dennisthiessenandClaude Fable 5
247a92a89f
Review of the shadow book found seven ways the two books could leak into
each other; all are fixed here. The most serious silently invalidated the
comparison the shadow book exists to make.
- Shadow holdings no longer suppress the manual candidate list. The
open-trade exclusion filtered on any book, so shadow taking the
top-ranked names removed exactly those from the user's list and alerts,
confining the discretionary book to leftovers. Scoped to the manual
book. Closed-trade alerts and paper-book equity were leaking the same
way and are likewise scoped.
- Shadow sizing now matches _simulate_portfolio: min(1% risk, 20% notional
cap, available cash) from marked equity, plus the sub- dust guard.
Previously risk-only from realized equity, so a tight stop produced a
multiples-of-equity leveraged position the strategy would never take.
- Shadow only trades setups from the scan that just ran (<6h old) with one
setup per ticker. A failed or disabled scan step could otherwise open
positions from a prior session at stale prices.
- Gate-reset transitions are observed for both books, so a shadow stop-out
completes fail -> requalify instead of staying locked forever.
- Manual list/close endpoints default to the manual book and reject
hand-closing shadow trades; the performance endpoint is scoped to the
caller so 'your picks' is not every user's book.
- run_shadow_book is registered as a paused job so Admin can trigger it.
Also anchors three pre-existing paper-trade tests (and the new alpaca
window test) on the UTC date. They build fixtures from the local date but
the service stamps opened_at in UTC, so they failed only between 00:00 and
02:00 in a UTC+hh timezone -- latent on ba2df8b, exposed by the clock.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
471 lines
19 KiB
Python
471 lines
19 KiB
Python
"""Tests for the paper-trading service."""
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from __future__ import annotations
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from datetime import date, datetime, timedelta, timezone
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import pytest
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from app.exceptions import ValidationError
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from app.models.benchmark_price import BenchmarkPrice
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from app.models.ohlcv import OHLCVRecord
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from app.models.paper_trade import PaperTrade
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from app.models.ticker import Ticker
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from app.models.user import User
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from app.services import paper_trade_service as svc
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from tests.conftest import _test_session_factory # type: ignore
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def _today() -> date:
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"""UTC date — trades are stamped in UTC, so fixtures must use it too.
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``date.today()`` is local; in a UTC+hh timezone it runs a day ahead between
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midnight and the offset, which silently desynchronises bar and benchmark
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fixtures from the UTC ``opened_at`` the service reads.
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"""
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return datetime.now(timezone.utc).date()
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@pytest.fixture
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async def session():
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async with _test_session_factory() as s:
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yield s
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async def _seed(session, symbol: str, close: float) -> int:
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user = await session.get(User, 1)
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if user is None:
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session.add(User(id=1, username="u", password_hash="x", role="user", has_access=True))
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await session.flush()
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t = Ticker(symbol=symbol)
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session.add(t)
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await session.flush()
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session.add(OHLCVRecord(ticker_id=t.id, date=_today(),
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open=close, high=close, low=close, close=close, volume=1))
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await session.commit()
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return t.id
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async def test_create_and_list_open(session):
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await _seed(session, "AAA", close=110.0)
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await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=120.0)
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rows = await svc.list_trades(session, 1)
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assert len(rows) == 1
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row = rows[0]
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assert row["symbol"] == "AAA"
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assert row["status"] == "open"
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assert row["current_price"] == 110.0 # marked to the latest close
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async def test_create_trade_enforces_post_stop_gate_reset_at_service_boundary(session):
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blocked_id = await _seed(session, "LOCKQ", close=100.0)
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released_id = await _seed(session, "FREEQ", close=100.0)
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today = _today()
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def stopped_trade(ticker_id: int, *, gate_reset_complete: bool) -> PaperTrade:
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closed_on = today - timedelta(days=10)
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reset_at = datetime.combine(
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closed_on + timedelta(days=1),
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datetime.min.time(),
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tzinfo=timezone.utc,
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)
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return PaperTrade(
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user_id=1,
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ticker_id=ticker_id,
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direction="long",
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entry_price=100.0,
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shares=10.0,
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stop_loss=95.0,
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target=115.0,
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status="closed",
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opened_at=datetime.combine(
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closed_on - timedelta(days=1), datetime.min.time(), tzinfo=timezone.utc
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),
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close_price=95.0,
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closed_at=datetime.combine(
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closed_on, datetime.min.time(), tzinfo=timezone.utc
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),
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close_reason="stop",
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reentry_gate_failed_at=reset_at if gate_reset_complete else None,
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reentry_gate_requalified_at=(
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reset_at + timedelta(days=1) if gate_reset_complete else None
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),
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)
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session.add_all(
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[
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stopped_trade(blocked_id, gate_reset_complete=False),
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stopped_trade(released_id, gate_reset_complete=True),
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]
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)
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await session.commit()
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with pytest.raises(ValidationError, match="requires a post-stop gate reset"):
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await svc.create_trade(
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session,
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1,
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symbol="LOCKQ",
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direction="long",
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entry_price=100.0,
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shares=10.0,
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stop_loss=95.0,
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target=115.0,
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)
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trade = await svc.create_trade(
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session,
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1,
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symbol="FREEQ",
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direction="long",
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entry_price=100.0,
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shares=10.0,
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stop_loss=95.0,
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target=115.0,
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)
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assert trade.ticker_id == released_id
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async def test_close_uses_current_price(session):
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await _seed(session, "AAA", close=112.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=5, stop_loss=95.0, target=120.0)
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closed = await svc.close_trade(session, 1, trade.id)
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assert closed.status == "closed"
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assert closed.close_price == 112.0
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assert closed.closed_at is not None
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rows = await svc.list_trades(session, 1, status="closed")
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assert rows[0]["current_price"] == 112.0 # closed → realized exit
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async def test_close_with_explicit_price(session):
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await _seed(session, "AAA", close=112.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="short",
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entry_price=100.0, shares=5, stop_loss=105.0, target=90.0)
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closed = await svc.close_trade(session, 1, trade.id, close_price=93.0)
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assert closed.close_price == 93.0
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async def test_invalid_direction_rejected(session):
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await _seed(session, "AAA", close=100.0)
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with pytest.raises(ValidationError):
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await svc.create_trade(session, 1, symbol="AAA", direction="sideways",
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entry_price=100.0, shares=1, stop_loss=95.0, target=110.0)
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async def test_double_close_rejected(session):
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await _seed(session, "AAA", close=100.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=1, stop_loss=95.0, target=110.0)
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await svc.close_trade(session, 1, trade.id)
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with pytest.raises(ValidationError):
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await svc.close_trade(session, 1, trade.id)
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async def _add_bars(session, ticker_id: int, highs_lows: list[tuple[float, float]], start: date) -> None:
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for i, (hi, lo) in enumerate(highs_lows):
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mid = (hi + lo) / 2
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session.add(OHLCVRecord(ticker_id=ticker_id, date=start + timedelta(days=i + 1),
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open=mid, high=hi, low=lo, close=mid, volume=1))
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await session.commit()
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async def test_resolve_closes_on_target(session):
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await svc.set_exit_policy(session, mode="target")
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tid = await _seed(session, "AAA", close=100.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
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# later bars: a day that trades up through 110
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await _add_bars(session, tid, [(103, 101), (111, 108)], start=_today())
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closed = await svc.resolve_open_trades(session)
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assert closed == 1
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await session.refresh(trade)
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assert trade.status == "closed"
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assert trade.close_price == 110.0 # closed at target
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async def test_resolve_closes_on_stop(session):
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await svc.set_exit_policy(session, mode="target")
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tid = await _seed(session, "AAA", close=100.0)
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trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
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await _add_bars(session, tid, [(101, 94)], start=_today()) # low pierces stop
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closed = await svc.resolve_open_trades(session)
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assert closed == 1
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await session.refresh(trade)
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assert trade.close_price == 95.0 # closed at stop
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async def test_resolve_leaves_open_when_neither_hit(session):
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await svc.set_exit_policy(session, mode="target")
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tid = await _seed(session, "AAA", close=100.0)
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await svc.create_trade(session, 1, symbol="AAA", direction="long",
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entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
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await _add_bars(session, tid, [(103, 98), (104, 99)], start=_today()) # range-bound
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closed = await svc.resolve_open_trades(session)
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assert closed == 0
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rows = await svc.list_trades(session, 1, status="open")
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assert len(rows) == 1
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async def _seed_benchmark(session, points: dict) -> None:
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for d, close in points.items():
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session.add(BenchmarkPrice(symbol="SPY", date=d, close=close))
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await session.commit()
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async def _add_open_trade(session, ticker_id: int, direction: str, *, entry: float,
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shares: float, days_ago: int) -> None:
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session.add(PaperTrade(
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user_id=1, ticker_id=ticker_id, direction=direction, entry_price=entry,
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shares=shares, stop_loss=entry * 0.95, target=entry * 1.2, status="open",
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opened_at=datetime.now(timezone.utc) - timedelta(days=days_ago),
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))
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await session.commit()
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async def test_alpha_long_open(session):
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tid = await _seed(session, "AAA", close=110.0) # current price 110 → +10% on a 100 entry
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today = _today()
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await _seed_benchmark(session, {today - timedelta(days=10): 400.0, today: 420.0}) # SPY +5%
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await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
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row = (await svc.list_trades(session, 1, status="open"))[0]
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assert row["benchmark_return_pct"] == pytest.approx(5.0)
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assert row["alpha_pct"] == pytest.approx(5.0) # +10% trade − 5% bench
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assert row["alpha_usd"] == pytest.approx(50.0) # 5% of 100*10
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async def test_alpha_short_and_missing_benchmark(session):
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tid = await _seed(session, "BBB", close=90.0) # price fell to 90 → short +10%
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today = _today()
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await _add_open_trade(session, tid, "short", entry=100.0, shares=4, days_ago=10)
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# No benchmark data yet → alpha unset, not an error.
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row = (await svc.list_trades(session, 1, status="open"))[0]
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assert row["alpha_pct"] is None
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assert row["benchmark_return_pct"] is None
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# Flat benchmark → alpha equals the (direction-signed) trade return.
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await _seed_benchmark(session, {today - timedelta(days=10): 400.0, today: 400.0})
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row = (await svc.list_trades(session, 1, status="open"))[0]
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assert row["benchmark_return_pct"] == pytest.approx(0.0)
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assert row["alpha_pct"] == pytest.approx(10.0)
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def _b(d: date, hi: float, lo: float):
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return svc.Bar(date=d, high=hi, low=lo)
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class TestTrailingClose:
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def test_long_locks_gain(self):
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# Runs to 120; the 12%-from-peak stop (120 → 105.6) is pierced on the drop.
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bars = [_b(date(2026, 1, 2), 120, 110), _b(date(2026, 1, 3), 130, 100)]
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hit = svc._trailing_close("long", 100.0, 95.0, 0.12, bars)
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assert hit is not None
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price, when, reason = hit
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assert price == pytest.approx(105.6)
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assert reason == "trailing"
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assert when == date(2026, 1, 3)
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def test_initial_stop_caps_loss(self):
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bars = [_b(date(2026, 1, 2), 101, 94)] # through the initial stop before running
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hit = svc._trailing_close("long", 100.0, 95.0, 0.12, bars)
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assert hit is not None
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price, _, reason = hit
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assert price == pytest.approx(95.0)
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assert reason == "stop"
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def test_none_when_neither_hit(self):
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bars = [_b(date(2026, 1, 2), 105, 99), _b(date(2026, 1, 3), 106, 100)]
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assert svc._trailing_close("long", 100.0, 95.0, 0.12, bars) is None
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class TestAtrTrailingClose:
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def test_long_uses_ratchet_on_next_bar(self, monkeypatch):
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monkeypatch.setattr(svc, "_atr_series_from_rows", lambda rows, period=14: [5.0] * len(rows))
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rows = [
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_r(date(2026, 1, 1), 100, 100, 100, 100),
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_r(date(2026, 1, 2), 115, 121, 114, 120),
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_r(date(2026, 1, 3), 106, 107, 103, 104),
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]
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hit = svc._atr_trailing_close(
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"long", 100.0, 95.0, 3.0, 30, rows, date(2026, 1, 1)
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)
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assert hit is not None
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price, when, reason = hit
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assert price == pytest.approx(105.0)
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assert when == date(2026, 1, 3)
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assert reason == "trailing"
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def test_max_hold_still_closes(self, monkeypatch):
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monkeypatch.setattr(svc, "_atr_series_from_rows", lambda rows, period=14: [50.0] * len(rows))
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rows = [
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_r(date(2026, 1, 1), 100, 100, 100, 100),
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_r(date(2026, 1, 2), 101, 102, 100, 101),
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_r(date(2026, 1, 3), 102, 103, 101, 102),
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]
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assert svc._atr_trailing_close(
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"long", 100.0, 95.0, 3.0, 2, rows, date(2026, 1, 1)
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) == (102.0, date(2026, 1, 3), "time")
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async def test_exit_policy_defaults_and_round_trip(session):
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# Default: the promoted production exit.
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assert await svc.get_exit_policy(session) == {
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"mode": "atr_trailing", "trailing_pct": 12.0,
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"atr_multiplier": 3.0, "hold_days": 30,
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}
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updated = await svc.set_exit_policy(
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session, mode="target", trailing_pct=15.0, atr_multiplier=2.5, hold_days=21
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)
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assert updated == {
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"mode": "target", "trailing_pct": 15.0,
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"atr_multiplier": 2.5, "hold_days": 21,
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}
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assert (await svc.get_exit_policy(session))["mode"] == "target"
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async def test_exit_policy_rejects_bad_input(session):
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with pytest.raises(ValidationError):
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await svc.set_exit_policy(session, mode="bogus")
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with pytest.raises(ValidationError):
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await svc.set_exit_policy(session, trailing_pct=200.0)
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with pytest.raises(ValidationError):
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await svc.set_exit_policy(session, atr_multiplier=20.0)
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with pytest.raises(ValidationError):
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await svc.set_exit_policy(session, hold_days=1)
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def _r(d: date, open_: float, hi: float, lo: float, close: float) -> tuple:
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return (d, open_, hi, lo, close)
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def test_atr_series_matches_compute_atr_per_prefix():
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"""_atr_series_from_rows[i] must equal compute_atr(rows[: i + 1])['atr'] (with
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the same >0 / insufficient-history guards) at every index. The O(n) rewrite is
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only valid because it reproduces the per-prefix value exactly."""
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from app.services.indicator_service import compute_atr
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price = 100.0
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closes = []
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for i in range(200):
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price = max(1.0, price + (3.0 if i % 3 else -2.0) + (i % 7) * 0.25)
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closes.append(price)
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rows = [
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_r(date(2024, 1, 1) + timedelta(days=i), c, c + 1.5, c - 1.2, c)
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for i, c in enumerate(closes)
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]
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series = svc._atr_series_from_rows(rows)
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highs = [r[2] for r in rows]
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lows = [r[3] for r in rows]
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closes_col = [r[4] for r in rows]
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assert len(series) == len(rows)
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for i in range(len(rows)):
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if i < 14:
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assert series[i] is None
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else:
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raw = compute_atr(highs[: i + 1], lows[: i + 1], closes_col[: i + 1])["atr"]
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expected = float(raw) if raw and raw > 0 else None
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assert series[i] == expected, f"index {i}: {series[i]} != {expected}"
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class TestTimeClose:
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def test_closes_at_hold_days_close(self):
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rows = [
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_r(date(2026, 1, 2), 101, 103, 100, 102),
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_r(date(2026, 1, 3), 102, 104, 101, 103),
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_r(date(2026, 1, 4), 103, 106, 102, 105),
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]
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assert svc._time_close("long", 95.0, 3, rows) == (105.0, date(2026, 1, 4), "time")
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def test_stop_before_horizon(self):
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rows = [_r(date(2026, 1, 2), 100, 101, 94, 96)]
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assert svc._time_close("long", 95.0, 30, rows) == (95.0, date(2026, 1, 2), "stop")
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def test_gap_through_stop_fills_at_open(self):
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rows = [_r(date(2026, 1, 2), 92, 93, 90, 91)]
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assert svc._time_close("long", 95.0, 30, rows) == (92.0, date(2026, 1, 2), "stop")
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def test_none_before_horizon(self):
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rows = [_r(date(2026, 1, 2), 101, 103, 100, 102)]
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assert svc._time_close("long", 95.0, 5, rows) is None
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async def test_resolve_time_mode_closes_at_horizon(session):
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||
await svc.set_exit_policy(session, mode="time", hold_days=2)
|
||
tid = await _seed(session, "AAA", close=100.0)
|
||
trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
|
||
entry_price=100.0, shares=10, stop_loss=95.0, target=200.0)
|
||
await _add_bars(session, tid, [(103, 101), (105, 102)], start=_today())
|
||
assert await svc.resolve_open_trades(session) == 1
|
||
await session.refresh(trade)
|
||
assert trade.status == "closed"
|
||
assert trade.close_reason == "time"
|
||
assert trade.close_price == pytest.approx((105 + 102) / 2) # day-2 close (= bar mid)
|
||
|
||
|
||
async def test_resolve_time_mode_stop_still_governs(session):
|
||
await svc.set_exit_policy(session, mode="time", hold_days=30)
|
||
tid = await _seed(session, "AAA", close=100.0)
|
||
trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
|
||
entry_price=100.0, shares=10, stop_loss=95.0, target=200.0)
|
||
await _add_bars(session, tid, [(101, 94)], start=_today()) # low pierces the stop
|
||
assert await svc.resolve_open_trades(session) == 1
|
||
await session.refresh(trade)
|
||
assert trade.close_reason == "stop"
|
||
assert trade.close_price == pytest.approx(95.0)
|
||
|
||
|
||
async def test_resolve_trailing_closes_with_reason(session):
|
||
await svc.set_exit_policy(session, mode="trailing", trailing_pct=12.0)
|
||
tid = await _seed(session, "AAA", close=100.0)
|
||
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
|
||
await _add_bars(session, tid, [(120, 110), (130, 100)], start=_today()) # run up, pull back
|
||
assert await svc.resolve_open_trades(session) == 1
|
||
closed = await svc.list_trades(session, 1, status="closed")
|
||
assert closed[0]["close_reason"] == "trailing"
|
||
|
||
|
||
async def test_resolve_atr_trailing_closes_with_reason(session, monkeypatch):
|
||
monkeypatch.setattr(svc, "_atr_series_from_rows", lambda rows, period=14: [5.0] * len(rows))
|
||
await svc.set_exit_policy(session, mode="atr_trailing", atr_multiplier=3.0)
|
||
tid = await _seed(session, "AAA", close=100.0)
|
||
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
|
||
await _add_bars(session, tid, [(121, 114), (107, 101)], start=_today())
|
||
assert await svc.resolve_open_trades(session) == 1
|
||
closed = await svc.list_trades(session, 1, status="closed")
|
||
assert closed[0]["close_reason"] == "trailing"
|
||
assert closed[0]["current_price"] == pytest.approx(102.5)
|
||
|
||
|
||
async def test_manual_close_sets_reason(session):
|
||
await _seed(session, "AAA", close=112.0)
|
||
trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
|
||
entry_price=100.0, shares=5, stop_loss=95.0, target=120.0)
|
||
await svc.close_trade(session, 1, trade.id)
|
||
assert (await svc.list_trades(session, 1, status="closed"))[0]["close_reason"] == "manual"
|
||
|
||
|
||
async def test_list_open_exposes_trailing_stop(session):
|
||
await svc.set_exit_policy(session, mode="trailing", trailing_pct=12.0)
|
||
tid = await _seed(session, "AAA", close=120.0)
|
||
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
|
||
await _add_bars(session, tid, [(125, 118)], start=_today()) # peak 125
|
||
row = (await svc.list_trades(session, 1, status="open"))[0]
|
||
assert row["trailing_stop"] == pytest.approx(110.0) # 125 * (1 - 0.12)
|
||
assert row["trailing_distance_pct"] is not None
|
||
|
||
|
||
async def test_list_open_exposes_atr_trailing_stop(session, monkeypatch):
|
||
monkeypatch.setattr(svc, "_atr_series_from_rows", lambda rows, period=14: [5.0] * len(rows))
|
||
await svc.set_exit_policy(session, mode="atr_trailing", atr_multiplier=3.0)
|
||
tid = await _seed(session, "AAA", close=120.0)
|
||
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
|
||
await _add_bars(session, tid, [(125, 118)], start=_today())
|
||
row = (await svc.list_trades(session, 1, status="open"))[0]
|
||
assert row["trailing_stop"] == pytest.approx(106.5) # latest close 121.5 - 3 * 5
|
||
assert row["trailing_distance_pct"] is not None
|