from decimal import ROUND_CEILING, ROUND_FLOOR, Decimal import pytest from alphapulse.trading.plan import PlanContext, PlanError, SymbolRules, TradePlan, 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"))