本轮会话的三项正确性改造(均为「不报错、只让结果静默错」的类型):
1) 修复 stock_daily 量价单位前后不一致
- 现象:2015-2019 存 Tushare 原始单位(手/千元),2020 起存(股/元),2019 同日混合;
而流动性阈值按「元」配置 → 早年门槛实际是「日均成交额 ≥ 200 亿元」,
把 2015-2019 的股票池整体清空(实测 2016/2017/2018 各选出 0 只)。
- 修复:写入端 sync/price.py 统一换算;读取端 units.normalize_ohlcv_units
按行判定并幂等换算(price_history / avg_amount 都走它);
审计新增 UNIT-OHLCV 防回归。
- 效果:2016/2017/2018 的股票池变为 7/11/13 只。
2) 未来函数守卫(单次回测)
- 股票池自带 asof:若晚于回测起点即**拒绝执行**(原先静默冻结套用),
与 walk-forward 已有的拒绝理由一致;确需复现加 --allow-lookahead-universe,
偏差写入 unimplemented_json。
3) 新增实时(PIT)个股画像闸门
- profile/pit.py:每个决策日按当时可见数据重算过去 5 年画像,
惰性(仅买入条件已触发的标的)、面板按 asof 缓存、
规则不含财务指标时不查财报表;被剔除时产出 REJECT + 逐规则留痕。
- 指标定义复用 ProfileBuilder._profile_one(与批量画像逐值等价的回归测试)。
- profile/coverage.py:窗口覆盖率(按交易日历的真实开市天数),
策略新增 entry.profile_gate.min_window_coverage(默认 0,不改变既有行为)。
- core/metrics.py:闸门可用指标的唯一定义(配置期即校验,避免写错指标名静默失效)。
4) 行情回补到 2005(使 5/8/10 年窗口真正完整)
- stock_daily / adjust_factor / daily_basic 补到 2005-01-04;
hd_suspend / hd_limit 补到 2010-01-04。
- 5 年窗口覆盖率:2018-05-18 由 67.0% → 99.1%,2016-12-30 由 39.8% → 99.0%;
残差经逐日与 hd_suspend 交叉核实为真实停牌(16/16 命中)。
- 审计 G2/G3 与断点续传原先用固定阈值(2000 / 1500 只),
会把 2005-2009 的正常数据误判为异常 —— 改为按「当年应有上市股票数」成比例判定。
- 节流修正:daily/adj_factor/daily_basic 限频 480 → 170(实测该 token 约 196/min 即被拒)。
5) 自我声明如实化
- 原先「约束未生效」由「过滤后集合为空」判定,会把「这批股票恰好没停牌」
误报成「hd_suspend 无数据」;改为按表级判定。
- 补齐此前静默的「配置承诺但未实现」项:suspended_rule/limit_up_down_rule 的 defer、
cash_mode=reinvest/reinvest_rule、handle_rights_issue、signal_to_execution、
max_volume_pct、liquidity_limit_pct_adv —— 全部写入 unimplemented_json。
6) 手册:新增 §0「全流程操作(选股 → 画像 → 回测)」置于最前
- 逐步说明「命令做了什么、数据从哪来、落了哪些库、有哪些坑」;
含实时画像闸门 9 问 9 答、未来函数守卫表、成交与成本口径、验证 SQL。
- 修正旧 §2.4 漏传 --universe-run(选了池子却没用于回测);
修正两处声称「停牌顺延」「分红再投资」已实现的相反表述。
测试:403 项全部通过(含新增 test_units.py、test_profile_pit.py、
未实现声明诚实性测试、行序无关性回归测试)。
注意:本提交中 docs/*、README.md、src/hdiv/web/service.py 除本轮修改外,
也含此前遗留的未提交改动(无法按文件切分)。
425 lines
16 KiB
Python
425 lines
16 KiB
Python
"""CLI 接口契约测试。
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**为什么需要**:使用手册(``docs/user-guide.md``)里的命令就是用户看到的接口。
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文档与实现脱节是极易发生且很难察觉的问题 —— 实测发现手册记载的
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``hdiv sync financial --interleaved`` 在 CLI 中根本没有暴露,
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而 ``hdiv ddl verify`` 的输出格式也与手册不符。
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本测试把「手册承诺的接口」变成可执行断言:
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只要有人删掉一个参数或改掉命令名,测试立刻失败。
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"""
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from __future__ import annotations
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import pandas as pd
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import pytest
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from hdiv.cli import build_parser
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@pytest.fixture(scope="module")
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def parser():
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return build_parser()
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def _subparsers(p):
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"""取子命令表。同时支持两种声明方式:
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- ``add_subparsers()`` → choices 是 dict(sync/universe/...)
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- ``add_argument("action", choices=[...])`` → choices 是 list(ddl/report/strategy)
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"""
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for action in p._actions:
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ch = getattr(action, "choices", None)
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if not ch:
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continue
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if isinstance(ch, dict):
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return ch
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raise AssertionError("未找到子命令")
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def _action_choices(p) -> set[str]:
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"""取位置参数(如 ddl 的 plan/apply/verify)的取值集合。"""
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for action in p._actions:
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ch = getattr(action, "choices", None)
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if isinstance(ch, (list, tuple, set)) and not action.option_strings:
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return set(ch)
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return set()
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def _opts(p) -> set[str]:
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out: set[str] = set()
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for a in p._actions:
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out.update(a.option_strings)
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return out
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# ---------------------------------------------------------------------------
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# 手册记载的顶层命令必须全部存在
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# ---------------------------------------------------------------------------
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DOCUMENTED_COMMANDS = [
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"ddl", "sync", "audit", "report", "universe",
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"profile", "strategy", "backtest", "sensitivity",
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"web", "site",
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]
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def test_all_documented_commands_exist(parser) -> None:
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subs = _subparsers(parser)
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missing = [c for c in DOCUMENTED_COMMANDS if c not in subs]
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assert not missing, f"手册记载但 CLI 不存在的命令:{missing}"
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def test_no_undocumented_commands(parser) -> None:
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"""反向检查:CLI 不应有手册未提及的命令。"""
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subs = set(_subparsers(parser))
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extra = subs - set(DOCUMENTED_COMMANDS)
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assert not extra, f"CLI 存在手册未记载的命令:{sorted(extra)}"
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# ---------------------------------------------------------------------------
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# 手册记载的动作/参数必须存在
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# ---------------------------------------------------------------------------
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@pytest.mark.parametrize(
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"cmd,expected",
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[
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("ddl", {"plan", "apply", "verify"}),
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("report", {"index", "validate"}),
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("strategy", {"validate", "register", "list", "diff"}),
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(
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"sync",
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{"dividend", "financial", "index", "price", "trading", "backfill"},
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),
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("site", {"normalize", "archive", "build", "status"}),
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],
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)
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def test_documented_actions_exist(parser, cmd: str, expected: set[str]) -> None:
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sub = _subparsers(parser)[cmd]
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actual = _action_choices(sub)
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if not actual: # 用 add_subparsers 声明的命令
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actual = set(_subparsers(sub))
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missing = expected - actual
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assert not missing, f"hdiv {cmd} 缺少手册记载的动作:{sorted(missing)}"
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@pytest.mark.parametrize(
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"cmd,flags",
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[
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("sync", {"--only-missing", "--limit", "--symbols", "--apis",
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"--interleaved", "--start", "--end", "--no-resume", "--no-weight",
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"--basic-start", "--basic-end"}),
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("universe", {"-c", "--config", "--asof", "--no-persist", "--no-html"}),
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("profile", {"--universe-run", "--symbols", "--asof", "--html-limit"}),
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("backtest", {"-s", "--strategy", "--mode", "--start", "--end", "--universe-run",
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"--allow-lookahead-universe"}),
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("sensitivity", {"-s", "--strategy", "--sweep"}),
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("strategy", {"-f", "--file", "--other"}),
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("audit", {"--no-persist", "--no-html"}),
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("report", {"--dir"}),
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("web", {"--host", "--port", "--api-only", "--out-dir"}),
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],
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)
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def test_documented_flags_exist(parser, cmd: str, flags: set[str]) -> None:
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sub = _subparsers(parser)[cmd]
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have = _opts(sub)
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missing = flags - have
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assert not missing, f"hdiv {cmd} 缺少手册记载的参数:{sorted(missing)}"
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def test_sync_interleaved_is_a_real_flag(parser) -> None:
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"""回归:手册要求 ``hdiv sync financial --interleaved``,CLI 必须真的支持。"""
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sub = _subparsers(parser)["sync"]
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assert "--interleaved" in _opts(sub)
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# 且必须真的能解析(不只是声明)
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args = parser.parse_args(["sync", "financial", "--interleaved"])
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assert args.interleaved is True
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args2 = parser.parse_args(["sync", "financial"])
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assert args2.interleaved is False
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def test_backtest_universe_run_flag(parser) -> None:
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"""股票池 ↔ 回测 的关联入口:``--universe-run`` 必须存在且可解析。"""
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args = parser.parse_args(["backtest", "--universe-run", "abc123"])
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assert args.universe_run == "abc123"
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assert args.allow_lookahead_universe is False, "默认不得放行未来函数"
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args2 = parser.parse_args(["backtest"])
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assert args2.universe_run is None
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def test_backtest_lookahead_override_flag(parser) -> None:
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"""放行未来函数必须是一个显式开关,不能是默认行为。"""
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a = parser.parse_args(
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["backtest", "--universe-run", "abc123", "--allow-lookahead-universe"]
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)
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assert a.allow_lookahead_universe is True
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@pytest.mark.db
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def test_frozen_universe_is_used_when_run_id_given() -> None:
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"""显式放行时,冻结股票池在各调仓日必须完全相同。"""
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from datetime import date
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from hdiv.backtest.engine import BacktestEngine
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from hdiv.core.config import load_config
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from hdiv.data import db
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db.load_dotenv_once()
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try:
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cfg = load_config("datasource")
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df = db.read_sql(
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"SELECT run_id FROM hd_universe_run WHERE deleted_at IS NULL "
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"ORDER BY created_at DESC LIMIT 1", cfg=cfg,
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)
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if df.empty:
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pytest.skip("没有筛选记录")
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rid = df["run_id"].iloc[0]
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except Exception as exc:
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pytest.skip(f"数据库不可用:{exc}")
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eng = BacktestEngine.from_strategy(
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"config/strategy/high_dividend_v1.yml", universe_run_id=rid,
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allow_lookahead_universe=True,
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)
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assert eng.universe_run_id == rid
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ctx = eng._prepare(eng.repo.trading_days(date(2024, 1, 1), date(2024, 6, 28)),
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verbose=False)
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sets = list(ctx["universe_by_refresh"].values())
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assert sets, "应产生股票池"
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assert all(x == sets[0] for x in sets), "冻结股票池在各调仓日必须完全相同"
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@pytest.mark.db
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def test_future_universe_is_rejected_by_default() -> None:
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"""回归:股票池 asof 晚于回测起点 = 未来函数,必须默认拒绝。
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早期实现允许用 2025 年选出的股票池跑 2015 起的单次回测,2015-01-06
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就按那份事后名单成交 —— 与 walk-forward 已明确拒绝的做法自相矛盾。
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"""
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from datetime import date
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from hdiv.backtest.engine import BacktestEngine
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from hdiv.core.config import load_config
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from hdiv.core.errors import HdivError
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from hdiv.data import db
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db.load_dotenv_once()
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try:
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cfg = load_config("datasource")
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df = db.read_sql(
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"SELECT run_id, asof_date FROM hd_universe_run WHERE deleted_at IS NULL "
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"ORDER BY asof_date DESC LIMIT 1", cfg=cfg,
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)
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if df.empty:
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pytest.skip("没有筛选记录")
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rid = df["run_id"].iloc[0]
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uasof = pd.to_datetime(df["asof_date"].iloc[0]).date()
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except Exception as exc:
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pytest.skip(f"数据库不可用:{exc}")
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eng = BacktestEngine.from_strategy(
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"config/strategy/high_dividend_v1.yml", universe_run_id=rid
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)
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early = date(uasof.year - 5, 1, 1)
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with pytest.raises(HdivError) as ei:
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eng._prepare(eng.repo.trading_days(early, date(uasof.year - 5, 3, 31)), verbose=False)
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msg = str(ei.value)
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assert "晚于回测起点" in msg
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assert "--allow-lookahead-universe" in msg, "错误信息必须给出放行开关"
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# 起点晚于股票池 asof 时是合法的:此时股票池属于「事前信息」
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later = date(uasof.year + 1, 1, 2)
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eng2 = BacktestEngine.from_strategy(
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"config/strategy/high_dividend_v1.yml", universe_run_id=rid
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)
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days = eng2.repo.trading_days(later, date(later.year, 3, 31))
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if len(days) >= 2:
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ctx = eng2._prepare(days, verbose=False)
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assert ctx["universe_by_refresh"], "asof 不晚于起点时应正常使用该股票池"
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assert eng2.lookahead_universe_note is None
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def test_backtest_mode_choices(parser) -> None:
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"""手册只承诺 single / walkforward 两种模式。"""
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sub = _subparsers(parser)["backtest"]
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for a in sub._actions:
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if "--mode" in a.option_strings:
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assert set(a.choices) == {"single", "walkforward"}
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return
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raise AssertionError("backtest 缺少 --mode 参数")
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def test_price_which_choices(parser) -> None:
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sub = _subparsers(parser)["sync"]
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for a in sub._actions:
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if "--which" in a.option_strings:
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assert set(a.choices) == {"daily", "adj_factor", "daily_basic"}
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return
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raise AssertionError("sync 缺少 --which 参数")
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# ---------------------------------------------------------------------------
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# 手册记载的输出格式
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# ---------------------------------------------------------------------------
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def test_ddl_verify_output_mentions_table_count() -> None:
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"""手册写的是「OK:30 张 hd_* 表结构全部符合 schema 定义」,输出须含数量。"""
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import inspect
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from hdiv import cli
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from hdiv.data.schema import ALL_TABLES
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src = inspect.getsource(cli.cmd_ddl)
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assert "len(ddl.ALL_TABLES)" in src, "ddl verify 输出应包含表的数量"
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assert len(ALL_TABLES) == 30
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def test_help_text_is_chinese(parser) -> None:
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"""手册面向中文用户,所有命令都应有中文说明。"""
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subs = _subparsers(parser)
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for name in DOCUMENTED_COMMANDS:
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assert subs[name].description, f"hdiv {name} 缺少说明文字"
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# ---------------------------------------------------------------------------
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# 手册文件本身
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# ---------------------------------------------------------------------------
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def test_user_guide_exists_and_covers_all_commands() -> None:
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from hdiv.core.paths import project_root
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guide = project_root() / "docs" / "user-guide.md"
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assert guide.is_file(), "缺少使用手册 docs/user-guide.md"
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text = guide.read_text(encoding="utf-8")
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for cmd in DOCUMENTED_COMMANDS:
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assert f"hdiv {cmd}" in text, f"手册未记载命令:hdiv {cmd}"
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# 手册必须如实记录已知限制与部署要求(这两点最容易在文档里被淡化)
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assert "已知限制" in text
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assert "echarts.min.js" in text, "手册必须说明图表库的部署依赖"
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assert "asset_mode" in text, "手册必须说明自包含模式的开关"
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# 前后端分离的部署要点必须在手册里
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assert "/api" in text, "手册必须说明 API 反代"
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assert "nginx" in text, "手册必须给出 nginx 配置指引"
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# ---------------------------------------------------------------------------
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# 参数组合与错误呈现
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# ---------------------------------------------------------------------------
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# 只有这三个命令同时具备 --no-persist 与 --html(audit 传内存结果,两者可共存)
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@pytest.mark.parametrize("cmd", ["universe", "backtest"])
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def test_no_persist_with_html_is_rejected_clearly(cmd: str) -> None:
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"""回归:--no-persist 与 --html 互相矛盾,必须给出可操作提示。
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静态报告只从数据库读取(保证数字可追溯到 SQL),未落库的运行渲染不出来。
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早期实现会崩在报告生成器的 ValueError 里,用户看不出是参数冲突。
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"""
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import subprocess
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import sys
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r = subprocess.run(
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[sys.executable, "-m", "hdiv", cmd, "--no-persist", "--html"],
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capture_output=True, text=True, env={**__import__("os").environ, "PYTHONPATH": "src"},
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)
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assert r.returncode == 1
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out = r.stdout + r.stderr
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assert "--no-persist 与 --html 不能同时使用" in out, out[:400]
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# 必须是友好提示,而不是 traceback
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assert "Traceback" not in out, "用户可理解的错误不应打印调用栈"
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def test_audit_can_combine_no_persist_and_html() -> None:
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"""audit 传的是内存结果而非按 run_id 读库,因此两者可以共存。"""
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import inspect
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from hdiv import cli
|
||
|
||
src = inspect.getsource(cli.cmd_audit)
|
||
assert "_reject_no_persist_with_html" not in src, \
|
||
"audit 不需拦截该组合(报告用内存 summary 渲染)"
|
||
|
||
|
||
def test_hdiv_error_is_caught_without_traceback() -> None:
|
||
"""main() 应优雅处理 HdivError(数据缺失/配置冲突等),不打印调用栈。"""
|
||
import inspect
|
||
|
||
from hdiv import cli
|
||
|
||
src = inspect.getsource(cli.main)
|
||
assert "except HdivError" in src, "main() 未捕获 HdivError"
|
||
branch = src.split("except HdivError")[1]
|
||
assert "print_exc" not in branch, "HdivError 分支不应打印调用栈"
|
||
assert "return 1" in branch, "应返回非零退出码"
|
||
|
||
|
||
def test_html_flag_exists_on_all_report_producing_commands() -> None:
|
||
"""所有会产出报告的命令都应有 --html 开关且默认关闭。"""
|
||
from hdiv.cli import build_parser
|
||
|
||
p = build_parser()
|
||
for cmd in ("universe", "profile", "backtest", "audit", "sensitivity"):
|
||
args = p.parse_args([cmd])
|
||
assert getattr(args, "html", None) is False, f"hdiv {cmd} --html 默认应为 False"
|
||
|
||
|
||
def test_walkforward_rejects_universe_run() -> None:
|
||
"""回归:--universe-run 与 walk-forward 时序不兼容,必须明确拒绝。
|
||
|
||
股票池自带 asof(如 2025-01-21),而 walk-forward 窗口从 2015 年就开始训练;
|
||
把未来时点选出的股票池套到更早的窗口上等于用未来信息选股。
|
||
早期实现没有该参数,于是 --universe-run 被**静默忽略** ——
|
||
用户以为按自己的股票池跑了,实际跑的是逐窗口自筛选。
|
||
"""
|
||
import os
|
||
import subprocess
|
||
import sys
|
||
|
||
r = subprocess.run(
|
||
[sys.executable, "-m", "hdiv", "backtest",
|
||
"--universe-run", "whatever", "--mode", "walkforward"],
|
||
capture_output=True, text=True,
|
||
env={**os.environ, "PYTHONPATH": "src"},
|
||
)
|
||
assert r.returncode == 1
|
||
out = r.stdout + r.stderr
|
||
assert "不支持 --universe-run" in out, out[:400]
|
||
assert "未来" in out, "应说明原因(未来函数)"
|
||
assert "Traceback" not in out
|
||
|
||
|
||
def test_walkforward_runner_has_no_universe_param() -> None:
|
||
"""再确认一层:runner 本身不接受冻结股票池,避免日后被误加回去。"""
|
||
import inspect
|
||
|
||
from hdiv.backtest.walk_forward import WalkForwardRunner
|
||
|
||
sig = inspect.signature(WalkForwardRunner.__init__)
|
||
assert "universe_run_id" not in sig.parameters, (
|
||
"WalkForwardRunner 不应接受 universe_run_id —— "
|
||
"冻结股票池与 walk-forward 的时序纪律冲突"
|
||
)
|
||
|
||
|
||
def test_no_future_warning_on_selector() -> None:
|
||
"""回归:object 列的 fillna 曾触发 pandas Downcasting FutureWarning。
|
||
|
||
用 -W error::FutureWarning 跑一遍筛选路径,确保不再产生该警告
|
||
(pandas 未来版本会改变行为,届时结果可能静默变化)。
|
||
"""
|
||
import os
|
||
import subprocess
|
||
import sys
|
||
|
||
r = subprocess.run(
|
||
[sys.executable, "-W", "error::FutureWarning", "-m", "hdiv",
|
||
"universe", "--asof", "2025-03-21", "--no-persist", "--no-html"],
|
||
capture_output=True, text=True,
|
||
env={**os.environ, "PYTHONPATH": "src"}, timeout=600,
|
||
)
|
||
assert "FutureWarning" not in (r.stdout + r.stderr), \
|
||
f"仍存在 FutureWarning:{(r.stdout + r.stderr)[-400:]}"
|