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98111814d2
Verifica integrazione tra Repository.iv_rv_history, compute_adaptive_threshold e dvol_lookback su un DB reale seedato con 30 giorni di market_snapshots bimodale. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
109 lines
3.1 KiB
Python
109 lines
3.1 KiB
Python
"""End-to-end test del gate IV-RV adattivo + Vol-of-Vol guard via Repository."""
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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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import pytest
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from cerbero_bite.state.db import connect, run_migrations
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from cerbero_bite.state.models import MarketSnapshotRecord
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from cerbero_bite.state.repository import Repository
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def _seed_history(
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conn,
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repo: Repository,
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asset: str,
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base: datetime,
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n_ticks: int,
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iv_rv_value: Decimal,
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dvol_value: Decimal,
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) -> None:
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for i in range(n_ticks):
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repo.record_market_snapshot(
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conn,
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MarketSnapshotRecord(
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timestamp=base + timedelta(minutes=15 * i),
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asset=asset,
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spot=Decimal("2000"),
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dvol=dvol_value,
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realized_vol_30d=Decimal("48"),
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iv_minus_rv=iv_rv_value,
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funding_perp_annualized=Decimal("0"),
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funding_cross_annualized=Decimal("0"),
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dealer_net_gamma=Decimal("0"),
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gamma_flip_level=None,
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oi_delta_pct_4h=None,
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liquidation_long_risk="low",
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liquidation_short_risk="low",
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macro_days_to_event=None,
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fetch_ok=True,
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fetch_errors_json=None,
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),
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)
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conn.commit()
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@pytest.fixture
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def db_30d(tmp_path):
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"""30 giorni di storia con IV-RV bimodale: prima metà 1.0, seconda metà 5.0."""
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db_path = tmp_path / "e2e.sqlite"
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conn = connect(str(db_path))
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run_migrations(conn)
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repo = Repository()
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base = datetime(2026, 4, 1, 0, 0, tzinfo=UTC)
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_seed_history(conn, repo, "ETH", base, 1440, Decimal("1.0"), Decimal("50"))
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_seed_history(
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conn,
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repo,
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"ETH",
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base + timedelta(days=15),
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1440,
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Decimal("5.0"),
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Decimal("50"),
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)
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return conn, repo
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def test_iv_rv_history_p25_picks_up_recent_regime(db_30d) -> None:
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"""Sanity: con bimodale 1.0/5.0 e finestra 30g, P25 di tutta la
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storia è 1.0 (il 25° centile è ancora nella metà bassa)."""
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conn, repo = db_30d
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history = repo.iv_rv_history(
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conn,
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asset="ETH",
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max_days=60,
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as_of=datetime(2026, 5, 1, 0, 0, tzinfo=UTC),
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)
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assert len(history) == 2880
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from cerbero_bite.core.adaptive_threshold import compute_adaptive_threshold
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threshold = compute_adaptive_threshold(
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history=history,
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percentile=Decimal("0.25"),
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absolute_floor=Decimal("0"),
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min_days=30,
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target_days=60,
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)
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assert threshold == Decimal("1.0")
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def test_dvol_lookback_within_tolerance(db_30d) -> None:
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conn, repo = db_30d
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base = datetime(2026, 4, 1, 0, 0, tzinfo=UTC)
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out = repo.dvol_lookback(conn, asset="ETH", reference=base + timedelta(hours=24))
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assert out == Decimal("50")
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def test_dvol_lookback_returns_none_outside_tolerance(db_30d) -> None:
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conn, repo = db_30d
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out = repo.dvol_lookback(
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conn,
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asset="ETH",
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reference=datetime(2025, 1, 1, tzinfo=UTC),
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tolerance_minutes=15,
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)
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assert out is None
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