"""Alpha41同一合成成交带的真实VWAP与典型价格代理对照。"""
import json
from math import sqrt, isclose

tapes = {'A': [(12, 90), (8, 10)], 'B': [(8, 90), (12, 10)]}


def vwap(amount, volume, low, high):
    if volume <= 0:
        raise ValueError('零成交量没有VWAP')
    value = amount / volume
    if not low <= value <= high:
        raise ValueError('单位或窗口不一致')
    return value


exact, proxy = {}, {}
for symbol, trades in tapes.items():
    amount = sum(p * q for p, q in trades)
    volume = sum(q for _, q in trades)
    weighted = vwap(amount, volume, 8, 12)
    typical = (12 + 8 + trades[-1][0]) / 3
    exact[symbol] = sqrt(12 * 8) - weighted
    proxy[symbol] = sqrt(12 * 8) - typical
assert isclose(exact['A'], sqrt(96) - 11.6)
assert isclose(exact['B'], sqrt(96) - 8.4)
selected = max(exact, key=exact.get)
approx_selected = max(proxy, key=proxy.get)
assert selected == 'B' and approx_selected == 'A'
marks = {'A': 9.8, 'B': 10.2}
ending = {s: 1000 - 40 * 10 - 1 + 40 * marks[s] - 1 for s in 'AB'}
assert ending == {'A': 990, 'B': 1006}
rejected = []
for amount, volume in [(1.16, 100), (0, 0)]:
    try:
        vwap(amount, volume, 8, 12)
    except ValueError:
        rejected.append([amount, volume])
assert len(rejected) == 2
print(json.dumps({'exact_scores': exact, 'proxy_scores': proxy, 'exact_selected': selected,
                  'proxy_selected': approx_selected, 'ending_cash': ending,
                  'invalid_unit_and_zero_volume_rejected': rejected}))