momentum devandClaude Fable 5
a12dc8a768
compute_ratios bails when UTC now-16min precedes today's 08:00Z, i.e. nightly ~00:00-04:16 ET; the test's hardcoded 2026-07-06 bars made it KeyError at the date rollover independent of any code change. Freeze the module clock to a mid-session UTC time so the window is valid deterministically. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
97 lines
3.7 KiB
Python
97 lines
3.7 KiB
Python
"""Ratio-corrected IEX volume: the free fix for the 2-5% IEX undercount. Pure tests —
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a stub client provides both feeds, a stub con captures the upserted rows."""
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from research.ingestion.market_data import ingest_live_minute_bars
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from research.ingestion.volume_ratio import compute_ratios
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def _bars(n, vol, t0="2026-07-06T13:3{i}:00Z", px=5.0):
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return [{"t": f"2026-07-06T13:3{i}:00Z", "o": px, "h": px + .05, "l": px - .05,
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"c": px, "v": vol, "vw": px} for i in range(n)]
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class _Client:
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"""Serves distinct volumes per feed (iex thin, sip fat) + per symbol."""
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def __init__(self):
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self.by_feed = {
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"iex": {"GOOD": _bars(5, 100), "DUST": _bars(5, 10)},
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"sip": {"GOOD": _bars(5, 2500), "DUST": _bars(5, 200)},
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}
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def get_minute_bars(self, symbols, start_iso, end_iso=None, feed=None, limit=10_000):
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src = self.by_feed.get(feed or "iex", {})
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return {s: src.get(s, []) for s in symbols}
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class _Con:
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"""Captures executemany rows; enough surface for upsert_minute_bars."""
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def __init__(self):
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self.rows = []
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def executemany(self, sql, rows):
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self.rows.extend(rows)
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def execute(self, *a, **k):
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return self
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def test_compute_ratios_measures_and_skips_thin(monkeypatch):
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# Freeze the clock inside the stub's bar-date window. compute_ratios bails
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# (`end <= start`) when UTC now-16min is before today's 08:00Z — true nightly
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# from ~00:00-04:16 ET — so with hardcoded 2026-07-06 bars this test flaked at
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# the date rollover regardless of the stub data. Pin a mid-session UTC clock.
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import research.ingestion.volume_ratio as vr
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from datetime import date as _date, datetime as _dt, timezone
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class _FrozenDT:
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@staticmethod
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def now(tz=None):
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return _dt(2026, 7, 6, 18, 0, 0, tzinfo=tz or timezone.utc)
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class _FrozenDate:
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@staticmethod
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def today():
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return _date(2026, 7, 6)
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monkeypatch.setattr(vr, "datetime", _FrozenDT)
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monkeypatch.setattr(vr, "date", _FrozenDate)
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r = compute_ratios(_Client(), ["GOOD", "DUST", "MISSING"])
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assert r["GOOD"] == 25.0 # 12500 sip / 500 iex
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assert "DUST" not in r # sip sample below floor -> untrusted
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assert "MISSING" not in r
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def test_ingest_scales_volume_and_marks_provider():
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con = _Con()
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ingest_live_minute_bars(con, _Client(), ["GOOD"], volume_scale={"GOOD": 25.0})
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flat = [v for row in con.rows for v in row]
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assert 2500 in flat and 100 not in flat # 100-share bars scaled to 2500
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assert "alpaca_iex_scaled" in flat
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def test_ingest_without_ratio_is_unchanged():
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con = _Con()
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ingest_live_minute_bars(con, _Client(), ["GOOD"]) # no scale dict
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flat = [v for row in con.rows for v in row]
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assert 100 in flat and 2500 not in flat
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assert "alpaca_iex" in flat and "alpaca_iex_scaled" not in flat
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class _Settings:
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feed = "sip"
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class _SipClient(_Client):
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settings = _Settings()
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def get_minute_bars(self, symbols, start_iso, end_iso=None, feed=None, limit=10_000):
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# live SIP feed: already-consolidated volumes
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return {s: self.by_feed["sip"].get(s, []) for s in symbols}
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def test_sip_feed_refuses_double_scaling():
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# once the paid plan makes the live feed SIP, applying the x25 ratios again would
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# over-count 25x — the ingest must refuse to scale a non-IEX feed.
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con = _Con()
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ingest_live_minute_bars(con, _SipClient(), ["GOOD"], volume_scale={"GOOD": 25.0})
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flat = [v for row in con.rows for v in row]
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assert 2500 in flat and 62500 not in flat # sip volume kept, NOT re-scaled
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assert "alpaca_sip" in flat and "alpaca_iex_scaled" not in flat
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