461 lines
19 KiB
Python
461 lines
19 KiB
Python
"""Tests for the paper-trading service."""
|
||
|
||
from __future__ import annotations
|
||
|
||
from datetime import date, datetime, timedelta, timezone
|
||
|
||
import pytest
|
||
|
||
from app.exceptions import ValidationError
|
||
from app.models.benchmark_price import BenchmarkPrice
|
||
from app.models.ohlcv import OHLCVRecord
|
||
from app.models.paper_trade import PaperTrade
|
||
from app.models.ticker import Ticker
|
||
from app.models.user import User
|
||
from app.services import paper_trade_service as svc
|
||
from tests.conftest import _test_session_factory # type: ignore
|
||
|
||
|
||
@pytest.fixture
|
||
async def session():
|
||
async with _test_session_factory() as s:
|
||
yield s
|
||
|
||
|
||
async def _seed(session, symbol: str, close: float) -> int:
|
||
user = await session.get(User, 1)
|
||
if user is None:
|
||
session.add(User(id=1, username="u", password_hash="x", role="user", has_access=True))
|
||
await session.flush()
|
||
t = Ticker(symbol=symbol)
|
||
session.add(t)
|
||
await session.flush()
|
||
session.add(OHLCVRecord(ticker_id=t.id, date=date.today(),
|
||
open=close, high=close, low=close, close=close, volume=1))
|
||
await session.commit()
|
||
return t.id
|
||
|
||
|
||
async def test_create_and_list_open(session):
|
||
await _seed(session, "AAA", close=110.0)
|
||
await svc.create_trade(session, 1, symbol="AAA", direction="long",
|
||
entry_price=100.0, shares=10, stop_loss=95.0, target=120.0)
|
||
rows = await svc.list_trades(session, 1)
|
||
assert len(rows) == 1
|
||
row = rows[0]
|
||
assert row["symbol"] == "AAA"
|
||
assert row["status"] == "open"
|
||
assert row["current_price"] == 110.0 # marked to the latest close
|
||
|
||
|
||
async def test_create_trade_enforces_post_stop_gate_reset_at_service_boundary(session):
|
||
blocked_id = await _seed(session, "LOCKQ", close=100.0)
|
||
released_id = await _seed(session, "FREEQ", close=100.0)
|
||
today = date.today()
|
||
|
||
def stopped_trade(ticker_id: int, *, gate_reset_complete: bool) -> PaperTrade:
|
||
closed_on = today - timedelta(days=10)
|
||
reset_at = datetime.combine(
|
||
closed_on + timedelta(days=1),
|
||
datetime.min.time(),
|
||
tzinfo=timezone.utc,
|
||
)
|
||
return PaperTrade(
|
||
user_id=1,
|
||
ticker_id=ticker_id,
|
||
direction="long",
|
||
entry_price=100.0,
|
||
shares=10.0,
|
||
stop_loss=95.0,
|
||
target=115.0,
|
||
status="closed",
|
||
opened_at=datetime.combine(
|
||
closed_on - timedelta(days=1), datetime.min.time(), tzinfo=timezone.utc
|
||
),
|
||
close_price=95.0,
|
||
closed_at=datetime.combine(
|
||
closed_on, datetime.min.time(), tzinfo=timezone.utc
|
||
),
|
||
close_reason="stop",
|
||
reentry_gate_failed_at=reset_at if gate_reset_complete else None,
|
||
reentry_gate_requalified_at=(
|
||
reset_at + timedelta(days=1) if gate_reset_complete else None
|
||
),
|
||
)
|
||
|
||
session.add_all(
|
||
[
|
||
stopped_trade(blocked_id, gate_reset_complete=False),
|
||
stopped_trade(released_id, gate_reset_complete=True),
|
||
]
|
||
)
|
||
await session.commit()
|
||
|
||
with pytest.raises(ValidationError, match="requires a post-stop gate reset"):
|
||
await svc.create_trade(
|
||
session,
|
||
1,
|
||
symbol="LOCKQ",
|
||
direction="long",
|
||
entry_price=100.0,
|
||
shares=10.0,
|
||
stop_loss=95.0,
|
||
target=115.0,
|
||
)
|
||
|
||
trade = await svc.create_trade(
|
||
session,
|
||
1,
|
||
symbol="FREEQ",
|
||
direction="long",
|
||
entry_price=100.0,
|
||
shares=10.0,
|
||
stop_loss=95.0,
|
||
target=115.0,
|
||
)
|
||
assert trade.ticker_id == released_id
|
||
|
||
|
||
async def test_close_uses_current_price(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)
|
||
closed = await svc.close_trade(session, 1, trade.id)
|
||
assert closed.status == "closed"
|
||
assert closed.close_price == 112.0
|
||
assert closed.closed_at is not None
|
||
|
||
rows = await svc.list_trades(session, 1, status="closed")
|
||
assert rows[0]["current_price"] == 112.0 # closed → realized exit
|
||
|
||
|
||
async def test_close_with_explicit_price(session):
|
||
await _seed(session, "AAA", close=112.0)
|
||
trade = await svc.create_trade(session, 1, symbol="AAA", direction="short",
|
||
entry_price=100.0, shares=5, stop_loss=105.0, target=90.0)
|
||
closed = await svc.close_trade(session, 1, trade.id, close_price=93.0)
|
||
assert closed.close_price == 93.0
|
||
|
||
|
||
async def test_invalid_direction_rejected(session):
|
||
await _seed(session, "AAA", close=100.0)
|
||
with pytest.raises(ValidationError):
|
||
await svc.create_trade(session, 1, symbol="AAA", direction="sideways",
|
||
entry_price=100.0, shares=1, stop_loss=95.0, target=110.0)
|
||
|
||
|
||
async def test_double_close_rejected(session):
|
||
await _seed(session, "AAA", close=100.0)
|
||
trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
|
||
entry_price=100.0, shares=1, stop_loss=95.0, target=110.0)
|
||
await svc.close_trade(session, 1, trade.id)
|
||
with pytest.raises(ValidationError):
|
||
await svc.close_trade(session, 1, trade.id)
|
||
|
||
|
||
async def _add_bars(session, ticker_id: int, highs_lows: list[tuple[float, float]], start: date) -> None:
|
||
for i, (hi, lo) in enumerate(highs_lows):
|
||
mid = (hi + lo) / 2
|
||
session.add(OHLCVRecord(ticker_id=ticker_id, date=start + timedelta(days=i + 1),
|
||
open=mid, high=hi, low=lo, close=mid, volume=1))
|
||
await session.commit()
|
||
|
||
|
||
async def test_resolve_closes_on_target(session):
|
||
await svc.set_exit_policy(session, mode="target")
|
||
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=110.0)
|
||
# later bars: a day that trades up through 110
|
||
await _add_bars(session, tid, [(103, 101), (111, 108)], start=date.today())
|
||
closed = await svc.resolve_open_trades(session)
|
||
assert closed == 1
|
||
await session.refresh(trade)
|
||
assert trade.status == "closed"
|
||
assert trade.close_price == 110.0 # closed at target
|
||
|
||
|
||
async def test_resolve_closes_on_stop(session):
|
||
await svc.set_exit_policy(session, mode="target")
|
||
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=110.0)
|
||
await _add_bars(session, tid, [(101, 94)], start=date.today()) # low pierces stop
|
||
closed = await svc.resolve_open_trades(session)
|
||
assert closed == 1
|
||
await session.refresh(trade)
|
||
assert trade.close_price == 95.0 # closed at stop
|
||
|
||
|
||
async def test_resolve_leaves_open_when_neither_hit(session):
|
||
await svc.set_exit_policy(session, mode="target")
|
||
tid = await _seed(session, "AAA", close=100.0)
|
||
await svc.create_trade(session, 1, symbol="AAA", direction="long",
|
||
entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
|
||
await _add_bars(session, tid, [(103, 98), (104, 99)], start=date.today()) # range-bound
|
||
closed = await svc.resolve_open_trades(session)
|
||
assert closed == 0
|
||
rows = await svc.list_trades(session, 1, status="open")
|
||
assert len(rows) == 1
|
||
|
||
|
||
async def _seed_benchmark(session, points: dict) -> None:
|
||
for d, close in points.items():
|
||
session.add(BenchmarkPrice(symbol="SPY", date=d, close=close))
|
||
await session.commit()
|
||
|
||
|
||
async def _add_open_trade(session, ticker_id: int, direction: str, *, entry: float,
|
||
shares: float, days_ago: int) -> None:
|
||
session.add(PaperTrade(
|
||
user_id=1, ticker_id=ticker_id, direction=direction, entry_price=entry,
|
||
shares=shares, stop_loss=entry * 0.95, target=entry * 1.2, status="open",
|
||
opened_at=datetime.now(timezone.utc) - timedelta(days=days_ago),
|
||
))
|
||
await session.commit()
|
||
|
||
|
||
async def test_alpha_long_open(session):
|
||
tid = await _seed(session, "AAA", close=110.0) # current price 110 → +10% on a 100 entry
|
||
today = date.today()
|
||
await _seed_benchmark(session, {today - timedelta(days=10): 400.0, today: 420.0}) # SPY +5%
|
||
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
|
||
|
||
row = (await svc.list_trades(session, 1, status="open"))[0]
|
||
assert row["benchmark_return_pct"] == pytest.approx(5.0)
|
||
assert row["alpha_pct"] == pytest.approx(5.0) # +10% trade − 5% bench
|
||
assert row["alpha_usd"] == pytest.approx(50.0) # 5% of 100*10
|
||
|
||
|
||
async def test_alpha_short_and_missing_benchmark(session):
|
||
tid = await _seed(session, "BBB", close=90.0) # price fell to 90 → short +10%
|
||
today = date.today()
|
||
await _add_open_trade(session, tid, "short", entry=100.0, shares=4, days_ago=10)
|
||
|
||
# No benchmark data yet → alpha unset, not an error.
|
||
row = (await svc.list_trades(session, 1, status="open"))[0]
|
||
assert row["alpha_pct"] is None
|
||
assert row["benchmark_return_pct"] is None
|
||
|
||
# Flat benchmark → alpha equals the (direction-signed) trade return.
|
||
await _seed_benchmark(session, {today - timedelta(days=10): 400.0, today: 400.0})
|
||
row = (await svc.list_trades(session, 1, status="open"))[0]
|
||
assert row["benchmark_return_pct"] == pytest.approx(0.0)
|
||
assert row["alpha_pct"] == pytest.approx(10.0)
|
||
|
||
|
||
def _b(d: date, hi: float, lo: float):
|
||
return svc.Bar(date=d, high=hi, low=lo)
|
||
|
||
|
||
class TestTrailingClose:
|
||
def test_long_locks_gain(self):
|
||
# Runs to 120; the 12%-from-peak stop (120 → 105.6) is pierced on the drop.
|
||
bars = [_b(date(2026, 1, 2), 120, 110), _b(date(2026, 1, 3), 130, 100)]
|
||
hit = svc._trailing_close("long", 100.0, 95.0, 0.12, bars)
|
||
assert hit is not None
|
||
price, when, reason = hit
|
||
assert price == pytest.approx(105.6)
|
||
assert reason == "trailing"
|
||
assert when == date(2026, 1, 3)
|
||
|
||
def test_initial_stop_caps_loss(self):
|
||
bars = [_b(date(2026, 1, 2), 101, 94)] # through the initial stop before running
|
||
hit = svc._trailing_close("long", 100.0, 95.0, 0.12, bars)
|
||
assert hit is not None
|
||
price, _, reason = hit
|
||
assert price == pytest.approx(95.0)
|
||
assert reason == "stop"
|
||
|
||
def test_none_when_neither_hit(self):
|
||
bars = [_b(date(2026, 1, 2), 105, 99), _b(date(2026, 1, 3), 106, 100)]
|
||
assert svc._trailing_close("long", 100.0, 95.0, 0.12, bars) is None
|
||
|
||
|
||
class TestAtrTrailingClose:
|
||
def test_long_uses_ratchet_on_next_bar(self, monkeypatch):
|
||
monkeypatch.setattr(svc, "_atr_series_from_rows", lambda rows, period=14: [5.0] * len(rows))
|
||
rows = [
|
||
_r(date(2026, 1, 1), 100, 100, 100, 100),
|
||
_r(date(2026, 1, 2), 115, 121, 114, 120),
|
||
_r(date(2026, 1, 3), 106, 107, 103, 104),
|
||
]
|
||
hit = svc._atr_trailing_close(
|
||
"long", 100.0, 95.0, 3.0, 30, rows, date(2026, 1, 1)
|
||
)
|
||
assert hit is not None
|
||
price, when, reason = hit
|
||
assert price == pytest.approx(105.0)
|
||
assert when == date(2026, 1, 3)
|
||
assert reason == "trailing"
|
||
|
||
def test_max_hold_still_closes(self, monkeypatch):
|
||
monkeypatch.setattr(svc, "_atr_series_from_rows", lambda rows, period=14: [50.0] * len(rows))
|
||
rows = [
|
||
_r(date(2026, 1, 1), 100, 100, 100, 100),
|
||
_r(date(2026, 1, 2), 101, 102, 100, 101),
|
||
_r(date(2026, 1, 3), 102, 103, 101, 102),
|
||
]
|
||
assert svc._atr_trailing_close(
|
||
"long", 100.0, 95.0, 3.0, 2, rows, date(2026, 1, 1)
|
||
) == (102.0, date(2026, 1, 3), "time")
|
||
|
||
|
||
async def test_exit_policy_defaults_and_round_trip(session):
|
||
# Default: the promoted production exit.
|
||
assert await svc.get_exit_policy(session) == {
|
||
"mode": "atr_trailing", "trailing_pct": 12.0,
|
||
"atr_multiplier": 3.0, "hold_days": 30,
|
||
}
|
||
updated = await svc.set_exit_policy(
|
||
session, mode="target", trailing_pct=15.0, atr_multiplier=2.5, hold_days=21
|
||
)
|
||
assert updated == {
|
||
"mode": "target", "trailing_pct": 15.0,
|
||
"atr_multiplier": 2.5, "hold_days": 21,
|
||
}
|
||
assert (await svc.get_exit_policy(session))["mode"] == "target"
|
||
|
||
|
||
async def test_exit_policy_rejects_bad_input(session):
|
||
with pytest.raises(ValidationError):
|
||
await svc.set_exit_policy(session, mode="bogus")
|
||
with pytest.raises(ValidationError):
|
||
await svc.set_exit_policy(session, trailing_pct=200.0)
|
||
with pytest.raises(ValidationError):
|
||
await svc.set_exit_policy(session, atr_multiplier=20.0)
|
||
with pytest.raises(ValidationError):
|
||
await svc.set_exit_policy(session, hold_days=1)
|
||
|
||
|
||
def _r(d: date, open_: float, hi: float, lo: float, close: float) -> tuple:
|
||
return (d, open_, hi, lo, close)
|
||
|
||
|
||
def test_atr_series_matches_compute_atr_per_prefix():
|
||
"""_atr_series_from_rows[i] must equal compute_atr(rows[: i + 1])['atr'] (with
|
||
the same >0 / insufficient-history guards) at every index. The O(n) rewrite is
|
||
only valid because it reproduces the per-prefix value exactly."""
|
||
from app.services.indicator_service import compute_atr
|
||
|
||
price = 100.0
|
||
closes = []
|
||
for i in range(200):
|
||
price = max(1.0, price + (3.0 if i % 3 else -2.0) + (i % 7) * 0.25)
|
||
closes.append(price)
|
||
rows = [
|
||
_r(date(2024, 1, 1) + timedelta(days=i), c, c + 1.5, c - 1.2, c)
|
||
for i, c in enumerate(closes)
|
||
]
|
||
|
||
series = svc._atr_series_from_rows(rows)
|
||
highs = [r[2] for r in rows]
|
||
lows = [r[3] for r in rows]
|
||
closes_col = [r[4] for r in rows]
|
||
assert len(series) == len(rows)
|
||
for i in range(len(rows)):
|
||
if i < 14:
|
||
assert series[i] is None
|
||
else:
|
||
raw = compute_atr(highs[: i + 1], lows[: i + 1], closes_col[: i + 1])["atr"]
|
||
expected = float(raw) if raw and raw > 0 else None
|
||
assert series[i] == expected, f"index {i}: {series[i]} != {expected}"
|
||
|
||
|
||
class TestTimeClose:
|
||
def test_closes_at_hold_days_close(self):
|
||
rows = [
|
||
_r(date(2026, 1, 2), 101, 103, 100, 102),
|
||
_r(date(2026, 1, 3), 102, 104, 101, 103),
|
||
_r(date(2026, 1, 4), 103, 106, 102, 105),
|
||
]
|
||
assert svc._time_close("long", 95.0, 3, rows) == (105.0, date(2026, 1, 4), "time")
|
||
|
||
def test_stop_before_horizon(self):
|
||
rows = [_r(date(2026, 1, 2), 100, 101, 94, 96)]
|
||
assert svc._time_close("long", 95.0, 30, rows) == (95.0, date(2026, 1, 2), "stop")
|
||
|
||
def test_gap_through_stop_fills_at_open(self):
|
||
rows = [_r(date(2026, 1, 2), 92, 93, 90, 91)]
|
||
assert svc._time_close("long", 95.0, 30, rows) == (92.0, date(2026, 1, 2), "stop")
|
||
|
||
def test_none_before_horizon(self):
|
||
rows = [_r(date(2026, 1, 2), 101, 103, 100, 102)]
|
||
assert svc._time_close("long", 95.0, 5, rows) is None
|
||
|
||
|
||
async def test_resolve_time_mode_closes_at_horizon(session):
|
||
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=date.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=date.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=date.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=date.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=date.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=date.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
|