stock-ai-agent/backend/tests/test_position_sizing_regression.py

"""
仓位 sizing 回归测试

覆盖重点：
  - 中线信号默认仓位降到 light
  - 总杠杆限制按“名义仓位空间 -> 保证金”正确换算
  - 模拟盘回退仓位计算不再按可用保证金倍数放大
"""
import importlib.util
import sys
import types
from pathlib import Path
from unittest.mock import MagicMock

import pytest


def load_position_sizing_module():
    module_path = Path(__file__).resolve().parents[1] / "app" / "services" / "position_sizing.py"

    if "app" not in sys.modules:
        app_pkg = types.ModuleType("app")
        app_pkg.__path__ = [str(module_path.parents[2] / "app")]
        sys.modules["app"] = app_pkg

    if "app.services" not in sys.modules:
        services_pkg = types.ModuleType("app.services")
        services_pkg.__path__ = [str(module_path.parent)]
        sys.modules["app.services"] = services_pkg

    if "app.utils" not in sys.modules:
        utils_pkg = types.ModuleType("app.utils")
        utils_pkg.__path__ = [str(module_path.parents[1] / "utils")]
        sys.modules["app.utils"] = utils_pkg

    logger_module = types.ModuleType("app.utils.logger")
    logger_module.logger = MagicMock()
    sys.modules["app.utils.logger"] = logger_module

    module_name = "app.services.position_sizing_test"
    spec = importlib.util.spec_from_file_location(module_name, module_path)
    module = importlib.util.module_from_spec(spec)
    sys.modules[module_name] = module
    spec.loader.exec_module(module)
    return module


def load_paper_trading_service_class():
    service_path = Path(__file__).resolve().parents[1] / "app" / "services" / "paper_trading_service.py"
    position_sizing_module = load_position_sizing_module()
    sys.modules["app.services.position_sizing"] = position_sizing_module

    if "app.models" not in sys.modules:
        models_pkg = types.ModuleType("app.models")
        models_pkg.__path__ = [str(service_path.parents[1] / "models")]
        sys.modules["app.models"] = models_pkg

    config_module = types.ModuleType("app.config")
    config_module.get_settings = MagicMock(return_value=MagicMock())
    sys.modules["app.config"] = config_module

    datetime_module = types.ModuleType("app.utils.datetime_utils")
    datetime_module.get_beijing_time = MagicMock()
    sys.modules["app.utils.datetime_utils"] = datetime_module

    db_module = types.ModuleType("app.services.db_service")
    db_module.db_service = MagicMock()
    sys.modules["app.services.db_service"] = db_module

    paper_models_module = types.ModuleType("app.models.paper_trading")
    paper_models_module.PaperOrder = object
    paper_models_module.OrderStatus = types.SimpleNamespace(
        PENDING="pending",
        OPEN="open",
        CLOSED_TP="closed_tp",
        CLOSED_SL="closed_sl",
        CLOSED_BE="closed_be",
        CLOSED_TS="closed_ts",
        CLOSED_MANUAL="closed_manual",
        CANCELLED="cancelled",
    )
    paper_models_module.OrderSide = types.SimpleNamespace(LONG="long", SHORT="short")
    paper_models_module.SignalGrade = lambda value: value
    paper_models_module.EntryType = types.SimpleNamespace(MARKET="market", LIMIT="limit")
    sys.modules["app.models.paper_trading"] = paper_models_module

    module_name = "app.services.paper_trading_service_test"
    spec = importlib.util.spec_from_file_location(module_name, service_path)
    module = importlib.util.module_from_spec(spec)
    sys.modules[module_name] = module
    spec.loader.exec_module(module)
    return module.PaperTradingService


def test_medium_term_defaults_to_light_margin_budget():
    module = load_position_sizing_module()

    target_pct, _, position_size, grade = module.resolve_target_margin_pct(
        position_size=None,
        signal_type="medium_term",
        confidence=75,
    )

    assert position_size == "light"
    assert grade == "B"
    assert target_pct == pytest.approx(0.08)


def test_total_leverage_cap_is_converted_to_margin_cap():
    module = load_position_sizing_module()

    margin, position_value, _ = module.calculate_margin_and_position_value(
        balance=20000,
        available_margin=12000,
        current_total_leverage=9.5,
        max_total_leverage=10,
        order_leverage=10,
        target_margin_pct=0.18,
        max_margin_pct=0.25,
    )

    assert margin == pytest.approx(1000.0)
    assert position_value == pytest.approx(10000.0)


def test_paper_dynamic_position_uses_equity_pct_instead_of_margin_multiple():
    PaperTradingService = load_paper_trading_service_class()

    service = PaperTradingService.__new__(PaperTradingService)
    service.leverage = 10
    service.max_total_leverage = 10
    service.get_account_status = MagicMock(
        return_value={
            "current_balance": 20000,
            "used_margin": 0,
            "current_total_leverage": 0,
            "max_total_leverage": 10,
        }
    )

    margin, position_value = service._calculate_dynamic_position(
        position_size="medium",
        symbol="ETHUSDT",
        signal_type="medium_term",
        confidence=75,
        grade="B",
    )

    assert margin == pytest.approx(2400.0)
    assert position_value == pytest.approx(24000.0)


def test_setup_profile_can_cap_margin_budget_more_conservatively():
    module = load_position_sizing_module()

    margin, position_value, _ = module.calculate_margin_and_position_value(
        balance=20000,
        available_margin=19000,
        current_total_leverage=0,
        max_total_leverage=10,
        order_leverage=10,
        target_margin_pct=0.12 * 0.55,
        max_margin_pct=0.08,
    )

    assert margin == pytest.approx(1320.0)
    assert position_value == pytest.approx(13200.0)


def test_min_position_value_floor_can_raise_too_small_contract_position():
    module = load_position_sizing_module()

    margin, position_value, _ = module.calculate_margin_and_position_value(
        balance=1400,
        available_margin=1400,
        current_total_leverage=0,
        max_total_leverage=10,
        order_leverage=10,
        target_margin_pct=0.028,  # 原本只会开到约 392U 名义仓位
        max_margin_pct=0.25,
        min_position_value=1400,
    )

    assert margin == pytest.approx(140.0)
    assert position_value == pytest.approx(1400.0)