etf/framework/tests/test_execution.py

"""
执行层测试

测试Portfolio、Executor抽象接口
"""

import pandas as pd
import numpy as np
import pytest
from datetime import datetime

from framework.execution import Portfolio, Executor, BacktestExecutor, DryRunExecutor
from framework.risk import Position


class TestPortfolio:
    """测试Portfolio"""
    
    def test_portfolio_init(self):
        """测试初始化"""
        portfolio = Portfolio(initial_capital=100000)
        
        assert portfolio.initial_capital == 100000
        assert portfolio.cash == 100000
        assert len(portfolio.positions) == 0
    
    def test_add_position(self):
        """测试添加持仓"""
        portfolio = Portfolio(initial_capital=100000)
        
        portfolio.add_position(
            code='AAPL',
            price=100.0,
            quantity=10,
            time=datetime.now()
        )
        
        assert len(portfolio.positions) == 1
        assert 'AAPL' in portfolio.positions
        assert portfolio.cash == 99000  # 100000 - 100*10
    
    def test_remove_position(self):
        """测试移除持仓"""
        portfolio = Portfolio(initial_capital=100000)
        
        portfolio.add_position('AAPL', 100.0, 10, datetime.now())
        profit = portfolio.remove_position('AAPL', 110.0, datetime.now())
        
        assert len(portfolio.positions) == 0
        assert profit == 100.0  # (110-100)*10
        assert portfolio.cash == 100100  # 99000 + 110*10
    
    def test_update_prices(self):
        """测试更新价格"""
        portfolio = Portfolio(initial_capital=100000)
        
        portfolio.add_position('AAPL', 100.0, 10, datetime.now())
        portfolio.add_position('MSFT', 200.0, 5, datetime.now())
        
        portfolio.update_prices({'AAPL': 110.0, 'MSFT': 220.0})
        
        assert portfolio.positions['AAPL'].current_price == 110.0
        assert portfolio.positions['MSFT'].current_price == 220.0
    
    def test_get_net_value(self):
        """测试净值计算"""
        portfolio = Portfolio(initial_capital=100000)
        
        portfolio.add_position('AAPL', 100.0, 10, datetime.now())
        portfolio.update_prices({'AAPL': 110.0})
        
        net_value = portfolio.get_net_value()
        expected = 99000 + 110 * 10  # cash + position_value
        assert net_value == expected
    
    def test_get_weight(self):
        """测试权重计算"""
        portfolio = Portfolio(initial_capital=100000)
        
        portfolio.add_position('AAPL', 100.0, 100, datetime.now())
        portfolio.update_prices({'AAPL': 110.0})
        
        weight = portfolio.get_weight('AAPL')
        # 持仓价值=110*100=11000，净值=90000+11000=101000
        expected_weight = 11000 / 101000
        assert abs(weight - expected_weight) < 0.01
    
    def test_record_net_value(self):
        """测试净值记录"""
        portfolio = Portfolio(initial_capital=100000)
        
        portfolio.record_net_value()
        portfolio.add_position('AAPL', 100.0, 10, datetime.now())
        portfolio.record_net_value()
        
        series = portfolio.get_net_value_series()
        assert len(series) == 2
    
    def test_portfolio_repr(self):
        """测试字符串表示"""
        portfolio = Portfolio(initial_capital=100000)
        portfolio.add_position('AAPL', 100.0, 10, datetime.now())
        
        repr_str = repr(portfolio)
        assert 'Portfolio' in repr_str
        assert 'positions=1' in repr_str


class TestBacktestExecutor:
    """测试回测执行器"""
    
    def test_backtest_executor_init(self):
        """测试初始化"""
        executor = BacktestExecutor(initial_capital=100000, trade_cost=0.001)
        
        assert executor.initial_capital == 100000
        assert executor.trade_cost == 0.001
        assert executor.mode == "backtest"
    
    def test_backtest_execute(self):
        """测试回测执行"""
        executor = BacktestExecutor(initial_capital=100000)
        
        dates = pd.date_range('2020-01-01', periods=50)
        signals = pd.DataFrame({
            'signal': ['AAPL'] * 50
        }, index=dates)
        
        data = pd.DataFrame({
            'close': np.random.randn(50).cumsum() + 100
        }, index=dates)
        
        portfolio = executor.execute(signals, data)
        
        assert isinstance(portfolio, Portfolio)
    
    def test_backtest_executor_repr(self):
        """测试字符串表示"""
        executor = BacktestExecutor(initial_capital=100000, trade_cost=0.001)
        repr_str = repr(executor)
        
        assert 'BacktestExecutor' in repr_str


class TestDryRunExecutor:
    """测试DryRun执行器"""
    
    def test_dry_run_executor_init(self):
        """测试初始化"""
        executor = DryRunExecutor(verbose=True)
        
        assert executor.verbose == True
        assert executor.mode == "dry_run"
    
    def test_dry_run_execute(self):
        """测试模拟执行"""
        executor = DryRunExecutor(verbose=False)
        
        dates = pd.date_range('2020-01-01', periods=50)
        signals = pd.DataFrame({
            'signal': ['AAPL,MSFT'] * 50
        }, index=dates)
        
        data = pd.DataFrame({
            'close': np.random.randn(50).cumsum() + 100
        }, index=dates)
        
        portfolio = executor.execute(signals, data)
        
        assert isinstance(portfolio, Portfolio)


if __name__ == '__main__':
    pytest.main([__file__, '-v'])