eezd
665c12fc31
When the limit price sat near the far edge of the zone, the stop beyond the far edge was well inside normal 5m noise (plan #34: 0.11%). The stop is now the farther of far edge +/- 0.5 x ATR and entry +/- 1 x ATR.
221 lines
13 KiB
Python
221 lines
13 KiB
Python
from datetime import UTC, datetime, timedelta, timezone
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from decimal import ROUND_CEILING, ROUND_FLOOR, Decimal
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import pytest
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from alphapulse.trading.plan import (
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Bar, OrderSpec, PlanContext, PlanError, SymbolRules, TradePlan, atr, check_setup, desired_orders, diff_orders, next_routine_at,
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round_to_step, setup_stop, size_entry, split_take_profits, take_profit_targets,
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)
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BTC = SymbolRules(tick_size=Decimal("0.1"), step_size=Decimal("0.0001"), min_notional=Decimal("50"))
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TZ8 = timezone(timedelta(hours=8))
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FIVE_MINUTES_MS = 5 * 60_000
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# BTCUSDT 永续 5m，2026-10-15 北京时间（开盘时间, 最高, 最低, 收盘），即用户举例的那段行情
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BTC_BARS = [
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("09:10", "81858.10", "81629.20", "81687.60"), ("09:15", "81771.40", "81570.20", "81716.40"),
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("09:20", "81732.40", "81584.80", "81584.90"), ("09:25", "81615.70", "81451.60", "81544.00"),
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("09:30", "81810.00", "81523.80", "81751.80"), ("09:35", "81827.40", "81675.00", "81731.70"),
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("09:40", "81832.80", "81700.80", "81809.50"), ("09:45", "81810.00", "81637.20", "81680.20"),
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("09:50", "81795.00", "81656.70", "81678.90"), ("09:55", "81730.00", "81575.10", "81602.00"),
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("10:00", "81619.40", "81495.20", "81507.10"), ("10:05", "81737.00", "81500.00", "81554.70"),
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("10:10", "81620.00", "81412.80", "81412.80"), ("10:15", "81775.10", "81406.20", "81769.20"),
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("10:20", "81770.10", "80664.20", "80700.10"), ("10:25", "81038.10", "80188.00", "80804.20"),
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("10:30", "81057.50", "80476.70", "80979.30"), ("10:35", "81293.20", "80959.00", "81081.90"),
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("10:40", "81293.00", "81053.30", "81293.00"), ("10:45", "81350.00", "81111.00", "81213.70"),
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("10:50", "81411.70", "81152.70", "81410.00"), ("10:55", "81646.50", "81409.90", "81500.00"),
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("11:00", "81514.40", "81077.70", "81153.30"), ("11:05", "81332.10", "81116.00", "81288.10"),
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]
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def ms(hhmm: str) -> int:
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hour, minute = map(int, hhmm.split(":"))
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return int(datetime(2026, 10, 15, hour, minute, tzinfo=TZ8).timestamp() * 1000)
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def bars_until(hhmm: str) -> list[Bar]:
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"""到 hhmm 为止的 K 线，最后一根是 hhmm 开盘、尚未收盘的那根"""
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return [Bar(ms(t), ms(t) + FIVE_MINUTES_MS - 1, Decimal(h), Decimal(lo), Decimal(c)) for t, h, lo, c in BTC_BARS if ms(t) <= ms(hhmm)]
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def context(**overrides) -> PlanContext:
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values = {
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"mark_price": Decimal("81000"), "capital": Decimal("1000"), "other_notional": Decimal("0"), "rules": BTC,
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"atr": Decimal("100"), "has_plan": False, "position_side": None,
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}
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return PlanContext(**{**values, **overrides})
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def setup_plan(**overrides) -> TradePlan:
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values = {
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"action": "plan", "summary": "回踩支撑做多", "reasons": "支撑区", "risks": "无", "direction": "long", "confidence": "medium",
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"setup": {"zone_low": "80200", "zone_high": "80700", "entry_price": "80500", "basis": "1h 支撑区"}, "valid_hours": "2",
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}
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return TradePlan.model_validate({**values, **overrides})
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def errors_of(plan: TradePlan, ctx: PlanContext) -> str:
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with pytest.raises(PlanError) as e:
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check_setup(plan, ctx)
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return "；".join(e.value.errors)
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def test_round_to_step():
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assert round_to_step(Decimal("81000.05"), Decimal("0.1"), ROUND_FLOOR) == Decimal("81000.0")
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# 整数输入不能变成指数形式
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assert str(round_to_step(Decimal("80500"), Decimal("0.1"), ROUND_FLOOR)) == "80500.0"
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assert round_to_step(Decimal("82500.01"), Decimal("0.1"), ROUND_CEILING) == Decimal("82500.1")
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assert round_to_step(Decimal("0.00829908"), Decimal("0.0001"), ROUND_FLOOR) == Decimal("0.0082")
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def test_split_take_profits_keeps_total():
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parts = split_take_profits(Decimal("0.0206"), (Decimal("0.5"), Decimal("0.3"), Decimal("0.2")), Decimal("0.0001"))
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assert parts == [Decimal("0.0103"), Decimal("0.0061"), Decimal("0.0042")]
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assert sum(parts) == Decimal("0.0206")
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assert split_take_profits(Decimal("0.001"), (Decimal("0.5"), Decimal("0.3"), Decimal("0.2")), Decimal("0.001")) == [0, 0, Decimal("0.001")]
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# ---------- 止损与仓位（用户的例子） ----------
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def test_atr_and_stop_from_example():
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value = atr(bars_until("10:25"))
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assert value.quantize(Decimal("0.0001")) == Decimal("302.9714")
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# 做多：支撑区 80200–80700 内挂 80500；止损 80200 − 0.5 × 302.97 = 80048.51 → 向下取整 80048.5，距挂单价 0.56%
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stop = setup_stop("long", Decimal("80500"), Decimal("80200"), value, BTC.tick_size)
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assert stop == Decimal("80048.5")
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entry = size_entry("long", Decimal("80500"), stop, capital=Decimal("1000"), other_notional=Decimal("0"), confidence="medium", rules=BTC)
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assert entry["stop_pct"] == "0.56"
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# 10 ÷ (451.5 + (80500 + 80048.5) × 0.0004 = 515.72) = 0.01939… → 0.0193
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assert entry["quantity"] == "0.0193"
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# 做空：区间上沿 81700 + 0.5 × 362.56 = 81881.28 离挂单价 81600 不到 1×ATR，取 81600 + 362.56 = 81962.56 → 向上取整 81962.6
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assert setup_stop("short", Decimal("81600"), Decimal("81700"), atr(bars_until("10:55")), BTC.tick_size) == Decimal("81962.6")
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def test_stop_keeps_one_atr_from_entry():
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# 计划 #34：做空挂 81690，区间上沿 81720.9，ATR 118.5。按远端算是 81780.2（0.11%），至少 1×ATR 后为 81808.5
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assert setup_stop("short", Decimal("81690"), Decimal("81720.9"), Decimal("118.5"), BTC.tick_size) == Decimal("81808.5")
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# 做多挂在下沿上方 50：80250 − 302.97 = 79947.03 → 向下取整 79947.0
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assert setup_stop("long", Decimal("80250"), Decimal("80200"), atr(bars_until("10:25")), BTC.tick_size) == Decimal("79947.0")
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def test_size_entry_rejects_far_stop_and_halves_low_confidence():
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with pytest.raises(PlanError, match="超过 1%"):
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size_entry("long", Decimal("80000"), Decimal("79100"), capital=Decimal("1000"), other_notional=Decimal("0"), confidence="high", rules=BTC)
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with pytest.raises(PlanError, match="亏损一侧"):
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size_entry("short", Decimal("80000"), Decimal("79900"), capital=Decimal("1000"), other_notional=Decimal("0"), confidence="high", rules=BTC)
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medium = size_entry("long", Decimal("80000"), Decimal("79600"), capital=Decimal("1000"), other_notional=Decimal("0"), confidence="medium", rules=BTC)
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low = size_entry("long", Decimal("80000"), Decimal("79600"), capital=Decimal("1000"), other_notional=Decimal("0"), confidence="low", rules=BTC)
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assert (medium["risk_amount"], low["risk_amount"]) == ("10.00", "5.00")
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# 止损很近时按 3 倍杠杆封顶：3000 − 其他币 1000 = 2000 ÷ 80000 = 0.025
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capped = size_entry("long", Decimal("80000"), Decimal("79990"), capital=Decimal("1000"), other_notional=Decimal("1000"), confidence="high", rules=BTC)
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assert (capped["quantity"], capped["capped_by_leverage"]) == ("0.0250", True)
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def test_take_profit_ladders():
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long = take_profit_targets("long", Decimal("80804.2"), Decimal("0.0120"), BTC)
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# +0.5% = 81208.22 → 81208.2；+0.75% = 81410.23 → 81410.2；+1% = 81612.24 → 81612.2；数量 60/30/10
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assert long == [(Decimal("81208.2"), Decimal("0.0072")), (Decimal("81410.2"), Decimal("0.0036")), (Decimal("81612.2"), Decimal("0.0012"))]
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short = take_profit_targets("short", Decimal("81500"), Decimal("0.0123"), BTC)
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# −0.5% = 81092.5；−0.75% = 80888.75 → 向上取整 80888.8；数量 80/20
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assert short == [(Decimal("81092.5"), Decimal("0.0098")), (Decimal("80888.8"), Decimal("0.0025"))]
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# ---------- 提交校验 ----------
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def test_check_setup_sizes_limit_entry():
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sizing = check_setup(setup_plan(), context())
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assert sizing["setup"] == {"zone_low": "80200", "zone_high": "80700"}
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# 止损 = 80200 − 0.5 × 100 = 80150，距 80500 为 0.43%；数量 10 ÷ (350 + 64.26) = 0.0241
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entry = sizing["entry"]
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assert (entry["price"], entry["stop"], entry["stop_pct"], entry["quantity"]) == ("80500.0", "80150.0", "0.43", "0.0241")
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assert sizing["position_qty"] == "0"
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def test_check_setup_rejects_bad_setups():
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def plan(direction="long", **setup):
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return setup_plan(direction=direction, setup={"zone_low": "80200", "zone_high": "80700", "entry_price": "80500", "basis": "x", **setup})
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assert "须低于上沿" in errors_of(plan(zone_low="80700", zone_high="80200"), context())
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assert "须在区间" in errors_of(plan(entry_price="80800"), context())
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# 限价单必须挂在现价下方（做空在上方），否则一挂就按市价成交
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assert "须低于现价" in errors_of(plan(), context(mark_price=Decimal("80400")))
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assert "须高于现价" in errors_of(plan("short"), context(mark_price=Decimal("80600")))
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assert "超过 1%" in errors_of(plan(zone_low="79600"), context())
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assert "valid_hours" in errors_of(setup_plan(valid_hours="3"), context())
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def test_action_rules():
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assert "不能用 keep" in errors_of(TradePlan(action="keep", summary="s", reasons="r", risks="x"), context())
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assert "不能用 wait" in errors_of(TradePlan(action="wait", summary="s", reasons="r", risks="x"), context(position_side="long"))
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assert check_setup(TradePlan(action="wait", summary="s", reasons="r", risks="x"), context()) == {}
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satisfied = TradePlan(action="wait", summary="s", reasons="r", risks="x",
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reevaluate=[{"direction": "above", "price": "80000", "timeframe": "5m", "basis": "x"}])
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assert "已经满足" in errors_of(satisfied, context())
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assert "只能 keep 或 exit" in errors_of(setup_plan(), context(position_side="long", has_plan=True))
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# ---------- 应有订单 ----------
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LIMIT_PLAN = {"direction": "long", "setup": {}, "entry": {"price": "80500.0", "quantity": "0.0241", "stop": "80150.0"}}
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NO_TP = [Decimal(0)] * 3
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def desired(**overrides):
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values = {"entries_open": True, "entry_filled": Decimal(0), "entry_average": None, "tp_filled": NO_TP,
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"position_qty": Decimal(0), "stop_price": Decimal("80150.0"), "rules": BTC}
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return desired_orders(LIMIT_PLAN, **{**values, **overrides})
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def test_desired_orders_places_limit_entry_with_stop():
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assert [(o.purpose, o.side, o.type, o.price, o.trigger_price, o.quantity) for o in desired()] == [
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("entry", "BUY", "LIMIT", Decimal("80500.0"), None, Decimal("0.0241")),
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("stop", "SELL", "STOP_MARKET", None, Decimal("80150.0"), Decimal("0.0241")),
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]
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def test_desired_orders_partial_fill_splits_take_profits_by_filled():
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orders = desired(entry_filled=Decimal("0.0100"), entry_average=Decimal("80500"), position_qty=Decimal("0.0100"))
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# 止盈：80500 × 1.005 = 80902.5，× 1.0075 = 81103.75 → 81103.7，× 1.01 = 81305；0.0100 按 60/30/10 拆
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assert [(o.purpose, o.leg, o.price, o.quantity) for o in orders] == [
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("entry", 0, Decimal("80500.0"), Decimal("0.0141")), ("stop", None, None, Decimal("0.0241")),
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("tp", 0, Decimal("80902.5"), Decimal("0.0060")), ("tp", 1, Decimal("81103.7"), Decimal("0.0030")),
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("tp", 2, Decimal("81305.0"), Decimal("0.0010")),
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]
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def test_desired_orders_after_tp1_keeps_remaining_targets_only():
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orders = desired(entries_open=False, entry_filled=Decimal("0.0241"), entry_average=Decimal("80500"),
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tp_filled=[Decimal("0.0144"), Decimal(0), Decimal(0)], position_qty=Decimal("0.0097"), stop_price=Decimal("80540.0"))
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assert [(o.purpose, o.leg, o.trigger_price, o.quantity) for o in orders] == [
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("stop", None, Decimal("80540.0"), Decimal("0.0241")), ("tp", 1, None, Decimal("0.0072")), ("tp", 2, None, Decimal("0.0025")),
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]
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def test_desired_orders_nothing_when_flat_and_entries_closed():
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assert desired(entries_open=False) == []
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def test_diff_orders_matches_by_value():
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keep = OrderSpec("stop", None, "SELL", "STOP_MARKET", None, Decimal("79500.0"), Decimal("0.0030"))
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stale = OrderSpec("entry", 0, "BUY", "LIMIT", Decimal("81000"), None, Decimal("0.0012"))
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wanted = OrderSpec("entry", 0, "BUY", "LIMIT", Decimal("80900"), None, Decimal("0.0012"))
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cancel, place = diff_orders([OrderSpec("stop", None, "SELL", "STOP_MARKET", None, Decimal("79500"), Decimal("0.003")), wanted],
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[(1, keep), (2, stale)])
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assert cancel == [2]
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assert place == [wanted]
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def test_next_routine_at_aligns_to_candle_close():
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# 北京 10:20 = UTC 02:20；+45 分钟后的第一个整点 UTC 04:00，再加 1 分钟
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assert next_routine_at(datetime(2026, 10, 15, 10, 20, tzinfo=TZ8)) == datetime(2026, 10, 15, 4, 1, tzinfo=UTC)
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assert next_routine_at(datetime(2026, 10, 15, 3, 1, tzinfo=UTC)) == datetime(2026, 10, 15, 4, 1, tzinfo=UTC)
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def test_step_decimal_never_uses_exponent():
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from alphapulse.trading.client import step_decimal
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assert str(step_decimal("0.10")) == "0.1"
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assert str(step_decimal("100")) == "100"
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assert str(round_to_step(Decimal("12345"), step_decimal("100"), ROUND_FLOOR)) == "12300"
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