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104 lines
5.0 KiB
Python
104 lines
5.0 KiB
Python
"""Replay test for the live bar-high breakout helper.
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Verifies that ORBTradingEngine._post_orb_bar_high_breakout correctly identifies
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spike-and-retrace breakouts using today's actual 2026-05-07 intraday bars
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(SHAK, SNDK, ARM). Standalone — does not require the live broker, DB, or
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network — bars and breakout levels are pinned in the test data.
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"""
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from __future__ import annotations
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from unittest.mock import MagicMock
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import pytest
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from apps.orb_trader.engine import ORBTradingEngine
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from libs.intraday.domain import ORBStrategyParams
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# Bar-high reference data from /api/v1/alpaca/intraday/today on 2026-05-07.
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# Only fields needed by the helper (timestamp, high, low) are kept.
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SHAK_BARS = [
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{"timestamp": "2026-05-07T13:30:00+00:00", "high": 71.53, "low": 69.075}, # ORB bar
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{"timestamp": "2026-05-07T13:35:00+00:00", "high": 70.09, "low": 68.505},
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{"timestamp": "2026-05-07T13:40:00+00:00", "high": 70.325, "low": 68.75},
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{"timestamp": "2026-05-07T13:45:00+00:00", "high": 70.575, "low": 68.85},
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{"timestamp": "2026-05-07T13:50:00+00:00", "high": 69.03, "low": 67.965},
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{"timestamp": "2026-05-07T13:55:00+00:00", "high": 68.29, "low": 67.92},
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]
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ARM_BARS = [
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{"timestamp": "2026-05-07T13:30:00+00:00", "high": 231.475, "low": 218.25}, # ORB bar
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{"timestamp": "2026-05-07T13:35:00+00:00", "high": 232.19, "low": 223.69}, # crosses inside timeout
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{"timestamp": "2026-05-07T13:40:00+00:00", "high": 224.04, "low": 218.25},
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{"timestamp": "2026-05-07T13:45:00+00:00", "high": 220.35, "low": 216.95},
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{"timestamp": "2026-05-07T13:50:00+00:00", "high": 222.87, "low": 219.21},
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{"timestamp": "2026-05-07T13:55:00+00:00", "high": 222.65, "low": 220.29},
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]
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SNDK_BARS = [
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{"timestamp": "2026-05-07T13:30:00+00:00", "high": 1396.475, "low": 1355.3}, # ORB bar
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{"timestamp": "2026-05-07T13:35:00+00:00", "high": 1388.94, "low": 1370.69},
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{"timestamp": "2026-05-07T13:40:00+00:00", "high": 1373.57, "low": 1342.75},
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{"timestamp": "2026-05-07T13:45:00+00:00", "high": 1348.2, "low": 1328.12},
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{"timestamp": "2026-05-07T13:50:00+00:00", "high": 1359.66, "low": 1344.165},
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{"timestamp": "2026-05-07T13:55:00+00:00", "high": 1367.69, "low": 1352.4},
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# Below: post-timeout (after 09:55 ET = 13:55 UTC + 5min boundary).
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# SNDK's only crossing of 1396.475 is at 14:20 UTC (10:20 ET), past timeout.
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{"timestamp": "2026-05-07T14:00:00+00:00", "high": 1354.98, "low": 1344.62},
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{"timestamp": "2026-05-07T14:05:00+00:00", "high": 1366.06, "low": 1345.93},
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{"timestamp": "2026-05-07T14:10:00+00:00", "high": 1369.58, "low": 1359.39},
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{"timestamp": "2026-05-07T14:15:00+00:00", "high": 1389.71, "low": 1362.02},
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{"timestamp": "2026-05-07T14:20:00+00:00", "high": 1399.98, "low": 1377.18}, # crosses, post-timeout
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]
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def _make_engine(orb_minutes: int = 5, order_timeout_minutes: int = 25) -> ORBTradingEngine:
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"""Build an engine instance with only the fields the helper touches."""
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params = ORBStrategyParams(
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orb_minutes=orb_minutes,
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order_timeout_minutes=order_timeout_minutes,
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live_breakout_use_bar_high=True,
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)
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eng = ORBTradingEngine.__new__(ORBTradingEngine)
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eng._params = params
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eng._session = MagicMock(session_id="test")
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return eng
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@pytest.mark.parametrize(
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"name,bars,direction,breakout_level,expected,reason",
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[
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("ARM_inside_timeout", ARM_BARS, "bullish", 231.475, True,
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"13:35 UTC bar high 232.19 crosses 231.475 inside 25-min timeout"),
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("SNDK_post_timeout", SNDK_BARS, "bullish", 1396.475, False,
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"Only crossing (14:20 UTC high 1399.98) is past 25-min timeout"),
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("SHAK_no_breakout", SHAK_BARS, "bullish", 71.53, False,
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"No post-ORB bar high reaches 71.53"),
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],
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)
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def test_bar_high_breakout_replay(name, bars, direction, breakout_level, expected, reason):
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eng = _make_engine(orb_minutes=5, order_timeout_minutes=25)
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actual = eng._post_orb_bar_high_breakout(
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bars, direction, breakout_level, "2026-05-07"
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)
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assert actual is expected, f"{name}: expected {expected} ({reason}), got {actual}"
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def test_bar_high_breakout_skips_orb_bar():
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"""The ORB bar's own high must not be allowed to trigger its own breakout
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(breakout_level is set FROM that bar, so it always equals it)."""
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eng = _make_engine(orb_minutes=5, order_timeout_minutes=25)
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# Only the ORB bar — no post-ORB bars at all.
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bars = [{"timestamp": "2026-05-07T13:30:00+00:00", "high": 100.0, "low": 90.0}]
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assert eng._post_orb_bar_high_breakout(bars, "bullish", 100.0, "2026-05-07") is False
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def test_bar_high_breakout_short_direction():
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"""Bearish direction triggers when bar low <= breakout_level (the ORB low)."""
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eng = _make_engine(orb_minutes=5, order_timeout_minutes=25)
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bars = [
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{"timestamp": "2026-05-07T13:30:00+00:00", "high": 100.0, "low": 95.0}, # ORB
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{"timestamp": "2026-05-07T13:35:00+00:00", "high": 99.0, "low": 94.5}, # crosses
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]
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assert eng._post_orb_bar_high_breakout(bars, "bearish", 95.0, "2026-05-07") is True
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