Phase 1: core algorithms

Implementa i sette algoritmi puri di docs/03-algorithms.md con disciplina TDD: 112 test, copertura statement+branch al 100% su core/ e config/, mypy --strict pulito, ruff pulito. Moduli: - config/schema.py: StrategyConfig Pydantic v2 con validatori di consistenza (kelly, delta, OTM, spread width, profit/stop). - core/types.py: OptionQuote e OptionLeg condivisi. - core/entry_validator.py: validate_entry (accumula motivi) e compute_bias (bull_put/bear_call/iron_condor/None). - core/liquidity_gate.py: check OI/volume/spread/depth + slippage stimato in % del credito. - core/sizing_engine.py: Quarter Kelly con cap 200/1000 EUR e bande DVOL. - core/combo_builder.py: select_strikes (DTE/OTM/delta/width/credit) e build (ComboProposal con credit/max_loss/breakeven). - core/greeks_aggregator.py: somma firmata BUY/SELL, theta in USD. - core/exit_decision.py: 6 trigger ordinati con eccezione skip-time vicino a profit (mark in (50%,70%] credito). - core/kelly_recalibration.py: full/quarter Kelly, confidence per sample size, blend medio in fascia 30-99 trade. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-04-27 10:14:06 +02:00
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+"""TDD for :mod:`cerbero_bite.core.entry_validator`.
+
+Spec: ``docs/01-strategy-rules.md §2,§3.1`` and ``docs/03-algorithms.md §1``.
+"""
+
+from __future__ import annotations
+
+from decimal import Decimal
+
+import pytest
+
+from cerbero_bite.config import StrategyConfig, golden_config
+from cerbero_bite.core.entry_validator import (
+    EntryContext,
+    TrendContext,
+    compute_bias,
+    validate_entry,
+)
+
+# ---------------------------------------------------------------------------
+# Helpers
+# ---------------------------------------------------------------------------
+
+
+def _good_ctx(**overrides: object) -> EntryContext:
+    base: dict[str, object] = {
+        "capital_usd": Decimal("1500"),
+        "dvol_now": Decimal("50"),
+        "funding_perp_annualized": Decimal("0.10"),
+        "eth_holdings_pct_of_portfolio": Decimal("0.10"),
+        "next_macro_event_in_days": None,
+        "has_open_position": False,
+    }
+    base.update(overrides)
+    return EntryContext(**base)  # type: ignore[arg-type]
+
+
+@pytest.fixture
+def cfg() -> StrategyConfig:
+    return golden_config()
+
+
+# ---------------------------------------------------------------------------
+# validate_entry — happy path
+# ---------------------------------------------------------------------------
+
+
+def test_validate_entry_accepts_clean_context(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(), cfg)
+    assert decision.accepted is True
+    assert decision.reasons == []
+
+
+# ---------------------------------------------------------------------------
+# validate_entry — single-reason rejections
+# ---------------------------------------------------------------------------
+
+
+def test_open_position_blocks_entry(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(has_open_position=True), cfg)
+    assert decision.accepted is False
+    assert any("position" in r for r in decision.reasons)
+
+
+def test_capital_below_minimum_blocks_entry(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(capital_usd=Decimal("719.99")), cfg)
+    assert decision.accepted is False
+    assert any("capital" in r for r in decision.reasons)
+
+
+def test_capital_at_minimum_is_accepted(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(capital_usd=Decimal("720")), cfg)
+    assert decision.accepted is True
+
+
+def test_dvol_below_minimum_blocks_entry(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(dvol_now=Decimal("34.99")), cfg)
+    assert decision.accepted is False
+    assert any("dvol" in r for r in decision.reasons)
+
+
+def test_dvol_above_maximum_blocks_entry(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(dvol_now=Decimal("90.01")), cfg)
+    assert decision.accepted is False
+    assert any("dvol" in r for r in decision.reasons)
+
+
+def test_dvol_at_boundaries_is_accepted(cfg: StrategyConfig) -> None:
+    assert validate_entry(_good_ctx(dvol_now=Decimal("35")), cfg).accepted
+    assert validate_entry(_good_ctx(dvol_now=Decimal("90")), cfg).accepted
+
+
+def test_macro_event_within_dte_blocks_entry(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(next_macro_event_in_days=5), cfg)
+    assert decision.accepted is False
+    assert any("macro" in r for r in decision.reasons)
+
+
+def test_macro_event_at_dte_boundary_blocks_entry(cfg: StrategyConfig) -> None:
+    # next_macro_event_in_days <= dte_target → block. dte_target = 18.
+    decision = validate_entry(_good_ctx(next_macro_event_in_days=18), cfg)
+    assert decision.accepted is False
+
+
+def test_macro_event_beyond_dte_is_ok(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(next_macro_event_in_days=19), cfg)
+    assert decision.accepted is True
+
+
+def test_macro_none_is_ok(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(next_macro_event_in_days=None), cfg)
+    assert decision.accepted is True
+
+
+def test_funding_above_abs_cap_blocks(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(funding_perp_annualized=Decimal("0.81")), cfg)
+    assert decision.accepted is False
+    assert any("funding" in r for r in decision.reasons)
+
+
+def test_funding_negative_below_neg_cap_blocks(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(funding_perp_annualized=Decimal("-0.81")), cfg)
+    assert decision.accepted is False
+
+
+def test_funding_at_cap_is_accepted(cfg: StrategyConfig) -> None:
+    assert validate_entry(_good_ctx(funding_perp_annualized=Decimal("0.80")), cfg).accepted
+
+
+def test_eth_holdings_above_cap_blocks(cfg: StrategyConfig) -> None:
+    decision = validate_entry(_good_ctx(eth_holdings_pct_of_portfolio=Decimal("0.31")), cfg)
+    assert decision.accepted is False
+    assert any("holdings" in r for r in decision.reasons)
+
+
+def test_eth_holdings_at_cap_is_accepted(cfg: StrategyConfig) -> None:
+    assert validate_entry(
+        _good_ctx(eth_holdings_pct_of_portfolio=Decimal("0.30")), cfg
+    ).accepted
+
+
+# ---------------------------------------------------------------------------
+# validate_entry — accumulates ALL failure reasons
+# ---------------------------------------------------------------------------
+
+
+def test_validate_entry_accumulates_all_reasons(cfg: StrategyConfig) -> None:
+    decision = validate_entry(
+        _good_ctx(
+            has_open_position=True,
+            capital_usd=Decimal("100"),
+            dvol_now=Decimal("10"),
+            funding_perp_annualized=Decimal("1.5"),
+            eth_holdings_pct_of_portfolio=Decimal("0.9"),
+            next_macro_event_in_days=2,
+        ),
+        cfg,
+    )
+    assert decision.accepted is False
+    assert len(decision.reasons) >= 6
+
+
+# ---------------------------------------------------------------------------
+# compute_bias
+# ---------------------------------------------------------------------------
+
+
+def _trend(
+    *,
+    eth_now: str = "3000",
+    eth_30d_ago: str = "3000",
+    funding_cross: str = "0",
+    dvol: str = "50",
+    adx: str = "25",
+) -> TrendContext:
+    return TrendContext(
+        eth_now=Decimal(eth_now),
+        eth_30d_ago=Decimal(eth_30d_ago),
+        funding_cross_annualized=Decimal(funding_cross),
+        dvol_now=Decimal(dvol),
+        adx_14=Decimal(adx),
+    )
+
+
+def test_bias_both_bull_returns_bull_put(cfg: StrategyConfig) -> None:
+    # +6% trend, +25% funding
+    ctx = _trend(eth_now="3180", eth_30d_ago="3000", funding_cross="0.25")
+    assert compute_bias(ctx, cfg) == "bull_put"
+
+
+def test_bias_both_bear_returns_bear_call(cfg: StrategyConfig) -> None:
+    # -6% trend, -25% funding
+    ctx = _trend(eth_now="2820", eth_30d_ago="3000", funding_cross="-0.25")
+    assert compute_bias(ctx, cfg) == "bear_call"
+
+
+def test_bias_discordant_returns_none(cfg: StrategyConfig) -> None:
+    # bull trend, bear funding
+    ctx = _trend(eth_now="3180", eth_30d_ago="3000", funding_cross="-0.25")
+    assert compute_bias(ctx, cfg) is None
+
+
+def test_bias_neutral_with_high_dvol_low_adx_returns_iron_condor(
+    cfg: StrategyConfig,
+) -> None:
+    # 0% trend, 0% funding, dvol 60, adx 15 → IC
+    ctx = _trend(
+        eth_now="3000", eth_30d_ago="3000", funding_cross="0", dvol="60", adx="15"
+    )
+    assert compute_bias(ctx, cfg) == "iron_condor"
+
+
+def test_bias_neutral_with_low_dvol_returns_none(cfg: StrategyConfig) -> None:
+    ctx = _trend(
+        eth_now="3000", eth_30d_ago="3000", funding_cross="0", dvol="50", adx="15"
+    )
+    assert compute_bias(ctx, cfg) is None
+
+
+def test_bias_neutral_with_high_adx_returns_none(cfg: StrategyConfig) -> None:
+    ctx = _trend(
+        eth_now="3000", eth_30d_ago="3000", funding_cross="0", dvol="60", adx="22"
+    )
+    assert compute_bias(ctx, cfg) is None
+
+
+def test_bias_one_neutral_one_bull_returns_none(cfg: StrategyConfig) -> None:
+    # +6% trend, +10% funding (neutral)
+    ctx = _trend(eth_now="3180", eth_30d_ago="3000", funding_cross="0.10")
+    assert compute_bias(ctx, cfg) is None
+
+
+def test_bias_at_bull_threshold_is_bull_put(cfg: StrategyConfig) -> None:
+    # exactly +5% trend, exactly +20% funding
+    ctx = _trend(eth_now="3150", eth_30d_ago="3000", funding_cross="0.20")
+    assert compute_bias(ctx, cfg) == "bull_put"
+
+
+def test_bias_at_bear_threshold_is_bear_call(cfg: StrategyConfig) -> None:
+    ctx = _trend(eth_now="2850", eth_30d_ago="3000", funding_cross="-0.20")
+    assert compute_bias(ctx, cfg) == "bear_call"
+
+
+def test_bias_zero_division_safe(cfg: StrategyConfig) -> None:
+    # eth_30d_ago == 0 must not crash; treat as no-bias (neutral)
+    ctx = _trend(eth_now="3000", eth_30d_ago="0", funding_cross="0", dvol="60", adx="15")
+    assert compute_bias(ctx, cfg) is None