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feat(BT-002): add historical snapshot provider

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Bu5hm4nn
2026-03-27 18:31:28 +01:00
parent 1a6760bee3
commit 477514f838
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tests/test_backtesting_snapshots.py Normal file
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from __future__ import annotations
from datetime import date
import pytest
from app.models.backtest import BacktestPortfolioState, BacktestScenario, ProviderRef, TemplateRef
from app.models.strategy_template import StrategyTemplate, StrikeRule, TemplateLeg
from app.services.backtesting.historical_provider import (
DailyClosePoint,
DailyOptionSnapshot,
DailyOptionsSnapshotProvider,
)
from app.services.backtesting.service import BacktestService
from app.services.strategy_templates import StrategyTemplateService
class FakeHistorySource:
def __init__(self, rows: list[DailyClosePoint]) -> None:
self.rows = rows
self.calls: list[tuple[str, date, date]] = []
def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
self.calls.append((symbol, start_date, end_date))
return list(self.rows)
class FakeOptionSnapshotSource:
def __init__(self, chains: dict[date, list[DailyOptionSnapshot]]) -> None:
self.chains = chains
self.calls: list[tuple[str, date]] = []
def load_option_chain(self, symbol: str, snapshot_date: date) -> list[DailyOptionSnapshot]:
self.calls.append((symbol, snapshot_date))
return list(self.chains.get(snapshot_date, []))
FIXTURE_HISTORY = [
DailyClosePoint(date=date(2024, 1, 8), close=85.0),
DailyClosePoint(date=date(2024, 1, 2), close=100.0),
DailyClosePoint(date=date(2024, 1, 3), close=96.0),
DailyClosePoint(date=date(2024, 1, 4), close=92.0),
DailyClosePoint(date=date(2024, 1, 5), close=88.0),
]
def _snapshot(
contract_key: str,
*,
snapshot_date: date,
expiry: date,
strike: float,
mid: float,
option_type: str = "put",
) -> DailyOptionSnapshot:
return DailyOptionSnapshot(
contract_key=contract_key,
symbol="GLD",
snapshot_date=snapshot_date,
expiry=expiry,
option_type=option_type,
strike=strike,
mid=mid,
)
SNAPSHOT_CHAINS = {
date(2024, 1, 2): [
_snapshot(
"GLD-2024-12-20-P-100",
snapshot_date=date(2024, 1, 2),
expiry=date(2024, 12, 20),
strike=100.0,
mid=5.5,
),
_snapshot(
"GLD-2025-01-03-P-95",
snapshot_date=date(2024, 1, 2),
expiry=date(2025, 1, 3),
strike=95.0,
mid=2.5,
),
_snapshot(
"GLD-2025-01-03-P-100",
snapshot_date=date(2024, 1, 2),
expiry=date(2025, 1, 3),
strike=100.0,
mid=4.0,
),
],
date(2024, 1, 3): [
_snapshot(
"GLD-2025-01-03-P-100",
snapshot_date=date(2024, 1, 3),
expiry=date(2025, 1, 3),
strike=100.0,
mid=6.0,
),
],
date(2024, 1, 4): [
_snapshot(
"GLD-2025-01-03-P-95",
snapshot_date=date(2024, 1, 4),
expiry=date(2025, 1, 3),
strike=95.0,
mid=8.5,
),
],
date(2024, 1, 5): [
_snapshot(
"GLD-2025-01-03-P-100",
snapshot_date=date(2024, 1, 5),
expiry=date(2025, 1, 3),
strike=100.0,
mid=11.0,
),
],
date(2024, 1, 8): [
_snapshot(
"GLD-2025-01-03-P-100",
snapshot_date=date(2024, 1, 8),
expiry=date(2025, 1, 3),
strike=100.0,
mid=15.0,
),
],
}
def _build_snapshot_scenario() -> BacktestScenario:
return BacktestScenario(
scenario_id="gld-snapshot-selloff-1",
display_name="GLD snapshot selloff",
symbol="GLD",
start_date=date(2024, 1, 2),
end_date=date(2024, 1, 8),
initial_portfolio=BacktestPortfolioState(
currency="USD",
underlying_units=1000.0,
entry_spot=100.0,
loan_amount=68_000.0,
margin_call_ltv=0.75,
),
template_refs=(TemplateRef(slug="protective-put-atm-12m", version=1),),
provider_ref=ProviderRef(provider_id="daily_snapshots_v1", pricing_mode="snapshot_mid"),
)
def test_daily_snapshot_provider_selects_entry_contract_from_entry_day_only() -> None:
history_source = FakeHistorySource(FIXTURE_HISTORY)
snapshot_source = FakeOptionSnapshotSource(SNAPSHOT_CHAINS)
provider = DailyOptionsSnapshotProvider(price_source=history_source, snapshot_source=snapshot_source)
history = provider.load_history("GLD", date(2024, 1, 2), date(2024, 1, 8))
tie_leg = TemplateLeg(
leg_id="leg-1",
side="long",
option_type="put",
allocation_weight=1.0,
strike_rule=StrikeRule(rule_type="spot_pct", value=0.975),
target_expiry_days=365,
quantity_rule="target_coverage_pct",
)
position = provider.open_position(
symbol="GLD",
leg=tie_leg,
position_id="pos-1",
quantity=1000.0,
as_of_date=date(2024, 1, 2),
spot=100.0,
trading_days=history,
)
assert position.contract_key == "GLD-2025-01-03-P-100"
assert position.expiry == date(2025, 1, 3)
assert position.strike == 100.0
assert position.entry_price == 4.0
assert snapshot_source.calls == [("GLD", date(2024, 1, 2))]
def test_backtest_service_uses_observed_snapshot_marks() -> None:
provider = DailyOptionsSnapshotProvider(
price_source=FakeHistorySource(FIXTURE_HISTORY),
snapshot_source=FakeOptionSnapshotSource(SNAPSHOT_CHAINS),
)
service = BacktestService(provider=provider, template_service=StrategyTemplateService())
result = service.run_scenario(_build_snapshot_scenario())
template_result = result.template_results[0]
summary = template_result.summary_metrics
assert summary.start_value == 100_000.0
assert summary.end_value_unhedged == 85_000.0
assert summary.total_hedge_cost == 4_000.0
assert template_result.daily_path[0].premium_cashflow == -4_000.0
assert template_result.daily_path[1].option_market_value == 6_000.0
assert template_result.daily_path[-1].option_market_value == 15_000.0
assert summary.end_value_hedged_net == 96_000.0
assert summary.end_value_hedged_net > summary.end_value_unhedged
assert template_result.warnings == (
"Missing historical mark for GLD-2025-01-03-P-100 on 2024-01-04; carrying forward prior mark from 2024-01-03.",
)
def test_backtest_snapshot_provider_does_not_substitute_new_contract_when_mark_missing() -> None:
provider = DailyOptionsSnapshotProvider(
price_source=FakeHistorySource(FIXTURE_HISTORY),
snapshot_source=FakeOptionSnapshotSource(SNAPSHOT_CHAINS),
)
service = BacktestService(provider=provider, template_service=StrategyTemplateService())
result = service.run_scenario(_build_snapshot_scenario())
template_result = result.template_results[0]
carry_forward_day = next(point for point in template_result.daily_path if point.date == date(2024, 1, 4))
assert carry_forward_day.option_market_value == 6_000.0
assert carry_forward_day.active_position_ids == ("protective-put-atm-12m-position-1",)
assert template_result.warnings[0].startswith("Missing historical mark for GLD-2025-01-03-P-100")
def test_daily_snapshot_provider_rejects_unsupported_provider_ref() -> None:
provider = DailyOptionsSnapshotProvider(
price_source=FakeHistorySource(FIXTURE_HISTORY),
snapshot_source=FakeOptionSnapshotSource(SNAPSHOT_CHAINS),
)
with pytest.raises(ValueError, match="Unsupported provider/pricing combination"):
provider.validate_provider_ref(ProviderRef(provider_id="synthetic_v1", pricing_mode="synthetic_bs_mid"))
def test_snapshot_backtest_rejects_listed_contract_templates_until_bt_002a() -> None:
provider = DailyOptionsSnapshotProvider(
price_source=FakeHistorySource(FIXTURE_HISTORY),
snapshot_source=FakeOptionSnapshotSource(SNAPSHOT_CHAINS),
)
template_service = StrategyTemplateService()
service = BacktestService(provider=provider, template_service=template_service)
template = template_service.get_template("protective-put-atm-12m")
listed_template = StrategyTemplate(
template_id=template.template_id,
slug=template.slug,
display_name=template.display_name,
description=template.description,
template_kind=template.template_kind,
status=template.status,
version=template.version,
underlying_symbol=template.underlying_symbol,
contract_mode="listed_contracts",
legs=template.legs,
roll_policy=template.roll_policy,
entry_policy=template.entry_policy,
tags=template.tags,
created_at=template.created_at,
updated_at=template.updated_at,
)
with pytest.raises(ValueError, match="Unsupported contract_mode"):
service._validate_template_for_mvp(listed_template)