From 3501d7a37bee9f862cd8eb735eef7dd3bcab5a72 Mon Sep 17 00:00:00 2001
From: jgrusewski <jgrusewski@localhost>
Date: Tue, 31 Mar 2026 11:26:45 +0200
Subject: [PATCH] =?UTF-8?q?fix:=20proper=20MBP-10=20integration=20test=20w?=
 =?UTF-8?q?ith=20real=20data=20=E2=80=94=20no=20silent=20failures?=
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Replace if-let-Ok pattern with #[ignore] test that asserts on results.
Uses CARGO_MANIFEST_DIR to resolve workspace root. Validates bar
ordering, positive volume, valid OHLC. Produces 654 imbalance bars
from Q1+Q2 2024 ES MBP-10 data (448s load time).

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
---
 crates/ml-features/src/mbp10_loader.rs | 57 +++++++++++++++++---------
 1 file changed, 37 insertions(+), 20 deletions(-)

diff --git a/crates/ml-features/src/mbp10_loader.rs b/crates/ml-features/src/mbp10_loader.rs
index 6b9472397..ab5f503e9 100644
--- a/crates/ml-features/src/mbp10_loader.rs
+++ b/crates/ml-features/src/mbp10_loader.rs
@@ -886,27 +886,44 @@ mod tests {
         assert!(err_msg.contains("MBP-10 directory not found"), "Error: {err_msg}");
     }
 
+    /// Integration test: loads real MBP-10 data and produces imbalance bars.
+    /// Requires test_data/futures-baseline-mbp10/ES.FUT/ with .dbn.zst files.
+    /// Run with: cargo test -p ml-features --lib -- test_mbp10_to_imbalance_bars_real --ignored --nocapture
     #[test]
-    fn test_mbp10_to_imbalance_bars_from_test_data() {
-        // This test depends on test_data/mbp10/ES.FUT/ existing.
-        // If not available (CI), it will fail with a descriptive error — that's OK.
-        let bars = mbp10_to_imbalance_bars(
-            Path::new("../../test_data/mbp10"),
-            "ES.FUT",
-            100.0,
-            0.1,
-        );
-        if let Ok(bars) = bars {
-            assert!(!bars.is_empty(), "Expected at least one imbalance bar");
-            for w in bars.windows(2) {
-                assert!(
-                    w[0].timestamp <= w[1].timestamp,
-                    "Bars must be time-ordered: {:?} > {:?}",
-                    w[0].timestamp,
-                    w[1].timestamp
-                );
-            }
+    #[ignore]
+    fn test_mbp10_to_imbalance_bars_real() {
+        // Resolve workspace root from CARGO_MANIFEST_DIR
+        let manifest = std::env::var("CARGO_MANIFEST_DIR").unwrap();
+        let workspace = std::path::Path::new(&manifest)
+            .parent()  // crates/
+            .and_then(|p| p.parent())  // repo root
+            .expect("Failed to find workspace root");
+        let mbp10_dir = workspace.join("test_data/futures-baseline-mbp10");
+        assert!(mbp10_dir.exists(), "MBP-10 test data not found at {}", mbp10_dir.display());
+
+        let bars = mbp10_to_imbalance_bars(&mbp10_dir, "ES.FUT", 100.0, 0.1)
+            .expect("mbp10_to_imbalance_bars must succeed with real data");
+
+        assert!(!bars.is_empty(), "Must produce imbalance bars from MBP-10 data");
+        println!("Produced {} imbalance bars from MBP-10 data", bars.len());
+        println!("  First bar: {:?}", bars.first().unwrap().timestamp);
+        println!("  Last bar:  {:?}", bars.last().unwrap().timestamp);
+
+        // Verify time-ordering
+        for w in bars.windows(2) {
+            assert!(
+                w[0].timestamp <= w[1].timestamp,
+                "Bars must be time-ordered: {:?} > {:?}",
+                w[0].timestamp, w[1].timestamp
+            );
         }
-        // If Err, that's fine — test data may not be present
+
+        // Verify reasonable bar properties
+        for bar in &bars {
+            assert!(bar.high >= bar.low, "high must >= low");
+            assert!(bar.volume > 0.0, "volume must be positive");
+            assert!(bar.close > 0.0, "close must be positive");
+        }
+        println!("All {} bars valid: time-ordered, positive volume, valid OHLC", bars.len());
     }
 }