feat(market): Phase 1 扩展 — 更多 symbol + Bollinger/Vegas + 衍生品信号
- collector.symbols 与 supportedSymbols 加 SOL/BNB/DOGE，env-default 与 README 同步 - entity 追加 TechnicalStructure.Intervals（每周期 Bollinger + Vegas，omitempty 不破坏既有字段）与 DerivativesBundle.Signal - 新增纯解析 usecase derivatives_signal.go：fundingBias 绝对阈值、oiSignal 用 P20 baseline + 价格方向（OI up + 价格 up/down → long/short_building，funding 不参与方向）、lsrRegime 绝对阈值；signal 数据不足走 warnings 进 DataQuality - indicator.go 加 sma/stddev/ema/bollinger/vegas + computeIntervalTechnicals；IndicatorComputer 签名收 klines map - harness 同步：G12 扩入 derivatives_signal.go（含 Makefile G12.5/6 + ADR-0002 适用范围 + project-map / harness-health 更新）
This commit is contained in:
dela
280
internal/usecase/derivatives_signal_test.go
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280
internal/usecase/derivatives_signal_test.go
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package usecase
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import (
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"strconv"
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"testing"
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"cryptoHermes/internal/entity"
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"github.com/stretchr/testify/require"
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)
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func mkOI(idx int, v string) entity.OpenInterest {
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return entity.OpenInterest{
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Symbol: "BTCUSDT",
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Period: "1h",
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Timestamp: int64(idx) * 3600 * 1000,
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OpenInterest: v,
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}
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}
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func mkLSRAt(idx int, ratio string) entity.LongShortRatio {
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return entity.LongShortRatio{
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Symbol: "BTCUSDT",
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Period: "1h",
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RatioType: entity.RatioTypeGlobalAccount,
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Timestamp: int64(idx) * 3600 * 1000,
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LongShortRatio: ratio,
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}
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}
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// klinesWithLastClose 构造 n 根 1h K 线，全部 close = baseClose，
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// 最后一根 close = lastClose（用来精准控制价格方向）。
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// 价格趋势靠"末根 vs 末根-lookback 根"判定，中间不影响。
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func klinesWithLastClose(n int, baseClose, lastClose float64) []entity.Kline {
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out := make([]entity.Kline, n)
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for i := 0; i < n; i++ {
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c := baseClose
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if i == n-1 {
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c = lastClose
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}
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out[i] = mkKline(int64(i),
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strconv.FormatFloat(c, 'f', -1, 64),
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strconv.FormatFloat(c+0.5, 'f', -1, 64),
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strconv.FormatFloat(c-0.5, 'f', -1, 64),
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strconv.FormatFloat(c, 'f', -1, 64),
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)
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}
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return out
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}
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// ---- FundingBias ------------------------------------------------------
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func TestFundingBias_Cases(t *testing.T) {
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tests := []struct {
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name string
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rate string
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want string
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}{
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{"crowded_long", "0.001", "crowded_long"},
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{"crowded_short", "-0.001", "crowded_short"},
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{"neutral_zero", "0", "neutral"},
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{"neutral_small_pos", "0.0001", "neutral"},
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{"neutral_small_neg", "-0.0001", "neutral"},
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{"boundary_high", "0.0005", "neutral"}, // 严格 >
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{"boundary_low", "-0.0005", "neutral"},
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}
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for _, tc := range tests {
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t.Run(tc.name, func(t *testing.T) {
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got, warn := fundingBias(&entity.FundingRate{FundingRate: tc.rate})
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require.Equal(t, tc.want, got)
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require.Empty(t, warn)
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})
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}
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}
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func TestFundingBias_NilAndBadInput(t *testing.T) {
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got, warn := fundingBias(nil)
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require.Equal(t, "", got)
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require.NotEmpty(t, warn)
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got, warn = fundingBias(&entity.FundingRate{FundingRate: ""})
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require.Equal(t, "", got)
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require.NotEmpty(t, warn)
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got, warn = fundingBias(&entity.FundingRate{FundingRate: "not-a-number"})
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require.Equal(t, "", got)
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require.NotEmpty(t, warn)
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}
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// ---- OISignal ---------------------------------------------------------
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func makeOIHistory(values []float64) []entity.OpenInterest {
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out := make([]entity.OpenInterest, len(values))
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for i, v := range values {
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out[i] = mkOI(i, formatPrice(v))
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}
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return out
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}
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// 25+ 根 K 线方便 priceDirection 拿到（需要 lookback+1 = 25 根）。
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func sufficientKlines(latestClose float64) []entity.Kline {
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return klinesWithLastClose(25, 100, latestClose)
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}
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func TestOISignal_InsufficientHistory(t *testing.T) {
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values := make([]float64, 23) // 23 < oiMinHistoryPoints(24)
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for i := range values {
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values[i] = 1000
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(100))
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require.Equal(t, "", got)
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require.Contains(t, warn, "OI history insufficient")
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}
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func TestOISignal_Stable(t *testing.T) {
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values := make([]float64, 30)
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for i := range values {
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values[i] = 1000
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(100))
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require.Equal(t, "stable", got)
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require.Empty(t, warn)
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}
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func TestOISignal_Deleveraging(t *testing.T) {
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// 前 25 根 1000，最后 5 根降到 800：OI 在跌，不看价格
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 800
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(100))
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require.Equal(t, "deleveraging", got)
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require.Empty(t, warn)
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}
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func TestOISignal_LongBuilding_PriceUp(t *testing.T) {
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// OI 涨 + 价格涨（末根 110 > base 100）→ long_building
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(110))
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require.Equal(t, "long_building", got)
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require.Empty(t, warn)
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}
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func TestOISignal_ShortBuilding_PriceDown(t *testing.T) {
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// OI 涨 + 价格跌（末根 90 < base 100）→ short_building
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(90))
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require.Equal(t, "short_building", got)
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require.Empty(t, warn)
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}
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func TestOISignal_OIUp_KlinesInsufficient(t *testing.T) {
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// OI 涨但价格 K 线只有 10 根，无法判定方向
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
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got, warn := oiSignal(makeOIHistory(values), klinesWithLastClose(10, 100, 110))
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require.Equal(t, "", got)
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require.Contains(t, warn, "primary klines insufficient")
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}
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func TestOISignal_FundingIgnoredForDirection(t *testing.T) {
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// 关键回归用例：funding 为正但价格下跌
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// 旧逻辑会误判 long_building，新逻辑应判 short_building
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(90))
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require.Equal(t, "short_building", got)
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require.Empty(t, warn)
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}
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// ---- LSRRegime --------------------------------------------------------
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func TestLSRRegime_Cases(t *testing.T) {
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tests := []struct {
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name string
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last string
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want string
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}{
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{"retail_long_heavy", "1.6", "retail_long_heavy"},
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{"retail_short_heavy", "0.5", "retail_short_heavy"},
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{"balanced_mid", "1.0", "balanced"},
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{"balanced_near_hi", "1.5", "balanced"},
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{"balanced_near_lo", "0.67", "balanced"},
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}
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for _, tc := range tests {
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t.Run(tc.name, func(t *testing.T) {
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got, warn := lsrRegime([]entity.LongShortRatio{mkLSRAt(0, tc.last)})
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require.Equal(t, tc.want, got)
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require.Empty(t, warn)
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})
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}
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}
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func TestLSRRegime_UsesLatest(t *testing.T) {
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got, warn := lsrRegime([]entity.LongShortRatio{
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mkLSRAt(0, "1.6"),
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mkLSRAt(1, "0.5"),
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})
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require.Equal(t, "retail_short_heavy", got)
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require.Empty(t, warn)
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}
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func TestLSRRegime_Empty(t *testing.T) {
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got, warn := lsrRegime(nil)
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require.Equal(t, "", got)
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require.NotEmpty(t, warn)
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}
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// ---- Compute（编排） ---------------------------------------------------
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func TestCompute_AllDataPresent(t *testing.T) {
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u := NewDerivativesSignalUsecase()
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
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got, warnings := u.Compute(
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&entity.FundingRate{FundingRate: "0.001"},
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makeOIHistory(values),
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[]entity.LongShortRatio{mkLSRAt(0, "1.6")},
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sufficientKlines(110),
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)
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require.NotNil(t, got)
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require.Equal(t, "crowded_long", got.FundingBias)
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require.Equal(t, "long_building", got.OISignal)
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require.Equal(t, "retail_long_heavy", got.LSRRegime)
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require.Empty(t, warnings)
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}
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func TestCompute_AllEmpty_ReturnsNilWithWarnings(t *testing.T) {
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u := NewDerivativesSignalUsecase()
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got, warnings := u.Compute(nil, nil, nil, nil)
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require.Nil(t, got)
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// 三个子判定都失败，应有 3 条 warning
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require.Len(t, warnings, 3)
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}
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func TestCompute_PartialData(t *testing.T) {
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u := NewDerivativesSignalUsecase()
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got, warnings := u.Compute(
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&entity.FundingRate{FundingRate: "0.001"},
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nil,
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nil,
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nil,
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)
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require.NotNil(t, got)
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require.Equal(t, "crowded_long", got.FundingBias)
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require.Equal(t, "", got.OISignal)
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require.Equal(t, "", got.LSRRegime)
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// OI + LSR 缺数据，应有 2 条 warning
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require.Len(t, warnings, 2)
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}
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