dennisthiessenandClaude Fable 5
807cc4bdfa
A 6-hour freshness window proves only that some scan ran recently, which a manual mid-day scan satisfies. Scenario: a manual scan succeeds at 13:00; the 15:30 near-close pipeline's scan step is disabled or fails; at 15:30 the 13:00 completion is still 'fresh', so the shadow step trades that earlier batch despite no successful scan in the current pipeline. _run_pipeline now records its start in a per-task contextvar, visible to the steps it awaits. run_shadow_book reads it and requires the scan completion marker to be at/after the pipeline start, so a scan that failed or was disabled in this pass (marker left at a prior run, before the pipeline began) cannot be substituted by an earlier manual scan. A direct Admin trigger has no pipeline context and falls back to the freshness window -- an explicit operator action, not an automated one. Tests pin the reported case: a fresh manual scan predating the pipeline start is refused; the pipeline's own post-start scan is accepted. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
383 lines
14 KiB
Python
383 lines
14 KiB
Python
"""Shadow book selection, sizing and book isolation.
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The shadow book only has evidentiary value if it selects what the backtest
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would select: top-ranked qualified setups, up to capacity, skipping held names
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and post-stop gate-reset lockouts. These tests pin that contract.
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"""
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from __future__ import annotations
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import json
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from datetime import datetime, timedelta, timezone
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import pytest
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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.trade_setup import TradeSetup
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from app.models.user import User
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from app.services import shadow_book_service
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from app.services.trade_policy import MANUAL_BOOK, SHADOW_BOOK, get_reentry_gate_locks
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@pytest.fixture
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async def session():
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from tests.conftest import _test_session_factory
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async with _test_session_factory() as session:
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yield session
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# Floors the gate applies; every setup below clears them so tests exercise
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# ranking rather than qualification.
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_CONFIG = {
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"min_rr": 2.0,
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"min_confidence": 0.0,
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"min_momentum_percentile": 80.0,
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"exclude_neutral": False,
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}
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async def _seed(session, symbols: list[str]) -> dict[str, int]:
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session.add(User(id=1, username="owner", password_hash="x"))
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ids: dict[str, int] = {}
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for i, symbol in enumerate(symbols, start=1):
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ticker = Ticker(id=i, symbol=symbol, name=symbol)
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session.add(ticker)
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ids[symbol] = i
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await session.commit()
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return ids
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def _setup(
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ticker_id: int,
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*,
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rank: float,
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detected: datetime,
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entry=100.0,
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stop=95.0,
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direction="long",
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):
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reward = abs(entry - stop) * 3
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target = entry + reward if direction == "long" else entry - reward
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return TradeSetup(
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ticker_id=ticker_id,
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direction=direction,
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entry_price=entry,
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stop_loss=stop,
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target=target,
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rr_ratio=3.0,
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composite_score=70.0,
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confidence_score=70.0,
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detected_at=detected,
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strategy_rank=rank,
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momentum_percentile=90.0,
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recommended_action="buy",
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targets_json=json.dumps(
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[{"price": target, "probability": 45.0, "is_primary": True, "rr": 3.0}]
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),
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)
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async def _mark_scan(session, *, started: datetime, completed: datetime | None = None):
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"""Record a successful scan run so the shadow book has something to act on."""
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from app.services import rr_scanner_service as rr
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completed = completed or started
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await shadow_book_service.settings_store.upsert_setting(
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session, rr.KEY_LAST_SCAN_STARTED, started.isoformat()
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)
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await shadow_book_service.settings_store.upsert_setting(
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session, rr.KEY_LAST_SCAN_COMPLETED, completed.isoformat()
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)
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await session.commit()
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class TestSizing:
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def test_risks_one_percent_down_to_the_stop(self):
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shares = shadow_book_service.position_shares(100_000, 1.0, 100.0, 95.0)
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assert shares == pytest.approx(200.0) # $1,000 risk / $5 per share
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def test_zero_risk_distance_takes_no_position(self):
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assert shadow_book_service.position_shares(100_000, 1.0, 100.0, 100.0) == 0.0
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def test_tight_stop_is_capped_at_the_notional_limit(self):
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"""Without the cap, 1% risk on a $0.50 stop is a 2x-equity position."""
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shares = shadow_book_service.position_shares(100_000, 1.0, 100.0, 99.5)
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# Risk sizing alone wants 2,000 shares ($200k); the 20% cap allows 200.
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assert shares == pytest.approx(200.0)
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assert shares * 100.0 <= 100_000 * shadow_book_service.NOTIONAL_CAP
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def test_cannot_spend_cash_it_does_not_have(self):
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shares = shadow_book_service.position_shares(
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100_000, 1.0, 100.0, 95.0, cash_available=5_000
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)
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assert shares == pytest.approx(50.0)
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def test_no_cash_means_no_position(self):
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assert (
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shadow_book_service.position_shares(
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100_000, 1.0, 100.0, 95.0, cash_available=0
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)
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== 0.0
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)
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class TestSelection:
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@pytest.mark.asyncio
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async def test_takes_top_ranked_up_to_capacity(self, session):
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ids = await _seed(session, ["AAA", "BBB", "CCC"])
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now = datetime.now(timezone.utc)
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scan_start = now - timedelta(minutes=5)
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session.add_all(
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[
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_setup(ids["AAA"], rank=0.10, detected=now),
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_setup(ids["BBB"], rank=0.90, detected=now),
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_setup(ids["CCC"], rank=0.50, detected=now),
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]
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)
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await session.commit()
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await _mark_scan(session, started=scan_start, completed=now)
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await shadow_book_service.settings_store.upsert_setting(
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session, shadow_book_service.KEY_CAPACITY, "2"
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)
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await session.commit()
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 2
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# Highest strategy_rank first — the backtest's ordering key.
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assert summary["symbols"] == [ids["BBB"], ids["CCC"]]
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@pytest.mark.asyncio
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async def test_skips_names_already_held(self, session):
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ids = await _seed(session, ["AAA", "BBB"])
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now = datetime.now(timezone.utc)
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session.add_all(
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[_setup(ids["AAA"], rank=0.9, detected=now), _setup(ids["BBB"], rank=0.5, detected=now)]
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)
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session.add(
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PaperTrade(
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user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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shares=10.0, stop_loss=95.0, target=115.0, status="open",
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opened_at=now, book=SHADOW_BOOK,
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)
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)
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await session.commit()
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await _mark_scan(session, started=now - timedelta(minutes=5), completed=now)
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["skipped_held"] == 1
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assert summary["symbols"] == [ids["BBB"]]
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@pytest.mark.asyncio
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async def test_respects_post_stop_gate_lock(self, session):
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(_setup(ids["AAA"], rank=0.9, detected=now))
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# Stopped out and never requalified — locked out of re-entry.
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session.add(
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PaperTrade(
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user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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shares=10.0, stop_loss=95.0, target=115.0, status="closed",
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opened_at=now - timedelta(days=5), closed_at=now - timedelta(days=1),
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close_price=95.0, close_reason="stop", book=SHADOW_BOOK,
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)
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)
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await session.commit()
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await _mark_scan(session, started=now - timedelta(minutes=5), completed=now)
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 0
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assert summary["skipped_locked"] == 1
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class TestScanFreshness:
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@pytest.mark.asyncio
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async def test_no_scan_marker_means_no_trades(self, session):
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"""A fresh DB / never-run scan must not trade anything."""
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ids = await _seed(session, ["AAA"])
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session.add(_setup(ids["AAA"], rank=0.9, detected=datetime.now(timezone.utc)))
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await session.commit()
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 0
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@pytest.mark.asyncio
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async def test_stale_scan_marker_refuses_even_fresh_looking_setups(self, session):
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"""If this pipeline's scan failed/was disabled, the completion marker is
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from a prior session — refuse, no matter how recent the setup rows look."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(_setup(ids["AAA"], rank=0.9, detected=now))
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await session.commit()
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# Marker is a day old → no scan ran in this pass.
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await _mark_scan(session, started=now - timedelta(days=1, minutes=5),
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completed=now - timedelta(days=1))
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 0
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@pytest.mark.asyncio
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async def test_setups_before_this_run_are_excluded(self, session):
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"""A qualified row from a previous run (before the current scan start)
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must not be traded even though the current scan completed."""
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ids = await _seed(session, ["AAA", "BBB"])
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now = datetime.now(timezone.utc)
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scan_start = now - timedelta(minutes=5)
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session.add_all(
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[
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_setup(ids["AAA"], rank=0.9, detected=now), # this run
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_setup(ids["BBB"], rank=0.8, detected=now - timedelta(hours=20)), # prior run
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]
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)
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await session.commit()
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await _mark_scan(session, started=scan_start, completed=now)
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["symbols"] == [ids["AAA"]]
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@pytest.mark.asyncio
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async def test_newer_unqualified_row_suppresses_older_qualified(self, session):
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"""Dedup happens before qualification: a fresh unqualified row for a
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ticker must beat an earlier qualified row, not the other way round."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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scan_start = now - timedelta(minutes=10)
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# Earlier row qualifies; later row fails the R:R floor (rr 1.0 < 2.0).
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older = _setup(ids["AAA"], rank=0.9, detected=now - timedelta(minutes=8))
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newer = TradeSetup(
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ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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stop_loss=95.0, target=105.0, rr_ratio=1.0, composite_score=70.0,
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confidence_score=70.0, detected_at=now, strategy_rank=0.9,
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momentum_percentile=90.0, recommended_action="buy",
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targets_json=json.dumps(
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[{"price": 105.0, "probability": 45.0, "is_primary": True, "rr": 1.0}]
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),
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)
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session.add_all([older, newer])
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await session.commit()
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await _mark_scan(session, started=scan_start, completed=now)
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 0
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class TestPipelineScanBinding:
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@pytest.mark.asyncio
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async def test_fresh_manual_scan_before_pipeline_is_refused(self, session):
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"""A manual scan at 13:00 is still 'fresh' at 15:30, but the 15:30
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pipeline's own scan failed. Binding to the pipeline start rejects the
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13:00 batch — no successful scan happened in *this* pipeline pass."""
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ids = await _seed(session, ["AAA"])
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pipeline_start = datetime.now(timezone.utc)
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manual_scan = pipeline_start - timedelta(hours=2, minutes=30)
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session.add(_setup(ids["AAA"], rank=0.9, detected=manual_scan))
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await session.commit()
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await _mark_scan(session, started=manual_scan - timedelta(minutes=5),
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completed=manual_scan)
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG, require_scan_after=pipeline_start
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)
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assert summary["opened"] == 0
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@pytest.mark.asyncio
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async def test_pipeline_scan_after_start_is_accepted(self, session):
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"""The pipeline's own scan completes just after the pipeline began."""
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ids = await _seed(session, ["AAA"])
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pipeline_start = datetime.now(timezone.utc)
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scan_completed = pipeline_start + timedelta(minutes=1)
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session.add(_setup(ids["AAA"], rank=0.9, detected=scan_completed))
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await session.commit()
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await _mark_scan(session, started=pipeline_start + timedelta(seconds=1),
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completed=scan_completed)
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG, require_scan_after=pipeline_start
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)
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assert summary["opened"] == 1
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class TestLongOnly:
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@pytest.mark.asyncio
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async def test_shorts_are_never_taken_even_with_gate_disabled(self, session):
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"""min_momentum_percentile=0 lets shorts pass the gate; shadow is always
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long-only regardless, and its cash accounting assumes longs."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(
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_setup(ids["AAA"], rank=0.9, detected=now, direction="short",
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entry=100.0, stop=105.0)
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)
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await session.commit()
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await _mark_scan(session, started=now - timedelta(minutes=5), completed=now)
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gate_off = {**_CONFIG, "min_momentum_percentile": 0.0}
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=gate_off
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)
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assert summary["opened"] == 0
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class TestBookIsolation:
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@pytest.mark.asyncio
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async def test_gate_locks_do_not_leak_between_books(self, session):
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"""A manual stop must not lock the shadow book out of the same name."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(
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PaperTrade(
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user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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shares=10.0, stop_loss=95.0, target=115.0, status="closed",
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opened_at=now - timedelta(days=5), closed_at=now - timedelta(days=1),
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close_price=95.0, close_reason="stop", book=MANUAL_BOOK,
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)
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)
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await session.commit()
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assert ids["AAA"] in await get_reentry_gate_locks(session, book=MANUAL_BOOK)
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assert ids["AAA"] not in await get_reentry_gate_locks(session, book=SHADOW_BOOK)
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@pytest.mark.asyncio
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async def test_shadow_equity_ignores_manual_pnl(self, session):
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(
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PaperTrade(
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user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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shares=100.0, stop_loss=95.0, target=115.0, status="closed",
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opened_at=now - timedelta(days=5), closed_at=now,
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close_price=150.0, close_reason="trailing", book=MANUAL_BOOK,
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)
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)
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await session.commit()
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equity, cash = await shadow_book_service.equity_and_cash(session, 100_000.0, [])
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assert equity == 100_000.0
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assert cash == 100_000.0
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