refactor(BT-001C): share historical fixture provider
This commit is contained in:
Bu5hm4nn
97
app/services/backtesting/fixture_source.py
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97
app/services/backtesting/fixture_source.py
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@@ -0,0 +1,97 @@
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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 enum import StrEnum
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from typing import Any
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from app.services.backtesting.historical_provider import DailyClosePoint, SyntheticHistoricalProvider
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SEEDED_GLD_2024_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
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DailyClosePoint(date=date(2024, 1, 2), close=100.0),
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DailyClosePoint(date=date(2024, 1, 3), close=96.0),
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DailyClosePoint(date=date(2024, 1, 4), close=92.0),
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DailyClosePoint(date=date(2024, 1, 5), close=88.0),
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DailyClosePoint(date=date(2024, 1, 8), close=85.0),
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)
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class WindowPolicy(StrEnum):
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EXACT = "exact"
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BOUNDED = "bounded"
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@dataclass(frozen=True)
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class SharedHistoricalFixtureSource:
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feature_label: str
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supported_symbol: str
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history: tuple[DailyClosePoint, ...]
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window_policy: WindowPolicy
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@property
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def start_date(self) -> date:
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return self.history[0].date
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@property
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def end_date(self) -> date:
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return self.history[-1].date
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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if start_date > end_date:
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raise ValueError("start_date must be on or before end_date")
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normalized_symbol = symbol.strip().upper()
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if normalized_symbol != self.supported_symbol.strip().upper():
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raise ValueError(
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f"{self.feature_label} deterministic fixture data only supports {self.supported_symbol} on this page"
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)
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if self.window_policy is WindowPolicy.EXACT:
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if start_date != self.start_date or end_date != self.end_date:
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raise ValueError(
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f"{self.feature_label} deterministic fixture data only supports {self.supported_symbol} "
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f"on the seeded {self.start_date.isoformat()} through {self.end_date.isoformat()} window"
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)
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else:
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if start_date < self.start_date or end_date > self.end_date:
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raise ValueError(
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f"{self.feature_label} deterministic fixture data only supports the seeded "
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f"{self.start_date.isoformat()} through {self.end_date.isoformat()} window"
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)
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return [point for point in self.history if start_date <= point.date <= end_date]
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class FixtureBoundSyntheticHistoricalProvider:
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def __init__(self, base_provider: SyntheticHistoricalProvider, source: SharedHistoricalFixtureSource) -> None:
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self.base_provider = base_provider
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self.source = source
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def load_history(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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rows = self.source.load_daily_closes(symbol, start_date, end_date)
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return sorted(rows, key=lambda row: row.date)
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def __getattr__(self, name: str) -> Any:
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return getattr(self.base_provider, name)
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def build_backtest_ui_fixture_source() -> SharedHistoricalFixtureSource:
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return SharedHistoricalFixtureSource(
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feature_label="BT-001A",
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supported_symbol="GLD",
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history=SEEDED_GLD_2024_FIXTURE_HISTORY,
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window_policy=WindowPolicy.EXACT,
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)
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def build_event_comparison_fixture_source() -> SharedHistoricalFixtureSource:
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return SharedHistoricalFixtureSource(
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feature_label="BT-003A",
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supported_symbol="GLD",
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history=SEEDED_GLD_2024_FIXTURE_HISTORY,
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window_policy=WindowPolicy.BOUNDED,
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)
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def bind_fixture_source(
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base_provider: SyntheticHistoricalProvider,
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source: SharedHistoricalFixtureSource,
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) -> FixtureBoundSyntheticHistoricalProvider:
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return FixtureBoundSyntheticHistoricalProvider(base_provider=base_provider, source=source)
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@@ -13,13 +13,7 @@ from app.models.backtest import (
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ProviderRef,
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TemplateRef,
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)
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from app.services.backtesting.historical_provider import (
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DailyClosePoint,
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HistoricalOptionMark,
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HistoricalOptionPosition,
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SyntheticHistoricalProvider,
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SyntheticOptionQuote,
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)
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from app.services.backtesting.fixture_source import bind_fixture_source, build_backtest_ui_fixture_source
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from app.services.backtesting.input_normalization import normalize_historical_scenario_inputs
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from app.services.backtesting.service import BacktestService
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from app.services.strategy_templates import StrategyTemplateService
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@@ -37,29 +31,6 @@ def _validate_initial_collateral(underlying_units: float, entry_spot: float, loa
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)
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DETERMINISTIC_UI_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
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DailyClosePoint(date=date(2024, 1, 2), close=100.0),
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DailyClosePoint(date=date(2024, 1, 3), close=96.0),
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DailyClosePoint(date=date(2024, 1, 4), close=92.0),
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DailyClosePoint(date=date(2024, 1, 5), close=88.0),
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DailyClosePoint(date=date(2024, 1, 8), close=85.0),
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)
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class DeterministicBacktestFixtureSource:
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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normalized_symbol = symbol.strip().upper()
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if (
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normalized_symbol != SUPPORTED_BACKTEST_PAGE_SYMBOL
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or start_date != date(2024, 1, 2)
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or end_date != date(2024, 1, 8)
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):
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raise ValueError(
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"BT-001A deterministic fixture data only supports GLD on the seeded 2024-01-02 through 2024-01-08 window"
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)
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return list(DETERMINISTIC_UI_FIXTURE_HISTORY)
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@dataclass(frozen=True)
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class BacktestPageRunResult:
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scenario: BacktestScenario
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@@ -67,40 +38,6 @@ class BacktestPageRunResult:
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entry_spot: float
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class FixtureBoundHistoricalProvider:
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def __init__(self, base_provider: SyntheticHistoricalProvider) -> None:
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self.base_provider = base_provider
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self.source = DeterministicBacktestFixtureSource()
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self.provider_id = base_provider.provider_id
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self.pricing_mode = base_provider.pricing_mode
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self.implied_volatility = base_provider.implied_volatility
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self.risk_free_rate = base_provider.risk_free_rate
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def load_history(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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rows = self.source.load_daily_closes(symbol, start_date, end_date)
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filtered = [row for row in rows if start_date <= row.date <= end_date]
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return sorted(filtered, key=lambda row: row.date)
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def validate_provider_ref(self, provider_ref: ProviderRef) -> None:
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self.base_provider.validate_provider_ref(provider_ref)
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def resolve_expiry(self, trading_days: list[DailyClosePoint], as_of_date: date, target_expiry_days: int) -> date:
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return self.base_provider.resolve_expiry(trading_days, as_of_date, target_expiry_days)
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def price_option(self, **kwargs: object) -> SyntheticOptionQuote:
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return self.base_provider.price_option(**kwargs)
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def open_position(self, **kwargs: object) -> HistoricalOptionPosition:
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return self.base_provider.open_position(**kwargs)
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def mark_position(self, position: HistoricalOptionPosition, **kwargs: object) -> HistoricalOptionMark:
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return self.base_provider.mark_position(position, **kwargs)
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@staticmethod
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def intrinsic_value(*, option_type: str, spot: float, strike: float) -> float:
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return SyntheticHistoricalProvider.intrinsic_value(option_type=option_type, spot=spot, strike=strike)
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class BacktestPageService:
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def __init__(
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self,
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@@ -112,7 +49,7 @@ class BacktestPageService:
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provider=None,
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)
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self.template_service = template_service or base_service.template_service
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fixture_provider = FixtureBoundHistoricalProvider(base_service.provider)
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fixture_provider = bind_fixture_source(base_service.provider, build_backtest_ui_fixture_source())
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self.backtest_service = copy(base_service)
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self.backtest_service.provider = fixture_provider
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self.backtest_service.template_service = self.template_service
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@@ -1,11 +1,11 @@
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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 app.models.backtest import BacktestScenario, EventComparisonRanking, EventComparisonReport
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from app.services.backtesting.comparison import EventComparisonService
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from app.services.backtesting.historical_provider import DailyClosePoint, SyntheticHistoricalProvider
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from app.services.backtesting.fixture_source import bind_fixture_source, build_event_comparison_fixture_source
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from app.services.backtesting.historical_provider import SyntheticHistoricalProvider
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from app.services.backtesting.input_normalization import normalize_historical_scenario_inputs
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from app.services.event_presets import EventPresetService
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from app.services.strategy_templates import StrategyTemplateService
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@@ -23,32 +23,7 @@ def _validate_initial_collateral(underlying_units: float, entry_spot: float, loa
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)
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DETERMINISTIC_EVENT_COMPARISON_FIXTURE_HISTORY: tuple[DailyClosePoint, ...] = (
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DailyClosePoint(date=date(2024, 1, 2), close=100.0),
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DailyClosePoint(date=date(2024, 1, 3), close=96.0),
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DailyClosePoint(date=date(2024, 1, 4), close=92.0),
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DailyClosePoint(date=date(2024, 1, 5), close=88.0),
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DailyClosePoint(date=date(2024, 1, 8), close=85.0),
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)
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FIXTURE_HISTORY_START = DETERMINISTIC_EVENT_COMPARISON_FIXTURE_HISTORY[0].date
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FIXTURE_HISTORY_END = DETERMINISTIC_EVENT_COMPARISON_FIXTURE_HISTORY[-1].date
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class EventComparisonFixtureHistoricalPriceSource:
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def load_daily_closes(self, symbol: str, start_date: date, end_date: date) -> list[DailyClosePoint]:
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normalized_symbol = symbol.strip().upper()
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if normalized_symbol != SUPPORTED_EVENT_COMPARISON_SYMBOL:
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raise ValueError(
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"BT-003A deterministic fixture data only supports GLD event-comparison presets on this page"
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)
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if start_date < FIXTURE_HISTORY_START or end_date > FIXTURE_HISTORY_END:
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raise ValueError(
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"BT-003A deterministic fixture data only supports the seeded 2024-01-02 through 2024-01-08 window"
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)
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return [
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point for point in DETERMINISTIC_EVENT_COMPARISON_FIXTURE_HISTORY if start_date <= point.date <= end_date
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]
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EventComparisonFixtureHistoricalPriceSource = build_event_comparison_fixture_source
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@dataclass(frozen=True)
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@@ -102,7 +77,10 @@ class EventComparisonPageService:
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self.event_preset_service = event_preset_service or EventPresetService()
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self.template_service = template_service or StrategyTemplateService()
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if comparison_service is None:
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provider = SyntheticHistoricalProvider(source=EventComparisonFixtureHistoricalPriceSource())
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provider = bind_fixture_source(
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SyntheticHistoricalProvider(),
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build_event_comparison_fixture_source(),
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)
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comparison_service = EventComparisonService(
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provider=provider,
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event_preset_service=self.event_preset_service,
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@@ -13,7 +13,6 @@ notes:
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- Pre-alpha policy: we may cut or replace old features without backward compatibility until alpha is declared.
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- Alpha migration policy: once alpha is declared, compatibility only needs to move forward; backward migrations are not required.
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priority_queue:
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- BT-001C
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- EXEC-001
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- EXEC-002
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- DATA-002A
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@@ -22,6 +21,7 @@ priority_queue:
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- BT-003
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- BT-002A
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recently_completed:
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- BT-001C
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- BT-002
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- PORT-003
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- BT-003B
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@@ -45,7 +45,6 @@ states:
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- EXEC-001
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- EXEC-002
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- BT-003
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- BT-001C
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- BT-002A
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in_progress: []
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done:
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@@ -62,6 +61,7 @@ states:
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- EXEC-001A
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- BT-001
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- BT-001A
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- BT-001C
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- BT-002
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- BT-003A
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- BT-003B
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@@ -1,14 +0,0 @@
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id: BT-001C
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title: Shared Historical Fixture/Test Provider Cleanup
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status: backlog
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priority: P2
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effort: S
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depends_on:
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- BT-001A
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- BT-003A
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tags: [backtesting, test-infra]
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summary: Centralize deterministic historical fixture logic used by browser-tested backtest UIs.
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acceptance_criteria:
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- Deterministic historical fixture/provider logic is centralized.
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- Supported seeded windows are explicit and fail closed outside allowed ranges.
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- Both /backtests and /event-comparison use the shared deterministic provider.
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@@ -0,0 +1,18 @@
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id: BT-001C
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title: Shared Historical Fixture/Test Provider Cleanup
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status: done
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priority: P2
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effort: S
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depends_on:
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- BT-001A
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- BT-003A
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tags:
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- backtesting
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- test-infra
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summary: Deterministic historical fixture logic for browser-tested backtest UIs is now centralized behind a shared fixture source used by both `/backtests` and `/event-comparison`.
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completed_notes:
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- Added `app/services/backtesting/fixture_source.py` with shared seeded GLD fixture history and explicit exact-vs-bounded window policies.
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- Updated `app/services/backtesting/ui_service.py` so the `/backtests` page uses the shared fixture source in exact-window mode and still fails closed outside the seeded BT-001A range.
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- Updated `app/services/event_comparison_ui.py` so the `/event-comparison` page uses the same shared fixture source in bounded-window mode for preset subranges inside the seeded BT-003A fixture window.
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- Added focused regression coverage in `tests/test_backtesting_fixture_source.py` proving the shared source enforces exact and bounded policies explicitly and that both page services use the centralized fixture source.
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- During this implementation loop, local Docker validation stayed green on the affected historical routes: `/health` returned OK and `tests/test_e2e_playwright.py` passed against the Docker-served app.
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@@ -282,3 +282,39 @@ def test_backtest_page_service_uses_injected_provider_identity_in_provider_ref()
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assert result.scenario.provider_ref.provider_id == "custom_v1"
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assert result.scenario.provider_ref.pricing_mode == "custom_mode"
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def test_backtest_page_service_preserves_injected_provider_behavior_beyond_history_loading() -> None:
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class CustomProvider(SyntheticHistoricalProvider):
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provider_id = "custom_v2"
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pricing_mode = "custom_mode"
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def price_option_by_type(self, **kwargs: object):
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quote = super().price_option_by_type(**kwargs)
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return quote.__class__(
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position_id=quote.position_id,
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leg_id=quote.leg_id,
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spot=quote.spot,
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strike=quote.strike,
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expiry=quote.expiry,
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quantity=quote.quantity,
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mark=42.0,
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)
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provider = CustomProvider(source=StaticBacktestSource(), implied_volatility=0.2, risk_free_rate=0.01)
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injected_service = BacktestService(provider=provider)
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page_service = BacktestPageService(backtest_service=injected_service)
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result = page_service.run_read_only_scenario(
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symbol="GLD",
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start_date=date(2024, 1, 2),
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end_date=date(2024, 1, 8),
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template_slug="protective-put-atm-12m",
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underlying_units=1000.0,
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loan_amount=68000.0,
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margin_call_ltv=0.75,
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)
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template_result = result.run_result.template_results[0]
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assert template_result.daily_path[0].option_market_value == 42000.0
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assert template_result.summary_metrics.total_hedge_cost == 42000.0
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74
tests/test_backtesting_fixture_source.py
Normal file
74
tests/test_backtesting_fixture_source.py
Normal file
@@ -0,0 +1,74 @@
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from __future__ import annotations
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from datetime import date
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import pytest
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from app.services.backtesting.fixture_source import (
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SEEDED_GLD_2024_FIXTURE_HISTORY,
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SharedHistoricalFixtureSource,
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WindowPolicy,
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)
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from app.services.backtesting.ui_service import BacktestPageService
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from app.services.event_comparison_ui import EventComparisonPageService
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def test_shared_fixture_source_exact_window_requires_seeded_bounds() -> None:
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source = SharedHistoricalFixtureSource(
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feature_label="BT-001A",
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supported_symbol="GLD",
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history=SEEDED_GLD_2024_FIXTURE_HISTORY,
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window_policy=WindowPolicy.EXACT,
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)
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rows = source.load_daily_closes("GLD", date(2024, 1, 2), date(2024, 1, 8))
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assert [row.date.isoformat() for row in rows] == [
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"2024-01-02",
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"2024-01-03",
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"2024-01-04",
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"2024-01-05",
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"2024-01-08",
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]
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with pytest.raises(ValueError, match="seeded 2024-01-02 through 2024-01-08 window"):
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source.load_daily_closes("GLD", date(2024, 1, 3), date(2024, 1, 8))
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def test_shared_fixture_source_bounded_window_allows_subranges_but_fails_closed_outside_seeded_bounds() -> None:
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source = SharedHistoricalFixtureSource(
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feature_label="BT-003A",
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supported_symbol="GLD",
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history=SEEDED_GLD_2024_FIXTURE_HISTORY,
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window_policy=WindowPolicy.BOUNDED,
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)
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rows = source.load_daily_closes("GLD", date(2024, 1, 3), date(2024, 1, 5))
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assert [row.date.isoformat() for row in rows] == ["2024-01-03", "2024-01-04", "2024-01-05"]
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with pytest.raises(ValueError, match="seeded 2024-01-02 through 2024-01-08 window"):
|
||||
source.load_daily_closes("GLD", date(2024, 1, 1), date(2024, 1, 8))
|
||||
|
||||
with pytest.raises(ValueError, match="start_date must be on or before end_date"):
|
||||
source.load_daily_closes("GLD", date(2024, 1, 5), date(2024, 1, 3))
|
||||
|
||||
|
||||
def test_backtest_page_service_uses_shared_exact_fixture_source() -> None:
|
||||
service = BacktestPageService()
|
||||
|
||||
source = service.backtest_service.provider.source
|
||||
|
||||
assert isinstance(source, SharedHistoricalFixtureSource)
|
||||
assert source.feature_label == "BT-001A"
|
||||
assert source.window_policy is WindowPolicy.EXACT
|
||||
|
||||
|
||||
def test_event_comparison_page_service_uses_shared_bounded_fixture_source() -> None:
|
||||
service = EventComparisonPageService()
|
||||
|
||||
source = service.comparison_service.provider.source
|
||||
|
||||
assert isinstance(source, SharedHistoricalFixtureSource)
|
||||
assert source.feature_label == "BT-003A"
|
||||
assert source.window_policy is WindowPolicy.BOUNDED
|
||||
Reference in New Issue
Block a user