fix: derive all aggregation timeframes from trade timestamp (#112)
Some checks failed
CI / test (pull_request) Has been cancelled

run_all_aggregations() previously used datetime.now(UTC) for weekly
through annual layers while using the trade date only for daily,
causing data misalignment on backfill. Now all layers consistently
use the latest trade timestamp. Also adds "Z" suffix handling for
fromisoformat() compatibility and strengthens test assertions to
verify L4-L2 layer values end-to-end.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
agentson
2026-02-10 00:40:28 +09:00
parent 9171e54652
commit f03cc6039b
2 changed files with 40 additions and 9 deletions

View File

@@ -300,9 +300,17 @@ class TestContextAggregator:
# Verify data exists in each layer
store = aggregator.store
assert store.get_context(ContextLayer.L6_DAILY, date, "total_pnl") == 1000.0
current_week = datetime.now(UTC).strftime("%Y-W%V")
assert store.get_context(ContextLayer.L5_WEEKLY, current_week, "weekly_pnl") is not None
# Further layers depend on time alignment, just verify no crashes
from datetime import date as date_cls
trade_date = date_cls.fromisoformat(date)
iso_year, iso_week, _ = trade_date.isocalendar()
trade_week = f"{iso_year}-W{iso_week:02d}"
assert store.get_context(ContextLayer.L5_WEEKLY, trade_week, "weekly_pnl") is not None
trade_month = f"{trade_date.year}-{trade_date.month:02d}"
trade_quarter = f"{trade_date.year}-Q{(trade_date.month - 1) // 3 + 1}"
trade_year = str(trade_date.year)
assert store.get_context(ContextLayer.L4_MONTHLY, trade_month, "monthly_pnl") == 1000.0
assert store.get_context(ContextLayer.L3_QUARTERLY, trade_quarter, "quarterly_pnl") == 1000.0
assert store.get_context(ContextLayer.L2_ANNUAL, trade_year, "annual_pnl") == 1000.0
class TestLayerMetadata: