186 lines
6.1 KiB
Python
186 lines
6.1 KiB
Python
"""
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仓位 sizing 回归测试
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覆盖重点：
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- 中线信号默认仓位降到 light
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- 总杠杆限制按“名义仓位空间 -> 保证金”正确换算
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- 模拟盘回退仓位计算不再按可用保证金倍数放大
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"""
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import importlib.util
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import sys
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import types
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from pathlib import Path
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from unittest.mock import MagicMock
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import pytest
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def load_position_sizing_module():
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module_path = Path(__file__).resolve().parents[1] / "app" / "services" / "position_sizing.py"
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if "app" not in sys.modules:
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app_pkg = types.ModuleType("app")
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app_pkg.__path__ = [str(module_path.parents[2] / "app")]
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sys.modules["app"] = app_pkg
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if "app.services" not in sys.modules:
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services_pkg = types.ModuleType("app.services")
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services_pkg.__path__ = [str(module_path.parent)]
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sys.modules["app.services"] = services_pkg
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if "app.utils" not in sys.modules:
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utils_pkg = types.ModuleType("app.utils")
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utils_pkg.__path__ = [str(module_path.parents[1] / "utils")]
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sys.modules["app.utils"] = utils_pkg
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logger_module = types.ModuleType("app.utils.logger")
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logger_module.logger = MagicMock()
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sys.modules["app.utils.logger"] = logger_module
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module_name = "app.services.position_sizing_test"
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spec = importlib.util.spec_from_file_location(module_name, module_path)
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module = importlib.util.module_from_spec(spec)
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sys.modules[module_name] = module
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spec.loader.exec_module(module)
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return module
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def load_paper_trading_service_class():
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service_path = Path(__file__).resolve().parents[1] / "app" / "services" / "paper_trading_service.py"
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position_sizing_module = load_position_sizing_module()
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sys.modules["app.services.position_sizing"] = position_sizing_module
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if "app.models" not in sys.modules:
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models_pkg = types.ModuleType("app.models")
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models_pkg.__path__ = [str(service_path.parents[1] / "models")]
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sys.modules["app.models"] = models_pkg
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config_module = types.ModuleType("app.config")
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config_module.get_settings = MagicMock(return_value=MagicMock())
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sys.modules["app.config"] = config_module
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datetime_module = types.ModuleType("app.utils.datetime_utils")
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datetime_module.get_beijing_time = MagicMock()
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sys.modules["app.utils.datetime_utils"] = datetime_module
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db_module = types.ModuleType("app.services.db_service")
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db_module.db_service = MagicMock()
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sys.modules["app.services.db_service"] = db_module
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paper_models_module = types.ModuleType("app.models.paper_trading")
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paper_models_module.PaperOrder = object
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paper_models_module.OrderStatus = types.SimpleNamespace(
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PENDING="pending",
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OPEN="open",
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CLOSED_TP="closed_tp",
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CLOSED_SL="closed_sl",
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CLOSED_BE="closed_be",
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CLOSED_TS="closed_ts",
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CLOSED_MANUAL="closed_manual",
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CANCELLED="cancelled",
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)
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paper_models_module.OrderSide = types.SimpleNamespace(LONG="long", SHORT="short")
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paper_models_module.SignalGrade = lambda value: value
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paper_models_module.EntryType = types.SimpleNamespace(MARKET="market", LIMIT="limit")
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sys.modules["app.models.paper_trading"] = paper_models_module
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module_name = "app.services.paper_trading_service_test"
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spec = importlib.util.spec_from_file_location(module_name, service_path)
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module = importlib.util.module_from_spec(spec)
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sys.modules[module_name] = module
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spec.loader.exec_module(module)
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return module.PaperTradingService
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def test_medium_term_defaults_to_light_margin_budget():
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module = load_position_sizing_module()
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target_pct, _, position_size, grade = module.resolve_target_margin_pct(
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position_size=None,
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signal_type="medium_term",
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confidence=75,
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)
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assert position_size == "light"
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assert grade == "B"
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assert target_pct == pytest.approx(0.08)
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def test_total_leverage_cap_is_converted_to_margin_cap():
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module = load_position_sizing_module()
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margin, position_value, _ = module.calculate_margin_and_position_value(
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balance=20000,
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available_margin=12000,
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current_total_leverage=9.5,
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max_total_leverage=10,
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order_leverage=10,
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target_margin_pct=0.18,
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max_margin_pct=0.25,
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)
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assert margin == pytest.approx(1000.0)
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assert position_value == pytest.approx(10000.0)
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def test_paper_dynamic_position_uses_equity_pct_instead_of_margin_multiple():
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PaperTradingService = load_paper_trading_service_class()
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service = PaperTradingService.__new__(PaperTradingService)
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service.leverage = 10
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service.max_total_leverage = 10
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service.get_account_status = MagicMock(
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return_value={
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"current_balance": 20000,
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"used_margin": 0,
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"current_total_leverage": 0,
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"max_total_leverage": 10,
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}
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)
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margin, position_value = service._calculate_dynamic_position(
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position_size="medium",
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symbol="ETHUSDT",
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signal_type="medium_term",
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confidence=75,
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grade="B",
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)
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assert margin == pytest.approx(2400.0)
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assert position_value == pytest.approx(24000.0)
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def test_setup_profile_can_cap_margin_budget_more_conservatively():
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module = load_position_sizing_module()
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margin, position_value, _ = module.calculate_margin_and_position_value(
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balance=20000,
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available_margin=19000,
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current_total_leverage=0,
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max_total_leverage=10,
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order_leverage=10,
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target_margin_pct=0.12 * 0.55,
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max_margin_pct=0.08,
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)
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assert margin == pytest.approx(1320.0)
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assert position_value == pytest.approx(13200.0)
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def test_min_position_value_floor_can_raise_too_small_contract_position():
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module = load_position_sizing_module()
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margin, position_value, _ = module.calculate_margin_and_position_value(
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balance=1400,
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available_margin=1400,
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current_total_leverage=0,
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max_total_leverage=10,
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order_leverage=10,
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target_margin_pct=0.028, # 原本只会开到约 392U 名义仓位
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max_margin_pct=0.25,
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min_position_value=1400,
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)
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assert margin == pytest.approx(140.0)
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assert position_value == pytest.approx(1400.0)
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