dekun
26bc19f047
For each settlement day, also compute H-L over start minus one day through 16:00 (e.g. 25 16:00 to 27 16:00). Co-authored-by: Cursor <cursoragent@cursor.com>
316 lines
12 KiB
Python
316 lines
12 KiB
Python
"""振幅统计核心逻辑单元测试(不打交易所)."""
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from __future__ import annotations
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import unittest
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from datetime import date, datetime
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from zoneinfo import ZoneInfo
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from lib.hub.amp_stats_lib import (
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build_export_csv,
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compute_amp_stats,
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compute_day_row,
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list_settlement_dates,
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summarize_rows,
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window_bounds_for_settlement,
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)
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import httpx
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TZ = ZoneInfo("Asia/Shanghai")
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def _bar(ts_ms: int, o: float, h: float, l: float, c: float) -> dict:
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return {"ts": ts_ms, "o": o, "h": h, "l": l, "c": c}
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class AmpStatsLibTests(unittest.TestCase):
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def test_window_cross_day_22_to_16(self):
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start, end = window_bounds_for_settlement(date(2026, 7, 22), 22)
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self.assertEqual(start.strftime("%Y-%m-%d %H:%M"), "2026-07-21 22:00")
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self.assertEqual(end.strftime("%Y-%m-%d %H:%M"), "2026-07-22 16:00")
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def test_window_same_day_8_to_16(self):
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start, end = window_bounds_for_settlement(date(2026, 7, 22), 8)
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self.assertEqual(start.strftime("%Y-%m-%d %H:%M"), "2026-07-22 08:00")
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self.assertEqual(end.strftime("%Y-%m-%d %H:%M"), "2026-07-22 16:00")
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def test_window_two_day_16_to_16(self):
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# 结算 27 日 → 两日窗 25日16:00 → 27日16:00
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start, end = window_bounds_for_settlement(date(2026, 7, 27), 16, span_days=2)
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self.assertEqual(start.strftime("%Y-%m-%d %H:%M"), "2026-07-25 16:00")
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self.assertEqual(end.strftime("%Y-%m-%d %H:%M"), "2026-07-27 16:00")
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one_start, _ = window_bounds_for_settlement(date(2026, 7, 27), 16, span_days=1)
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self.assertEqual(one_start.strftime("%Y-%m-%d %H:%M"), "2026-07-26 16:00")
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def test_settlement_excludes_incomplete_today(self):
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now = datetime(2026, 7, 22, 10, 0, tzinfo=TZ)
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days = list_settlement_dates(sample_days=3, now=now)
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self.assertEqual(days[0].isoformat(), "2026-07-21")
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self.assertEqual(len(days), 3)
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def test_settlement_includes_today_after_1600(self):
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now = datetime(2026, 7, 22, 16, 0, tzinfo=TZ)
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days = list_settlement_dates(sample_days=1, now=now)
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self.assertEqual(days[0].isoformat(), "2026-07-22")
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def test_day_row_points(self):
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# 22:00 D-1 → 16:00 D; O=2000 H=2500 L=1800 C=2100 → up500 down200 amp700
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settlement = date(2026, 7, 22)
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start, end = window_bounds_for_settlement(settlement, 22)
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bar_map = {}
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t = int(start.timestamp() * 1000)
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last = int((end.replace(hour=15)).timestamp() * 1000)
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# first bar
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bar_map[t] = {"o": 2000.0, "h": 2100.0, "l": 1950.0, "c": 2050.0}
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cur = t + 3600 * 1000
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while cur < last:
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bar_map[cur] = {"o": 2050.0, "h": 2200.0, "l": 1900.0, "c": 2100.0}
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cur += 3600 * 1000
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# peak and trough somewhere
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mid = t + 5 * 3600 * 1000
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bar_map[mid] = {"o": 2100.0, "h": 2500.0, "l": 1800.0, "c": 2000.0}
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bar_map[last] = {"o": 2000.0, "h": 2150.0, "l": 1990.0, "c": 2100.0}
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# fill any missing hours with flat
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cur = t
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while cur <= last:
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if cur not in bar_map:
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bar_map[cur] = {"o": 2000.0, "h": 2000.0, "l": 2000.0, "c": 2000.0}
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cur += 3600 * 1000
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row = compute_day_row(settlement, 22, bar_map)
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self.assertIsNotNone(row)
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self.assertEqual(row["open"], 2000.0)
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self.assertEqual(row["high"], 2500.0)
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self.assertEqual(row["low"], 1800.0)
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self.assertEqual(row["up_points"], 500.0)
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self.assertEqual(row["down_points"], 200.0)
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self.assertEqual(row["amplitude"], 700.0)
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self.assertEqual(row["change"], 100.0)
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def test_summary_max_amplitude(self):
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rows = [
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{"amplitude": 100, "up_points": 40, "down_points": 60, "change": 10, "settlement_day": "2026-07-01"},
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{"amplitude": 700, "up_points": 500, "down_points": 200, "change": -5, "settlement_day": "2026-07-02"},
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{"amplitude": 200, "up_points": 50, "down_points": 150, "change": 20, "settlement_day": "2026-07-03"},
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]
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s = summarize_rows(rows)
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self.assertEqual(s["max_amplitude"], 700)
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self.assertEqual(s["max_amplitude_day"], "2026-07-02")
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self.assertEqual(s["max_up_points"], 500)
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self.assertEqual(s["max_down_points"], 200)
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self.assertIsNone(s["move_points_stats"])
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def test_move_points_amp_ratio(self):
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rows = [
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{"amplitude": 100, "up_points": 40, "down_points": 60, "change": 10, "settlement_day": "2026-07-01"},
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{"amplitude": 40, "up_points": 10, "down_points": 30, "change": -5, "settlement_day": "2026-07-02"},
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{"amplitude": 50, "up_points": 50, "down_points": 0, "change": 20, "settlement_day": "2026-07-03"},
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]
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s = summarize_rows(rows, move_points=50)
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ms = s["move_points_stats"]
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self.assertIsNotNone(ms)
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self.assertEqual(ms["move_points"], 50)
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self.assertEqual(ms["amp_hit_days"], 2) # 100, 50
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self.assertEqual(ms["amp_hit_ratio"], round(2 / 3, 4))
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self.assertEqual(ms["up_hit_days"], 1) # 50
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self.assertEqual(ms["down_hit_days"], 1) # 60
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csv_text = build_export_csv(
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{
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"exchange": "okx",
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"symbol_label": "ETH",
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"summary": s,
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"rows": rows,
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"start_hour": 16,
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"end_hour": 16,
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}
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)
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self.assertIn("振幅占比", csv_text)
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self.assertIn("振幅达标", csv_text)
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def test_weekend_and_reframe_move_points(self):
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from lib.hub.amp_stats_lib import enrich_rows, filter_weekend_rows, reframe_amp_stats
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rows = [
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{
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"settlement_day": "2026-07-18",
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"is_weekend": True,
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"weekday_label": "六",
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"up_points": 100,
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"down_points": 10,
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"change": -5,
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"amplitude": 110,
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},
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{
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"settlement_day": "2026-07-19",
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"is_weekend": True,
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"weekday_label": "日",
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"up_points": 20,
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"down_points": 15,
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"change": 12,
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"amplitude": 35,
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},
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{
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"settlement_day": "2026-07-20",
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"is_weekend": False,
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"weekday_label": "",
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"up_points": 50,
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"down_points": 40,
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"change": 8,
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"amplitude": 90,
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},
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]
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excl = filter_weekend_rows(rows, "exclude")
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self.assertEqual(len(excl), 1)
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self.assertEqual(excl[0]["settlement_day"], "2026-07-20")
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only = filter_weekend_rows(rows, "only")
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self.assertEqual(len(only), 2)
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enriched = enrich_rows(rows, move_points=80)
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self.assertTrue(enriched[0]["amp_hit"])
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self.assertFalse(enriched[1]["amp_hit"])
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self.assertTrue(enriched[2]["amp_hit"])
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reframed = reframe_amp_stats(
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rows_all=rows,
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symbol="eth",
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weekend_filter="exclude",
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move_points=80,
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)
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self.assertEqual(reframed["summary"]["sample_count"], 1)
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self.assertTrue(reframed["rows"][0]["amp_hit"])
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self.assertIn("振幅占比", build_export_csv(reframed))
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def test_fetch_switches_to_history_endpoint(self):
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"""近期接口到头后应切 history 续拉."""
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from lib.hub.amp_stats_lib import fetch_okx_candles
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calls: list[str] = []
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class FakeResp:
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def __init__(self, data, url="https://x", status_code=200):
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self._data = data
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self.status_code = status_code
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self.url = url
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self.request = httpx.Request("GET", url)
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def raise_for_status(self):
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if self.status_code >= 400:
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raise httpx.HTTPStatusError(
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"err", request=self.request, response=self
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)
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def json(self):
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return {"code": "0", "data": self._data}
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class FakeClient:
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def get(self, url, params=None):
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calls.append(url)
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after = (params or {}).get("after")
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# recent: only 2 pages then empty; history continues
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if "history" not in url:
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if after is None:
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return FakeResp([["2000", "1", "2", "0.5", "1.5"], ["1900", "1", "2", "0.5", "1.5"]], url=url)
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if after == "1900":
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return FakeResp([], url=url) # recent exhausted
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return FakeResp([], url=url)
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# history
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if after == "1900":
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return FakeResp([["1800", "1", "2", "0.5", "1.5"], ["1000", "1", "2", "0.5", "1.5"]], url=url)
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return FakeResp([], url=url)
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def close(self):
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return None
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bars = fetch_okx_candles(
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url="https://www.okx.com/api/v5/market/index-candles",
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history_url="https://www.okx.com/api/v5/market/history-index-candles",
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inst_id="ETH-USD",
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since_ms=1000,
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until_ms=3000,
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client=FakeClient(),
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max_pages=10,
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page_pause_sec=0,
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history_page_pause_sec=0,
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)
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self.assertTrue(any("history-index-candles" in u for u in calls))
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self.assertGreaterEqual(len(bars), 3)
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self.assertEqual(bars[0]["ts"], 1000)
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def test_fetch_retries_on_429(self):
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from lib.hub.amp_stats_lib import fetch_okx_candles
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import httpx as _httpx
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hits = {"n": 0}
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class FakeResp:
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def __init__(self, status_code, data=None):
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self.status_code = status_code
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self.url = "https://www.okx.com/api/v5/market/history-candles"
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self.request = _httpx.Request("GET", self.url)
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self._data = data or []
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def raise_for_status(self):
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if self.status_code >= 400:
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raise _httpx.HTTPStatusError("429", request=self.request, response=self)
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def json(self):
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return {"code": "0", "data": self._data}
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class FakeClient:
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def get(self, url, params=None):
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hits["n"] += 1
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if hits["n"] < 3:
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return FakeResp(429)
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return FakeResp(200, [["1000", "1", "2", "0.5", "1.5"]])
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def close(self):
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return None
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bars = fetch_okx_candles(
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url="https://www.okx.com/api/v5/market/candles",
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history_url=None,
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inst_id="ETH-USDT-SWAP",
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since_ms=1000,
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until_ms=2000,
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client=FakeClient(),
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max_pages=3,
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page_pause_sec=0,
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history_page_pause_sec=0,
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)
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self.assertGreaterEqual(hits["n"], 3)
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self.assertEqual(len(bars), 1)
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def test_compute_with_mock_fetch(self):
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now = datetime(2026, 7, 22, 18, 0, tzinfo=TZ)
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def fetch_fn(*, inst_id, since_ms, until_ms):
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bars = []
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t = since_ms - (since_ms % (3600 * 1000))
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while t <= until_ms:
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# synthetic: open 2000, one spike day
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o = 2000.0
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h = 2500.0 if t == since_ms + 5 * 3600 * 1000 else 2050.0
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l = 1800.0 if t == since_ms + 5 * 3600 * 1000 else 1950.0
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c = 2020.0
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bars.append(_bar(t, o, h, l, c))
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t += 3600 * 1000
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return bars
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result = compute_amp_stats(
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symbol="eth",
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start_hour=16,
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period="custom",
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custom_days=7,
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now=now,
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fetch_fn=fetch_fn,
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)
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self.assertTrue(result["ok"])
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self.assertEqual(result["exchange"], "okx")
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self.assertGreaterEqual(result["summary"]["sample_count"], 1)
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csv_text = build_export_csv(result)
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self.assertIn("最大振幅", csv_text)
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self.assertIn("日表明细", csv_text)
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if __name__ == "__main__":
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unittest.main()
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