Merge branch 'feature/PRICING-002-basis-display'

app/pages/overview.py

@@ -152,6 +152,13 @@ async def overview_page(workspace_id: str) -> None:
         source=overview_source,
         updated_at=overview_updated_at,
     )
+
+    # Fetch basis data for GLD/GC=F comparison
+    try:
+        basis_data = await data_service.get_basis_data()
+    except Exception:
+        logger.exception("Failed to fetch basis data")
+        basis_data = None
     configured_gold_value = float(config.gold_value or 0.0)
     portfolio["cash_buffer"] = max(float(portfolio["gold_value"]) - configured_gold_value, 0.0) + _DEFAULT_CASH_BUFFER
     portfolio["hedge_budget"] = float(config.monthly_budget)
@@ -208,6 +215,78 @@ async def overview_page(workspace_id: str) -> None:
         )
 
         with left_pane:
+            # GLD/GC=F Basis Card
+            with ui.card().classes(
+                "w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
+            ):
+                with ui.row().classes("w-full items-center justify-between gap-3"):
+                    ui.label("GLD/GC=F Basis").classes("text-lg font-semibold text-slate-900 dark:text-slate-100")
+                    if basis_data:
+                        basis_badge_class = {
+                            "green": "rounded-full bg-emerald-100 px-3 py-1 text-xs font-semibold text-emerald-700 dark:bg-emerald-500/15 dark:text-emerald-300",
+                            "yellow": "rounded-full bg-amber-100 px-3 py-1 text-xs font-semibold text-amber-700 dark:bg-amber-500/15 dark:text-amber-300",
+                            "red": "rounded-full bg-rose-100 px-3 py-1 text-xs font-semibold text-rose-700 dark:bg-rose-500/15 dark:text-rose-300",
+                        }.get(
+                            basis_data["basis_status"],
+                            "rounded-full bg-slate-100 px-3 py-1 text-xs font-semibold text-slate-700",
+                        )
+                        ui.label(f"{basis_data['basis_label']} ({basis_data['basis_bps']:+.1f} bps)").classes(
+                            basis_badge_class
+                        )
+
+                if basis_data:
+                    with ui.grid(columns=2).classes("w-full gap-4 mt-4"):
+                        # GLD Implied Spot
+                        with ui.card().classes(
+                            "rounded-xl border border-slate-200 bg-slate-50 p-4 shadow-none dark:border-slate-800 dark:bg-slate-950"
+                        ):
+                            ui.label("GLD Implied Spot").classes(
+                                "text-sm font-medium text-slate-500 dark:text-slate-400"
+                            )
+                            ui.label(f"${basis_data['gld_implied_spot']:,.2f}/oz").classes(
+                                "text-2xl font-bold text-slate-900 dark:text-slate-50"
+                            )
+                            ui.label(
+                                f"GLD ${basis_data['gld_price']:.2f} ÷ {basis_data['gld_ounces_per_share']:.4f} oz/share"
+                            ).classes("text-xs text-slate-500 dark:text-slate-400")
+
+                        # GC=F Adjusted
+                        with ui.card().classes(
+                            "rounded-xl border border-slate-200 bg-slate-50 p-4 shadow-none dark:border-slate-800 dark:bg-slate-950"
+                        ):
+                            ui.label("GC=F Adjusted").classes("text-sm font-medium text-slate-500 dark:text-slate-400")
+                            ui.label(f"${basis_data['gc_f_adjusted']:,.2f}/oz").classes(
+                                "text-2xl font-bold text-slate-900 dark:text-slate-50"
+                            )
+                            ui.label(
+                                f"GC=F ${basis_data['gc_f_price']:.2f} - ${basis_data['contango_estimate']:.0f} contango"
+                            ).classes("text-xs text-slate-500 dark:text-slate-400")
+
+                    # Basis explanation and after-hours notice
+                    with ui.row().classes("w-full items-start gap-2 mt-4"):
+                        ui.icon("info", size="xs").classes("text-slate-400 mt-0.5")
+                        ui.label(
+                            "Basis shows the premium/discount between GLD-implied gold and futures-adjusted spot. "
+                            "Green < 25 bps (normal), Yellow 25-50 bps (elevated), Red > 50 bps (unusual)."
+                        ).classes("text-xs text-slate-500 dark:text-slate-400")
+
+                    if basis_data["after_hours"]:
+                        with ui.row().classes("w-full items-start gap-2 mt-2"):
+                            ui.icon("schedule", size="xs").classes("text-amber-500 mt-0.5")
+                            ui.label(
+                                f"{basis_data['after_hours_note']} · GLD: {_format_timestamp(basis_data['gld_updated_at'])} · "
+                                f"GC=F: {_format_timestamp(basis_data['gc_f_updated_at'])}"
+                            ).classes("text-xs text-amber-700 dark:text-amber-300")
+
+                    # Warning for elevated basis
+                    if basis_data["basis_status"] == "red":
+                        ui.label(
+                            f"⚠️ Elevated basis detected: {basis_data['basis_bps']:+.1f} bps. "
+                            "This may indicate after-hours pricing gaps, physical stress, or arbitrage disruption."
+                        ).classes("text-sm font-medium text-rose-700 dark:text-rose-300 mt-3")
+                else:
+                    ui.label("Basis data temporarily unavailable").classes("text-sm text-slate-500 dark:text-slate-400")
+
             with ui.card().classes(
                 "w-full rounded-2xl border border-slate-200 bg-white shadow-sm dark:border-slate-800 dark:bg-slate-900"
             ):

app/services/data_service.py

@@ -5,10 +5,11 @@ from __future__ import annotations
 import asyncio
 import logging
 import math
-from datetime import datetime, timezone
+from datetime import date, datetime, timezone
 from typing import Any
 
 from app.core.calculations import option_row_greeks
+from app.domain.instruments import gld_ounces_per_share
 from app.services.cache import CacheService
 from app.strategies.engine import StrategySelectionEngine
 
@@ -26,6 +27,7 @@ class DataService:
     def __init__(self, cache: CacheService, default_symbol: str = "GLD") -> None:
         self.cache = cache
         self.default_symbol = default_symbol
+        self.gc_f_symbol = "GC=F"  # COMEX Gold Futures
 
     async def get_portfolio(self, symbol: str | None = None) -> dict[str, Any]:
         ticker = (symbol or self.default_symbol).upper()
@@ -255,6 +257,156 @@ class DataService:
             )
         return await self.get_options_chain_for_expiry(ticker_symbol, expirations[0])
 
+    async def get_gc_futures(self) -> dict[str, Any]:
+        """Fetch GC=F (COMEX Gold Futures) quote.
+
+        Returns a quote dict similar to get_quote but for gold futures.
+        Falls back gracefully if GC=F is unavailable.
+        """
+        cache_key = f"quote:{self.gc_f_symbol}"
+        cached = await self.cache.get_json(cache_key)
+        if cached and isinstance(cached, dict):
+            try:
+                normalized_cached = self._normalize_quote_payload(cached, self.gc_f_symbol)
+            except ValueError:
+                normalized_cached = None
+            if normalized_cached is not None:
+                if normalized_cached != cached:
+                    await self.cache.set_json(cache_key, normalized_cached)
+                return normalized_cached
+
+        quote = self._normalize_quote_payload(await self._fetch_gc_futures(), self.gc_f_symbol)
+        await self.cache.set_json(cache_key, quote)
+        return quote
+
+    async def _fetch_gc_futures(self) -> dict[str, Any]:
+        """Fetch GC=F from yfinance with graceful fallback."""
+        if yf is None:
+            return self._fallback_gc_futures(source="fallback", error="yfinance is not installed")
+
+        try:
+            ticker = yf.Ticker(self.gc_f_symbol)
+            history = await asyncio.to_thread(ticker.history, period="5d", interval="1d")
+            if history.empty:
+                return self._fallback_gc_futures(source="fallback", error="No history returned for GC=F")
+
+            closes = history["Close"]
+            last = float(closes.iloc[-1])
+            previous = float(closes.iloc[-2]) if len(closes) > 1 else last
+            change = round(last - previous, 4)
+            change_percent = round((change / previous) * 100, 4) if previous else 0.0
+
+            # Try to get more recent price from fast_info if available
+            try:
+                fast_price = ticker.fast_info.get("lastPrice", last)
+                if fast_price and fast_price > 0:
+                    last = float(fast_price)
+            except Exception:
+                pass  # Keep history close if fast_info unavailable
+
+            return {
+                "symbol": self.gc_f_symbol,
+                "price": round(last, 4),
+                "quote_unit": "ozt",  # Gold futures are per troy ounce
+                "change": change,
+                "change_percent": change_percent,
+                "updated_at": datetime.now(timezone.utc).isoformat(),
+                "source": "yfinance",
+            }
+        except Exception as exc:  # pragma: no cover - network dependent
+            logger.warning("Failed to fetch %s from yfinance: %s", self.gc_f_symbol, exc)
+            return self._fallback_gc_futures(source="fallback", error=str(exc))
+
+    @staticmethod
+    def _fallback_gc_futures(source: str, error: str | None = None) -> dict[str, Any]:
+        """Fallback GC=F quote when live data unavailable."""
+        payload = {
+            "symbol": "GC=F",
+            "price": 2700.0,  # Fallback estimate
+            "quote_unit": "ozt",
+            "change": 0.0,
+            "change_percent": 0.0,
+            "updated_at": datetime.now(timezone.utc).isoformat(),
+            "source": source,
+        }
+        if error:
+            payload["error"] = error
+        return payload
+
+    async def get_basis_data(self) -> dict[str, Any]:
+        """Get GLD/GC=F basis data for comparison.
+
+        Returns:
+            Dict with GLD implied spot, GC=F adjusted price, basis in bps, and status info.
+        """
+        gld_quote = await self.get_quote("GLD")
+        gc_f_quote = await self.get_gc_futures()
+
+        # Use current date for GLD ounces calculation
+        ounces_per_share = float(gld_ounces_per_share(date.today()))
+
+        # GLD implied spot = GLD_price / ounces_per_share
+        gld_price = gld_quote.get("price", 0.0)
+        gld_implied_spot = gld_price / ounces_per_share if ounces_per_share > 0 and gld_price > 0 else 0.0
+
+        # GC=F adjusted = (GC=F - contango_estimate) / 10 for naive comparison
+        # But actually GC=F is already per oz, so we just adjust for contango
+        gc_f_price = gc_f_quote.get("price", 0.0)
+        contango_estimate = 10.0  # Typical contango ~$10/oz
+        gc_f_adjusted = gc_f_price - contango_estimate if gc_f_price > 0 else 0.0
+
+        # Basis in bps = (GLD_implied_spot / GC=F_adjusted - 1) * 10000
+        basis_bps = 0.0
+        if gc_f_adjusted > 0 and gld_implied_spot > 0:
+            basis_bps = (gld_implied_spot / gc_f_adjusted - 1) * 10000
+
+        # Determine basis status
+        abs_basis = abs(basis_bps)
+        if abs_basis < 25:
+            basis_status = "green"
+            basis_label = "Normal"
+        elif abs_basis < 50:
+            basis_status = "yellow"
+            basis_label = "Elevated"
+        else:
+            basis_status = "red"
+            basis_label = "Warning"
+
+        # After-hours check: compare timestamps
+        gld_updated = gld_quote.get("updated_at", "")
+        gc_f_updated = gc_f_quote.get("updated_at", "")
+        after_hours = False
+        after_hours_note = ""
+
+        try:
+            gld_time = datetime.fromisoformat(gld_updated.replace("Z", "+00:00"))
+            gc_f_time = datetime.fromisoformat(gc_f_updated.replace("Z", "+00:00"))
+            # If GC=F updated much more recently, likely after-hours
+            time_diff = (gc_f_time - gld_time).total_seconds()
+            if time_diff > 3600:  # More than 1 hour difference
+                after_hours = True
+                after_hours_note = "GLD quote may be stale (after-hours)"
+        except Exception:
+            pass
+
+        return {
+            "gld_implied_spot": round(gld_implied_spot, 2),
+            "gld_price": round(gld_price, 2),
+            "gld_ounces_per_share": round(ounces_per_share, 4),
+            "gc_f_price": round(gc_f_price, 2),
+            "gc_f_adjusted": round(gc_f_adjusted, 2),
+            "contango_estimate": contango_estimate,
+            "basis_bps": round(basis_bps, 1),
+            "basis_status": basis_status,
+            "basis_label": basis_label,
+            "after_hours": after_hours,
+            "after_hours_note": after_hours_note,
+            "gld_updated_at": gld_updated,
+            "gc_f_updated_at": gc_f_updated,
+            "gld_source": gld_quote.get("source", "unknown"),
+            "gc_f_source": gc_f_quote.get("source", "unknown"),
+        }
+
     async def get_strategies(self, symbol: str | None = None) -> dict[str, Any]:
         ticker = (symbol or self.default_symbol).upper()
         quote = await self.get_quote(ticker)

tests/test_basis_data.py

@@ -0,0 +1,148 @@
+"""Tests for GLD/GC=F basis data functionality."""
+
+from __future__ import annotations
+
+from datetime import date
+
+import pytest
+
+from app.services.cache import CacheService
+from app.services.data_service import DataService
+
+
+class _CacheStub(CacheService):
+    """In-memory cache stub for unit testing."""
+
+    def __init__(self, initial: dict[str, object] | None = None) -> None:
+        self._store = dict(initial or {})
+        self.write_count = 0
+
+    async def get_json(self, key: str):  # type: ignore[override]
+        return self._store.get(key)
+
+    async def set_json(self, key: str, value: object) -> None:  # type: ignore[override]
+        self._store[key] = value
+        self.write_count += 1
+
+    async def delete(self, key: str) -> None:
+        self._store.pop(key, None)
+
+
+@pytest.fixture
+def cache_service():
+    """Create a cache service for testing."""
+    return _CacheStub()
+
+
+@pytest.fixture
+def data_service(cache_service):
+    """Create a data service for testing."""
+    return DataService(cache_service)
+
+
+@pytest.mark.asyncio
+async def test_basis_data_structure(data_service: DataService) -> None:
+    """Test that basis data returns expected structure."""
+    basis = await data_service.get_basis_data()
+
+    # Check all required fields are present
+    assert "gld_implied_spot" in basis
+    assert "gld_price" in basis
+    assert "gld_ounces_per_share" in basis
+    assert "gc_f_price" in basis
+    assert "gc_f_adjusted" in basis
+    assert "contango_estimate" in basis
+    assert "basis_bps" in basis
+    assert "basis_status" in basis
+    assert "basis_label" in basis
+    assert "after_hours" in basis
+    assert "after_hours_note" in basis
+    assert "gld_updated_at" in basis
+    assert "gc_f_updated_at" in basis
+    assert "gld_source" in basis
+    assert "gc_f_source" in basis
+
+    # Check types
+    assert isinstance(basis["gld_implied_spot"], float)
+    assert isinstance(basis["gld_price"], float)
+    assert isinstance(basis["gld_ounces_per_share"], float)
+    assert isinstance(basis["gc_f_price"], float)
+    assert isinstance(basis["gc_f_adjusted"], float)
+    assert isinstance(basis["contango_estimate"], float)
+    assert isinstance(basis["basis_bps"], float)
+    assert isinstance(basis["basis_status"], str)
+    assert isinstance(basis["basis_label"], str)
+    assert isinstance(basis["after_hours"], bool)
+
+    # Check basis status is valid
+    assert basis["basis_status"] in ("green", "yellow", "red")
+    assert basis["basis_label"] in ("Normal", "Elevated", "Warning")
+
+    # Check contango estimate is the expected default
+    assert basis["contango_estimate"] == 10.0
+
+
+@pytest.mark.asyncio
+async def test_basis_calculation_logic(data_service: DataService) -> None:
+    """Test that basis calculation follows the expected formula."""
+    basis = await data_service.get_basis_data()
+
+    # Verify GLD implied spot calculation: GLD_price / ounces_per_share
+    if basis["gld_price"] > 0 and basis["gld_ounces_per_share"] > 0:
+        expected_implied = basis["gld_price"] / basis["gld_ounces_per_share"]
+        # Allow for rounding to 2 decimal places and real-world data variation
+        assert abs(basis["gld_implied_spot"] - expected_implied) < 2.0
+
+    # Verify GC=F adjusted calculation: GC=F_price - contango
+    if basis["gc_f_price"] > 0:
+        expected_adjusted = basis["gc_f_price"] - basis["contango_estimate"]
+        assert abs(basis["gc_f_adjusted"] - expected_adjusted) < 1.0
+
+    # Verify basis bps calculation: (GLD_implied / GC=F_adjusted - 1) * 10000
+    if basis["gc_f_adjusted"] > 0 and basis["gld_implied_spot"] > 0:
+        expected_bps = (basis["gld_implied_spot"] / basis["gc_f_adjusted"] - 1) * 10000
+        # Allow for rounding to 1 decimal place
+        assert abs(basis["basis_bps"] - expected_bps) < 1.0
+
+
+@pytest.mark.asyncio
+async def test_basis_status_thresholds(data_service: DataService) -> None:
+    """Test that basis status thresholds are applied correctly."""
+    basis = await data_service.get_basis_data()
+
+    abs_basis = abs(basis["basis_bps"])
+
+    if abs_basis < 25:
+        assert basis["basis_status"] == "green"
+        assert basis["basis_label"] == "Normal"
+    elif abs_basis < 50:
+        assert basis["basis_status"] == "yellow"
+        assert basis["basis_label"] == "Elevated"
+    else:
+        assert basis["basis_status"] == "red"
+        assert basis["basis_label"] == "Warning"
+
+
+@pytest.mark.asyncio
+async def test_gc_f_fallback(data_service: DataService) -> None:
+    """Test that GC=F fallback works when live data unavailable."""
+    gc_f = await data_service.get_gc_futures()
+
+    assert "symbol" in gc_f
+    assert gc_f["symbol"] == "GC=F"
+    assert "price" in gc_f
+    assert isinstance(gc_f["price"], float)
+    assert gc_f["price"] > 0  # Should have a positive price (real or fallback)
+    assert gc_f["quote_unit"] == "ozt"
+    assert "source" in gc_f
+
+
+def test_gld_ounces_per_share_current() -> None:
+    """Test GLD ounces per share calculation for current date."""
+    from app.domain.instruments import gld_ounces_per_share
+
+    ounces = gld_ounces_per_share(date.today())
+
+    # Should be around 0.0919 for 2026 (8.1% decay from 0.10)
+    assert 0.090 < float(ounces) < 0.094
+    assert ounces > 0