360 lines
13 KiB
Python
360 lines
13 KiB
Python
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"""Tests for the Signal Generator service.
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Covers MarketDataManager (SMA, RSI, snapshot) and WeightedEnsemble
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(signal combination, threshold filtering, strategy source tagging).
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"""
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from __future__ import annotations
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from datetime import datetime, timezone
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import pytest
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from services.signal_generator.ensemble import WeightedEnsemble
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from services.signal_generator.market_data import MarketDataManager
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from shared.schemas.trading import (
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MarketSnapshot,
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OHLCVBar,
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SentimentContext,
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SignalDirection,
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TradeSignal,
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)
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from shared.strategies.base import BaseStrategy
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# ---------------------------------------------------------------------------
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# Helpers
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# ---------------------------------------------------------------------------
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def _make_bar(close: float, *, ts_offset: int = 0) -> OHLCVBar:
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"""Create an ``OHLCVBar`` with the given close price."""
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return OHLCVBar(
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timestamp=datetime(2026, 1, 1, 10, ts_offset, tzinfo=timezone.utc),
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open=close - 0.5,
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high=close + 1.0,
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low=close - 1.0,
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close=close,
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volume=1000.0,
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)
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class _StubStrategy(BaseStrategy):
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"""Test helper that returns a preconfigured signal."""
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def __init__(self, name: str, signal: TradeSignal | None) -> None:
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self.name = name
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self._signal = signal
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async def evaluate(self, ticker, market, sentiment=None):
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return self._signal
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def _make_signal(
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direction: SignalDirection = SignalDirection.LONG,
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strength: float = 0.8,
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sources: list[str] | None = None,
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) -> TradeSignal:
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return TradeSignal(
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ticker="AAPL",
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direction=direction,
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strength=strength,
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strategy_sources=sources or ["test"],
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timestamp=datetime.now(timezone.utc),
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)
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# ---------------------------------------------------------------------------
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# MarketDataManager — SMA
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# ---------------------------------------------------------------------------
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class TestMarketDataManagerSMA:
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"""Tests for SMA computation inside MarketDataManager."""
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def test_sma_basic(self):
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"""SMA-20 should equal the mean of the last 20 close prices."""
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mgr = MarketDataManager()
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closes = list(range(1, 21)) # 1, 2, ..., 20
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for i, c in enumerate(closes):
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mgr.add_bar("AAPL", _make_bar(float(c), ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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expected_sma_20 = sum(closes) / 20
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assert snap.sma_20 == pytest.approx(expected_sma_20)
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def test_sma_returns_none_insufficient_data(self):
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"""SMA-20 should be None when fewer than 20 bars exist."""
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mgr = MarketDataManager()
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for i in range(10):
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mgr.add_bar("AAPL", _make_bar(100.0, ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert snap.sma_20 is None
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def test_sma_50_requires_50_bars(self):
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"""SMA-50 should be None with only 30 bars, present with 50."""
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mgr = MarketDataManager()
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for i in range(30):
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mgr.add_bar("AAPL", _make_bar(float(i + 1), ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert snap.sma_50 is None
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# Add 20 more
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for i in range(30, 50):
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mgr.add_bar("AAPL", _make_bar(float(i + 1), ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert snap.sma_50 is not None
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expected = sum(range(1, 51)) / 50
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assert snap.sma_50 == pytest.approx(expected)
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# ---------------------------------------------------------------------------
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# MarketDataManager — RSI
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# ---------------------------------------------------------------------------
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class TestMarketDataManagerRSI:
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"""Tests for RSI computation inside MarketDataManager."""
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def test_rsi_all_gains(self):
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"""RSI should be 100 when all price changes are positive."""
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mgr = MarketDataManager()
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for i in range(20):
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mgr.add_bar("AAPL", _make_bar(100.0 + i, ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert snap.rsi == pytest.approx(100.0)
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def test_rsi_all_losses(self):
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"""RSI should be 0 when all price changes are negative."""
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mgr = MarketDataManager()
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for i in range(20):
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mgr.add_bar("AAPL", _make_bar(200.0 - i, ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert snap.rsi == pytest.approx(0.0)
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def test_rsi_mixed(self):
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"""RSI should be between 0 and 100 with mixed gains and losses."""
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mgr = MarketDataManager()
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prices = [44, 44.34, 44.09, 43.61, 44.33, 44.83, 45.10, 45.42,
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45.84, 46.08, 45.89, 46.03, 45.61, 46.28, 46.28, 46.00]
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for i, p in enumerate(prices):
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mgr.add_bar("AAPL", _make_bar(p, ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert snap.rsi is not None
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assert 0 < snap.rsi < 100
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def test_rsi_returns_none_insufficient_data(self):
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"""RSI should be None when fewer than 15 bars exist (need 14+1)."""
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mgr = MarketDataManager()
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for i in range(10):
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mgr.add_bar("AAPL", _make_bar(100.0, ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert snap.rsi is None
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# ---------------------------------------------------------------------------
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# MarketDataManager — snapshot
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# ---------------------------------------------------------------------------
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class TestMarketDataManagerSnapshot:
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"""Tests for get_snapshot behaviour."""
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def test_snapshot_returns_none_for_unknown_ticker(self):
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mgr = MarketDataManager()
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assert mgr.get_snapshot("UNKNOWN") is None
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def test_snapshot_uses_latest_bar_for_price(self):
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mgr = MarketDataManager()
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mgr.add_bar("AAPL", _make_bar(100.0, ts_offset=0))
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mgr.add_bar("AAPL", _make_bar(105.0, ts_offset=1))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert snap.current_price == 105.0
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def test_snapshot_contains_bars(self):
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mgr = MarketDataManager()
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for i in range(5):
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mgr.add_bar("AAPL", _make_bar(100.0 + i, ts_offset=i))
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snap = mgr.get_snapshot("AAPL")
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assert snap is not None
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assert len(snap.bars) == 5
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# ---------------------------------------------------------------------------
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# WeightedEnsemble — combines signals
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# ---------------------------------------------------------------------------
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class TestEnsembleCombinesSignals:
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"""Test that the ensemble correctly combines strategy signals."""
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@pytest.mark.asyncio
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async def test_combines_two_long_signals(self):
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"""Two LONG signals should produce a combined LONG signal."""
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s1 = _StubStrategy("alpha", _make_signal(SignalDirection.LONG, 0.8))
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s2 = _StubStrategy("beta", _make_signal(SignalDirection.LONG, 0.6))
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ensemble = WeightedEnsemble([s1, s2], threshold=0.0)
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market = MarketSnapshot(
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ticker="AAPL", current_price=150.0,
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open=149.0, high=151.0, low=148.0, close=150.0, volume=1000,
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)
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weights = {"alpha": 0.5, "beta": 0.5}
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signal = await ensemble.evaluate("AAPL", market, None, weights)
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assert signal is not None
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assert signal.direction == SignalDirection.LONG
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# Weighted average = (0.8*0.5 + 0.6*0.5) / (0.5+0.5) = 0.7
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assert signal.strength == pytest.approx(0.7, abs=0.01)
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@pytest.mark.asyncio
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async def test_opposing_signals_net_direction(self):
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"""When strategies disagree, direction follows the stronger weighted side."""
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s1 = _StubStrategy("alpha", _make_signal(SignalDirection.LONG, 0.9))
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s2 = _StubStrategy("beta", _make_signal(SignalDirection.SHORT, 0.3))
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ensemble = WeightedEnsemble([s1, s2], threshold=0.0)
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market = MarketSnapshot(
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ticker="AAPL", current_price=150.0,
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open=149.0, high=151.0, low=148.0, close=150.0, volume=1000,
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)
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weights = {"alpha": 0.5, "beta": 0.5}
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signal = await ensemble.evaluate("AAPL", market, None, weights)
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assert signal is not None
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# Net direction should be LONG since alpha is stronger
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assert signal.direction == SignalDirection.LONG
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# ---------------------------------------------------------------------------
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# WeightedEnsemble — threshold filtering
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# ---------------------------------------------------------------------------
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class TestEnsembleThresholdFiltering:
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"""Test that weak combined signals are filtered out by the threshold."""
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@pytest.mark.asyncio
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async def test_below_threshold_returns_none(self):
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"""Combined strength below threshold should yield None."""
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# Two opposing signals of similar strength will nearly cancel out
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s1 = _StubStrategy("alpha", _make_signal(SignalDirection.LONG, 0.5))
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s2 = _StubStrategy("beta", _make_signal(SignalDirection.SHORT, 0.45))
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ensemble = WeightedEnsemble([s1, s2], threshold=0.5)
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market = MarketSnapshot(
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ticker="AAPL", current_price=150.0,
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open=149.0, high=151.0, low=148.0, close=150.0, volume=1000,
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)
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weights = {"alpha": 0.5, "beta": 0.5}
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signal = await ensemble.evaluate("AAPL", market, None, weights)
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assert signal is None
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@pytest.mark.asyncio
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async def test_above_threshold_returns_signal(self):
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"""Strong combined signal above threshold should yield a signal."""
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s1 = _StubStrategy("alpha", _make_signal(SignalDirection.LONG, 0.9))
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ensemble = WeightedEnsemble([s1], threshold=0.3)
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market = MarketSnapshot(
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ticker="AAPL", current_price=150.0,
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open=149.0, high=151.0, low=148.0, close=150.0, volume=1000,
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)
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weights = {"alpha": 1.0}
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signal = await ensemble.evaluate("AAPL", market, None, weights)
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assert signal is not None
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assert signal.strength >= 0.3
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# ---------------------------------------------------------------------------
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# WeightedEnsemble — no signals returns None
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# ---------------------------------------------------------------------------
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class TestEnsembleNoSignals:
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"""Test that the ensemble returns None when no strategy fires."""
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@pytest.mark.asyncio
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async def test_all_strategies_return_none(self):
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s1 = _StubStrategy("alpha", None)
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s2 = _StubStrategy("beta", None)
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ensemble = WeightedEnsemble([s1, s2], threshold=0.3)
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market = MarketSnapshot(
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ticker="AAPL", current_price=150.0,
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open=149.0, high=151.0, low=148.0, close=150.0, volume=1000,
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)
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weights = {"alpha": 0.5, "beta": 0.5}
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signal = await ensemble.evaluate("AAPL", market, None, weights)
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assert signal is None
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# ---------------------------------------------------------------------------
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# WeightedEnsemble — tags strategy sources
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# ---------------------------------------------------------------------------
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class TestEnsembleTagsStrategySources:
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"""Verify that the output signal records which strategies contributed."""
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@pytest.mark.asyncio
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async def test_strategy_sources_contains_all_contributors(self):
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s1 = _StubStrategy("momentum", _make_signal(SignalDirection.LONG, 0.7, ["momentum"]))
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s2 = _StubStrategy("news_driven", _make_signal(SignalDirection.LONG, 0.6, ["news_driven"]))
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s3 = _StubStrategy("mean_reversion", None) # does not contribute
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ensemble = WeightedEnsemble([s1, s2, s3], threshold=0.0)
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market = MarketSnapshot(
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ticker="AAPL", current_price=150.0,
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open=149.0, high=151.0, low=148.0, close=150.0, volume=1000,
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)
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weights = {"momentum": 0.5, "news_driven": 0.3, "mean_reversion": 0.2}
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signal = await ensemble.evaluate("AAPL", market, None, weights)
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assert signal is not None
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# Should have exactly 2 sources
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assert len(signal.strategy_sources) == 2
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source_names = [s.split(":")[0] for s in signal.strategy_sources]
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assert "momentum" in source_names
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assert "news_driven" in source_names
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# mean_reversion should NOT be present
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assert "mean_reversion" not in source_names
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@pytest.mark.asyncio
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async def test_strategy_sources_contain_direction_and_strength(self):
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"""Each source tag should be formatted as name:DIRECTION:strength."""
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s1 = _StubStrategy("alpha", _make_signal(SignalDirection.LONG, 0.75))
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ensemble = WeightedEnsemble([s1], threshold=0.0)
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market = MarketSnapshot(
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ticker="AAPL", current_price=150.0,
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open=149.0, high=151.0, low=148.0, close=150.0, volume=1000,
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)
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weights = {"alpha": 1.0}
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signal = await ensemble.evaluate("AAPL", market, None, weights)
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assert signal is not None
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assert len(signal.strategy_sources) == 1
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parts = signal.strategy_sources[0].split(":")
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assert parts[0] == "alpha"
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assert parts[1] == "LONG"
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assert float(parts[2]) == pytest.approx(0.75, abs=0.01)
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