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feat: add Quant OS A-share baseline

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zebzhang
2026-07-26 12:54:04 +08:00
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tests/test_data_jqdata.py
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import json
import tempfile
import unittest
from datetime import date, datetime, timezone
from pathlib import Path
from adapters.jqdata_local import (
JQDataUnavailableError,
authenticate,
fetch_index_daily_snapshot,
)
from quant60.data_snapshot import (
CanonicalBarRecord,
DataQualityError,
verify_data_snapshot,
)
class FakeFrame:
def __init__(self, rows):
self.rows = rows
def iterrows(self):
return iter(self.rows)
class FakeJQData:
__version__ = "fake-1"
def __init__(self):
self.authenticated = False
self.last_get_bars_kwargs = None
self.last_get_extras_kwargs = None
self.trade_day_queries = []
self.full_calendar_queries = 0
def auth(self, username, password):
self.authenticated = username == "user" and password == "password"
def is_auth(self):
return self.authenticated
def get_trade_days(self, *, start_date, end_date):
self.trade_day_queries.append(
{
"start_date": start_date,
"end_date": end_date,
}
)
return [start_date, end_date]
def get_all_trade_days(self):
self.full_calendar_queries += 1
return [
date(2024, 1, 2),
date(2024, 1, 3),
date(2024, 1, 4),
]
def get_index_stocks(self, index_symbol, *, date):
return ["600000.XSHG", "000001.XSHE"]
def get_extras(
self,
info,
security_list,
*,
start_date,
end_date,
df,
):
self.last_get_extras_kwargs = {
"info": info,
"security_list": list(security_list),
"start_date": start_date,
"end_date": end_date,
"df": df,
}
return FakeFrame(
[
(
start_date,
{symbol: False for symbol in security_list},
),
(
end_date,
{symbol: False for symbol in security_list},
),
]
)
def get_bars(self, symbol, **kwargs):
self.last_get_bars_kwargs = dict(kwargs)
offset = 0 if symbol.startswith("600000") else 10
return FakeFrame(
[
(
0,
{
"date": kwargs["start_dt"],
"open": 10 + offset,
"high": 11 + offset,
"low": 9 + offset,
"close": 10.5 + offset,
"volume": 1000,
"money": 10_500 + offset * 1000,
"factor": 1.0,
"paused": False,
"high_limit": 11.5 + offset,
"low_limit": 8.5 + offset,
"pre_close": 10 + offset,
},
),
(
1,
{
"date": kwargs["end_dt"],
"open": 10.5 + offset,
"high": 11.5 + offset,
"low": 10 + offset,
"close": 11 + offset,
"volume": 1200,
"money": 13_200 + offset * 1200,
"factor": 1.0,
"paused": False,
"high_limit": 12 + offset,
"low_limit": 9 + offset,
"pre_close": 10.5 + offset,
},
),
]
)
class DataJQDataTests(unittest.TestCase):
def test_authentication_never_accepts_failed_login(self):
sdk = FakeJQData()
with self.assertRaisesRegex(JQDataUnavailableError, "not accepted"):
authenticate(
sdk,
username="user",
password="wrong",
interactive=False,
)
authenticate(
sdk,
username="user",
password="password",
interactive=False,
)
self.assertTrue(sdk.authenticated)
def test_fake_jqdata_snapshot_is_canonical_and_verifiable(self):
sdk = FakeJQData()
authenticate(
sdk,
username="user",
password="password",
interactive=False,
)
with tempfile.TemporaryDirectory() as directory:
paths = fetch_index_daily_snapshot(
sdk,
index_symbol="000905.XSHG",
start_date=date(2024, 1, 2),
end_date=date(2024, 1, 3),
output_dir=directory,
retrieved_at=datetime(2024, 1, 4, tzinfo=timezone.utc),
)
verified = verify_data_snapshot(paths["manifest"])
self.assertTrue(verified["ok"])
self.assertEqual(verified["bar_count"], 4)
self.assertEqual(verified["membership_count"], 4)
self.assertEqual(
sdk.last_get_bars_kwargs["end_dt"].date(),
date(2024, 1, 3),
)
self.assertEqual(
sdk.last_get_bars_kwargs["end_dt"].time(),
datetime.strptime("23:59:59", "%H:%M:%S").time(),
)
self.assertIs(
sdk.last_get_bars_kwargs["include_now"],
True,
)
self.assertEqual(
sdk.last_get_extras_kwargs["info"],
"is_st",
)
manifest = json.loads(
Path(paths["manifest"]).read_text(encoding="utf-8")
)
self.assertEqual(
manifest["next_trading_session"],
"2024-01-04",
)
self.assertEqual(
manifest["query"]["trading_sessions"],
["2024-01-02", "2024-01-03", "2024-01-04"],
)
self.assertEqual(sdk.full_calendar_queries, 1)
content = Path(paths["manifest"]).read_text(encoding="utf-8")
self.assertNotIn("password", content)
self.assertNotIn("user", content)
bars = (
Path(directory) / "bars.jsonl"
).read_text(encoding="utf-8")
self.assertIn('"adjustment_factor":1.0', bars)
self.assertIn('"limit_up":', bars)
def test_next_session_comes_from_provider_calendar_across_holiday(self):
class NationalDayCalendarJQData(FakeJQData):
def get_all_trade_days(self):
self.full_calendar_queries += 1
return [
date(2024, 9, 27),
date(2024, 9, 30),
date(2024, 10, 8),
date(2024, 10, 9),
]
sdk = NationalDayCalendarJQData()
with tempfile.TemporaryDirectory() as directory:
paths = fetch_index_daily_snapshot(
sdk,
index_symbol="000905.XSHG",
start_date=date(2024, 9, 27),
end_date=date(2024, 9, 30),
output_dir=directory,
retrieved_at=datetime(2024, 10, 9, tzinfo=timezone.utc),
)
manifest = json.loads(
Path(paths["manifest"]).read_text(encoding="utf-8")
)
self.assertEqual(
manifest["next_trading_session"],
"2024-10-08",
)
self.assertEqual(
manifest["query"]["trading_sessions"][-1],
"2024-10-08",
)
def test_invalid_next_session_calendar_response_fails_closed(self):
class BadCalendarJQData(FakeJQData):
def get_all_trade_days(self):
return [date(2024, 1, 2), date(2024, 1, 3)]
with tempfile.TemporaryDirectory() as directory:
with self.assertRaisesRegex(
JQDataUnavailableError,
"unique next trading session",
):
fetch_index_daily_snapshot(
BadCalendarJQData(),
index_symbol="000905.XSHG",
start_date=date(2024, 1, 2),
end_date=date(2024, 1, 3),
output_dir=directory,
retrieved_at=datetime(
2024,
1,
4,
tzinfo=timezone.utc,
),
)
def test_inconsistent_range_and_full_calendars_fail_closed(self):
class MissingMiddleSessionJQData(FakeJQData):
def get_all_trade_days(self):
return [
date(2024, 1, 2),
date(2024, 1, 3),
date(2024, 1, 4),
]
def get_trade_days(self, *, start_date, end_date):
return [start_date]
with tempfile.TemporaryDirectory() as directory:
with self.assertRaisesRegex(
JQDataUnavailableError,
"inconsistent sessions",
):
fetch_index_daily_snapshot(
MissingMiddleSessionJQData(),
index_symbol="000905.XSHG",
start_date=date(2024, 1, 2),
end_date=date(2024, 1, 3),
output_dir=directory,
retrieved_at=datetime(
2024,
1,
4,
tzinfo=timezone.utc,
),
)
def test_same_shanghai_day_is_rejected_before_query(self):
sdk = FakeJQData()
with tempfile.TemporaryDirectory() as directory:
with self.assertRaisesRegex(
JQDataUnavailableError,
"24:00 finalization",
):
fetch_index_daily_snapshot(
sdk,
index_symbol="000905.XSHG",
start_date=date(2024, 1, 2),
end_date=date(2024, 1, 3),
output_dir=directory,
retrieved_at=datetime(
2024,
1,
3,
6,
tzinfo=timezone.utc,
),
)
self.assertIsNone(sdk.last_get_bars_kwargs)
self.assertIsNone(sdk.last_get_extras_kwargs)
def test_missing_pit_st_status_fails_closed(self):
class MissingStatusJQData(FakeJQData):
def get_extras(self, *args, **kwargs):
frame = super().get_extras(*args, **kwargs)
frame.rows[-1][1].pop("600000.XSHG")
return frame
with tempfile.TemporaryDirectory() as directory:
with self.assertRaisesRegex(
JQDataUnavailableError,
"omitted required field 600000.XSHG",
):
fetch_index_daily_snapshot(
MissingStatusJQData(),
index_symbol="000905.XSHG",
start_date=date(2024, 1, 2),
end_date=date(2024, 1, 3),
output_dir=directory,
retrieved_at=datetime(
2024,
1,
4,
tzinfo=timezone.utc,
),
)
def test_missing_required_provider_rule_field_fails_closed(self):
class MissingLimitJQData(FakeJQData):
def get_bars(self, symbol, **kwargs):
frame = super().get_bars(symbol, **kwargs)
del frame.rows[0][1]["high_limit"]
return frame
with tempfile.TemporaryDirectory() as directory:
with self.assertRaisesRegex(
JQDataUnavailableError,
"omitted required field high_limit",
):
fetch_index_daily_snapshot(
MissingLimitJQData(),
index_symbol="000905.XSHG",
start_date=date(2024, 1, 2),
end_date=date(2024, 1, 3),
output_dir=directory,
retrieved_at=datetime(
2024,
1,
4,
tzinfo=timezone.utc,
),
)
def test_membership_without_same_session_bar_fails_quality_gate(self):
class MissingEndBarJQData(FakeJQData):
def get_bars(self, symbol, **kwargs):
frame = super().get_bars(symbol, **kwargs)
frame.rows.pop()
return frame
with tempfile.TemporaryDirectory() as directory:
with self.assertRaisesRegex(
DataQualityError,
"membership has no same-session canonical bar",
):
fetch_index_daily_snapshot(
MissingEndBarJQData(),
index_symbol="000905.XSHG",
start_date=date(2024, 1, 2),
end_date=date(2024, 1, 3),
output_dir=directory,
retrieved_at=datetime(
2024,
1,
4,
tzinfo=timezone.utc,
),
)
def test_bad_ohlc_fails_quality_gate(self):
with self.assertRaisesRegex(DataQualityError, "open must lie"):
CanonicalBarRecord(
trading_date=date(2024, 1, 2),
symbol="600000.SH",
open=12,
high=11,
low=9,
close=10,
volume=100,
money=1000,
paused=False,
source="fixture",
)
if __name__ == "__main__":
unittest.main()