feat: add Quant OS A-share baseline

2026-07-26 12:54:04 +08:00
commit 48c5f64bbd
98 changed files with 31874 additions and 0 deletions
@@ -0,0 +1,155 @@
+import sys
+import json
+import hashlib
+import tempfile
+import types
+import unittest
+from pathlib import Path
+from unittest import mock
+
+
+ROOT = Path(__file__).resolve().parents[1]
+sys.path.insert(0, str(ROOT))
+sys.path.insert(0, str(ROOT / "src"))
+
+from platforms import qmt_research_runner
+
+
+class FakeFrame:
+    def __len__(self):
+        return 1
+
+
+class QmtResearchRunnerTest(unittest.TestCase):
+    def test_build_params_normalizes_official_timestamps(self):
+        params = qmt_research_runner.build_qmt_parameters(
+            stock_code="600000.sh",
+            start_time="20260102",
+            end_time="2026-01-30",
+        )
+        self.assertEqual(params["stock_code"], "600000.SH")
+        self.assertEqual(params["start_time"], "2026-01-02 00:00:00")
+        self.assertEqual(params["end_time"], "2026-01-30 23:59:59")
+        self.assertEqual(params["trade_mode"], "backtest")
+        self.assertEqual(params["quote_mode"], "history")
+        self.assertEqual(params["account_id"], "test")
+        self.assertEqual(params["benchmark"], "000905.SH")
+        baseline_bytes = (ROOT / "configs/baseline.json").read_bytes()
+        baseline = json.loads(baseline_bytes)
+        self.assertEqual(
+            params["max_vol_rate"],
+            baseline["execution"]["participation_rate"],
+        )
+        self.assertEqual(
+            params["slippage"],
+            baseline["execution"]["slippage_bps"] / 10_000,
+        )
+        expected_commission = (
+            baseline["fees"]["commission_rate"]
+            + baseline["fees"]["transfer_fee_rate"]
+        )
+        self.assertEqual(params["open_commission"], expected_commission)
+        self.assertEqual(params["close_commission"], expected_commission)
+        self.assertEqual(
+            params["q60_baseline_config_sha256"],
+            hashlib.sha256(baseline_bytes).hexdigest(),
+        )
+
+    def test_live_mode_overrides_are_rejected(self):
+        with self.assertRaises(ValueError):
+            qmt_research_runner.build_qmt_parameters(
+                stock_code="600000.SH",
+                start_time="20260102",
+                end_time="20260130",
+                overrides={"trade_mode": "trading"},
+            )
+        with self.assertRaises(ValueError):
+            qmt_research_runner.build_qmt_parameters(
+                stock_code="600000.SH",
+                start_time="20260102",
+                end_time="20260130",
+                overrides={"period": "1m"},
+            )
+        with self.assertRaises(ValueError):
+            qmt_research_runner.build_qmt_parameters(
+                stock_code="600000.SH",
+                start_time="20260102",
+                end_time="20260130",
+                overrides={"benchmark": "000300.SH"},
+            )
+
+    def test_non_finite_asset_and_rate_are_rejected(self):
+        for kwargs in (
+            {"asset": float("nan")},
+            {"asset": float("inf")},
+            {"overrides": {"max_vol_rate": float("nan")}},
+            {"overrides": {"open_commission": float("inf")}},
+        ):
+            with self.subTest(kwargs=kwargs):
+                with self.assertRaisesRegex(ValueError, "finite"):
+                    qmt_research_runner.build_qmt_parameters(
+                        stock_code="600000.SH",
+                        start_time="20260102",
+                        end_time="20260130",
+                        **kwargs,
+                    )
+
+    def test_intraday_period_is_rejected_to_prevent_daily_bar_lookahead(self):
+        with self.assertRaisesRegex(ValueError, "period must be 1d"):
+            qmt_research_runner.build_qmt_parameters(
+                stock_code="600000.SH",
+                start_time="20260102",
+                end_time="20260130",
+                period="1m",
+            )
+
+    def test_preflight_and_run_use_param_keyword(self):
+        params = qmt_research_runner.build_qmt_parameters(
+            stock_code="600000.SH",
+            start_time="20260102",
+            end_time="20260130",
+        )
+        calls = {}
+
+        def run_strategy_file(user_script, *, param):
+            calls["user_script"] = user_script
+            calls["param"] = param
+            return object()
+
+        fake_qmttools = types.SimpleNamespace(run_strategy_file=run_strategy_file)
+
+        def get_market_data_ex(**kwargs):
+            calls["data"] = kwargs
+            return {"600000.SH": FakeFrame()}
+
+        fake_xtdata = types.SimpleNamespace(get_market_data_ex=get_market_data_ex)
+        fake_xtquant = types.SimpleNamespace(__version__="fake")
+
+        def import_module(name):
+            return {
+                "xtquant": fake_xtquant,
+                "xtquant.qmttools": fake_qmttools,
+                "xtquant.xtdata": fake_xtdata,
+            }[name]
+
+        with tempfile.TemporaryDirectory() as temp:
+            strategy = Path(temp) / "strategy.py"
+            strategy.write_text("def init(C): pass\n", encoding="ascii")
+            with mock.patch.object(
+                qmt_research_runner.importlib.util,
+                "find_spec",
+                return_value=object(),
+            ), mock.patch.object(
+                qmt_research_runner.importlib,
+                "import_module",
+                side_effect=import_module,
+            ):
+                result = qmt_research_runner.run_qmt_backtest(strategy, params)
+        self.assertIsNotNone(result)
+        self.assertEqual(calls["param"], params)
+        self.assertEqual(calls["data"]["start_time"], "20260102000000")
+        self.assertEqual(calls["data"]["end_time"], "20260130235959")
+
+
+if __name__ == "__main__":
+    unittest.main()