progress

tests/test_spbt_day.py

@@ -148,7 +148,7 @@ def test_load_pair_market_data_maps_selector_instruments_and_relative_close():
     )
     conn.execute(
         """
-        CREATE TABLE ohlcv_1min (
+        CREATE TABLE market (
             tstamp TEXT,
             tstamp_ns INTEGER,
             exch_acct TEXT,
@@ -166,7 +166,7 @@ def test_load_pair_market_data_maps_selector_instruments_and_relative_close():
         ),
     )
     conn.executemany(
-        "INSERT INTO ohlcv_1min VALUES (?, ?, ?, ?, ?)",
+        "INSERT INTO market VALUES (?, ?, ?, ?, ?)",
         [
             ("pre", 9, "EXCH_A", "PAIR-AAA-USD", 90.0),
             ("t0", 10, "EXCH_A", "PAIR-AAA-USD", 100.0),
@@ -239,7 +239,7 @@ def test_load_pair_market_data_requires_market_rows_for_both_assets():
     )
     conn.execute(
         """
-        CREATE TABLE ohlcv_1min (
+        CREATE TABLE market (
             tstamp TEXT,
             tstamp_ns INTEGER,
             exch_acct TEXT,
@@ -257,13 +257,13 @@ def test_load_pair_market_data_requires_market_rows_for_both_assets():
         ),
     )
     conn.execute(
-        "INSERT INTO ohlcv_1min VALUES (?, ?, ?, ?, ?)",
+        "INSERT INTO market VALUES (?, ?, ?, ?, ?)",
         ("t1", 1, "EXCH_A", "PAIR-AAA-USD", 100.0),
     )
 
     with pytest.raises(
         ValueError,
-        match=r"ohlcv_1min does not contain market data for asset\(s\): BBB",
+        match=r"market does not contain data for asset\(s\): BBB",
     ):
         load_pair_market_data(
             conn,
@@ -286,7 +286,7 @@ def test_load_pair_market_data_requires_time_zero_close_for_each_asset():
     )
     conn.execute(
         """
-        CREATE TABLE ohlcv_1min (
+        CREATE TABLE market (
             tstamp TEXT,
             tstamp_ns INTEGER,
             exch_acct TEXT,
@@ -304,7 +304,7 @@ def test_load_pair_market_data_requires_time_zero_close_for_each_asset():
         ),
     )
     conn.executemany(
-        "INSERT INTO ohlcv_1min VALUES (?, ?, ?, ?, ?)",
+        "INSERT INTO market VALUES (?, ?, ?, ?, ?)",
         [
             ("t1", 1, "EXCH_A", "PAIR-AAA-USD", None),
             ("t2", 2, "EXCH_A", "PAIR-AAA-USD", 110.0),
@@ -314,7 +314,7 @@ def test_load_pair_market_data_requires_time_zero_close_for_each_asset():
 
     with pytest.raises(
         ValueError,
-        match=r"ohlcv_1min initial close must be positive for asset\(s\): AAA",
+        match=r"market initial close must be positive for asset\(s\): AAA",
     ):
         load_pair_market_data(
             conn,
@@ -337,7 +337,7 @@ def test_load_pair_market_data_requires_exact_trading_day_start_row():
     )
     conn.execute(
         """
-        CREATE TABLE ohlcv_1min (
+        CREATE TABLE market (
             tstamp TEXT,
             tstamp_ns INTEGER,
             exch_acct TEXT,
@@ -355,7 +355,7 @@ def test_load_pair_market_data_requires_exact_trading_day_start_row():
         ),
     )
     conn.executemany(
-        "INSERT INTO ohlcv_1min VALUES (?, ?, ?, ?, ?)",
+        "INSERT INTO market VALUES (?, ?, ?, ?, ?)",
         [
             ("t1", 11, "EXCH_A", "PAIR-AAA-USD", 110.0),
             ("t0", 10, "EXCH_B", "PAIR-BBB-USD", 50.0),
@@ -365,7 +365,7 @@ def test_load_pair_market_data_requires_exact_trading_day_start_row():
     with pytest.raises(
         ValueError,
         match=(
-            "ohlcv_1min does not contain trading-day start close for "
+            "market does not contain trading-day start close for "
             r"asset\(s\): AAA"
         ),
     ):
@@ -891,6 +891,143 @@ def test_load_trading_instructions_validates_required_table():
         load_trading_instructions(conn)
 
 
+def test_load_trading_instructions_requires_sp_quant_metric_columns():
+    conn = sqlite3.connect(":memory:")
+    conn.execute(
+        """
+        CREATE TABLE trading_instructions (
+            tstamp TEXT,
+            tstamp_ns INTEGER,
+            action TEXT,
+            quote_asset TEXT,
+            assets TEXT
+        )
+        """
+    )
+
+    with pytest.raises(
+        ValueError,
+        match=r"SP Quant column\(s\) \[beta, scaled_disequilibrium\]",
+    ):
+        load_trading_instructions(conn)
+
+
+def test_load_trading_instructions_reads_sp_quant_schema_with_time_alias():
+    conn = sqlite3.connect(":memory:")
+    conn.execute(
+        """
+        CREATE TABLE trading_instructions (
+            tstamp TEXT,
+            tstamp_ns INTEGER,
+            type TEXT,
+            book_id TEXT,
+            strategy_id TEXT,
+            action TEXT,
+            quote_asset TEXT,
+            assets TEXT,
+            scaled_disequilibrium REAL,
+            beta REAL
+        )
+        """
+    )
+    conn.executemany(
+        "INSERT INTO trading_instructions VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?)",
+        [
+            (
+                "t2",
+                2,
+                "CLOSE_POSITION",
+                "book",
+                "strategy",
+                "CLOSE",
+                "USD",
+                '{"AAA":{"reference_price":"110"},"BBB":{"reference_price":"45"}}',
+                -0.5,
+                0.75,
+            ),
+            (
+                "t1",
+                1,
+                "TARGET_POSITION",
+                "book",
+                "strategy",
+                "TARGET",
+                "USD",
+                (
+                    '{"AAA":{"reference_price":"100","strength":"0.5"},'
+                    '"BBB":{"reference_price":"50","strength":"-0.5"}}'
+                ),
+                -1.25,
+                0.75,
+            ),
+        ],
+    )
+
+    trading_instructions = load_trading_instructions(conn)
+
+    assert trading_instructions["tstamp_ns"].tolist() == [1, 2]
+    assert trading_instructions["time_ns"].tolist() == [1, 2]
+    assert trading_instructions["action"].tolist() == ["TARGET", "CLOSE"]
+    assert trading_instructions["scaled_disequilibrium"].tolist() == [-1.25, -0.5]
+    assert trading_instructions["beta"].tolist() == [0.75, 0.75]
+
+
+def test_calculate_pair_theo_executions_reads_sp_quant_instruction_columns():
+    trd_inst_df = pd.DataFrame(
+        {
+            "tstamp_ns": [1, 2],
+            "time_ns": [1, 2],
+            "tstamp": ["t1", "t2"],
+            "action": ["TARGET", "CLOSE"],
+            "quote_asset": ["USD", "USD"],
+            "assets": [
+                (
+                    '{"AAA":{"reference_price":"100","strength":"0.5"},'
+                    '"BBB":{"reference_price":"50","strength":"-0.5"}}'
+                ),
+                '{"AAA":{"reference_price":"110"},"BBB":{"reference_price":"45"}}',
+            ],
+            "scaled_disequilibrium": [-1.25, -0.5],
+            "beta": [0.75, 0.75],
+        }
+    )
+
+    executions = calculate_pair_theo_executions("AAA:USD-BBB:USD", trd_inst_df)
+
+    assert executions[
+        ["time", "asset", "action", "scaled_disequilibrium", "beta"]
+    ].to_dict("records") == [
+        {
+            "time": "t1",
+            "asset": "AAA",
+            "action": "TARGET",
+            "scaled_disequilibrium": -1.25,
+            "beta": 0.75,
+        },
+        {
+            "time": "t1",
+            "asset": "BBB",
+            "action": "TARGET",
+            "scaled_disequilibrium": -1.25,
+            "beta": 0.75,
+        },
+        {
+            "time": "t2",
+            "asset": "AAA",
+            "action": "CLOSE",
+            "scaled_disequilibrium": -0.5,
+            "beta": 0.75,
+        },
+        {
+            "time": "t2",
+            "asset": "BBB",
+            "action": "CLOSE",
+            "scaled_disequilibrium": -0.5,
+            "beta": 0.75,
+        },
+    ]
+
+
 def test_find_repo_root_and_normalize_directory():
     repo_root = find_repo_root(Path("notebooks").resolve())
 
@@ -1030,6 +1167,8 @@ def test_create_panel_grids_use_analyze_button_and_hidden_pair_column():
         "action",
         "side",
         "strength",
+        "scaled_disequilibrium",
+        "beta",
         "size",
         "price",
         "usd_value",