"""振幅统计核心逻辑单元测试(不打交易所).""" from __future__ import annotations import unittest from datetime import date, datetime from zoneinfo import ZoneInfo from lib.hub.amp_stats_lib import ( build_export_csv, compute_amp_stats, compute_day_row, list_settlement_dates, summarize_rows, window_bounds_for_settlement, ) TZ = ZoneInfo("Asia/Shanghai") def _bar(ts_ms: int, o: float, h: float, l: float, c: float) -> dict: return {"ts": ts_ms, "o": o, "h": h, "l": l, "c": c} class AmpStatsLibTests(unittest.TestCase): def test_window_cross_day_22_to_16(self): start, end = window_bounds_for_settlement(date(2026, 7, 22), 22) self.assertEqual(start.strftime("%Y-%m-%d %H:%M"), "2026-07-21 22:00") self.assertEqual(end.strftime("%Y-%m-%d %H:%M"), "2026-07-22 16:00") def test_window_same_day_8_to_16(self): start, end = window_bounds_for_settlement(date(2026, 7, 22), 8) self.assertEqual(start.strftime("%Y-%m-%d %H:%M"), "2026-07-22 08:00") self.assertEqual(end.strftime("%Y-%m-%d %H:%M"), "2026-07-22 16:00") def test_settlement_excludes_incomplete_today(self): now = datetime(2026, 7, 22, 10, 0, tzinfo=TZ) days = list_settlement_dates(sample_days=3, now=now) self.assertEqual(days[0].isoformat(), "2026-07-21") self.assertEqual(len(days), 3) def test_settlement_includes_today_after_1600(self): now = datetime(2026, 7, 22, 16, 0, tzinfo=TZ) days = list_settlement_dates(sample_days=1, now=now) self.assertEqual(days[0].isoformat(), "2026-07-22") def test_day_row_points(self): # 22:00 D-1 → 16:00 D; O=2000 H=2500 L=1800 C=2100 → up500 down200 amp700 settlement = date(2026, 7, 22) start, end = window_bounds_for_settlement(settlement, 22) bar_map = {} t = int(start.timestamp() * 1000) last = int((end.replace(hour=15)).timestamp() * 1000) # first bar bar_map[t] = {"o": 2000.0, "h": 2100.0, "l": 1950.0, "c": 2050.0} cur = t + 3600 * 1000 while cur < last: bar_map[cur] = {"o": 2050.0, "h": 2200.0, "l": 1900.0, "c": 2100.0} cur += 3600 * 1000 # peak and trough somewhere mid = t + 5 * 3600 * 1000 bar_map[mid] = {"o": 2100.0, "h": 2500.0, "l": 1800.0, "c": 2000.0} bar_map[last] = {"o": 2000.0, "h": 2150.0, "l": 1990.0, "c": 2100.0} # fill any missing hours with flat cur = t while cur <= last: if cur not in bar_map: bar_map[cur] = {"o": 2000.0, "h": 2000.0, "l": 2000.0, "c": 2000.0} cur += 3600 * 1000 row = compute_day_row(settlement, 22, bar_map) self.assertIsNotNone(row) self.assertEqual(row["open"], 2000.0) self.assertEqual(row["high"], 2500.0) self.assertEqual(row["low"], 1800.0) self.assertEqual(row["up_points"], 500.0) self.assertEqual(row["down_points"], 200.0) self.assertEqual(row["amplitude"], 700.0) self.assertEqual(row["change"], 100.0) def test_summary_max_amplitude(self): rows = [ {"amplitude": 100, "up_points": 40, "down_points": 60, "change": 10, "settlement_day": "2026-07-01"}, {"amplitude": 700, "up_points": 500, "down_points": 200, "change": -5, "settlement_day": "2026-07-02"}, {"amplitude": 200, "up_points": 50, "down_points": 150, "change": 20, "settlement_day": "2026-07-03"}, ] s = summarize_rows(rows) self.assertEqual(s["max_amplitude"], 700) self.assertEqual(s["max_amplitude_day"], "2026-07-02") self.assertEqual(s["max_up_points"], 500) self.assertEqual(s["max_down_points"], 200) self.assertIsNone(s["straddle"]) def test_long_straddle_stats(self): rows = [ # |chg|=40>30 win+10; up=40>30; down=10 {"up_points": 40, "down_points": 10, "change": 40, "amplitude": 50, "settlement_day": "2026-07-01"}, # |chg|=10 lose-20; up=5; down=35>30 {"up_points": 5, "down_points": 35, "change": -10, "amplitude": 40, "settlement_day": "2026-07-02"}, # |chg|=30 not >30 lose-30; boundary {"up_points": 30, "down_points": 30, "change": 30, "amplitude": 60, "settlement_day": "2026-07-03"}, ] s = summarize_rows(rows, straddle_premium=30) st = s["straddle"] self.assertEqual(st["side"], "long_straddle") self.assertEqual(st["premium"], 30) self.assertEqual(st["up_exceed_days"], 1) # only 40 self.assertEqual(st["down_exceed_days"], 1) # only 35 self.assertEqual(st["abs_change_exceed_days"], 1) # only 40 self.assertAlmostEqual(st["pnl_total"], 40 - 30 + 10 - 30 + 30 - 30) self.assertEqual(st["win_days"], 1) self.assertEqual(st["win_ratio"], round(1 / 3, 4)) csv_text = build_export_csv( {"exchange": "okx", "symbol_label": "ETH", "summary": s, "rows": rows, "start_hour": 22, "end_hour": 16} ) self.assertIn("买跨对照", csv_text) self.assertIn("买跨点数盈亏合计", csv_text) def test_compute_with_mock_fetch(self): now = datetime(2026, 7, 22, 18, 0, tzinfo=TZ) def fetch_fn(*, inst_id, since_ms, until_ms): bars = [] t = since_ms - (since_ms % (3600 * 1000)) while t <= until_ms: # synthetic: open 2000, one spike day o = 2000.0 h = 2500.0 if t == since_ms + 5 * 3600 * 1000 else 2050.0 l = 1800.0 if t == since_ms + 5 * 3600 * 1000 else 1950.0 c = 2020.0 bars.append(_bar(t, o, h, l, c)) t += 3600 * 1000 return bars result = compute_amp_stats( symbol="eth", start_hour=16, period="custom", custom_days=7, now=now, fetch_fn=fetch_fn, ) self.assertTrue(result["ok"]) self.assertEqual(result["exchange"], "okx") self.assertGreaterEqual(result["summary"]["sample_count"], 1) csv_text = build_export_csv(result) self.assertIn("最大振幅", csv_text) self.assertIn("日表明细", csv_text) if __name__ == "__main__": unittest.main()