116 lines
4.8 KiB
Python
116 lines
4.8 KiB
Python
from __future__ import annotations
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import pytest
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from src.analysis.backtest_cost_guard import BacktestCostModel, validate_backtest_cost_model
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def test_valid_backtest_cost_model_passes() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0, "US_PRE": 50.0},
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failure_rate_by_session={"KRX_REG": 0.01, "US_PRE": 0.08},
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partial_fill_rate_by_session={"KRX_REG": 0.1, "US_PRE": 0.2},
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unfavorable_fill_required=True,
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)
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG", "US_PRE"])
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def test_missing_required_slippage_session_raises() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0},
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failure_rate_by_session={"KRX_REG": 0.01, "US_PRE": 0.08},
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partial_fill_rate_by_session={"KRX_REG": 0.1, "US_PRE": 0.2},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="missing slippage_bps_by_session.*US_PRE"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG", "US_PRE"])
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def test_missing_required_failure_rate_session_raises() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0, "US_PRE": 50.0},
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failure_rate_by_session={"KRX_REG": 0.01},
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partial_fill_rate_by_session={"KRX_REG": 0.1, "US_PRE": 0.2},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="missing failure_rate_by_session.*US_PRE"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG", "US_PRE"])
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def test_invalid_failure_rate_range_raises() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0},
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failure_rate_by_session={"KRX_REG": 1.2},
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partial_fill_rate_by_session={"KRX_REG": 0.2},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="failure rate must be within"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
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def test_unfavorable_fill_requirement_cannot_be_disabled() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0},
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failure_rate_by_session={"KRX_REG": 0.02},
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partial_fill_rate_by_session={"KRX_REG": 0.2},
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unfavorable_fill_required=False,
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)
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with pytest.raises(ValueError, match="unfavorable_fill_required must be True"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
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@pytest.mark.parametrize("bad_commission", [float("nan"), float("inf"), float("-inf")])
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def test_non_finite_commission_rejected(bad_commission: float) -> None:
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model = BacktestCostModel(
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commission_bps=bad_commission,
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slippage_bps_by_session={"KRX_REG": 10.0},
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failure_rate_by_session={"KRX_REG": 0.02},
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partial_fill_rate_by_session={"KRX_REG": 0.2},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="commission_bps"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
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@pytest.mark.parametrize("bad_slippage", [float("nan"), float("inf"), float("-inf")])
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def test_non_finite_slippage_rejected(bad_slippage: float) -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": bad_slippage},
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failure_rate_by_session={"KRX_REG": 0.02},
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partial_fill_rate_by_session={"KRX_REG": 0.2},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="slippage bps"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
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def test_missing_required_partial_fill_session_raises() -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0, "US_PRE": 50.0},
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failure_rate_by_session={"KRX_REG": 0.01, "US_PRE": 0.08},
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partial_fill_rate_by_session={"KRX_REG": 0.1},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="missing partial_fill_rate_by_session.*US_PRE"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG", "US_PRE"])
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@pytest.mark.parametrize("bad_partial_fill", [float("nan"), float("inf"), float("-inf"), -0.1, 1.1])
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def test_invalid_partial_fill_rate_rejected(bad_partial_fill: float) -> None:
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model = BacktestCostModel(
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commission_bps=5.0,
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slippage_bps_by_session={"KRX_REG": 10.0},
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failure_rate_by_session={"KRX_REG": 0.02},
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partial_fill_rate_by_session={"KRX_REG": bad_partial_fill},
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unfavorable_fill_required=True,
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)
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with pytest.raises(ValueError, match="partial fill rate must be within"):
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validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
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