Adriano
fbb7753cc6
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>
274 lines
8.5 KiB
Python
274 lines
8.5 KiB
Python
"""TDD for :mod:`cerbero_bite.core.exit_decision`.
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Spec: ``docs/01-strategy-rules.md §7`` and ``docs/03-algorithms.md §6``.
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The eight mandatory cases listed in §6 are exercised here, with the
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``mark=30% credit`` case re-interpreted to satisfy the time-stop
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exception consistently with rule 1 (which always fires earlier when
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mark ≤ 50% credit).
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"""
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from __future__ import annotations
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from datetime import UTC, datetime, timedelta
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from decimal import Decimal
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from uuid import uuid4
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import pytest
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from cerbero_bite.config import SpreadType, StrategyConfig, golden_config
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from cerbero_bite.core.exit_decision import PositionSnapshot, evaluate
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from cerbero_bite.core.types import OptionLeg
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@pytest.fixture
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def cfg() -> StrategyConfig:
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return golden_config()
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def _legs(spread_type: SpreadType = "bull_put", size: int = 1) -> list[OptionLeg]:
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expiry = datetime(2026, 5, 15, 8, 0, tzinfo=UTC)
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if spread_type == "bull_put":
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return [
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OptionLeg(
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instrument="ETH-X-2475-P",
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side="SELL",
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strike=Decimal("2475"),
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expiry=expiry,
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type="P",
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size=size,
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mid_price_eth=Decimal("0.020"),
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delta=Decimal("-0.12"),
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gamma=Decimal("0.001"),
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theta=Decimal("-0.0005"),
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vega=Decimal("0.10"),
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),
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OptionLeg(
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instrument="ETH-X-2350-P",
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side="BUY",
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strike=Decimal("2350"),
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expiry=expiry,
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type="P",
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size=size,
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mid_price_eth=Decimal("0.005"),
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delta=Decimal("-0.08"),
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gamma=Decimal("0.001"),
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theta=Decimal("-0.0003"),
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vega=Decimal("0.07"),
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),
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]
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return [
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OptionLeg(
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instrument="ETH-X-3525-C",
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side="SELL",
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strike=Decimal("3525"),
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expiry=expiry,
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type="C",
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size=size,
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mid_price_eth=Decimal("0.020"),
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delta=Decimal("0.12"),
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gamma=Decimal("0.001"),
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theta=Decimal("-0.0005"),
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vega=Decimal("0.10"),
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),
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OptionLeg(
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instrument="ETH-X-3645-C",
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side="BUY",
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strike=Decimal("3645"),
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expiry=expiry,
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type="C",
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size=size,
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mid_price_eth=Decimal("0.005"),
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delta=Decimal("0.08"),
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gamma=Decimal("0.001"),
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theta=Decimal("-0.0003"),
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vega=Decimal("0.07"),
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),
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]
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def _snapshot(
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*,
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spread_type: SpreadType = "bull_put",
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credit_received_eth: str = "0.030",
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mark_combo_now_eth: str = "0.020",
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dvol_at_entry: str = "50",
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dvol_now: str = "50",
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delta_short_now: str | None = None,
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return_4h_now: str = "0",
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days_to_expiry: int = 14,
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spot_at_entry: str = "3000",
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spot_now: str = "3000",
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eth_price_usd_now: str = "3000",
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) -> PositionSnapshot:
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now = datetime(2026, 4, 27, 14, 0, tzinfo=UTC)
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expiry = now + timedelta(days=days_to_expiry)
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if delta_short_now is None:
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delta_short_now = "-0.12" if spread_type == "bull_put" else "0.12"
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legs = _legs(spread_type=spread_type)
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return PositionSnapshot(
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proposal_id=uuid4(),
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spread_type=spread_type,
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legs=legs,
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credit_received_eth=Decimal(credit_received_eth),
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credit_received_usd=Decimal(credit_received_eth) * Decimal(eth_price_usd_now),
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spot_at_entry=Decimal(spot_at_entry),
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dvol_at_entry=Decimal(dvol_at_entry),
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expiry=expiry,
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opened_at=now - timedelta(days=4),
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eth_price_usd_now=Decimal(eth_price_usd_now),
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spot_now=Decimal(spot_now),
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dvol_now=Decimal(dvol_now),
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mark_combo_now_eth=Decimal(mark_combo_now_eth),
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delta_short_now=Decimal(delta_short_now),
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return_4h_now=Decimal(return_4h_now),
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now=now,
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)
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# ---------------------------------------------------------------------------
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# Mandatory cases from docs/03-algorithms.md §6
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# ---------------------------------------------------------------------------
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def test_mark_at_50pct_credit_triggers_close_profit(cfg: StrategyConfig) -> None:
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snap = _snapshot(credit_received_eth="0.030", mark_combo_now_eth="0.015")
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_PROFIT"
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def test_mark_at_250pct_credit_triggers_close_stop(cfg: StrategyConfig) -> None:
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snap = _snapshot(credit_received_eth="0.030", mark_combo_now_eth="0.075")
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_STOP"
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def test_dvol_increase_above_band_triggers_close_vol(cfg: StrategyConfig) -> None:
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snap = _snapshot(
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credit_received_eth="0.030",
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mark_combo_now_eth="0.020", # 67% credit, no profit/stop
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dvol_at_entry="50",
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dvol_now="62", # +12, above +10 trigger
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)
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_VOL"
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def test_six_days_left_mark_above_skip_threshold_triggers_close_time(
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cfg: StrategyConfig,
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) -> None:
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# mark = 80% credit > 70% credit (skip threshold) → CLOSE_TIME
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snap = _snapshot(
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credit_received_eth="0.030",
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mark_combo_now_eth="0.024",
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days_to_expiry=6,
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)
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_TIME"
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def test_six_days_left_mark_in_skip_zone_holds(cfg: StrategyConfig) -> None:
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# mark = 60% credit ∈ (50%, 70%] → close to profit, time stop is skipped.
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snap = _snapshot(
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credit_received_eth="0.030",
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mark_combo_now_eth="0.018",
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days_to_expiry=6,
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)
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res = evaluate(snap, cfg)
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assert res.action == "HOLD"
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def test_short_delta_breach_triggers_close_delta(cfg: StrategyConfig) -> None:
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snap = _snapshot(
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credit_received_eth="0.030",
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mark_combo_now_eth="0.020",
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delta_short_now="-0.32",
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)
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_DELTA"
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def test_4h_adverse_move_bull_put_triggers_close_averse(cfg: StrategyConfig) -> None:
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snap = _snapshot(
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spread_type="bull_put",
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credit_received_eth="0.030",
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mark_combo_now_eth="0.020",
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return_4h_now="-0.07",
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)
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_AVERSE"
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def test_4h_adverse_move_bear_call_triggers_close_averse(cfg: StrategyConfig) -> None:
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snap = _snapshot(
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spread_type="bear_call",
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credit_received_eth="0.030",
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mark_combo_now_eth="0.020",
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return_4h_now="0.07",
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)
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_AVERSE"
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def test_neutral_state_returns_hold(cfg: StrategyConfig) -> None:
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snap = _snapshot(
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credit_received_eth="0.030",
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mark_combo_now_eth="0.020",
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)
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res = evaluate(snap, cfg)
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assert res.action == "HOLD"
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# ---------------------------------------------------------------------------
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# Trigger ordering — first match wins
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# ---------------------------------------------------------------------------
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def test_profit_wins_over_vol_stop(cfg: StrategyConfig) -> None:
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# mark = 30% credit AND DVOL +12 → profit takes precedence
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snap = _snapshot(
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credit_received_eth="0.030",
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mark_combo_now_eth="0.009",
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dvol_at_entry="50",
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dvol_now="62",
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)
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_PROFIT"
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def test_stop_wins_over_delta_breach(cfg: StrategyConfig) -> None:
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snap = _snapshot(
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credit_received_eth="0.030",
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mark_combo_now_eth="0.075", # 250% → stop
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delta_short_now="-0.40", # would also be CLOSE_DELTA
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)
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_STOP"
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# ---------------------------------------------------------------------------
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# PnL reporting
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# ---------------------------------------------------------------------------
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def test_pnl_in_eth_and_usd_reflect_credit_minus_debit(cfg: StrategyConfig) -> None:
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snap = _snapshot(
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credit_received_eth="0.030",
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mark_combo_now_eth="0.018",
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eth_price_usd_now="3100",
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)
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res = evaluate(snap, cfg)
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# pnl_eth = 0.030 - 0.018 = 0.012; pnl_usd = 0.012 × 3100 = 37.2
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assert res.pnl_estimate_eth == Decimal("0.012")
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assert res.pnl_estimate_usd == Decimal("37.2")
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def test_iron_condor_adverse_move_either_direction(cfg: StrategyConfig) -> None:
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snap = _snapshot(
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spread_type="iron_condor",
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credit_received_eth="0.030",
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mark_combo_now_eth="0.020",
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return_4h_now="-0.06",
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)
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res = evaluate(snap, cfg)
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assert res.action == "CLOSE_AVERSE"
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