signal-platform/tests/unit/test_shadow_book_service.py

"""Shadow book selection, sizing and book isolation.

The shadow book only has evidentiary value if it selects what the backtest
would select: top-ranked qualified setups, up to capacity, skipping held names
and post-stop gate-reset lockouts. These tests pin that contract.
"""

from __future__ import annotations

import json
from datetime import datetime, timedelta, timezone

import pytest

from app.models.paper_trade import PaperTrade
from app.models.ticker import Ticker
from app.models.trade_setup import TradeSetup
from app.models.user import User
from app.services import shadow_book_service
from app.services.trade_policy import MANUAL_BOOK, SHADOW_BOOK, get_reentry_gate_locks


@pytest.fixture
async def session():
    from tests.conftest import _test_session_factory

    async with _test_session_factory() as session:
        yield session


# Floors the gate applies; every setup below clears them so tests exercise
# ranking rather than qualification.
_CONFIG = {
    "min_rr": 2.0,
    "min_confidence": 0.0,
    "min_momentum_percentile": 80.0,
    "exclude_neutral": False,
}


async def _seed(session, symbols: list[str]) -> dict[str, int]:
    session.add(User(id=1, username="owner", password_hash="x"))
    ids: dict[str, int] = {}
    for i, symbol in enumerate(symbols, start=1):
        ticker = Ticker(id=i, symbol=symbol, name=symbol)
        session.add(ticker)
        ids[symbol] = i
    await session.commit()
    return ids


def _setup(
    ticker_id: int,
    *,
    rank: float,
    detected: datetime,
    entry=100.0,
    stop=95.0,
    direction="long",
):
    reward = abs(entry - stop) * 3
    target = entry + reward if direction == "long" else entry - reward
    return TradeSetup(
        ticker_id=ticker_id,
        direction=direction,
        entry_price=entry,
        stop_loss=stop,
        target=target,
        rr_ratio=3.0,
        composite_score=70.0,
        confidence_score=70.0,
        detected_at=detected,
        strategy_rank=rank,
        momentum_percentile=90.0,
        recommended_action="buy",
        targets_json=json.dumps(
            [{"price": target, "probability": 45.0, "is_primary": True, "rr": 3.0}]
        ),
    )


async def _mark_scan(session, *, started: datetime, completed: datetime | None = None):
    """Record a successful scan run so the shadow book has something to act on."""
    from app.services import rr_scanner_service as rr

    completed = completed or started
    await shadow_book_service.settings_store.upsert_setting(
        session, rr.KEY_LAST_SCAN_STARTED, started.isoformat()
    )
    await shadow_book_service.settings_store.upsert_setting(
        session, rr.KEY_LAST_SCAN_COMPLETED, completed.isoformat()
    )
    await session.commit()


class TestSizing:
    def test_risks_one_percent_down_to_the_stop(self):
        shares = shadow_book_service.position_shares(100_000, 1.0, 100.0, 95.0)
        assert shares == pytest.approx(200.0)  # $1,000 risk / $5 per share

    def test_zero_risk_distance_takes_no_position(self):
        assert shadow_book_service.position_shares(100_000, 1.0, 100.0, 100.0) == 0.0

    def test_tight_stop_is_capped_at_the_notional_limit(self):
        """Without the cap, 1% risk on a $0.50 stop is a 2x-equity position."""
        shares = shadow_book_service.position_shares(100_000, 1.0, 100.0, 99.5)
        # Risk sizing alone wants 2,000 shares ($200k); the 20% cap allows 200.
        assert shares == pytest.approx(200.0)
        assert shares * 100.0 <= 100_000 * shadow_book_service.NOTIONAL_CAP

    def test_cannot_spend_cash_it_does_not_have(self):
        shares = shadow_book_service.position_shares(
            100_000, 1.0, 100.0, 95.0, cash_available=5_000
        )
        assert shares == pytest.approx(50.0)

    def test_no_cash_means_no_position(self):
        assert (
            shadow_book_service.position_shares(
                100_000, 1.0, 100.0, 95.0, cash_available=0
            )
            == 0.0
        )


class TestSelection:
    @pytest.mark.asyncio
    async def test_takes_top_ranked_up_to_capacity(self, session):
        ids = await _seed(session, ["AAA", "BBB", "CCC"])
        now = datetime.now(timezone.utc)
        scan_start = now - timedelta(minutes=5)
        session.add_all(
            [
                _setup(ids["AAA"], rank=0.10, detected=now),
                _setup(ids["BBB"], rank=0.90, detected=now),
                _setup(ids["CCC"], rank=0.50, detected=now),
            ]
        )
        await session.commit()
        await _mark_scan(session, started=scan_start, completed=now)
        await shadow_book_service.settings_store.upsert_setting(
            session, shadow_book_service.KEY_CAPACITY, "2"
        )
        await session.commit()

        summary = await shadow_book_service.open_shadow_positions(
            session, activation_config=_CONFIG
        )

        assert summary["opened"] == 2
        # Highest strategy_rank first — the backtest's ordering key.
        assert summary["symbols"] == [ids["BBB"], ids["CCC"]]

    @pytest.mark.asyncio
    async def test_skips_names_already_held(self, session):
        ids = await _seed(session, ["AAA", "BBB"])
        now = datetime.now(timezone.utc)
        session.add_all(
            [_setup(ids["AAA"], rank=0.9, detected=now), _setup(ids["BBB"], rank=0.5, detected=now)]
        )
        session.add(
            PaperTrade(
                user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
                shares=10.0, stop_loss=95.0, target=115.0, status="open",
                opened_at=now, book=SHADOW_BOOK,
            )
        )
        await session.commit()
        await _mark_scan(session, started=now - timedelta(minutes=5), completed=now)

        summary = await shadow_book_service.open_shadow_positions(
            session, activation_config=_CONFIG
        )

        assert summary["skipped_held"] == 1
        assert summary["symbols"] == [ids["BBB"]]

    @pytest.mark.asyncio
    async def test_respects_post_stop_gate_lock(self, session):
        ids = await _seed(session, ["AAA"])
        now = datetime.now(timezone.utc)
        session.add(_setup(ids["AAA"], rank=0.9, detected=now))
        # Stopped out and never requalified — locked out of re-entry.
        session.add(
            PaperTrade(
                user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
                shares=10.0, stop_loss=95.0, target=115.0, status="closed",
                opened_at=now - timedelta(days=5), closed_at=now - timedelta(days=1),
                close_price=95.0, close_reason="stop", book=SHADOW_BOOK,
            )
        )
        await session.commit()
        await _mark_scan(session, started=now - timedelta(minutes=5), completed=now)

        summary = await shadow_book_service.open_shadow_positions(
            session, activation_config=_CONFIG
        )

        assert summary["opened"] == 0
        assert summary["skipped_locked"] == 1


class TestScanFreshness:
    @pytest.mark.asyncio
    async def test_no_scan_marker_means_no_trades(self, session):
        """A fresh DB / never-run scan must not trade anything."""
        ids = await _seed(session, ["AAA"])
        session.add(_setup(ids["AAA"], rank=0.9, detected=datetime.now(timezone.utc)))
        await session.commit()

        summary = await shadow_book_service.open_shadow_positions(
            session, activation_config=_CONFIG
        )

        assert summary["opened"] == 0

    @pytest.mark.asyncio
    async def test_stale_scan_marker_refuses_even_fresh_looking_setups(self, session):
        """If this pipeline's scan failed/was disabled, the completion marker is
        from a prior session — refuse, no matter how recent the setup rows look."""
        ids = await _seed(session, ["AAA"])
        now = datetime.now(timezone.utc)
        session.add(_setup(ids["AAA"], rank=0.9, detected=now))
        await session.commit()
        # Marker is a day old → no scan ran in this pass.
        await _mark_scan(session, started=now - timedelta(days=1, minutes=5),
                         completed=now - timedelta(days=1))

        summary = await shadow_book_service.open_shadow_positions(
            session, activation_config=_CONFIG
        )

        assert summary["opened"] == 0

    @pytest.mark.asyncio
    async def test_setups_before_this_run_are_excluded(self, session):
        """A qualified row from a previous run (before the current scan start)
        must not be traded even though the current scan completed."""
        ids = await _seed(session, ["AAA", "BBB"])
        now = datetime.now(timezone.utc)
        scan_start = now - timedelta(minutes=5)
        session.add_all(
            [
                _setup(ids["AAA"], rank=0.9, detected=now),  # this run
                _setup(ids["BBB"], rank=0.8, detected=now - timedelta(hours=20)),  # prior run
            ]
        )
        await session.commit()
        await _mark_scan(session, started=scan_start, completed=now)

        summary = await shadow_book_service.open_shadow_positions(
            session, activation_config=_CONFIG
        )

        assert summary["symbols"] == [ids["AAA"]]

    @pytest.mark.asyncio
    async def test_newer_unqualified_row_suppresses_older_qualified(self, session):
        """Dedup happens before qualification: a fresh unqualified row for a
        ticker must beat an earlier qualified row, not the other way round."""
        ids = await _seed(session, ["AAA"])
        now = datetime.now(timezone.utc)
        scan_start = now - timedelta(minutes=10)
        # Earlier row qualifies; later row fails the R:R floor (rr 1.0 < 2.0).
        older = _setup(ids["AAA"], rank=0.9, detected=now - timedelta(minutes=8))
        newer = TradeSetup(
            ticker_id=ids["AAA"], direction="long", entry_price=100.0,
            stop_loss=95.0, target=105.0, rr_ratio=1.0, composite_score=70.0,
            confidence_score=70.0, detected_at=now, strategy_rank=0.9,
            momentum_percentile=90.0, recommended_action="buy",
            targets_json=json.dumps(
                [{"price": 105.0, "probability": 45.0, "is_primary": True, "rr": 1.0}]
            ),
        )
        session.add_all([older, newer])
        await session.commit()
        await _mark_scan(session, started=scan_start, completed=now)

        summary = await shadow_book_service.open_shadow_positions(
            session, activation_config=_CONFIG
        )

        assert summary["opened"] == 0


class TestLongOnly:
    @pytest.mark.asyncio
    async def test_shorts_are_never_taken_even_with_gate_disabled(self, session):
        """min_momentum_percentile=0 lets shorts pass the gate; shadow is always
        long-only regardless, and its cash accounting assumes longs."""
        ids = await _seed(session, ["AAA"])
        now = datetime.now(timezone.utc)
        session.add(
            _setup(ids["AAA"], rank=0.9, detected=now, direction="short",
                   entry=100.0, stop=105.0)
        )
        await session.commit()
        await _mark_scan(session, started=now - timedelta(minutes=5), completed=now)

        gate_off = {**_CONFIG, "min_momentum_percentile": 0.0}
        summary = await shadow_book_service.open_shadow_positions(
            session, activation_config=gate_off
        )

        assert summary["opened"] == 0


class TestBookIsolation:
    @pytest.mark.asyncio
    async def test_gate_locks_do_not_leak_between_books(self, session):
        """A manual stop must not lock the shadow book out of the same name."""
        ids = await _seed(session, ["AAA"])
        now = datetime.now(timezone.utc)
        session.add(
            PaperTrade(
                user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
                shares=10.0, stop_loss=95.0, target=115.0, status="closed",
                opened_at=now - timedelta(days=5), closed_at=now - timedelta(days=1),
                close_price=95.0, close_reason="stop", book=MANUAL_BOOK,
            )
        )
        await session.commit()

        assert ids["AAA"] in await get_reentry_gate_locks(session, book=MANUAL_BOOK)
        assert ids["AAA"] not in await get_reentry_gate_locks(session, book=SHADOW_BOOK)

    @pytest.mark.asyncio
    async def test_shadow_equity_ignores_manual_pnl(self, session):
        ids = await _seed(session, ["AAA"])
        now = datetime.now(timezone.utc)
        session.add(
            PaperTrade(
                user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
                shares=100.0, stop_loss=95.0, target=115.0, status="closed",
                opened_at=now - timedelta(days=5), closed_at=now,
                close_price=150.0, close_reason="trailing", book=MANUAL_BOOK,
            )
        )
        await session.commit()

        equity, cash = await shadow_book_service.equity_and_cash(session, 100_000.0, [])

        assert equity == 100_000.0
        assert cash == 100_000.0