Add Phase 2 foundation: regime classifier, strategy framework, WebSocket streamer
Phase 1 completion: - Add DataStreamer for real-time Binance Futures WebSocket data (klines, mark price) - Add DataValidator for candle validation and gap detection - Add timeframes module with interval mappings Phase 2 foundation: - Add RegimeClassifier with ADX/ATR/Bollinger Band analysis - Add Regime enum (TRENDING_UP/DOWN, RANGING, HIGH_VOLATILITY, UNCERTAIN) - Add Strategy ABC defining generate_signal, get_stop_loss, parameters, suitable_regimes - Add Signal dataclass and SignalType enum for strategy outputs Testing: - Add comprehensive test suites for all new modules - 159 tests passing, 24 skipped (async WebSocket timing) - 82% code coverage Dependencies: - Add pandas-stubs to dev dependencies for mypy compatibility
This commit is contained in:
bnair123
381
tests/test_validator.py
Normal file
381
tests/test_validator.py
Normal file
@@ -0,0 +1,381 @@
|
||||
"""Unit tests for DataValidator (candle validation and gap detection)."""
|
||||
|
||||
import tempfile
|
||||
from datetime import datetime, timedelta
|
||||
from decimal import Decimal
|
||||
from pathlib import Path
|
||||
|
||||
import pytest
|
||||
|
||||
from tradefinder.adapters.types import Candle
|
||||
from tradefinder.data.storage import DataStorage
|
||||
from tradefinder.data.validator import DataValidator
|
||||
|
||||
|
||||
class TestDataValidatorCandleValidation:
|
||||
"""Tests for single candle validation."""
|
||||
|
||||
def test_validate_candle_valid_candle(self) -> None:
|
||||
"""Valid candle returns empty errors list."""
|
||||
candle = Candle(
|
||||
timestamp=datetime.now(),
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("51000.00"),
|
||||
low=Decimal("49000.00"),
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("100.50"),
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert errors == []
|
||||
|
||||
def test_validate_candle_high_below_low(self) -> None:
|
||||
"""High < low is detected."""
|
||||
candle = Candle(
|
||||
timestamp=datetime.now(),
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("49000.00"), # Invalid
|
||||
low=Decimal("51000.00"), # Invalid
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("100.50"),
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert "high < low" in errors
|
||||
|
||||
def test_validate_candle_high_below_open(self) -> None:
|
||||
"""High < open is detected."""
|
||||
candle = Candle(
|
||||
timestamp=datetime.now(),
|
||||
open=Decimal("51000.00"), # Invalid
|
||||
high=Decimal("50000.00"),
|
||||
low=Decimal("49000.00"),
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("100.50"),
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert "high < open" in errors
|
||||
|
||||
def test_validate_candle_high_below_close(self) -> None:
|
||||
"""High < close is detected."""
|
||||
candle = Candle(
|
||||
timestamp=datetime.now(),
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("50000.00"),
|
||||
low=Decimal("49000.00"),
|
||||
close=Decimal("51000.00"), # Invalid
|
||||
volume=Decimal("100.50"),
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert "high < close" in errors
|
||||
|
||||
def test_validate_candle_low_above_open(self) -> None:
|
||||
"""Low > open is detected."""
|
||||
candle = Candle(
|
||||
timestamp=datetime.now(),
|
||||
open=Decimal("49000.00"), # Invalid
|
||||
high=Decimal("51000.00"),
|
||||
low=Decimal("50000.00"),
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("100.50"),
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert "low > open" in errors
|
||||
|
||||
def test_validate_candle_low_above_close(self) -> None:
|
||||
"""Low > close is detected."""
|
||||
candle = Candle(
|
||||
timestamp=datetime.now(),
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("51000.00"),
|
||||
low=Decimal("51000.00"), # Invalid
|
||||
close=Decimal("49000.00"), # Invalid
|
||||
volume=Decimal("100.50"),
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert "low > close" in errors
|
||||
|
||||
def test_validate_candle_negative_volume(self) -> None:
|
||||
"""Negative volume is detected."""
|
||||
candle = Candle(
|
||||
timestamp=datetime.now(),
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("51000.00"),
|
||||
low=Decimal("49000.00"),
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("-100.50"), # Invalid
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert "volume < 0" in errors
|
||||
|
||||
def test_validate_candle_non_datetime_timestamp(self) -> None:
|
||||
"""Non-datetime timestamp is detected."""
|
||||
candle = Candle(
|
||||
timestamp="2024-01-01", # Invalid type
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("51000.00"),
|
||||
low=Decimal("49000.00"),
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("100.50"),
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert "timestamp must be datetime" in errors
|
||||
|
||||
def test_validate_candle_multiple_errors(self) -> None:
|
||||
"""Multiple validation errors are collected."""
|
||||
candle = Candle(
|
||||
timestamp=datetime.now(),
|
||||
open=Decimal("52000.00"), # > high
|
||||
high=Decimal("51000.00"),
|
||||
low=Decimal("49000.00"),
|
||||
close=Decimal("48000.00"), # < low
|
||||
volume=Decimal("-100.50"), # Negative
|
||||
)
|
||||
errors = DataValidator.validate_candle(candle)
|
||||
assert len(errors) >= 3
|
||||
assert any("high < open" in error for error in errors)
|
||||
assert any("low > close" in error for error in errors)
|
||||
assert any("volume < 0" in error for error in errors)
|
||||
|
||||
|
||||
class TestDataValidatorBatchValidation:
|
||||
"""Tests for batch candle validation."""
|
||||
|
||||
def test_validate_candles_valid_batch(self) -> None:
|
||||
"""Valid candles return empty errors list."""
|
||||
candles = [
|
||||
Candle(
|
||||
timestamp=datetime(2024, 1, 1, i),
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("51000.00"),
|
||||
low=Decimal("49000.00"),
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("100.50"),
|
||||
)
|
||||
for i in range(3)
|
||||
]
|
||||
errors = DataValidator.validate_candles(candles)
|
||||
assert errors == []
|
||||
|
||||
def test_validate_candles_with_errors(self) -> None:
|
||||
"""Invalid candles produce error messages."""
|
||||
candles = [
|
||||
Candle( # Valid
|
||||
timestamp=datetime(2024, 1, 1, 0),
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("51000.00"),
|
||||
low=Decimal("49000.00"),
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("100.50"),
|
||||
),
|
||||
Candle( # Invalid: high < low
|
||||
timestamp=datetime(2024, 1, 1, 1),
|
||||
open=Decimal("50000.00"),
|
||||
high=Decimal("49000.00"),
|
||||
low=Decimal("51000.00"),
|
||||
close=Decimal("50500.00"),
|
||||
volume=Decimal("100.50"),
|
||||
),
|
||||
]
|
||||
errors = DataValidator.validate_candles(candles)
|
||||
assert len(errors) == 1
|
||||
assert "2024-01-01T01:00:00" in errors[0]
|
||||
assert "high < low" in errors[0]
|
||||
|
||||
|
||||
class TestDataValidatorGapDetection:
|
||||
"""Tests for gap detection in stored data."""
|
||||
|
||||
@pytest.fixture
|
||||
def storage(self) -> DataStorage:
|
||||
"""Test database fixture."""
|
||||
with tempfile.TemporaryDirectory() as tmpdir:
|
||||
db_path = Path(tmpdir) / "test.duckdb"
|
||||
storage = DataStorage(db_path)
|
||||
with storage:
|
||||
storage.initialize_schema()
|
||||
yield storage
|
||||
|
||||
def test_find_gaps_no_data(self, storage: DataStorage) -> None:
|
||||
"""No gaps when no data exists."""
|
||||
start = datetime(2024, 1, 1)
|
||||
end = datetime(2024, 1, 2)
|
||||
gaps = DataValidator.find_gaps(storage, "BTCUSDT", "1h", start, end)
|
||||
assert len(gaps) == 1
|
||||
assert gaps[0] == (start, end)
|
||||
|
||||
def test_find_gaps_start_after_end_raises(self, storage: DataStorage) -> None:
|
||||
"""ValueError when start > end."""
|
||||
start = datetime(2024, 1, 2)
|
||||
end = datetime(2024, 1, 1)
|
||||
with pytest.raises(ValueError, match="start must be before end"):
|
||||
DataValidator.find_gaps(storage, "BTCUSDT", "1h", start, end)
|
||||
|
||||
def test_find_gaps_continuous_data(self, storage: DataStorage) -> None:
|
||||
"""No gaps when data is continuous."""
|
||||
base_time = datetime(2024, 1, 1, 0)
|
||||
candles = [
|
||||
Candle(
|
||||
timestamp=base_time + timedelta(hours=i),
|
||||
open=Decimal("50000"),
|
||||
high=Decimal("51000"),
|
||||
low=Decimal("49000"),
|
||||
close=Decimal("50500"),
|
||||
volume=Decimal("100"),
|
||||
)
|
||||
for i in range(5)
|
||||
]
|
||||
storage.insert_candles(candles, "BTCUSDT", "1h")
|
||||
|
||||
start = base_time
|
||||
end = base_time + timedelta(hours=4)
|
||||
gaps = DataValidator.find_gaps(storage, "BTCUSDT", "1h", start, end)
|
||||
assert gaps == []
|
||||
|
||||
def test_find_gaps_with_gaps(self, storage: DataStorage) -> None:
|
||||
"""Gaps are detected correctly."""
|
||||
base_time = datetime(2024, 1, 1, 0)
|
||||
# Insert candles at hours 0, 2, 4 (missing 1, 3)
|
||||
candles = [
|
||||
Candle(
|
||||
timestamp=base_time + timedelta(hours=i * 2),
|
||||
open=Decimal("50000"),
|
||||
high=Decimal("51000"),
|
||||
low=Decimal("49000"),
|
||||
close=Decimal("50500"),
|
||||
volume=Decimal("100"),
|
||||
)
|
||||
for i in range(3)
|
||||
]
|
||||
storage.insert_candles(candles, "BTCUSDT", "1h")
|
||||
|
||||
start = base_time
|
||||
end = base_time + timedelta(hours=4)
|
||||
gaps = DataValidator.find_gaps(storage, "BTCUSDT", "1h", start, end)
|
||||
|
||||
assert len(gaps) == 2
|
||||
# Gap between hour 0 and hour 2 (missing hour 1)
|
||||
assert gaps[0] == (base_time + timedelta(hours=1), base_time + timedelta(hours=2))
|
||||
# Gap between hour 2 and hour 4 (missing hour 3)
|
||||
assert gaps[1] == (base_time + timedelta(hours=3), base_time + timedelta(hours=4))
|
||||
|
||||
def test_find_gaps_initial_gap(self, storage: DataStorage) -> None:
|
||||
"""Gap at start is detected."""
|
||||
base_time = datetime(2024, 1, 1, 0)
|
||||
candles = [
|
||||
Candle(
|
||||
timestamp=base_time + timedelta(hours=2), # Start at hour 2
|
||||
open=Decimal("50000"),
|
||||
high=Decimal("51000"),
|
||||
low=Decimal("49000"),
|
||||
close=Decimal("50500"),
|
||||
volume=Decimal("100"),
|
||||
)
|
||||
]
|
||||
storage.insert_candles(candles, "BTCUSDT", "1h")
|
||||
|
||||
start = base_time
|
||||
end = base_time + timedelta(hours=3)
|
||||
gaps = DataValidator.find_gaps(storage, "BTCUSDT", "1h", start, end)
|
||||
|
||||
assert len(gaps) == 1
|
||||
# Gap from start to hour 2
|
||||
assert gaps[0] == (start, base_time + timedelta(hours=2))
|
||||
|
||||
def test_find_gaps_trailing_gap(self, storage: DataStorage) -> None:
|
||||
"""Gap at end is detected."""
|
||||
base_time = datetime(2024, 1, 1, 0)
|
||||
candles = [
|
||||
Candle(
|
||||
timestamp=base_time,
|
||||
open=Decimal("50000"),
|
||||
high=Decimal("51000"),
|
||||
low=Decimal("49000"),
|
||||
close=Decimal("50500"),
|
||||
volume=Decimal("100"),
|
||||
)
|
||||
]
|
||||
storage.insert_candles(candles, "BTCUSDT", "1h")
|
||||
|
||||
start = base_time
|
||||
end = base_time + timedelta(hours=2)
|
||||
gaps = DataValidator.find_gaps(storage, "BTCUSDT", "1h", start, end)
|
||||
|
||||
assert len(gaps) == 1
|
||||
# Gap from hour 1 to end
|
||||
assert gaps[0] == (base_time + timedelta(hours=1), end)
|
||||
|
||||
|
||||
class TestDataValidatorGapReport:
|
||||
"""Tests for gap reporting functionality."""
|
||||
|
||||
@pytest.fixture
|
||||
def storage(self) -> DataStorage:
|
||||
"""Test database fixture."""
|
||||
with tempfile.TemporaryDirectory() as tmpdir:
|
||||
db_path = Path(tmpdir) / "test.duckdb"
|
||||
storage = DataStorage(db_path)
|
||||
with storage:
|
||||
storage.initialize_schema()
|
||||
yield storage
|
||||
|
||||
def test_get_gap_report_empty_database(self, storage: DataStorage) -> None:
|
||||
"""Empty database returns zero gaps."""
|
||||
report = DataValidator.get_gap_report(storage, "BTCUSDT", "1h")
|
||||
assert report["symbol"] == "BTCUSDT"
|
||||
assert report["timeframe"] == "1h"
|
||||
assert report["gap_count"] == 0
|
||||
assert report["total_gap_seconds"] == 0.0
|
||||
assert report["max_gap_seconds"] == 0.0
|
||||
assert report["gaps"] == []
|
||||
assert report["checked_from"] is None
|
||||
assert report["checked_to"] is None
|
||||
|
||||
def test_get_gap_report_with_data(self, storage: DataStorage) -> None:
|
||||
"""Gap report includes gap statistics."""
|
||||
base_time = datetime(2024, 1, 1, 0)
|
||||
# Insert candles at hours 0, 2, 4 (missing 1, 3)
|
||||
candles = [
|
||||
Candle(
|
||||
timestamp=base_time + timedelta(hours=i * 2),
|
||||
open=Decimal("50000"),
|
||||
high=Decimal("51000"),
|
||||
low=Decimal("49000"),
|
||||
close=Decimal("50500"),
|
||||
volume=Decimal("100"),
|
||||
)
|
||||
for i in range(3)
|
||||
]
|
||||
storage.insert_candles(candles, "BTCUSDT", "1h")
|
||||
|
||||
report = DataValidator.get_gap_report(storage, "BTCUSDT", "1h")
|
||||
assert report["symbol"] == "BTCUSDT"
|
||||
assert report["timeframe"] == "1h"
|
||||
assert report["gap_count"] == 2
|
||||
assert report["total_gap_seconds"] == 7200.0 # 2 hours in seconds
|
||||
assert report["max_gap_seconds"] == 3600.0 # 1 hour in seconds
|
||||
assert len(report["gaps"]) == 2
|
||||
assert report["checked_from"] == base_time
|
||||
assert report["checked_to"] == base_time + timedelta(hours=4)
|
||||
|
||||
|
||||
class TestDataValidatorTimeframeInterval:
|
||||
"""Tests for timeframe interval calculation."""
|
||||
|
||||
def test_interval_for_timeframe_1m(self) -> None:
|
||||
"""1m timeframe interval is 1 minute."""
|
||||
interval = DataValidator._interval_for_timeframe("1m")
|
||||
assert interval == timedelta(minutes=1)
|
||||
|
||||
def test_interval_for_timeframe_1h(self) -> None:
|
||||
"""1h timeframe interval is 1 hour."""
|
||||
interval = DataValidator._interval_for_timeframe("1h")
|
||||
assert interval == timedelta(hours=1)
|
||||
|
||||
def test_interval_for_timeframe_1d(self) -> None:
|
||||
"""1d timeframe interval is 1 day."""
|
||||
interval = DataValidator._interval_for_timeframe("1d")
|
||||
assert interval == timedelta(days=1)
|
||||
|
||||
def test_interval_for_timeframe_unknown_raises(self) -> None:
|
||||
"""Unknown timeframe raises ValueError."""
|
||||
with pytest.raises(ValueError, match="Unknown timeframe"):
|
||||
DataValidator._interval_for_timeframe("unknown")
|
||||
Reference in New Issue
Block a user