aszerW
babf224203
核心组件： - Executor: 执行器抽象基类 - BacktestExecutor: 回测执行器 - 处理信号、计算净值、记录交易 - 支持交易成本设置 - DryRunExecutor: 模拟盘执行器 - 模拟下单、模拟成交、模拟持仓更新 - 不影响真实资金 - Portfolio: 持仓组合数据类 特点： - 统一接口（execute方法） - 支持两种模式切换（回测/Dry-run） - 实盘执行器预留扩展点 测试覆盖：7个测试全部通过
102 lines
2.5 KiB
Python
102 lines
2.5 KiB
Python
"""
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执行层测试
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"""
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import pytest
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import pandas as pd
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import numpy as np
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from framework.execution import Executor, BacktestExecutor, DryRunExecutor, Portfolio
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class TestExecutor:
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"""测试执行器基类"""
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def test_executor_mode(self):
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"""测试执行器模式"""
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backtest = BacktestExecutor()
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assert backtest.get_mode() == "backtest"
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dry_run = DryRunExecutor()
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assert dry_run.get_mode() == "dry_run"
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class TestBacktestExecutor:
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"""测试回测执行器"""
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def test_backtest_init(self):
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"""测试回测初始化"""
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executor = BacktestExecutor(
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initial_capital=100000.0,
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trade_cost=0.001
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)
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assert executor.initial_capital == 100000.0
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assert executor.trade_cost == 0.001
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def test_backtest_execute(self):
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"""测试回测执行"""
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executor = BacktestExecutor(initial_capital=100000.0)
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# 创建测试数据
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dates = pd.date_range('2020-01-01', periods=10)
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signals = pd.DataFrame({
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'signal': ['code1,code2'] * 10
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}, index=dates)
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data = pd.DataFrame({
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'code1': [100.0] * 10,
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'code2': [50.0] * 10,
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}, index=dates)
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portfolio = executor.execute(signals, data)
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assert portfolio is not None
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assert portfolio.cash == 100000.0
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class TestDryRunExecutor:
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"""测试模拟盘执行器"""
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def test_dry_run_init(self):
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"""测试模拟盘初始化"""
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executor = DryRunExecutor(initial_capital=50000.0)
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assert executor.initial_capital == 50000.0
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def test_simulate_order(self):
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"""测试模拟下单"""
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executor = DryRunExecutor(initial_capital=100000.0)
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# 初始化持仓
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executor._portfolio = Portfolio(
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positions={},
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cash=100000.0,
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nav=1.0,
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trades=[]
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)
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# 模拟买入
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executor.simulate_order('code1', 'BUY', 100, 50.0)
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# 检查现金减少
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assert executor._portfolio.cash == 100000.0 - 100 * 50.0
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class TestPortfolio:
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"""测试持仓组合"""
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def test_portfolio_value(self):
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"""测试持仓价值计算"""
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portfolio = Portfolio(
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positions={},
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cash=50000.0,
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nav=1.0,
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trades=[]
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)
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assert portfolio.get_total_value() == 50000.0
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if __name__ == '__main__':
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pytest.main([__file__, '-v']) |