Simon
9cc4bfccac
- index_weight 表（migration f5e0d1c2b3a4，MySQL 已应用；index_code+date+symbol 唯一） + IndexWeight 实体 + IndexConstituentRepository（members_at：取 <=as_of 最近一期快照， Survivorship-free / 无未来成分；latest_date） - UniverseSpec.index_code + universe.filter_stocks members 交集 + resolve_members； Research/Selection/Signal/Replay 服务注入 index repo（历史成分过滤，选股/回测共用） - tests/test_index_universe.py：快照历史成分（成分变更不入早期结果）、幂等、 空快照期空集、index_code 过滤下 as_of 一致性；全量 pytest 通过
120 lines
5.2 KiB
Python
120 lines
5.2 KiB
Python
"""B1-1 指数历史成分测试：Repository 快照与历史成分查询（Survivorship-free）、
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Universe.index_code 过滤接线（选股/回测只用 as_of 当日成分）。"""
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from __future__ import annotations
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from datetime import date
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from decimal import Decimal
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import pytest
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from app.domain.entities.index import IndexWeight
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from app.infrastructure.persistence.sqlalchemy.base import Base
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from app.infrastructure.persistence.sqlalchemy.repositories.index_impl import (
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SqlAlchemyIndexConstituentRepository,
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)
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from sqlalchemy import create_engine
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from sqlalchemy.orm import sessionmaker
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_CODE = "000300.SH"
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@pytest.fixture()
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def session(tmp_path):
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engine = create_engine(f"sqlite:///{tmp_path / 'idx.db'}", future=True)
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Base.metadata.create_all(engine)
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Session = sessionmaker(bind=engine, expire_on_commit=False)
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with Session() as s:
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yield s
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def _rows() -> list[IndexWeight]:
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# 2024-06 期成分：A,C（B 被剔除）；2024-11 期成分：A,B（C 新晋替换场景）
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return [
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IndexWeight(index_code=_CODE, index_name="沪深300", trade_date=date(2024, 6, 28),
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symbol="600000.SH", weight=Decimal("1.0")),
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IndexWeight(index_code=_CODE, index_name="沪深300", trade_date=date(2024, 6, 28),
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symbol="600002.SH", weight=Decimal("1.0")),
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IndexWeight(index_code=_CODE, index_name="沪深300", trade_date=date(2024, 11, 29),
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symbol="600000.SH", weight=Decimal("1.5")),
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IndexWeight(index_code=_CODE, index_name="沪深300", trade_date=date(2024, 11, 29),
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symbol="600001.SH", weight=Decimal("1.0")),
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]
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class TestIndexConstituentRepository:
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def test_upsert_and_members_at_history(self, session) -> None:
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repo = SqlAlchemyIndexConstituentRepository(session)
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assert repo.upsert_many(_rows()) == 4
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session.commit()
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# 2024-07（最近快照 2024-06）→ {A,C}；2025（最近 2024-11）→ {A,B}
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assert repo.members_at(_CODE, date(2024, 7, 15)) == {"600000.SH", "600002.SH"}
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assert repo.members_at(_CODE, date(2025, 1, 10)) == {"600000.SH", "600001.SH"}
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# 快照之前 → 空集（不返回未来成分）
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assert repo.members_at(_CODE, date(2024, 1, 1)) == set()
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assert repo.latest_date(_CODE) == date(2024, 11, 29)
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def test_upsert_idempotent(self, session) -> None:
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repo = SqlAlchemyIndexConstituentRepository(session)
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repo.upsert_many(_rows())
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session.commit()
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repo.upsert_many([_rows()[2]]) # 重复
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session.commit()
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assert len(repo.members_at(_CODE, date(2024, 12, 31))) == 2
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class TestUniverseIndexCodeFilter:
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def _build(self, tmp_path):
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engine = create_engine(f"sqlite:///{tmp_path / 'api.db'}", future=True)
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Base.metadata.create_all(engine)
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Session = sessionmaker(bind=engine, expire_on_commit=False)
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from app.application.services.selection_service import SelectionService
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from app.domain.entities.market import Stock
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from app.infrastructure.persistence.sqlalchemy.repositories.market_impl import (
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SqlAlchemyDailyBarRepository,
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SqlAlchemyStockRepository,
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)
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from conftest_quant import bars_dataframe_to_daily_bars, synthetic_daily
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df = synthetic_daily(
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{"600000.SH": 0.008, "600001.SH": 0.006, "600002.SH": 0.004}, n=320
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)
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with Session() as session:
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SqlAlchemyStockRepository(session).upsert_many(
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[
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Stock(symbol="600000.SH", name="A", list_date=date(1999, 1, 1)),
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Stock(symbol="600001.SH", name="B", list_date=date(1999, 1, 1)),
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Stock(symbol="600002.SH", name="C", list_date=date(1999, 1, 1)),
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]
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)
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SqlAlchemyDailyBarRepository(session).upsert_many(bars_dataframe_to_daily_bars(df))
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SqlAlchemyIndexConstituentRepository(session).upsert_many(_rows())
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session.commit()
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svc = SelectionService(
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SqlAlchemyStockRepository(session),
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SqlAlchemyDailyBarRepository(session),
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index_repo=SqlAlchemyIndexConstituentRepository(session),
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)
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from app.domain.entities.research import UniverseSpec
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from app.domain.entities.selection import SelectionQuery
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# as_of=2024-10（成分 {A,C}）→ 只从 {A,C} 选，B 绝不进入
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q = SelectionQuery(
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universe=UniverseSpec(exclude_st=False, min_listing_days=0, index_code=_CODE),
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factors=[{"name": "momentum_60", "weight": 1.0}],
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top_n=2, as_of=date(2024, 10, 15),
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)
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res = svc.select(q)
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got = {c.symbol for c in res.candidates}
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assert got == {"600000.SH", "600002.SH"}
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# as_of=2025-01（成分 {A,B}）→ C 不再可入选
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q2 = SelectionQuery(
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universe=UniverseSpec(exclude_st=False, min_listing_days=0, index_code=_CODE),
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factors=[{"name": "momentum_60", "weight": 1.0}],
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top_n=2, as_of=date(2025, 1, 10),
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)
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res2 = svc.select(q2)
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assert {c.symbol for c in res2.candidates} == {"600000.SH", "600001.SH"}
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def test_index_code_filter(self, tmp_path) -> None:
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self._build(tmp_path)
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