Align JoinQuant targets to execution dates

This commit is contained in:
Yuxuan Yan
2026-07-04 17:50:55 +08:00
parent f25db279bf
commit c200508f9e
5 changed files with 107 additions and 11 deletions
+26 -1
View File
@@ -269,6 +269,32 @@ def test_export_targets_target_value_mode_from_position_columns(tmp_path):
assert target.loc[0, "target_shares"] == 250
def test_export_targets_can_shift_to_next_execution_session(tmp_path):
positions_path = tmp_path / "positions.pq"
_positions(date="2024-01-09").to_parquet(positions_path, index=False)
calendar_path = tmp_path / "daily.pq"
pd.DataFrame({
"date": pd.to_datetime(["2024-01-09", "2024-01-10", "2024-01-11"]),
"symbol_id": ["sh600000", "sh600000", "sh600000"],
}).to_parquet(calendar_path, index=False)
snapshots = export_targets(
positions_path,
portfolio_name="run1",
out_dir=tmp_path / "targets_shifted",
mode="target_shares",
start_date="2024-01-10",
end_date="2024-01-10",
execution_calendar_path=calendar_path,
)
assert len(snapshots) == 1
assert snapshots[0]["date"] == "2024-01-10"
assert (tmp_path / "targets_shifted" / "run1" / "20240110.csv").exists()
target = pd.read_csv(tmp_path / "targets_shifted" / "run1" / "20240110.csv")
assert target.loc[0, "date"] == "2024-01-10"
def test_ingest_permissive_csv_column_mapping_and_output_schemas(tmp_path):
fills_csv = tmp_path / "jq_fills.csv"
positions_csv = tmp_path / "jq_positions.csv"
@@ -479,4 +505,3 @@ def test_wrapper_strategy_generation_smoke(tmp_path):
assert 'PORTFOLIO_NAME = "run2"' in text
assert 'TARGET_MODE = "target_value"' in text
assert "order_target_value" in text