quant-os/tests/test_portable_core.py

import unittest

from quant60.portable_core import (
    build_rebalance_plan,
    capped_target_weights,
    momentum_score,
    normalize_symbol,
    order_deltas,
    target_quantities,
)


class PortableCoreTests(unittest.TestCase):
    def test_symbol_round_trip(self):
        inputs = [
            ("600000.XSHG", "600000.SH", "SH600000"),
            ("000001.XSHE", "000001.SZ", "SZ000001"),
            ("830799.XBSE", "830799.BJ", "BJ830799"),
        ]
        for canonical, qmt, qlib in inputs:
            self.assertEqual(normalize_symbol(qmt), canonical)
            self.assertEqual(normalize_symbol(qlib), canonical)
            self.assertEqual(normalize_symbol(canonical, "qmt"), qmt)
            self.assertEqual(normalize_symbol(canonical, "qlib"), qlib)

    def test_momentum_uses_latest_completed_bar(self):
        self.assertAlmostEqual(momentum_score([10, 11, 12], 2, 0), 0.2)
        self.assertAlmostEqual(momentum_score([10, 11, 12], 1, 1), 0.1)

    def test_caps_and_cash_buffer_are_not_double_counted(self):
        weights = capped_target_weights(
            {"600000.XSHG": 3, "000001.XSHE": 2, "300750.XSHE": 1},
            max_weight=0.4,
            gross_target=0.95,
        )
        self.assertAlmostEqual(sum(weights.values()), 0.95)
        self.assertLessEqual(max(weights.values()), 0.4 + 1e-12)
        quantities = target_quantities(
            weights,
            {symbol: 10 for symbol in weights},
            equity=1_000_000,
            lot_size=100,
            cash_buffer=0.02,
        )
        invested = sum(quantity * 10 for quantity in quantities.values())
        self.assertGreater(invested, 930_000)
        self.assertLessEqual(invested, 980_000)

    def test_non_finite_or_out_of_range_portfolio_inputs_are_rejected(self):
        for value in (float("nan"), float("inf"), float("-inf")):
            with self.subTest(kind="score", value=value):
                with self.assertRaises(ValueError):
                    capped_target_weights({"600000.SH": value})
            with self.subTest(kind="weight", value=value):
                with self.assertRaises(ValueError):
                    target_quantities(
                        {"600000.SH": value},
                        {"600000.SH": 10.0},
                        100_000,
                    )
            with self.subTest(kind="equity", value=value):
                with self.assertRaises(ValueError):
                    target_quantities(
                        {"600000.SH": 0.5},
                        {"600000.SH": 10.0},
                        value,
                    )
        for max_weight, gross_target in ((1.1, 0.9), (0.2, 1.1)):
            with self.subTest(max_weight=max_weight, gross_target=gross_target):
                with self.assertRaises(ValueError):
                    capped_target_weights(
                        {"600000.SH": 1.0},
                        max_weight=max_weight,
                        gross_target=gross_target,
                    )

    def test_sell_delta_respects_sellable(self):
        deltas = order_deltas(
            {"600000.XSHG": 0},
            {"600000.XSHG": 1000},
            {"600000.XSHG": 300},
            lot_size=100,
        )
        self.assertEqual(deltas, {"600000.XSHG": -300})

    def test_star_targets_and_partial_orders_respect_200_share_minimum(self):
        self.assertEqual(
            target_quantities(
                {"688301.XSHG": 1.0},
                {"688301.XSHG": 300.0},
                equity=50_000,
                lot_size=100,
                cash_buffer=0.02,
            ),
            {"688301.XSHG": 0},
        )
        self.assertEqual(
            target_quantities(
                {"688301.XSHG": 1.0},
                {"688301.XSHG": 200.0},
                equity=50_000,
                lot_size=100,
                cash_buffer=0.02,
            ),
            {"688301.XSHG": 200},
        )
        self.assertEqual(
            order_deltas(
                {"688301.XSHG": 300},
                {"688301.XSHG": 200},
                {"688301.XSHG": 200},
                lot_size=100,
            ),
            {},
        )
        self.assertEqual(
            order_deltas(
                {"688301.XSHG": 1300},
                {"688301.XSHG": 1400},
                {"688301.XSHG": 1400},
                lot_size=100,
            ),
            {},
        )

    def test_complete_odd_lot_liquidation_is_preserved(self):
        self.assertEqual(
            order_deltas(
                {"600000.XSHG": 0},
                {"600000.XSHG": 1050},
                {"600000.XSHG": 1050},
                lot_size=100,
            ),
            {"600000.XSHG": -1050},
        )
        self.assertEqual(
            order_deltas(
                {"688301.XSHG": 0},
                {"688301.XSHG": 150},
                {"688301.XSHG": 150},
                lot_size=100,
            ),
            {"688301.XSHG": -150},
        )

    def test_complete_plan_is_deterministic(self):
        histories = {
            "600000.SH": [10 + index * 0.1 for index in range(25)],
            "000001.SZ": [10 + index * 0.05 for index in range(25)],
        }
        arguments = dict(
            price_history=histories,
            current={},
            sellable={},
            equity=100_000,
            lookback=20,
            skip=0,
            top_n=2,
            max_weight=0.5,
            gross_target=0.95,
            cash_buffer=0.02,
            lot_size=100,
        )
        self.assertEqual(
            build_rebalance_plan(**arguments),
            build_rebalance_plan(**arguments),
        )


if __name__ == "__main__":
    unittest.main()