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 +1,104 @@
+import unittest
+from datetime import datetime, timedelta, timezone
+
+from quant60.domain import Side
+from quant60.execution import (
+    ExecutionBucket,
+    ParentOrderIntent,
+    ResidualPolicy,
+    market_data_is_fresh,
+    plan_guarded_twap_pov,
+)
+
+
+UTC8 = timezone(timedelta(hours=8))
+
+
+class ExecutionPlannerTests(unittest.TestCase):
+    def _parent(self, quantity=1000):
+        return ParentOrderIntent(
+            decision_id="D-20260726",
+            symbol="600000.SH",
+            side=Side.BUY,
+            quantity=quantity,
+            limit_price=10.0,
+            window_start=datetime(2026, 7, 27, 9, 35, tzinfo=UTC8),
+            window_end=datetime(2026, 7, 27, 10, 0, tzinfo=UTC8),
+            market_data_as_of=datetime(2026, 7, 27, 9, 34, 59, tzinfo=UTC8),
+            max_participation=0.10,
+            max_child_quantity=400,
+            max_child_notional=3000,
+            residual_policy=ResidualPolicy.DEFER,
+        )
+
+    def test_plan_conserves_quantity_and_honors_all_caps(self):
+        parent = self._parent()
+        buckets = [
+            ExecutionBucket(
+                datetime(2026, 7, 27, 9, 35 + index * 5, tzinfo=UTC8),
+                2000,
+            )
+            for index in range(5)
+        ]
+        plan = plan_guarded_twap_pov(parent, buckets)
+        self.assertEqual(
+            plan.planned_quantity + plan.residual_quantity,
+            parent.quantity,
+        )
+        self.assertTrue(plan.children)
+        for child in plan.children:
+            self.assertLessEqual(child.quantity, 200)
+            self.assertLessEqual(child.quantity * child.limit_price, 3000)
+            self.assertLessEqual(
+                child.quantity,
+                child.participation_cap_quantity,
+            )
+        self.assertEqual(
+            len({child.child_id for child in plan.children}),
+            len(plan.children),
+        )
+
+    def test_zero_volume_buckets_leave_explicit_residual(self):
+        parent = self._parent(quantity=500)
+        buckets = [
+            ExecutionBucket(
+                datetime(2026, 7, 27, 9, 35, tzinfo=UTC8),
+                0,
+            )
+        ]
+        plan = plan_guarded_twap_pov(parent, buckets)
+        self.assertEqual(plan.planned_quantity, 0)
+        self.assertEqual(plan.residual_quantity, 500)
+        self.assertEqual(plan.residual_policy, ResidualPolicy.DEFER)
+
+    def test_market_data_freshness_rejects_old_and_future_quotes(self):
+        now = datetime(2026, 7, 27, 9, 35, tzinfo=UTC8)
+        self.assertTrue(
+            market_data_is_fresh(
+                as_of=now - timedelta(seconds=2),
+                now=now,
+            )
+        )
+        self.assertFalse(
+            market_data_is_fresh(
+                as_of=now - timedelta(seconds=6),
+                now=now,
+            )
+        )
+        self.assertFalse(
+            market_data_is_fresh(
+                as_of=now + timedelta(seconds=2),
+                now=now,
+            )
+        )
+
+    def test_parent_identity_is_decision_symbol_side(self):
+        parent = self._parent()
+        self.assertEqual(
+            parent.idempotency_key,
+            "D-20260726:600000.XSHG:BUY",
+        )
+
+
+if __name__ == "__main__":
+    unittest.main()