feat(chart): M9-1 Chart DTO + Chart Service + Chart API(v3 §20)

- domain/entities/chart.py:ChartResult/OHLC/Volume/Series/EventMarker/ChartMetadata
  (adjust_mode + execution_price_basis 口径元数据)+ SelectionHit
- application/services/chart_service.py:个股 K线/量/MA 指标;显示层 qfq/hfq 折算
  (基于主口径 none 行情 × adjust_factor,绝回写研究数据);回测个股视图把实际成交
  转 fills 标记并在显示口径不同时做坐标换算(v3 §20.3/§20.5)
- by-symbol 历史查询:SignalRepository/SelectionRepository.list_by_symbol(含溯源 id)
- api/charts.py:/stocks/{symbol}/chart|signals|selections、/backtests/{id}/stocks/{symbol}/chart
  |trades|positions
- tests/test_charts.py(指标/qfq-hfq 折算断言/回测 fills/API 集成+404);全量 pytest 通过
This commit is contained in:
Simon
2026-09-09 07:09:52 +08:00
parent 8abfd6538c
commit 995ed08548
11 changed files with 736 additions and 1 deletions
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@@ -0,0 +1,130 @@
"""Chart API(v3 §20.2):统一可视化数据只读接口。
- GET /api/stocks/{symbol}/chart?start&end&adjust K 线 + 量 + 指标(显示层折算)
- GET /api/stocks/{symbol}/signals 该股历史信号(markers)
- GET /api/stocks/{symbol}/selections 该股历史选股命中(markers)
- GET /api/backtests/{experiment_id}/stocks/{symbol}/chart 回测个股:K 线 + 实际成交 fills
- GET /api/backtests/{experiment_id}/trades|positions 回测成交/持仓展开
"""
from __future__ import annotations
from datetime import date
from typing import Annotated
from fastapi import APIRouter, HTTPException, Query
from app.api.deps import (
ChartServiceDep,
ExperimentRepoDep,
SelectionRepoDep,
SignalRepoDep,
)
from app.domain.entities.chart import ChartResult, EventMarker, SelectionHit
from app.domain.entities.research import BacktestResult
from app.domain.entities.signal import SignalHit
router = APIRouter(tags=["charts"])
_AdjustQuery = Annotated[str, Query(pattern="^(none|qfq|hfq)$")]
_StartQuery = Annotated[date | None, Query(description="开始日期(默认 2024-01-01)")]
_EndQuery = Annotated[date | None, Query(description="结束日期(默认今天)")]
def _signal_markers(hits: list[SignalHit]) -> list[EventMarker]:
kind_map = {"BUY": "signal_buy", "SELL": "signal_sell", "WATCH": "signal_watch"}
return [
EventMarker(
time=h.signal_date,
kind=kind_map.get(h.signal_type, "signal_watch"),
symbol="",
price=h.price,
score=h.score,
text=h.trigger_reason,
ref_id=h.signal_id,
)
for h in hits
]
def _selection_markers(hits: list[SelectionHit]) -> list[EventMarker]:
return [
EventMarker(
time=h.as_of,
kind="selection",
symbol=h.symbol,
score=h.score,
text=[f"rank #{h.rank}"] + h.selection_reason,
ref_id=h.selection_id,
)
for h in hits
]
@router.get("/stocks/{symbol}/chart", response_model=ChartResult, summary="个股 K 线图数据")
def stock_chart(
symbol: str,
service: ChartServiceDep,
start: _StartQuery = None,
end: _EndQuery = None,
adjust: _AdjustQuery = "none",
) -> ChartResult:
start = start or date(2024, 1, 1)
end = end or date.today()
if service.stock(symbol) is None:
raise HTTPException(status_code=404, detail=f"未找到股票 {symbol}")
return service.stock_chart(symbol, start, end, adjust)
@router.get("/stocks/{symbol}/signals", response_model=list[EventMarker], summary="该股历史信号")
def symbol_signals(symbol: str, signal_repo: SignalRepoDep) -> list[EventMarker]:
return _signal_markers(signal_repo.list_by_symbol(symbol))
@router.get("/stocks/{symbol}/selections", response_model=list[EventMarker], summary="该股历史选股命中")
def symbol_selections(symbol: str, selection_repo: SelectionRepoDep) -> list[EventMarker]:
return _selection_markers(selection_repo.list_by_symbol(symbol))
@router.get(
"/backtests/{experiment_id}/stocks/{symbol}/chart",
response_model=ChartResult,
summary="回测个股图(K 线 + 实际成交 fills)",
)
def backtest_stock_chart(
experiment_id: str,
symbol: str,
service: ChartServiceDep,
experiment_repo: ExperimentRepoDep,
start: _StartQuery = None,
end: _EndQuery = None,
adjust: _AdjustQuery = "none",
) -> ChartResult:
start = start or date(2024, 1, 1)
end = end or date.today()
exp = experiment_repo.get(experiment_id)
if exp is None:
raise HTTPException(status_code=404, detail=f"Experiment {experiment_id} 不存在")
try:
result = BacktestResult.model_validate_json(exp.result_json)
except Exception as exc: # noqa: BLE001
raise HTTPException(status_code=400, detail=f"{experiment_id} 不是 backtest 结果") from exc
return service.backtest_stock_chart(result, symbol, start, end, adjust)
@router.get("/backtests/{experiment_id}/trades", summary="回测成交明细")
def backtest_trades(experiment_id: str, experiment_repo: ExperimentRepoDep):
exp = experiment_repo.get(experiment_id)
if exp is None:
raise HTTPException(status_code=404, detail=f"Experiment {experiment_id} 不存在")
result = BacktestResult.model_validate_json(exp.result_json)
return result.trades
@router.get("/backtests/{experiment_id}/positions", summary="回测持仓明细")
def backtest_positions(experiment_id: str, experiment_repo: ExperimentRepoDep):
exp = experiment_repo.get(experiment_id)
if exp is None:
raise HTTPException(status_code=404, detail=f"Experiment {experiment_id} 不存在")
result = BacktestResult.model_validate_json(exp.result_json)
return result.positions
+16
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@@ -10,12 +10,14 @@ from typing import Annotated
from fastapi import Depends
from sqlalchemy.orm import Session
from app.application.services.chart_service import ChartService
from app.application.services.selection_service import SelectionService
from app.application.services.signal_service import SignalService
from app.domain.repositories.composite import CompositeRepository
from app.domain.repositories.factor import FactorRepository
from app.domain.repositories.jobs import ExperimentRepository, JobRepository
from app.domain.repositories.market import (
AdjustFactorRepository,
DailyBarRepository,
FinancialRepository,
StockRepository,
@@ -30,6 +32,7 @@ from app.infrastructure.persistence.sqlalchemy.repositories.factor_impl import (
SqlAlchemyFactorRepository,
)
from app.infrastructure.persistence.sqlalchemy.repositories.market_impl import (
SqlAlchemyAdjustFactorRepository,
SqlAlchemyDailyBarRepository,
SqlAlchemyFinancialRepository,
SqlAlchemyStockRepository,
@@ -62,6 +65,18 @@ def _financial_repo_factory(session: DbSession) -> FinancialRepository:
return SqlAlchemyFinancialRepository(session)
def _adjust_repo_factory(session: DbSession) -> AdjustFactorRepository:
return SqlAlchemyAdjustFactorRepository(session)
def _chart_service_factory(
stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
adj_repo: Annotated[AdjustFactorRepository, Depends(_adjust_repo_factory)],
) -> ChartService:
return ChartService(stock_repo, daily_repo, adj_repo)
def _engine_factory() -> QuantEngine:
return LocalEngine()
@@ -120,6 +135,7 @@ FactorRepoDep = Annotated[FactorRepository, Depends(_factor_repo_factory)]
CompositeRepoDep = Annotated[CompositeRepository, Depends(_composite_repo_factory)]
SignalRepoDep = Annotated[SignalRepository, Depends(_signal_repo_factory)]
SignalServiceDep = Annotated[SignalService, Depends(_signal_service_factory)]
ChartServiceDep = Annotated[ChartService, Depends(_chart_service_factory)]
StrategyRepoDep = Annotated[StrategyRepository, Depends(_strategy_repo_factory)]
+2
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@@ -10,6 +10,7 @@ from fastapi import APIRouter
from app.api import (
agent,
charts,
composites,
experiments,
factors,
@@ -29,6 +30,7 @@ api_router.include_router(factors.router)
api_router.include_router(composites.router)
api_router.include_router(research.router)
api_router.include_router(selections.router)
api_router.include_router(charts.router)
api_router.include_router(signals.router)
api_router.include_router(strategies.router)
api_router.include_router(jobs.router)
@@ -0,0 +1,206 @@
"""Chart Service(v3 §20.1)—— 只聚合与坐标整理,不重算研究结果。
- K 线/量/指标:基于主口径(adjust=none)行情,按请求 adjust 在**显示层**折算 qfq/hfq
(绝不回写研究数据;研究执行仍用 price_adjustment 指定口径)
- 标记:selections/signals 来自各自落库历史(by-symbol);backtest fills 来自 Experiment
内 BacktestResult 的 trades/positions
- 口径纪律(v3 §20.5):显示价 basis 与回测执行价 basis 分别记录;不一致时对 marker 做
与 K 线相同的坐标换算,保证成交点贴图
"""
from __future__ import annotations
from datetime import date
from app.domain.entities.chart import (
OHLC,
ChartMetadata,
ChartResult,
EventMarker,
SeriesPoint,
VolumePoint,
)
from app.domain.entities.market import AdjustFactor, DailyBar, Stock
from app.domain.entities.research import BacktestResult, Trade
from app.domain.repositories.market import (
AdjustFactorRepository,
DailyBarRepository,
StockRepository,
)
_MA_WINDOWS = (20, 60)
def _main_bars(bars: list[DailyBar]) -> list[DailyBar]:
"""仅取主口径行(adjust=none),丢弃新浪 qfq 兜底行 —— 显示层一律自 none 折算。"""
return [b for b in bars if b.adjust == "none"]
def _factor_multipliers(
adj_repo: AdjustFactorRepository,
symbol: str,
start: date,
end: date,
mode: str,
) -> dict[date, float]:
"""返回 {trade_date: 显示折算系数};mode=none → 空。qfq: f/f_latest;hfq: f。"""
if mode == "none":
return {}
factors: list[AdjustFactor] = adj_repo.get_range(symbol, date(1990, 1, 1), end)
if not factors:
return {}
by_day = {f.trade_date: float(f.factor) for f in factors}
latest = max(by_day.values())
out: dict[date, float] = {}
for day, f in by_day.items():
out[day] = f / latest if mode == "qfq" else f
return out
class ChartService:
def __init__(
self,
stock_repo: StockRepository,
daily_repo: DailyBarRepository,
adj_repo: AdjustFactorRepository,
) -> None:
self._stock_repo = stock_repo
self._daily_repo = daily_repo
self._adj_repo = adj_repo
def stock(self, symbol: str) -> Stock | None:
return self._stock_repo.get_by_symbol(symbol)
def stock_chart(
self,
symbol: str,
start: date,
end: date,
adjust: str = "none",
execution_price_basis: str | None = None,
extra_markers: list[EventMarker] | None = None,
) -> ChartResult:
"""基础个股 K 线图(可叠加 fills 等外部标记)。"""
stock = self.stock(symbol)
name = stock.name if stock else ""
raw = _main_bars(self._daily_repo.get_range(symbol, start, end))
mult = _factor_multipliers(self._adj_repo, symbol, start, end, adjust)
bars: list[OHLC] = []
volume: list[VolumePoint] = []
for b in raw:
m = mult.get(b.trade_date, 1.0)
bars.append(
OHLC(
time=b.trade_date,
open=_v(b.open, m),
high=_v(b.high, m),
low=_v(b.low, m),
close=_v(b.close, m),
)
)
volume.append(VolumePoint(time=b.trade_date, value=_v(b.volume, 1.0)))
markers = _convert_markers(extra_markers or [], mult)
indicators = _ma_indicators(bars)
return ChartResult(
metadata=ChartMetadata(
symbol=symbol,
name=name,
adjust_mode=adjust,
execution_price_basis=execution_price_basis,
start=start,
end=end,
bar_count=len(bars),
indicator_windows=list(_MA_WINDOWS),
),
bars=bars,
volume=volume,
indicators=indicators,
fills=[m for m in markers if m.kind.startswith("fill_")],
signals=[m for m in markers if m.kind.startswith("signal_")],
selections=[m for m in markers if m.kind == "selection"],
holding_periods=_holding_periods(bars),
)
# ---- 由已存历史构造标记(不重算) ----
def backtest_stock_chart(
self,
result: BacktestResult,
symbol: str,
start: date,
end: date,
adjust: str = "none",
) -> ChartResult:
"""回测个股视图:K 线 + 该股实际成交 fills(v3 §20.3 Signal↔Fill 展示)。"""
basis = (result.config_snapshot or {}).get("price_adjustment", "none")
markers = _trades_to_markers(result.trades, symbol, basis)
return self.stock_chart(symbol, start, end, adjust, execution_price_basis=basis,
extra_markers=markers)
def _trades_to_markers(trades: list[Trade], symbol: str, basis: str) -> list[EventMarker]:
markers: list[EventMarker] = []
for t in trades:
if t.symbol != symbol:
continue
markers.append(
EventMarker(
time=t.entry_date,
kind="fill_buy",
symbol=symbol,
price=t.entry_price,
text=[f"买入 @ {t.entry_price:.2f}(basis={basis})"],
)
)
markers.append(
EventMarker(
time=t.exit_date,
kind="fill_sell",
symbol=symbol,
price=t.exit_price,
text=[f"卖出 @ {t.exit_price:.2f},收益 {t.return_pct:.2f}%(basis={basis})"],
)
)
return markers
def _convert_markers(markers: list[EventMarker], mult: dict[date, float]) -> list[EventMarker]:
"""显示口径与执行价 basis 不一致时,把 marker 价格折算到 K 线坐标系(v3 §20.5)。"""
out: list[EventMarker] = []
for m in markers:
if m.price is not None and mult:
k = mult.get(m.time)
if k is not None:
m = m.model_copy(update={"price": round(m.price * k, 4)})
out.append(m)
return out
def _holding_periods(bars: list[OHLC]) -> list[dict]:
"""v1 空实现占位(持仓区间渲染 v3 §20.4 后续细化)。"""
return []
def _ma_indicators(bars: list[OHLC]) -> dict[str, list[SeriesPoint]]:
import statistics
closes = [b.close for b in bars]
out: dict[str, list[SeriesPoint]] = {}
for w in _MA_WINDOWS:
series: list[SeriesPoint] = []
for i, b in enumerate(bars):
if i + 1 < w:
continue
window = closes[i + 1 - w : i + 1]
if all(v is not None for v in window):
series.append(SeriesPoint(time=b.time, value=round(statistics.fmean(window), 4)))
out[f"ma{w}"] = series
return out
def _v(v, m: float) -> float | None:
if v is None:
return None
f = float(v)
return round(f * m, 4)
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@@ -0,0 +1,88 @@
"""统一量化可视化 DTO(v3 §20 Chart Service)。
原则:前端只展示本结构,不得自行重算选股/信号/成交(v3 §20.1)。
价格口径:bars 已按请求 adjust 折算(显示层);成交/信号标记与 K 线同坐标系;
metadata 记录 adjust_mode 与回测执行价 basis,杜绝图表与回测口径混用(v3 §20.5)。
"""
from __future__ import annotations
from datetime import date
from pydantic import BaseModel, Field
class OHLC(BaseModel):
time: date
open: float | None = None
high: float | None = None
low: float | None = None
close: float | None = None
class VolumePoint(BaseModel):
time: date
value: float | None = None
class SeriesPoint(BaseModel):
"""指标/分数等 (时间, 值) 序列点。"""
time: date
value: float | None = None
class EventMarker(BaseModel):
"""K 线上可点击的事件标记(选股/信号/实际成交)。"""
time: date
kind: str = Field(
description="selection | signal_buy | signal_sell | signal_watch | fill_buy | fill_sell"
)
symbol: str = ""
price: float | None = None
score: float | None = None
text: list[str] = Field(default_factory=list, description="原因/说明(tooltip)")
ref_id: str | None = Field(default=None, description="关联 selection/signal 记录 id")
class ChartMetadata(BaseModel):
symbol: str
name: str = ""
adjust_mode: str = Field(default="none", description="显示口径:none | qfq | hfq")
price_basis: str = Field(default="chart_display", description="显示价基准(显示层折算)")
execution_price_basis: str | None = Field(
default=None, description="回测执行价口径(如 none),与显示口径不同时用于解释"
)
start: date | None = None
end: date | None = None
bar_count: int = 0
indicator_windows: list[int] = Field(default_factory=list)
class ChartResult(BaseModel):
"""单只股票 / 回测个股的统一图表数据(v3 §20.2)。"""
metadata: ChartMetadata
bars: list[OHLC] = Field(default_factory=list)
volume: list[VolumePoint] = Field(default_factory=list)
indicators: dict[str, list[SeriesPoint]] = Field(default_factory=dict)
selections: list[EventMarker] = Field(default_factory=list)
signals: list[EventMarker] = Field(default_factory=list)
fills: list[EventMarker] = Field(default_factory=list)
holding_periods: list[dict] = Field(default_factory=list)
factor_values: dict[str, list[SeriesPoint]] = Field(default_factory=dict)
strategy_scores: dict[str, list[SeriesPoint]] = Field(default_factory=dict)
unimplemented: list[str] = Field(default_factory=list)
class SelectionHit(BaseModel):
"""个股在选股历史中的命中(by-symbol 查询)。"""
selection_id: str
as_of: date
method: str
symbol: str
rank: int
score: float
selection_reason: list[str] = Field(default_factory=list)
+11
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@@ -55,3 +55,14 @@ class SignalMeta(BaseModel):
watch: int = 0
sell: int = 0
created_at: datetime | None = None
class SignalHit(BaseModel):
"""个股在信号历史中的命中(by-symbol 查询,供 Chart 标记)。"""
signal_id: str
signal_date: date
signal_type: str
score: float | None = None
price: float | None = None
trigger_reason: list[str] = Field(default_factory=list)
@@ -10,6 +10,7 @@ from __future__ import annotations
from datetime import date
from typing import Protocol
from app.domain.entities.chart import SelectionHit
from app.domain.entities.selection import SelectionMeta, SelectionResult
@@ -27,3 +28,6 @@ class SelectionRepository(Protocol):
limit: int = 20,
) -> list[SelectionMeta]:
"""历史选股元数据列表(按 created_at 倒序;可选 as_of/method 过滤)。"""
def list_by_symbol(self, symbol: str, limit: int = 50) -> list[SelectionHit]:
"""该股在历史选股中的命中(Chart 标记用,含 as_of/rank/reason)。"""
+4 -1
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@@ -5,7 +5,7 @@ from __future__ import annotations
from datetime import date
from typing import Protocol
from app.domain.entities.signal import SignalMeta, SignalResult
from app.domain.entities.signal import SignalHit, SignalMeta, SignalResult
class SignalRepository(Protocol):
@@ -17,3 +17,6 @@ class SignalRepository(Protocol):
def list_recent(
self, as_of: date | None = None, limit: int = 20
) -> list[SignalMeta]: ...
def list_by_symbol(self, symbol: str, limit: int = 50) -> list[SignalHit]:
"""该股在历史信号中的命中(Chart 标记用,含 signal_id 溯源)。"""
@@ -12,6 +12,7 @@ from datetime import date, datetime
from sqlalchemy import select
from sqlalchemy.orm import Session
from app.domain.entities.chart import SelectionHit
from app.domain.entities.selection import (
SelectionCandidate,
SelectionMeta,
@@ -84,6 +85,27 @@ class SqlAlchemySelectionRepository:
config_snapshot=json.loads(snap.query_json),
)
def list_by_symbol(self, symbol: str, limit: int = 50) -> list[SelectionHit]:
rows = self._session.execute(
select(SelectionResultModel, SelectionSnapshotModel.as_of, SelectionSnapshotModel.method)
.join(SelectionSnapshotModel, SelectionSnapshotModel.id == SelectionResultModel.selection_id)
.where(SelectionResultModel.symbol == symbol)
.order_by(SelectionSnapshotModel.as_of.desc(), SelectionResultModel.rank)
.limit(limit)
).all()
return [
SelectionHit(
selection_id=r[0].selection_id,
as_of=r[1],
method=r[2],
symbol=r[0].symbol,
rank=r[0].rank,
score=float(r[0].score),
selection_reason=json.loads(r[0].reason_json or "[]"),
)
for r in rows
]
def list_recent(
self,
as_of: date | None = None,
@@ -10,6 +10,7 @@ from sqlalchemy.orm import Session
from app.domain.entities.signal import (
SignalEvent,
SignalHit,
SignalMeta,
SignalResult,
SignalRules,
@@ -87,6 +88,25 @@ class SqlAlchemySignalRepository:
config_snapshot={"as_of": snap.as_of.isoformat()},
)
def list_by_symbol(self, symbol: str, limit: int = 50) -> list[SignalHit]:
rows = self._session.scalars(
select(SignalEventModel)
.where(SignalEventModel.symbol == symbol)
.order_by(SignalEventModel.signal_date.desc(), SignalEventModel.id.desc())
.limit(limit)
).all()
return [
SignalHit(
signal_id=r.signal_id,
signal_date=r.signal_date,
signal_type=r.signal_type,
score=float(r.score) if r.score is not None else None,
price=float(r.price) if r.price is not None else None,
trigger_reason=json.loads(r.reason_json or "[]"),
)
for r in rows
]
def list_recent(self, as_of: date | None = None, limit: int = 20) -> list[SignalMeta]:
stmt = select(SignalSnapshotModel).order_by(SignalSnapshotModel.created_at.desc())
if as_of is not None:
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@@ -0,0 +1,233 @@
"""M9-1 Chart Service/API 测试:K线/量/指标、复权显示折算、按股历史信号与选股、
回测个股图(fills)、API 集成。使用 tmp SQLite + 真实 SQLAlchemy repo。
"""
from __future__ import annotations
from datetime import date, datetime
from decimal import Decimal
import pandas as pd
import pytest
from app.api import deps
from app.application.services.chart_service import ChartService
from app.domain.entities.market import AdjustFactor, Stock
from app.domain.entities.research import (
ExperimentRecord,
ResearchSpec,
)
from app.infrastructure.persistence.sqlalchemy.base import Base
from app.infrastructure.persistence.sqlalchemy.repositories.jobs_impl import (
SqlAlchemyExperimentRepository,
)
from app.infrastructure.persistence.sqlalchemy.repositories.market_impl import (
SqlAlchemyAdjustFactorRepository,
SqlAlchemyDailyBarRepository,
SqlAlchemyStockRepository,
)
from app.main import app
from app.quant.engine import LocalEngine
from fastapi.testclient import TestClient
from sqlalchemy import create_engine
from sqlalchemy.orm import sessionmaker
from conftest_quant import bars_dataframe_to_daily_bars, synthetic_daily
_SYMS = ["600000.SH", "600001.SH", "600002.SH", "600003.SH"]
def _daily_df(n=320) -> pd.DataFrame:
return synthetic_daily({s: 0.004 - 0.001 * i for i, s in enumerate(_SYMS)}, n=n)
@pytest.fixture()
def seeded(tmp_path):
engine = create_engine(f"sqlite:///{tmp_path / 'chart.db'}", future=True)
Base.metadata.create_all(engine)
Session = sessionmaker(bind=engine, expire_on_commit=False)
df = _daily_df()
with Session() as session:
SqlAlchemyStockRepository(session).upsert_many(
[Stock(symbol=s, name=f"测试股份{i}", list_date=date(1999, 1, 1))
for i, s in enumerate(_SYMS)]
)
SqlAlchemyDailyBarRepository(session).upsert_many(bars_dataframe_to_daily_bars(df))
session.commit()
return engine, Session, df
class TestChartServiceUnit:
def test_stock_chart_ohlc_and_indicators(self, seeded) -> None:
engine, Session, _df = seeded
with Session() as session:
svc = ChartService(
SqlAlchemyStockRepository(session),
SqlAlchemyDailyBarRepository(session),
SqlAlchemyAdjustFactorRepository(session),
)
res = svc.stock_chart(_SYMS[0], date(2024, 1, 1), date(2024, 12, 31), "none")
assert res.metadata.symbol == _SYMS[0]
assert res.metadata.bar_count > 200
assert res.bars[0].close and res.bars[-1].close
assert "ma20" in res.indicators and "ma60" in res.indicators
assert res.metadata.adjust_mode == "none"
def test_qfq_display_conversion(self, seeded, tmp_path) -> None:
"""前段因子 1.0 / 后段 2.0:qfq 显示把前段折半、hfq 前段不变后段翻倍。"""
engine, Session, df = _seeded_with_factors(tmp_path)
dates = sorted(df["trade_date"].unique())
split = dates[len(dates) // 2]
with Session() as session:
repo = SqlAlchemyAdjustFactorRepository(session)
rows = [
AdjustFactor(symbol=_SYMS[0], trade_date=d,
factor=Decimal("1.0") if d < split else Decimal("2.0"))
for d in dates
]
repo.upsert_many(rows)
session.commit()
svc = ChartService(
SqlAlchemyStockRepository(session),
SqlAlchemyDailyBarRepository(session),
SqlAlchemyAdjustFactorRepository(session),
)
none_chart = svc.stock_chart(_SYMS[0], dates[0], dates[-1], "none")
none_c = none_chart.bars[0].close
none_last = none_chart.bars[-1].close
qfq_c = svc.stock_chart(_SYMS[0], dates[0], dates[-1], "qfq").bars[0].close
hfq_c = svc.stock_chart(_SYMS[0], dates[0], dates[-1], "hfq").bars[0].close
last_qfq = svc.stock_chart(_SYMS[0], dates[0], dates[-1], "qfq").bars[-1].close
assert none_c is not None and qfq_c is not None and none_last is not None
assert abs(none_c - qfq_c * 2) < 1e-3 # qfq 前段折半
assert abs(none_c - hfq_c) < 1e-3 # hfq 前段不变
assert abs(none_last - last_qfq) < 1e-3 # 最新段 qfq 基准=原价
def test_backtest_chart_fills(self, seeded) -> None:
engine, Session, df = seeded
spec = ResearchSpec(
type="backtest",
universe={"exclude_st": False, "min_listing_days": 0,
"symbols": [_SYMS[0], _SYMS[1], _SYMS[2]]},
factors=[{"name": "momentum_60", "weight": 1.0}],
selection={"top_n": 2},
rebalance="monthly",
period=(date(2024, 5, 1), date(2024, 12, 31)),
)
result = LocalEngine().run_backtest(df, spec)
with Session() as session:
svc = ChartService(
SqlAlchemyStockRepository(session),
SqlAlchemyDailyBarRepository(session),
SqlAlchemyAdjustFactorRepository(session),
)
chart = svc.backtest_stock_chart(result, _SYMS[0], date(2024, 1, 1), date(2024, 12, 31))
assert chart.metadata.execution_price_basis == "none"
assert chart.bars and chart.metadata.bar_count > 100
kinds = {f.kind for f in chart.fills}
assert kinds <= {"fill_buy", "fill_sell"}
# 有成交则有 fill 标记
if result.trades:
assert len(chart.fills) >= 2
def _seeded_with_factors(tmp_path):
engine = create_engine(f"sqlite:///{tmp_path / 'chart2.db'}", future=True)
Base.metadata.create_all(engine)
Session = sessionmaker(bind=engine, expire_on_commit=False)
df = _daily_df()
with Session() as session:
SqlAlchemyStockRepository(session).upsert_many(
[Stock(symbol=s, name=f"测试{i}", list_date=date(1999, 1, 1))
for i, s in enumerate(_SYMS)]
)
SqlAlchemyDailyBarRepository(session).upsert_many(bars_dataframe_to_daily_bars(df))
session.commit()
return engine, Session, df
@pytest.fixture()
def client(tmp_path):
engine, Session, df = _seeded_with_factors(tmp_path)
def _session_override():
with Session() as s:
yield s
app.dependency_overrides[deps.get_session] = _session_override
# 预置一只实验(backtest),供 backtest chart API
spec = ResearchSpec(
type="backtest",
universe={"exclude_st": False, "min_listing_days": 0, "symbols": _SYMS[:3]},
factors=[{"name": "momentum_60", "weight": 1.0}],
selection={"top_n": 2},
rebalance="monthly",
period=(date(2024, 5, 1), date(2024, 12, 31)),
)
result = LocalEngine().run_backtest(df, spec)
with Session() as session:
repo = SqlAlchemyExperimentRepository(session)
repo.save(
ExperimentRecord(
id="EXP-CHART-1",
kind="backtest",
spec_json=spec.model_dump_json(),
result_json=result.model_dump_json(),
summary_text="chart-test",
created_at=datetime.now(),
)
)
session.commit()
with TestClient(app) as c:
yield c
app.dependency_overrides.clear()
class TestChartApi:
def test_stock_chart_200(self, client) -> None:
resp = client.get(
f"/api/stocks/{_SYMS[0]}/chart?start=2024-01-01&end=2024-12-31&adjust=none"
)
assert resp.status_code == 200
body = resp.json()
assert body["metadata"]["adjust_mode"] == "none"
assert len(body["bars"]) > 200
assert "ma20" in body["indicators"]
def test_signals_selections_by_symbol(self, client) -> None:
# 生成一次信号 + 一次选股,再按 symbol 查询
body = {
"query": {
"universe": {"exclude_st": False, "min_listing_days": 0, "symbols": _SYMS},
"factors": [{"name": "momentum_60", "weight": 1}],
"top_n": 10,
"as_of": "2024-12-31",
}
}
assert client.post("/api/signals", json={**body, "rules": {"buy_rank_threshold": 1, "max_output_rank": 4}}).status_code == 200
assert client.post("/api/selections", json={
"universe": {"exclude_st": False, "min_listing_days": 0, "symbols": _SYMS},
"method": "score", "factors": [{"name": "momentum_60", "weight": 1}],
"top_n": 2, "as_of": "2024-12-31",
}).status_code == 200
markers = client.get(f"/api/stocks/{_SYMS[0]}/signals").json()
assert isinstance(markers, list) and len(markers) >= 1
assert markers[0]["kind"].startswith("signal_")
assert markers[0]["text"]
hits = client.get(f"/api/stocks/{_SYMS[0]}/selections").json()
assert isinstance(hits, list)
assert all(m["kind"] == "selection" for m in hits)
def test_backtest_chart_and_trades(self, client) -> None:
chart = client.get(
f"/api/backtests/EXP-CHART-1/stocks/{_SYMS[0]}/chart?start=2024-01-01&end=2024-12-31"
)
assert chart.status_code == 200
c = chart.json()
assert c["metadata"]["execution_price_basis"] == "none"
assert c["bars"] and c["metadata"]["bar_count"] > 100
trades = client.get("/api/backtests/EXP-CHART-1/trades").json()
positions = client.get("/api/backtests/EXP-CHART-1/positions").json()
assert isinstance(trades, list) and isinstance(positions, list)
assert client.get("/api/backtests/EXP-NOPE/stocks/x/chart").status_code == 404