feat(DATA-DB-002): add BacktestSettings model and repository
- BacktestSettings dataclass with all configuration fields - BacktestSettingsRepository for persistence per workspace - Settings independent of portfolio configuration - Full validation for dates, symbols, LTV, etc. - 16 comprehensive tests Fields: - settings_id, name: identification - data_source: databento|yfinance|synthetic - dataset, schema: Databento configuration - start_date, end_date: date range - underlying_symbol, start_price, underlying_units: position config - loan_amount, margin_call_ltv: LTV analysis - template_slugs: strategies to test - cache_key, data_cost_usd: caching metadata - provider_ref: provider configuration
This commit is contained in:
Bu5hm4nn
12
AGENTS.md
12
AGENTS.md
@@ -1,4 +1,16 @@
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policy:
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subagent_usage:
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required: true
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rules:
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- prefer sub-agents for parallelizable implementation work
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- use sub-agents when implementing independent roadmap items
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- create worktrees for sub-agents working on the same codebase
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- review sub-agent output before merging to main
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- use `agent: implementation-reviewer` for code quality checks
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- use `agent: qa-validator` for end-to-end validation
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- chain sub-agents for multi-step workflows (plan → implement → review)
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- always use sub-agents unless the task is trivial or requires direct interaction
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test_loop:
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required: true
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rules:
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88
app/models/backtest_settings.py
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88
app/models/backtest_settings.py
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@@ -0,0 +1,88 @@
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"""Backtest settings model for configuring backtest scenarios independently of portfolio settings."""
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from __future__ import annotations
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from dataclasses import dataclass
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from datetime import date
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from typing import Literal
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from uuid import UUID, uuid4
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# Self type annotation
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from app.models.backtest import ProviderRef
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@dataclass(frozen=True)
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class BacktestSettings:
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"""Configuration for running backtests independent of portfolio settings.
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These settings determine what data to fetch and how to run backtests,
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separate from the actual portfolio configurations being tested.
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"""
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settings_id: UUID
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name: str
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data_source: Literal["databento", "yfinance", "synthetic"]
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dataset: str
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schema: str
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start_date: date
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end_date: date
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underlying_symbol: Literal["GLD", "GC", "XAU"]
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start_price: float
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underlying_units: float
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loan_amount: float
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margin_call_ltv: float
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template_slugs: tuple[str, ...]
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cache_key: str
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data_cost_usd: float
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provider_ref: ProviderRef
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def __post_init__(self) -> None:
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if not self.settings_id:
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raise ValueError("settings_id is required")
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if not self.name:
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raise ValueError("name is required")
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if self.start_date > self.end_date:
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raise ValueError("start_date must be on or before end_date")
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if self.data_source not in ("databento", "yfinance", "synthetic"):
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raise ValueError("data_source must be 'databento', 'yfinance', or 'synthetic'")
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if self.underlying_symbol not in ("GLD", "GC", "XAU"):
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raise ValueError("underlying_symbol must be 'GLD', 'GC', or 'XAU'")
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if self.start_price < 0:
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raise ValueError("start_price must be non-negative")
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if self.underlying_units <= 0:
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raise ValueError("underlying_units must be positive")
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if self.loan_amount < 0:
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raise ValueError("loan_amount must be non-negative")
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if not 0 < self.margin_call_ltv < 1:
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raise ValueError("margin_call_ltv must be between 0 and 1")
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if not self.template_slugs:
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raise ValueError("at least one template slug is required")
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if self.data_cost_usd < 0:
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raise ValueError("data_cost_usd must be non-negative")
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@classmethod
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def create_default(cls, name: str = "Default Backtest Settings") -> BacktestSettings:
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"""Create default backtest settings configuration."""
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return cls(
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settings_id=uuid4(),
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name=name,
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data_source="databento",
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dataset="XNAS.BASIC",
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schema="ohlcv-1d",
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start_date=date(2020, 1, 1),
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end_date=date(2023, 12, 31),
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underlying_symbol="GLD",
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start_price=0.0,
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underlying_units=1000.0,
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loan_amount=0.0,
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margin_call_ltv=0.75,
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template_slugs=("default-template",),
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cache_key="",
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data_cost_usd=0.0,
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provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
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)
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# For backward compatibility - alias to existing models
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BacktestScenario = "app.models.backtest.BacktestScenario"
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# TemplateRef and ProviderRef imported from app.models.backtest
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130
app/models/backtest_settings_repository.py
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130
app/models/backtest_settings_repository.py
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@@ -0,0 +1,130 @@
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"""Repository for persisting backtest settings configuration."""
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from __future__ import annotations
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import json
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from datetime import date
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from pathlib import Path
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from typing import Any
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from uuid import UUID
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from app.models.backtest_settings import BacktestSettings
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class BacktestSettingsRepository:
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"""Repository for persisting backtest settings configuration.
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Persists to `.workspaces/{workspace_id}/backtest_settings.json`
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"""
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def __init__(self, base_path: Path | str = Path(".workspaces")) -> None:
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self.base_path = Path(base_path)
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self.base_path.mkdir(parents=True, exist_ok=True)
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def load(self, workspace_id: str) -> BacktestSettings:
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"""Load backtest settings for a workspace.
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Args:
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workspace_id: The workspace ID to load settings for
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Returns:
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BacktestSettings: The loaded settings
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Raises:
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FileNotFoundError: If settings file doesn't exist
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ValueError: If settings file is invalid
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"""
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settings_path = self._settings_path(workspace_id)
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if not settings_path.exists():
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# Return default settings if none exist
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return BacktestSettings.create_default()
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try:
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with open(settings_path) as f:
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data = json.load(f)
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return self._settings_from_dict(data)
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except (json.JSONDecodeError, KeyError) as e:
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raise ValueError(f"Invalid backtest settings file: {e}") from e
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def save(self, workspace_id: str, settings: BacktestSettings) -> None:
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"""Save backtest settings for a workspace.
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Args:
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workspace_id: The workspace ID to save settings for
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settings: The settings to save
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"""
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settings_path = self._settings_path(workspace_id)
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settings_path.parent.mkdir(parents=True, exist_ok=True)
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payload = self._to_dict(settings)
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tmp_path = settings_path.with_name(f"{settings_path.name}.tmp")
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with open(tmp_path, "w") as f:
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json.dump(payload, f, indent=2)
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f.flush()
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# Atomic replace
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tmp_path.replace(settings_path)
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def _settings_path(self, workspace_id: str) -> Path:
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"""Get the path to the settings file for a workspace."""
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return self.base_path / workspace_id / "backtest_settings.json"
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def _to_dict(self, settings: BacktestSettings) -> dict[str, Any]:
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"""Convert BacktestSettings to a dictionary for serialization."""
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return {
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"settings_id": str(settings.settings_id),
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"name": settings.name,
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"data_source": settings.data_source,
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"dataset": settings.dataset,
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"schema": settings.schema,
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"start_date": settings.start_date.isoformat(),
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"end_date": settings.end_date.isoformat(),
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"underlying_symbol": settings.underlying_symbol,
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"start_price": settings.start_price,
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"underlying_units": settings.underlying_units,
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"loan_amount": settings.loan_amount,
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"margin_call_ltv": settings.margin_call_ltv,
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"template_slugs": list(settings.template_slugs),
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"cache_key": settings.cache_key,
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"data_cost_usd": settings.data_cost_usd,
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"provider_ref": {
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"provider_id": settings.provider_ref.provider_id,
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"pricing_mode": settings.provider_ref.pricing_mode,
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},
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}
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def _settings_from_dict(self, data: dict[str, Any]) -> BacktestSettings:
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"""Create BacktestSettings from a dictionary."""
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# Handle potential string dates
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start_date = data["start_date"]
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if isinstance(start_date, str):
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start_date = date.fromisoformat(start_date)
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end_date = data["end_date"]
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if isinstance(end_date, str):
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end_date = date.fromisoformat(end_date)
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# Import here to avoid circular import issues at module level
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from app.models.backtest import ProviderRef
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return BacktestSettings(
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settings_id=UUID(data["settings_id"]),
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name=data["name"],
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data_source=data["data_source"],
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dataset=data["dataset"],
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schema=data["schema"],
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start_date=start_date,
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end_date=end_date,
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underlying_symbol=data["underlying_symbol"],
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start_price=data["start_price"],
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underlying_units=data["underlying_units"],
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loan_amount=data["loan_amount"],
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margin_call_ltv=data["margin_call_ltv"],
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template_slugs=tuple(data["template_slugs"]),
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cache_key=data["cache_key"],
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data_cost_usd=data["data_cost_usd"],
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provider_ref=ProviderRef(
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provider_id=data["provider_ref"]["provider_id"],
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pricing_mode=data["provider_ref"]["pricing_mode"],
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),
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)
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662
tests/test_backtest_settings.py
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662
tests/test_backtest_settings.py
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@@ -0,0 +1,662 @@
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from __future__ import annotations
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from datetime import date
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from uuid import uuid4
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import pytest
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from app.models.backtest import ProviderRef
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from app.models.backtest_settings import BacktestSettings
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from app.models.backtest_settings_repository import BacktestSettingsRepository
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class TestBacktestSettings:
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"""Tests for the BacktestSettings model."""
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def test_default_settings_creation(self) -> None:
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"""Verify create_default() works correctly."""
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settings = BacktestSettings.create_default()
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# Verify basic properties
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assert isinstance(settings.settings_id, type(uuid4()))
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assert settings.name == "Default Backtest Settings"
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assert settings.data_source == "databento"
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assert settings.dataset == "XNAS.BASIC"
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assert settings.schema == "ohlcv-1d"
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assert settings.start_date == date(2020, 1, 1)
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assert settings.end_date == date(2023, 12, 31)
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assert settings.underlying_symbol == "GLD"
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assert settings.start_price == 0.0
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assert settings.underlying_units == 1000.0
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assert settings.loan_amount == 0.0
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assert settings.margin_call_ltv == 0.75
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assert settings.template_slugs == ("default-template",)
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assert settings.cache_key == ""
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assert settings.data_cost_usd == 0.0
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assert settings.provider_ref.provider_id == "default"
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assert settings.provider_ref.pricing_mode == "standard"
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def test_settings_serialization_to_dict(self) -> None:
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"""Verify to_dict() serialization works correctly."""
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settings_id = uuid4()
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provider_ref = ProviderRef(provider_id="test_provider", pricing_mode="test_mode")
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settings = BacktestSettings(
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settings_id=settings_id,
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name="Test Settings",
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data_source="yfinance",
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dataset="TEST.DATASET",
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schema="test-schema",
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start_date=date(2021, 1, 1),
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end_date=date(2021, 12, 31),
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underlying_symbol="GC",
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start_price=50.0,
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underlying_units=500.0,
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loan_amount=10000.0,
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margin_call_ltv=0.80,
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template_slugs=("template1", "template2"),
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cache_key="test-cache-key",
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data_cost_usd=500.0,
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provider_ref=provider_ref,
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)
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# Call the _to_dict method through the repository since it's private
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repo = BacktestSettingsRepository()
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serialized = repo._to_dict(settings)
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# Verify all fields are properly serialized
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assert serialized["settings_id"] == str(settings_id)
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assert serialized["name"] == "Test Settings"
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assert serialized["data_source"] == "yfinance"
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assert serialized["dataset"] == "TEST.DATASET"
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assert serialized["schema"] == "test-schema"
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assert serialized["start_date"] == "2021-01-01"
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assert serialized["end_date"] == "2021-12-31"
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assert serialized["underlying_symbol"] == "GC"
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assert serialized["start_price"] == 50.0
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assert serialized["underlying_units"] == 500.0
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assert serialized["loan_amount"] == 10000.0
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assert serialized["margin_call_ltv"] == 0.80
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assert serialized["template_slugs"] == ["template1", "template2"]
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assert serialized["cache_key"] == "test-cache-key"
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assert serialized["data_cost_usd"] == 500.0
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assert serialized["provider_ref"]["provider_id"] == "test_provider"
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assert serialized["provider_ref"]["pricing_mode"] == "test_mode"
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def test_settings_deserialization_from_dict(self) -> None:
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"""Verify _settings_from_dict() works correctly."""
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data = {
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"settings_id": str(uuid4()),
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"name": "Deserialized Settings",
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"data_source": "synthetic",
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"dataset": "SYNTHETIC.DATA",
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"schema": "synthetic-schema",
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"start_date": "2022-01-01",
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"end_date": "2022-12-31",
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"underlying_symbol": "XAU",
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"start_price": 75.0,
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"underlying_units": 750.0,
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"loan_amount": 15000.0,
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"margin_call_ltv": 0.70,
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"template_slugs": ["template3", "template4"],
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"cache_key": "deserialized-cache",
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"data_cost_usd": 750.0,
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"provider_ref": {
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"provider_id": "deserialized_provider",
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"pricing_mode": "deserialized_mode",
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},
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}
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repo = BacktestSettingsRepository()
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settings = repo._settings_from_dict(data)
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# Verify all fields are properly deserialized
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assert str(settings.settings_id) == data["settings_id"]
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assert settings.name == "Deserialized Settings"
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assert settings.data_source == "synthetic"
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assert settings.dataset == "SYNTHETIC.DATA"
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assert settings.schema == "synthetic-schema"
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assert settings.start_date == date(2022, 1, 1)
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assert settings.end_date == date(2022, 12, 31)
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assert settings.underlying_symbol == "XAU"
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assert settings.start_price == 75.0
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assert settings.underlying_units == 750.0
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assert settings.loan_amount == 15000.0
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assert settings.margin_call_ltv == 0.70
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assert settings.template_slugs == ("template3", "template4")
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assert settings.cache_key == "deserialized-cache"
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assert settings.data_cost_usd == 750.0
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assert settings.provider_ref.provider_id == "deserialized_provider"
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assert settings.provider_ref.pricing_mode == "deserialized_mode"
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def test_date_range_validation(self) -> None:
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"""Start_date must be <= end_date."""
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with pytest.raises(ValueError, match="start_date must be on or before end_date"):
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BacktestSettings(
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settings_id=uuid4(),
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name="Bad Date Range",
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data_source="databento",
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dataset="TEST.DATASET",
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schema="test-schema",
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start_date=date(2022, 1, 2), # After end_date
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end_date=date(2022, 1, 1),
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underlying_symbol="GLD",
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start_price=0.0,
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underlying_units=1000.0,
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loan_amount=0.0,
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margin_call_ltv=0.75,
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template_slugs=("template1",),
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cache_key="",
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data_cost_usd=0.0,
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provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
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)
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def test_symbol_validation(self) -> None:
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"""Only allow "GLD", "GC", "XAU", "GC=F"."""
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# Valid symbols should work
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valid_symbols = ["GLD", "GC", "XAU"]
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for symbol in valid_symbols:
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settings = BacktestSettings(
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settings_id=uuid4(),
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name=f"Valid Symbol {symbol}",
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data_source="databento",
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dataset="TEST.DATASET",
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schema="test-schema",
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start_date=date(2022, 1, 1),
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end_date=date(2022, 12, 31),
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underlying_symbol=symbol,
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start_price=0.0,
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underlying_units=1000.0,
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loan_amount=0.0,
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margin_call_ltv=0.75,
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template_slugs=("template1",),
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cache_key="",
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data_cost_usd=0.0,
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provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
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)
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assert settings.underlying_symbol == symbol
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# Invalid symbol should raise ValueError
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with pytest.raises(ValueError, match="underlying_symbol must be 'GLD', 'GC', or 'XAU'"):
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BacktestSettings(
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settings_id=uuid4(),
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name="Invalid Symbol",
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data_source="databento",
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dataset="TEST.DATASET",
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schema="test-schema",
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start_date=date(2022, 1, 1),
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end_date=date(2022, 12, 31),
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underlying_symbol="INVALID", # Not in allowed list
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start_price=0.0,
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underlying_units=1000.0,
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loan_amount=0.0,
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margin_call_ltv=0.75,
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template_slugs=("template1",),
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cache_key="",
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data_cost_usd=0.0,
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provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
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)
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def test_data_source_validation(self) -> None:
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"""Only allow "databento", "yfinance", "synthetic"."""
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||||
# Valid sources should work
|
||||
valid_sources = ["databento", "yfinance", "synthetic"]
|
||||
for source in valid_sources:
|
||||
settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name=f"Valid Source {source}",
|
||||
data_source=source,
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
assert settings.data_source == source
|
||||
|
||||
# Invalid source should raise ValueError
|
||||
with pytest.raises(ValueError, match="data_source must be 'databento', 'yfinance', or 'synthetic'"):
|
||||
BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name="Invalid Source",
|
||||
data_source="invalid_source", # Not in allowed list
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
|
||||
def test_margin_call_ltv_validation(self) -> None:
|
||||
"""Must be between 0 and 1."""
|
||||
# Valid values should work
|
||||
valid_ltvs = [0.01, 0.5, 0.99]
|
||||
for ltv in valid_ltvs:
|
||||
settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name=f"Valid LTV {ltv}",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=ltv,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
assert settings.margin_call_ltv == ltv
|
||||
|
||||
# Invalid values should raise ValueError
|
||||
invalid_ltvs = [-0.1, 0.0, 1.0, 1.1]
|
||||
for ltv in invalid_ltvs:
|
||||
with pytest.raises(ValueError, match="margin_call_ltv must be between 0 and 1"):
|
||||
BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name=f"Invalid LTV {ltv}",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=ltv,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
|
||||
def test_loan_amount_validation(self) -> None:
|
||||
"""Must be non-negative."""
|
||||
# Valid values should work
|
||||
valid_amounts = [0.0, 1000.0, 100000.0]
|
||||
for amount in valid_amounts:
|
||||
settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name=f"Valid Loan Amount {amount}",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=amount,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
assert settings.loan_amount == amount
|
||||
|
||||
# Invalid negative value should raise ValueError
|
||||
with pytest.raises(ValueError, match="loan_amount must be non-negative"):
|
||||
BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name="Invalid Negative Loan Amount",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=-1000.0, # Negative value
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
|
||||
def test_underlying_units_validation(self) -> None:
|
||||
"""Must be positive."""
|
||||
# Valid values should work
|
||||
valid_units = [0.1, 1.0, 1000.0]
|
||||
for units in valid_units:
|
||||
settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name=f"Valid Units {units}",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=units,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
assert settings.underlying_units == units
|
||||
|
||||
# Invalid zero or negative values should raise ValueError
|
||||
invalid_units = [0.0, -1.0, -1000.0]
|
||||
for units in invalid_units:
|
||||
with pytest.raises(ValueError, match="underlying_units must be positive"):
|
||||
BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name=f"Invalid Units {units}",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=units,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
|
||||
def test_template_slugs_serialization(self) -> None:
|
||||
"""Tuple to list conversion during serialization."""
|
||||
template_slugs_tuple = ("slug1", "slug2", "slug3")
|
||||
settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name="Template Slugs Test",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=template_slugs_tuple,
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
|
||||
# Serialize and check that tuple becomes list
|
||||
repo = BacktestSettingsRepository()
|
||||
serialized = repo._to_dict(settings)
|
||||
assert serialized["template_slugs"] == ["slug1", "slug2", "slug3"]
|
||||
|
||||
# Deserialize and check that list becomes tuple
|
||||
deserialized = repo._settings_from_dict(serialized)
|
||||
assert deserialized.template_slugs == template_slugs_tuple
|
||||
|
||||
def test_start_price_validation(self) -> None:
|
||||
"""Start price must be non-negative."""
|
||||
# Valid values should work
|
||||
valid_prices = [0.0, 50.0, 1000.0]
|
||||
for price in valid_prices:
|
||||
settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name=f"Valid Start Price {price}",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=price,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
assert settings.start_price == price
|
||||
|
||||
# Invalid negative value should raise ValueError
|
||||
with pytest.raises(ValueError, match="start_price must be non-negative"):
|
||||
BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name="Invalid Negative Start Price",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=-50.0, # Negative value
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=0.0,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
|
||||
def test_data_cost_validation(self) -> None:
|
||||
"""Data cost must be non-negative."""
|
||||
# Valid values should work
|
||||
valid_costs = [0.0, 100.0, 10000.0]
|
||||
for cost in valid_costs:
|
||||
settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name=f"Valid Data Cost {cost}",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=cost,
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
assert settings.data_cost_usd == cost
|
||||
|
||||
# Invalid negative value should raise ValueError
|
||||
with pytest.raises(ValueError, match="data_cost_usd must be non-negative"):
|
||||
BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name="Invalid Negative Data Cost",
|
||||
data_source="databento",
|
||||
dataset="TEST.DATASET",
|
||||
schema="test-schema",
|
||||
start_date=date(2022, 1, 1),
|
||||
end_date=date(2022, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=0.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=0.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("template1",),
|
||||
cache_key="",
|
||||
data_cost_usd=-100.0, # Negative value
|
||||
provider_ref=ProviderRef(provider_id="default", pricing_mode="standard"),
|
||||
)
|
||||
|
||||
|
||||
class TestBacktestSettingsRepository:
|
||||
"""Tests for the BacktestSettingsRepository."""
|
||||
|
||||
def test_load_returns_defaults_for_new_workspace(self, tmp_path) -> None:
|
||||
"""No file exists, return defaults."""
|
||||
repo = BacktestSettingsRepository(base_path=tmp_path / ".workspaces")
|
||||
workspace_id = "new-workspace-id"
|
||||
|
||||
# Should return default settings when no file exists
|
||||
settings = repo.load(workspace_id)
|
||||
assert settings.name == "Default Backtest Settings"
|
||||
assert settings.data_source == "databento"
|
||||
assert settings.dataset == "XNAS.BASIC"
|
||||
assert settings.schema == "ohlcv-1d"
|
||||
|
||||
def test_save_and_load_round_trips(self, tmp_path) -> None:
|
||||
"""Save then load returns same values."""
|
||||
repo = BacktestSettingsRepository(base_path=tmp_path / ".workspaces")
|
||||
workspace_id = "test-workspace"
|
||||
|
||||
# Create test settings
|
||||
original_settings = BacktestSettings.create_default()
|
||||
original_settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name="Round Trip Test",
|
||||
data_source="yfinance",
|
||||
dataset="ROUNDTRIP.TEST",
|
||||
schema="roundtrip-schema",
|
||||
start_date=date(2023, 1, 1),
|
||||
end_date=date(2023, 12, 31),
|
||||
underlying_symbol="GC",
|
||||
start_price=100.0,
|
||||
underlying_units=2000.0,
|
||||
loan_amount=50000.0,
|
||||
margin_call_ltv=0.85,
|
||||
template_slugs=("roundtrip1", "roundtrip2"),
|
||||
cache_key="roundtrip-cache",
|
||||
data_cost_usd=1000.0,
|
||||
provider_ref=ProviderRef(provider_id="roundtrip_provider", pricing_mode="roundtrip_mode"),
|
||||
)
|
||||
|
||||
# Save and then load
|
||||
repo.save(workspace_id, original_settings)
|
||||
loaded_settings = repo.load(workspace_id)
|
||||
|
||||
# Verify all fields match
|
||||
assert loaded_settings.settings_id == original_settings.settings_id
|
||||
assert loaded_settings.name == original_settings.name
|
||||
assert loaded_settings.data_source == original_settings.data_source
|
||||
assert loaded_settings.dataset == original_settings.dataset
|
||||
assert loaded_settings.schema == original_settings.schema
|
||||
assert loaded_settings.start_date == original_settings.start_date
|
||||
assert loaded_settings.end_date == original_settings.end_date
|
||||
assert loaded_settings.underlying_symbol == original_settings.underlying_symbol
|
||||
assert loaded_settings.start_price == original_settings.start_price
|
||||
assert loaded_settings.underlying_units == original_settings.underlying_units
|
||||
assert loaded_settings.loan_amount == original_settings.loan_amount
|
||||
assert loaded_settings.margin_call_ltv == original_settings.margin_call_ltv
|
||||
assert loaded_settings.template_slugs == original_settings.template_slugs
|
||||
assert loaded_settings.cache_key == original_settings.cache_key
|
||||
assert loaded_settings.data_cost_usd == original_settings.data_cost_usd
|
||||
assert loaded_settings.provider_ref.provider_id == original_settings.provider_ref.provider_id
|
||||
assert loaded_settings.provider_ref.pricing_mode == original_settings.provider_ref.pricing_mode
|
||||
|
||||
def test_overwrites_existing_settings(self, tmp_path) -> None:
|
||||
"""Save twice, second wins."""
|
||||
repo = BacktestSettingsRepository(base_path=tmp_path / ".workspaces")
|
||||
workspace_id = "overwrite-test"
|
||||
|
||||
# First settings
|
||||
first_settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name="First Settings",
|
||||
data_source="databento",
|
||||
dataset="FIRST.DATASET",
|
||||
schema="first-schema",
|
||||
start_date=date(2020, 1, 1),
|
||||
end_date=date(2020, 12, 31),
|
||||
underlying_symbol="GLD",
|
||||
start_price=50.0,
|
||||
underlying_units=1000.0,
|
||||
loan_amount=25000.0,
|
||||
margin_call_ltv=0.70,
|
||||
template_slugs=("first",),
|
||||
cache_key="first-cache",
|
||||
data_cost_usd=500.0,
|
||||
provider_ref=ProviderRef(provider_id="first_provider", pricing_mode="first_mode"),
|
||||
)
|
||||
|
||||
# Second settings
|
||||
second_settings = BacktestSettings(
|
||||
settings_id=uuid4(),
|
||||
name="Second Settings",
|
||||
data_source="yfinance",
|
||||
dataset="SECOND.DATASET",
|
||||
schema="second-schema",
|
||||
start_date=date(2021, 1, 1),
|
||||
end_date=date(2021, 12, 31),
|
||||
underlying_symbol="GC",
|
||||
start_price=75.0,
|
||||
underlying_units=1500.0,
|
||||
loan_amount=30000.0,
|
||||
margin_call_ltv=0.75,
|
||||
template_slugs=("second",),
|
||||
cache_key="second-cache",
|
||||
data_cost_usd=750.0,
|
||||
provider_ref=ProviderRef(provider_id="second_provider", pricing_mode="second_mode"),
|
||||
)
|
||||
|
||||
# Save first, then second
|
||||
repo.save(workspace_id, first_settings)
|
||||
repo.save(workspace_id, second_settings)
|
||||
|
||||
# Load and verify second settings were saved
|
||||
loaded_settings = repo.load(workspace_id)
|
||||
assert loaded_settings.name == "Second Settings"
|
||||
assert loaded_settings.data_source == "yfinance"
|
||||
assert loaded_settings.dataset == "SECOND.DATASET"
|
||||
assert loaded_settings.schema == "second-schema"
|
||||
assert loaded_settings.start_date == date(2021, 1, 1)
|
||||
assert loaded_settings.end_date == date(2021, 12, 31)
|
||||
assert loaded_settings.underlying_symbol == "GC"
|
||||
assert loaded_settings.start_price == 75.0
|
||||
assert loaded_settings.underlying_units == 1500.0
|
||||
assert loaded_settings.loan_amount == 30000.0
|
||||
assert loaded_settings.margin_call_ltv == 0.75
|
||||
assert loaded_settings.template_slugs == ("second",)
|
||||
assert loaded_settings.cache_key == "second-cache"
|
||||
assert loaded_settings.data_cost_usd == 750.0
|
||||
assert loaded_settings.provider_ref.provider_id == "second_provider"
|
||||
assert loaded_settings.provider_ref.pricing_mode == "second_mode"
|
||||
|
||||
def test_handles_missing_directory(self, tmp_path) -> None:
|
||||
"""Creates .workspaces/{id} if needed."""
|
||||
repo = BacktestSettingsRepository(base_path=tmp_path / ".workspaces")
|
||||
workspace_id = "missing-dir-test"
|
||||
|
||||
# Directory shouldn't exist yet
|
||||
settings_path = repo._settings_path(workspace_id)
|
||||
assert not settings_path.parent.exists()
|
||||
|
||||
# Save settings - should create directory
|
||||
settings = BacktestSettings.create_default()
|
||||
repo.save(workspace_id, settings)
|
||||
|
||||
# Directory should now exist
|
||||
assert settings_path.parent.exists()
|
||||
assert settings_path.exists()
|
||||
|
||||
# Load should work
|
||||
loaded_settings = repo.load(workspace_id)
|
||||
assert loaded_settings.name == "Default Backtest Settings"
|
||||
Reference in New Issue
Block a user