Cerbero-Bite/tests/unit/test_combo_builder.py

"""TDD for :mod:`cerbero_bite.core.combo_builder`.

Spec: ``docs/03-algorithms.md §4`` and ``docs/01-strategy-rules.md §3``.
"""

from __future__ import annotations

from datetime import UTC, datetime, timedelta
from decimal import Decimal
from uuid import UUID

import pytest

from cerbero_bite.config import StrategyConfig, golden_config
from cerbero_bite.core.combo_builder import build, select_strikes
from cerbero_bite.core.types import OptionQuote


@pytest.fixture
def cfg() -> StrategyConfig:
    return golden_config()


@pytest.fixture
def now() -> datetime:
    return datetime(2026, 4, 27, 14, 0, tzinfo=UTC)


def _quote(
    *,
    strike: str,
    delta: str,
    option_type: str = "P",
    expiry_dte: int = 18,
    mid: str | None = None,
    bid: str | None = None,
    ask: str | None = None,
    open_interest: int = 500,
    volume_24h: int = 100,
    book_depth_top3: int = 30,
    now_dt: datetime = datetime(2026, 4, 27, 14, 0, tzinfo=UTC),
) -> OptionQuote:
    expiry = (now_dt + timedelta(days=expiry_dte)).replace(hour=8, minute=0, second=0)
    if mid is None:
        # crude pricing: deeper OTM → smaller premium; absolute delta proxy
        mid = str((Decimal(delta).copy_abs() * Decimal("0.10")).quantize(Decimal("0.0001")))
    mid_d = Decimal(mid)
    if bid is None:
        bid = str((mid_d * Decimal("0.98")).quantize(Decimal("0.000001")))
    if ask is None:
        ask = str((mid_d * Decimal("1.02")).quantize(Decimal("0.000001")))
    return OptionQuote(
        instrument=f"ETH-{expiry.strftime('%-d%b%y').upper()}-{strike}-{option_type}",
        strike=Decimal(strike),
        expiry=expiry,
        option_type=option_type,  # type: ignore[arg-type]
        bid=Decimal(bid),
        ask=Decimal(ask),
        mid=mid_d,
        delta=Decimal(delta),
        gamma=Decimal("0.001"),
        theta=Decimal("-0.0005"),
        vega=Decimal("0.10"),
        open_interest=open_interest,
        volume_24h=volume_24h,
        book_depth_top3=book_depth_top3,
    )


# ---------------------------------------------------------------------------
# select_strikes
# ---------------------------------------------------------------------------


def _bull_put_chain(now_dt: datetime) -> list[OptionQuote]:
    """Realistic bull-put chain around spot 3000.

    Mids are tuned so that the candidate (2475 short, 2350 long) yields
    credit_usd / width_usd ≈ 36% — comfortably above the 30% gate.
    """
    # Distance OTM in [15%, 25%] of 3000 → strikes in [2250, 2550].
    return [
        # Way too close (delta too high) — should be ignored.
        _quote(strike="2700", delta="-0.30", mid="0.060", now_dt=now_dt),
        # In OTM range, delta in [0.10, 0.15]
        _quote(strike="2550", delta="-0.14", mid="0.022", now_dt=now_dt),
        _quote(strike="2475", delta="-0.12", mid="0.020", now_dt=now_dt),  # closest to 0.12
        _quote(strike="2400", delta="-0.10", mid="0.014", now_dt=now_dt),
        # Below OTM range (too far) — delta too small even if in range
        _quote(strike="2250", delta="-0.06", mid="0.006", now_dt=now_dt),
        # The long strike candidates (further OTM, ~4% width below short)
        _quote(strike="2370", delta="-0.09", mid="0.008", now_dt=now_dt),
        _quote(strike="2350", delta="-0.08", mid="0.005", now_dt=now_dt),
    ]


def test_select_strikes_picks_short_closest_to_delta_target(
    cfg: StrategyConfig, now: datetime
) -> None:
    chain = _bull_put_chain(now)
    result = select_strikes(
        chain=chain,
        bias="bull_put",
        spot=Decimal("3000"),
        now=now,
        cfg=cfg,
    )
    assert result is not None
    short, long_ = result
    assert short.strike == Decimal("2475")  # |delta|=0.12 closest to 0.12
    # width target = 4% × 3000 = 120 → long_strike target 2355; nearest at 2350
    assert long_.strike == Decimal("2350")


def test_select_strikes_returns_none_when_no_strike_in_otm_range(
    cfg: StrategyConfig, now: datetime
) -> None:
    # All strikes too close (< 15% OTM).
    chain = [
        _quote(strike="2900", delta="-0.30", now_dt=now),
        _quote(strike="2800", delta="-0.20", now_dt=now),
    ]
    assert (
        select_strikes(chain=chain, bias="bull_put", spot=Decimal("3000"), now=now, cfg=cfg)
        is None
    )


def test_select_strikes_returns_none_when_delta_out_of_band(
    cfg: StrategyConfig, now: datetime
) -> None:
    # OTM range OK but delta way off [0.10, 0.15].
    chain = [
        _quote(strike="2475", delta="-0.05", now_dt=now),
        _quote(strike="2400", delta="-0.04", now_dt=now),
    ]
    assert (
        select_strikes(chain=chain, bias="bull_put", spot=Decimal("3000"), now=now, cfg=cfg)
        is None
    )


def test_select_strikes_returns_none_when_long_width_outside_range(
    cfg: StrategyConfig, now: datetime
) -> None:
    # Short OK; long candidates are all too close (< 3%) or too far (> 5%).
    short = _quote(strike="2475", delta="-0.12", mid="0.020", now_dt=now)
    too_close = _quote(strike="2470", delta="-0.115", mid="0.018", now_dt=now)  # 0.2% width
    too_far = _quote(strike="2200", delta="-0.05", mid="0.005", now_dt=now)  # 9.17% width
    chain = [short, too_close, too_far]
    assert (
        select_strikes(chain=chain, bias="bull_put", spot=Decimal("3000"), now=now, cfg=cfg)
        is None
    )


def test_select_strikes_returns_none_when_credit_to_width_below_min(
    cfg: StrategyConfig, now: datetime
) -> None:
    # Width 125 USD; credit (mid_short - mid_long) only 0.0001 ETH ≈ 0.3 USD → 0.24%.
    short = _quote(strike="2475", delta="-0.12", mid="0.012", now_dt=now)
    long_ = _quote(strike="2350", delta="-0.08", mid="0.0119", now_dt=now)
    chain = [short, long_]
    assert (
        select_strikes(chain=chain, bias="bull_put", spot=Decimal("3000"), now=now, cfg=cfg)
        is None
    )


def test_select_strikes_filters_out_options_outside_dte_window(
    cfg: StrategyConfig, now: datetime
) -> None:
    chain = [
        _quote(strike="2475", delta="-0.12", mid="0.012", expiry_dte=5, now_dt=now),
        _quote(strike="2350", delta="-0.08", mid="0.007", expiry_dte=5, now_dt=now),
        _quote(strike="2475", delta="-0.12", mid="0.012", expiry_dte=40, now_dt=now),
        _quote(strike="2350", delta="-0.08", mid="0.007", expiry_dte=40, now_dt=now),
    ]
    assert (
        select_strikes(chain=chain, bias="bull_put", spot=Decimal("3000"), now=now, cfg=cfg)
        is None
    )


def test_select_strikes_picks_expiry_closest_to_dte_target(
    cfg: StrategyConfig, now: datetime
) -> None:
    # Two valid expiries: ~16 DTE and ~21 DTE. Target=18 → 16 closer than 21.
    chain = [
        _quote(strike="2475", delta="-0.12", mid="0.020", expiry_dte=17, now_dt=now),
        _quote(strike="2350", delta="-0.08", mid="0.005", expiry_dte=17, now_dt=now),
        _quote(strike="2475", delta="-0.12", mid="0.025", expiry_dte=22, now_dt=now),
        _quote(strike="2350", delta="-0.08", mid="0.008", expiry_dte=22, now_dt=now),
    ]
    result = select_strikes(
        chain=chain, bias="bull_put", spot=Decimal("3000"), now=now, cfg=cfg
    )
    assert result is not None
    short, _ = result
    # 17 days requested, but expiry is set at 08:00 UTC and now at 14:00, so
    # the calendar-day delta is 16 days for the closer expiry, 21 for the far.
    picked_dte = (short.expiry - now).days
    assert picked_dte == 16


def test_select_strikes_bear_call_picks_calls_above_spot(
    cfg: StrategyConfig, now: datetime
) -> None:
    spot = Decimal("3000")
    chain = [
        # OTM call range = [3450, 3750] (15% to 25% above).
        # Mids tuned so credit ≈ 36% of width (≥ 30% gate).
        _quote(strike="3525", delta="0.12", mid="0.020", option_type="C", now_dt=now),
        _quote(strike="3645", delta="0.09", mid="0.005", option_type="C", now_dt=now),
        _quote(strike="3450", delta="0.14", mid="0.024", option_type="C", now_dt=now),
        # noise: puts that should be ignored
        _quote(strike="2475", delta="-0.12", mid="0.020", option_type="P", now_dt=now),
    ]
    result = select_strikes(chain=chain, bias="bear_call", spot=spot, now=now, cfg=cfg)
    assert result is not None
    short, long_ = result
    assert short.option_type == "C"
    assert long_.option_type == "C"
    # short should be 3525 (delta 0.12, closest to target)
    assert short.strike == Decimal("3525")
    # width target = 120 above → 3645
    assert long_.strike == Decimal("3645")


def test_select_strikes_iron_condor_not_supported(
    cfg: StrategyConfig, now: datetime
) -> None:
    # IC needs a different orchestration; for now select_strikes returns None for IC.
    chain = _bull_put_chain(now)
    assert (
        select_strikes(chain=chain, bias="iron_condor", spot=Decimal("3000"), now=now, cfg=cfg)
        is None
    )


def test_select_strikes_returns_none_when_chain_has_no_matching_type(
    cfg: StrategyConfig, now: datetime
) -> None:
    # Bull put requested but the chain only has calls within the DTE window.
    chain = [
        _quote(strike="3525", delta="0.12", mid="0.020", option_type="C", now_dt=now),
        _quote(strike="3645", delta="0.08", mid="0.005", option_type="C", now_dt=now),
    ]
    assert (
        select_strikes(chain=chain, bias="bull_put", spot=Decimal("3000"), now=now, cfg=cfg)
        is None
    )


def test_select_strikes_returns_none_when_no_long_candidate_exists(
    cfg: StrategyConfig, now: datetime
) -> None:
    # Only the short strike exists; nothing further OTM to pair as the long leg.
    chain = [_quote(strike="2475", delta="-0.12", mid="0.020", now_dt=now)]
    assert (
        select_strikes(chain=chain, bias="bull_put", spot=Decimal("3000"), now=now, cfg=cfg)
        is None
    )




# ---------------------------------------------------------------------------
# build
# ---------------------------------------------------------------------------


def test_build_returns_proposal_with_correct_legs_and_metrics(
    cfg: StrategyConfig, now: datetime
) -> None:
    short = _quote(strike="2475", delta="-0.12", mid="0.012", now_dt=now)
    long_ = _quote(strike="2350", delta="-0.08", mid="0.007", now_dt=now)
    proposal = build(
        short=short,
        long_=long_,
        n_contracts=2,
        spot=Decimal("3000"),
        dvol=Decimal("50"),
        cfg=cfg,
        now=now,
        spread_type="bull_put",
    )
    # legs ordered short-first
    assert len(proposal.legs) == 2
    assert proposal.legs[0].side == "SELL"
    assert proposal.legs[0].strike == Decimal("2475")
    assert proposal.legs[1].side == "BUY"
    assert proposal.legs[1].strike == Decimal("2350")
    assert proposal.legs[0].size == 2
    assert proposal.legs[1].size == 2

    # credit per contract = 0.012 - 0.007 = 0.005 ETH; n=2 → 0.010 ETH
    assert proposal.credit_target_eth == Decimal("0.010")
    # credit USD = 0.010 × 3000 = 30
    assert proposal.credit_target_usd == Decimal("30")

    # width = 125 USD per contract; credit_per_contract_usd = 0.005×3000 = 15;
    # max_loss per contract = 125 - 15 = 110 USD; n=2 → 220.
    assert proposal.max_loss_usd == Decimal("220")
    assert proposal.spot_at_proposal == Decimal("3000")
    assert proposal.dvol_at_proposal == Decimal("50")
    assert proposal.spread_type == "bull_put"
    # breakeven (bull put) = short_strike - credit_per_contract_usd = 2475 - 15 = 2460
    assert proposal.breakeven == Decimal("2460.000")
    assert isinstance(proposal.proposal_id, UUID)


def test_build_bear_call_breakeven_above_short_strike(
    cfg: StrategyConfig, now: datetime
) -> None:
    short = _quote(strike="3525", delta="0.12", mid="0.012", option_type="C", now_dt=now)
    long_ = _quote(strike="3645", delta="0.08", mid="0.007", option_type="C", now_dt=now)
    proposal = build(
        short=short,
        long_=long_,
        n_contracts=1,
        spot=Decimal("3000"),
        dvol=Decimal("55"),
        cfg=cfg,
        now=now,
        spread_type="bear_call",
    )
    # credit per contract = 0.005 ETH × 3000 = 15 USD
    # breakeven = 3525 + 15 = 3540
    assert proposal.breakeven == Decimal("3540")
    assert proposal.spread_type == "bear_call"


# ---------------------------------------------------------------------------
# §3.2 (A): dynamic delta target by DVOL regime
# ---------------------------------------------------------------------------


def _cfg_with_delta_bands(cfg: StrategyConfig) -> StrategyConfig:
    """Profilo con step-function delta su DVOL.

    Vol bassa (≤50) → delta 0.15 (più premio), vol media (≤70) →
    0.12 (default), vol alta (≤90) → 0.10 (più safety distance).
    """
    from cerbero_bite.config.schema import (
        DeltaByDvolBand,
        ShortStrikeSpec,
        StructureConfig,
    )
    bands = [
        DeltaByDvolBand(
            dvol_under=Decimal("50"),
            delta_target=Decimal("0.15"),
            delta_min=Decimal("0.13"),
            delta_max=Decimal("0.17"),
        ),
        DeltaByDvolBand(
            dvol_under=Decimal("70"),
            delta_target=Decimal("0.12"),
            delta_min=Decimal("0.10"),
            delta_max=Decimal("0.15"),
        ),
        DeltaByDvolBand(
            dvol_under=Decimal("90"),
            delta_target=Decimal("0.10"),
            delta_min=Decimal("0.08"),
            delta_max=Decimal("0.12"),
        ),
    ]
    new_short = ShortStrikeSpec(
        **{**cfg.structure.short_strike.model_dump(), "delta_by_dvol": bands}
    )
    return cfg.model_copy(
        update={
            "structure": StructureConfig(
                **{**cfg.structure.model_dump(exclude={"short_strike"}),
                   "short_strike": new_short}
            )
        }
    )


def _bull_put_chain_wide(now_dt: datetime) -> list[OptionQuote]:
    """Chain con shorts e longs per delta 0.10, 0.12, 0.15.

    I mid sono tarati per superare il credit/width ≥ 30% per ogni
    accoppiamento short→long testato (vedi commento §3.4).
    """
    return [
        # Shorts a delta 0.10 / 0.12 / 0.15 in OTM range [15-25%].
        _quote(strike="2535", delta="-0.15", mid="0.026", now_dt=now_dt),
        _quote(strike="2475", delta="-0.12", mid="0.020", now_dt=now_dt),
        _quote(strike="2400", delta="-0.10", mid="0.015", now_dt=now_dt),
        # Long candidati ~4% sotto ciascuno short.
        _quote(strike="2415", delta="-0.10", mid="0.012", now_dt=now_dt),
        _quote(strike="2355", delta="-0.08", mid="0.006", now_dt=now_dt),
        _quote(strike="2280", delta="-0.06", mid="0.002", now_dt=now_dt),
    ]


def test_dynamic_delta_low_dvol_picks_higher_delta(
    cfg: StrategyConfig, now: datetime
) -> None:
    """DVOL=40 → banda con delta_target=0.15."""
    cfg_dyn = _cfg_with_delta_bands(cfg)
    chain = _bull_put_chain_wide(now)
    res = select_strikes(
        chain=chain,
        bias="bull_put",
        spot=Decimal("3000"),
        now=now,
        cfg=cfg_dyn,
        dvol_now=Decimal("40"),
    )
    assert res is not None
    short, _ = res
    assert short.delta == Decimal("-0.15")


def test_dynamic_delta_mid_dvol_picks_default_delta(
    cfg: StrategyConfig, now: datetime
) -> None:
    """DVOL=60 → banda con delta_target=0.12."""
    cfg_dyn = _cfg_with_delta_bands(cfg)
    chain = _bull_put_chain_wide(now)
    res = select_strikes(
        chain=chain,
        bias="bull_put",
        spot=Decimal("3000"),
        now=now,
        cfg=cfg_dyn,
        dvol_now=Decimal("60"),
    )
    assert res is not None
    short, _ = res
    assert short.delta == Decimal("-0.12")


def test_dynamic_delta_high_dvol_picks_lower_delta(
    cfg: StrategyConfig, now: datetime
) -> None:
    """DVOL=85 → banda con delta_target=0.10 (più safety distance)."""
    cfg_dyn = _cfg_with_delta_bands(cfg)
    chain = _bull_put_chain_wide(now)
    res = select_strikes(
        chain=chain,
        bias="bull_put",
        spot=Decimal("3000"),
        now=now,
        cfg=cfg_dyn,
        dvol_now=Decimal("85"),
    )
    assert res is not None
    short, _ = res
    assert short.delta == Decimal("-0.10")


def test_dynamic_delta_disabled_default_uses_static_delta(
    cfg: StrategyConfig, now: datetime
) -> None:
    """delta_by_dvol vuoto (default) → comportamento invariato."""
    chain = _bull_put_chain_wide(now)
    res = select_strikes(
        chain=chain,
        bias="bull_put",
        spot=Decimal("3000"),
        now=now,
        cfg=cfg,  # golden config: delta_by_dvol=[]
        dvol_now=Decimal("40"),
    )
    assert res is not None
    short, _ = res
    # Delta target statico = 0.12, quindi torna lo strike a -0.12.
    assert short.delta == Decimal("-0.12")