eaaf78cd12
- Add helpful message suggesting Databento/Yahoo Finance for dates outside fixture range - Update test to expect BOUNDED policy for backtest UI
99 lines
3.7 KiB
Python
99 lines
3.7 KiB
Python
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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f"For dates outside this range, please use Databento or Yahoo Finance data source."
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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.BOUNDED,
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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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