Align Continue labels with price plan outcomes

2026-06-27 23:53:58 +08:00
parent 38a728c00b
commit 87849a66a7
4 changed files with 170 additions and 24 deletions
@@ -0,0 +1,98 @@
+from __future__ import annotations
+
+import sys
+import tempfile
+import unittest
+from argparse import Namespace
+from pathlib import Path
+
+import pandas as pd
+
+TRAINING_ROOT = Path(__file__).resolve().parents[1]
+if str(TRAINING_ROOT) not in sys.path:
+    sys.path.insert(0, str(TRAINING_ROOT))
+
+from trader_training.io_utils import write_json
+from trader_training.labels import build_continue_exit_risk_labels
+
+
+class ContinueLabelsTest(unittest.TestCase):
+    def test_continue_label_uses_first_price_plan_barrier_not_later_mae(self) -> None:
+        with tempfile.TemporaryDirectory() as tmp:
+            data_root = Path(tmp)
+            run_root = data_root / "trader-v4" / "runs" / "unit-continue"
+            feature_path = run_root / "feature" / "feature_frame.parquet"
+            replay_path = run_root / "replay" / "replay_1m.parquet"
+            plan_path = run_root / "label" / "price_plan_context.json"
+            config_path = data_root / "label_config.json"
+            feature_path.parent.mkdir(parents=True)
+            replay_path.parent.mkdir(parents=True)
+            plan_path.parent.mkdir(parents=True)
+
+            times = pd.date_range("2026-01-01", periods=5, freq="min", tz="UTC")
+            pd.DataFrame(
+                {
+                    "sample_id": ["s0"],
+                    "symbol": "BTC-USDT-PERP",
+                    "event_time": [times[0]],
+                    "open_time_ms": [0],
+                    "split_id": ["fit_inner"],
+                    "walk_forward_fold": [0],
+                    "data_quality_flag": ["OK"],
+                    "spread_bps": [1.0],
+                    "spread_rank_24h_pct": [0.1],
+                    "realized_vol_15m_bps": [2.0],
+                }
+            ).to_parquet(feature_path, index=False)
+            pd.DataFrame(
+                {
+                    "event_time": times,
+                    "open_time_ms": [0, 60_000, 120_000, 180_000, 240_000],
+                    "symbol": "BTC-USDT-PERP",
+                    "open": [100.0, 100.0, 100.0, 100.0, 100.0],
+                    "high": [100.0, 100.30, 100.0, 100.0, 100.0],
+                    "low": [100.0, 100.0, 99.80, 100.0, 100.0],
+                    "close": [100.0, 100.10, 100.0, 100.0, 100.0],
+                    "spread_bps": [1.0, 1.1, 1.2, 1.3, 1.4],
+                }
+            ).to_parquet(replay_path, index=False)
+            write_json(
+                config_path,
+                {
+                    "continue": {"horizon_minutes": 3, "min_expected_continue_edge_bps": 5.0},
+                    "entry": {"target_bps": 20.0, "stop_bps": 8.0, "max_hold_minutes": 3},
+                },
+            )
+            write_json(
+                plan_path,
+                {
+                    "pricePlanId": "unit-plan",
+                    "pricePlanConfigHash": "unit-hash",
+                    "targetDistanceBps": 20.0,
+                    "stopDistanceBps": 8.0,
+                    "maxHoldMinutes": 3,
+                    "costBps": 6.5,
+                    "entryLabelMethod": "PRICE_PLAN_OUTCOME_V1",
+                },
+            )
+
+            build_continue_exit_risk_labels(
+                Namespace(
+                    data_root=data_root,
+                    run_id="unit-continue",
+                    feature_path=feature_path,
+                    replay_path=replay_path,
+                    label_config_path=config_path,
+                    cost_config_path=None,
+                    price_plan_context_path=plan_path,
+                )
+            )
+
+            labels = pd.read_parquet(run_root / "label" / "continue_labels.parquet")
+            row = labels.iloc[0]
+            self.assertEqual(1, int(row["long_continue_target"]))
+            self.assertAlmostEqual(13.5, float(row["long_expected_continue_edge_bps"]), places=6)
+
+
+if __name__ == "__main__":
+    unittest.main()