direction": "below", "price": "80500", "timeframe": "4h", "basis": "x"}, } return TradePlan.model_validate({**values, **overrides}) def holding(**overrides) -> PlanContext: return context(position_side="long", position_qty=Decimal("0.0100"), position_entry=Decimal("81000"), current_stop=Decimal("79500"), has_plan=True, **overrides) def test_managed_plan_does_not_add_and_splits_position(): sizing = size_plan(managed_plan(), holding()) assert sizing["managed"] is True assert sizing["entries"] == [] assert [t["quantity"] for t in sizing["take_profits"]] == ["0.0050", "0.0030", "0.0020"] assert sizing["position_qty"] == "0.0100" assert "entries 须为空" in errors_of(managed_plan(entries=[{"price": "80000", "ratio": "1", "basis": "a"}]), holding()) def test_managed_plan_only_tightens_stop(): assert "止损只能收紧" in errors_of(managed_plan(stop="79000", invalidation={"direction": "below", "price": "79400", "timeframe": "4h", "basis": "x"}), holding()) # ---------- 应有订单 ---------- LONG_SIZING = { "direction": "long", "managed": False, "quantity": "0.0030", "entries": [{"price": "81000.0", "quantity": "0.0012"}, {"price": "80000.0", "quantity": "0.0018"}], "take_profits": [{"price": "83000.0", "ratio": "0.5"}, {"price": "84000.0", "ratio": "0.3"}, {"price": "85000.0", "ratio": "0.2"}], } ZERO3 = [Decimal(0)] * 3 def test_desired_orders_before_fill_places_entries_and_stop_together(): orders = desired_orders(LONG_SIZING, entries_open=True, entry_filled=[Decimal(0)] * 2, tp_filled=ZERO3, position_qty=Decimal(0), stop_price=Decimal("79500"), step_size=Decimal("0.0001")) assert [(o.purpose, o.leg, o.side, o.quantity) for o in orders] == [ ("entry", 0, "BUY", Decimal("0.0012")), ("entry", 1, "BUY", Decimal("0.0018")), ("stop", None, "SELL", Decimal("0.0030")), ] def test_desired_orders_partial_fill_splits_take_profits_by_filled(): orders = desired_orders(LONG_SIZING, entries_open=True, entry_filled=[Decimal("0.0012"), Decimal("0.0004")], tp_filled=ZERO3, position_qty=Decimal("0.0016"), stop_price=Decimal("79500"), step_size=Decimal("0.0001")) assert [(o.purpose, o.leg, o.quantity) for o in orders] == [ ("entry", 1, Decimal("0.0014")), ("stop", None, Decimal("0.0030")), ("tp", 0, Decimal("0.0008")), ("tp", 1, Decimal("0.0004")), ("tp", 2, Decimal("0.0004")), ] def test_desired_orders_after_tp1_keeps_remaining_targets_only(): orders = desired_orders(LONG_SIZING, entries_open=False, entry_filled=[Decimal("0.0012"), Decimal("0.0018")], tp_filled=[Decimal("0.0015"), Decimal(0), Decimal(0)], position_qty=Decimal("0.0015"), stop_price=Decimal("81050"), step_size=Decimal("0.0001")) assert [(o.purpose, o.leg, o.quantity, o.trigger_price) for o in orders] == [ ("stop", None, Decimal("0.0030"), Decimal("81050")), ("tp", 1, Decimal("0.0009"), None), ("tp", 2, Decimal("0.0006"), None), ] def test_desired_orders_nothing_when_flat_and_entries_closed(): assert desired_orders(LONG_SIZING, entries_open=False, entry_filled=[Decimal(0)] * 2, tp_filled=ZERO3, position_qty=Decimal(0), stop_price=Decimal("79500"), step_size=Decimal("0.0001")) == [] def test_diff_orders_matches_by_value(): keep = OrderSpec("stop", None, "SELL", "STOP_MARKET", None, Decimal("79500.0"), Decimal("0.0030")) stale = OrderSpec("entry", 0, "BUY", "LIMIT", Decimal("81000"), None, Decimal("0.0012")) wanted = OrderSpec("entry", 0, "BUY", "LIMIT", Decimal("80900"), None, Decimal("0.0012")) cancel, place = diff_orders([OrderSpec("stop", None, "SELL", "STOP_MARKET", None, Decimal("79500"), Decimal("0.003")), wanted], [(1, keep), (2, stale)]) assert cancel == [2] assert place == [wanted] def test_next_routine_at_aligns_to_candle_close(): tz8 = timezone(timedelta(hours=8)) # 北京 10:20 = UTC 02:20；短线 +45 分钟后的第一个整点 UTC 04:00，再加 1 分钟 assert next_routine_at(datetime(2026, 10, 15, 10, 20, tzinfo=tz8), "short") == datetime(2026, 10, 15, 4, 1, tzinfo=UTC) assert next_routine_at(datetime(2026, 10, 15, 3, 1, tzinfo=UTC), "short") == datetime(2026, 10, 15, 4, 1, tzinfo=UTC) # 长线：UTC 04:01 + 3h = 07:01，下一个 4h 收盘 08:00 assert next_routine_at(datetime(2026, 10, 15, 4, 1, tzinfo=UTC), "long") == datetime(2026, 10, 15, 8, 1, tzinfo=UTC) def test_step_decimal_never_uses_exponent(): from alphapulse.trading.client import step_decimal assert str(step_decimal("0.10")) == "0.1" assert str(step_decimal("100")) == "100" assert str(round_to_step(Decimal("12345"), step_decimal("100"), ROUND_FLOOR)) == "12300"