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.exit_decision`.
+
+Spec: ``docs/01-strategy-rules.md §7`` and ``docs/03-algorithms.md §6``.
+The eight mandatory cases listed in §6 are exercised here, with the
+``mark=30% credit`` case re-interpreted to satisfy the time-stop
+exception consistently with rule 1 (which always fires earlier when
+mark ≤ 50% credit).
+"""
+
+from __future__ import annotations
+
+from datetime import UTC, datetime, timedelta
+from decimal import Decimal
+from uuid import uuid4
+
+import pytest
+
+from cerbero_bite.config import SpreadType, StrategyConfig, golden_config
+from cerbero_bite.core.exit_decision import PositionSnapshot, evaluate
+from cerbero_bite.core.types import OptionLeg
+
+
+@pytest.fixture
+def cfg() -> StrategyConfig:
+    return golden_config()
+
+
+def _legs(spread_type: SpreadType = "bull_put", size: int = 1) -> list[OptionLeg]:
+    expiry = datetime(2026, 5, 15, 8, 0, tzinfo=UTC)
+    if spread_type == "bull_put":
+        return [
+            OptionLeg(
+                instrument="ETH-X-2475-P",
+                side="SELL",
+                strike=Decimal("2475"),
+                expiry=expiry,
+                type="P",
+                size=size,
+                mid_price_eth=Decimal("0.020"),
+                delta=Decimal("-0.12"),
+                gamma=Decimal("0.001"),
+                theta=Decimal("-0.0005"),
+                vega=Decimal("0.10"),
+            ),
+            OptionLeg(
+                instrument="ETH-X-2350-P",
+                side="BUY",
+                strike=Decimal("2350"),
+                expiry=expiry,
+                type="P",
+                size=size,
+                mid_price_eth=Decimal("0.005"),
+                delta=Decimal("-0.08"),
+                gamma=Decimal("0.001"),
+                theta=Decimal("-0.0003"),
+                vega=Decimal("0.07"),
+            ),
+        ]
+    return [
+        OptionLeg(
+            instrument="ETH-X-3525-C",
+            side="SELL",
+            strike=Decimal("3525"),
+            expiry=expiry,
+            type="C",
+            size=size,
+            mid_price_eth=Decimal("0.020"),
+            delta=Decimal("0.12"),
+            gamma=Decimal("0.001"),
+            theta=Decimal("-0.0005"),
+            vega=Decimal("0.10"),
+        ),
+        OptionLeg(
+            instrument="ETH-X-3645-C",
+            side="BUY",
+            strike=Decimal("3645"),
+            expiry=expiry,
+            type="C",
+            size=size,
+            mid_price_eth=Decimal("0.005"),
+            delta=Decimal("0.08"),
+            gamma=Decimal("0.001"),
+            theta=Decimal("-0.0003"),
+            vega=Decimal("0.07"),
+        ),
+    ]
+
+
+def _snapshot(
+    *,
+    spread_type: SpreadType = "bull_put",
+    credit_received_eth: str = "0.030",
+    mark_combo_now_eth: str = "0.020",
+    dvol_at_entry: str = "50",
+    dvol_now: str = "50",
+    delta_short_now: str | None = None,
+    return_4h_now: str = "0",
+    days_to_expiry: int = 14,
+    spot_at_entry: str = "3000",
+    spot_now: str = "3000",
+    eth_price_usd_now: str = "3000",
+) -> PositionSnapshot:
+    now = datetime(2026, 4, 27, 14, 0, tzinfo=UTC)
+    expiry = now + timedelta(days=days_to_expiry)
+    if delta_short_now is None:
+        delta_short_now = "-0.12" if spread_type == "bull_put" else "0.12"
+    legs = _legs(spread_type=spread_type)
+    return PositionSnapshot(
+        proposal_id=uuid4(),
+        spread_type=spread_type,
+        legs=legs,
+        credit_received_eth=Decimal(credit_received_eth),
+        credit_received_usd=Decimal(credit_received_eth) * Decimal(eth_price_usd_now),
+        spot_at_entry=Decimal(spot_at_entry),
+        dvol_at_entry=Decimal(dvol_at_entry),
+        expiry=expiry,
+        opened_at=now - timedelta(days=4),
+        eth_price_usd_now=Decimal(eth_price_usd_now),
+        spot_now=Decimal(spot_now),
+        dvol_now=Decimal(dvol_now),
+        mark_combo_now_eth=Decimal(mark_combo_now_eth),
+        delta_short_now=Decimal(delta_short_now),
+        return_4h_now=Decimal(return_4h_now),
+        now=now,
+    )
+
+
+# ---------------------------------------------------------------------------
+# Mandatory cases from docs/03-algorithms.md §6
+# ---------------------------------------------------------------------------
+
+
+def test_mark_at_50pct_credit_triggers_close_profit(cfg: StrategyConfig) -> None:
+    snap = _snapshot(credit_received_eth="0.030", mark_combo_now_eth="0.015")
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_PROFIT"
+
+
+def test_mark_at_250pct_credit_triggers_close_stop(cfg: StrategyConfig) -> None:
+    snap = _snapshot(credit_received_eth="0.030", mark_combo_now_eth="0.075")
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_STOP"
+
+
+def test_dvol_increase_above_band_triggers_close_vol(cfg: StrategyConfig) -> None:
+    snap = _snapshot(
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.020",  # 67% credit, no profit/stop
+        dvol_at_entry="50",
+        dvol_now="62",  # +12, above +10 trigger
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_VOL"
+
+
+def test_six_days_left_mark_above_skip_threshold_triggers_close_time(
+    cfg: StrategyConfig,
+) -> None:
+    # mark = 80% credit > 70% credit (skip threshold) → CLOSE_TIME
+    snap = _snapshot(
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.024",
+        days_to_expiry=6,
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_TIME"
+
+
+def test_six_days_left_mark_in_skip_zone_holds(cfg: StrategyConfig) -> None:
+    # mark = 60% credit ∈ (50%, 70%] → close to profit, time stop is skipped.
+    snap = _snapshot(
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.018",
+        days_to_expiry=6,
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "HOLD"
+
+
+def test_short_delta_breach_triggers_close_delta(cfg: StrategyConfig) -> None:
+    snap = _snapshot(
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.020",
+        delta_short_now="-0.32",
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_DELTA"
+
+
+def test_4h_adverse_move_bull_put_triggers_close_averse(cfg: StrategyConfig) -> None:
+    snap = _snapshot(
+        spread_type="bull_put",
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.020",
+        return_4h_now="-0.07",
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_AVERSE"
+
+
+def test_4h_adverse_move_bear_call_triggers_close_averse(cfg: StrategyConfig) -> None:
+    snap = _snapshot(
+        spread_type="bear_call",
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.020",
+        return_4h_now="0.07",
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_AVERSE"
+
+
+def test_neutral_state_returns_hold(cfg: StrategyConfig) -> None:
+    snap = _snapshot(
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.020",
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "HOLD"
+
+
+# ---------------------------------------------------------------------------
+# Trigger ordering — first match wins
+# ---------------------------------------------------------------------------
+
+
+def test_profit_wins_over_vol_stop(cfg: StrategyConfig) -> None:
+    # mark = 30% credit AND DVOL +12 → profit takes precedence
+    snap = _snapshot(
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.009",
+        dvol_at_entry="50",
+        dvol_now="62",
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_PROFIT"
+
+
+def test_stop_wins_over_delta_breach(cfg: StrategyConfig) -> None:
+    snap = _snapshot(
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.075",  # 250% → stop
+        delta_short_now="-0.40",  # would also be CLOSE_DELTA
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_STOP"
+
+
+# ---------------------------------------------------------------------------
+# PnL reporting
+# ---------------------------------------------------------------------------
+
+
+def test_pnl_in_eth_and_usd_reflect_credit_minus_debit(cfg: StrategyConfig) -> None:
+    snap = _snapshot(
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.018",
+        eth_price_usd_now="3100",
+    )
+    res = evaluate(snap, cfg)
+    # pnl_eth = 0.030 - 0.018 = 0.012; pnl_usd = 0.012 × 3100 = 37.2
+    assert res.pnl_estimate_eth == Decimal("0.012")
+    assert res.pnl_estimate_usd == Decimal("37.2")
+
+
+def test_iron_condor_adverse_move_either_direction(cfg: StrategyConfig) -> None:
+    snap = _snapshot(
+        spread_type="iron_condor",
+        credit_received_eth="0.030",
+        mark_combo_now_eth="0.020",
+        return_4h_now="-0.06",
+    )
+    res = evaluate(snap, cfg)
+    assert res.action == "CLOSE_AVERSE"