//! Run Bars Test Suite //! //! Tests for run bar sampling - bars formed when consecutive buy/sell ticks exceed threshold. //! Tests cover: //! - Consecutive buy run counting //! - Consecutive sell run counting //! - Bar formation at run threshold //! - Direction change resets counter //! - Performance requirements (<50μs per tick) use chrono::{TimeZone, Utc}; use ml::features::alternative_bars::RunBarSampler; use std::time::Instant; fn ts(secs: i64) -> chrono::DateTime { Utc.timestamp_opt(secs, 0).unwrap() } #[test] fn test_run_bar_consecutive_buys() { let mut sampler = RunBarSampler::new(5); // Threshold of 5 consecutive buys // Send 4 buy ticks (price increasing) - should not emit bar assert!(sampler.update(100.0, 10.0, ts(1000)).is_none()); assert!(sampler.update(100.1, 10.0, ts(1001)).is_none()); assert!(sampler.update(100.2, 10.0, ts(1002)).is_none()); assert!(sampler.update(100.3, 10.0, ts(1003)).is_none()); // 5th buy tick should emit bar let bar = sampler.update(100.4, 10.0, ts(1004)); assert!(bar.is_some()); let bar = bar.unwrap(); assert_eq!(bar.open, 100.0); assert_eq!(bar.high, 100.4); assert_eq!(bar.low, 100.0); assert_eq!(bar.close, 100.4); assert_eq!(bar.volume, 50.0); // 5 ticks * 10 volume assert_eq!(bar.timestamp, ts(1000)); } #[test] fn test_run_bar_consecutive_sells() { let mut sampler = RunBarSampler::new(5); // Threshold of 5 consecutive sells // Send 4 sell ticks (price decreasing) - should not emit bar assert!(sampler.update(100.0, 10.0, ts(1000)).is_none()); assert!(sampler.update(99.9, 10.0, ts(1001)).is_none()); assert!(sampler.update(99.8, 10.0, ts(1002)).is_none()); assert!(sampler.update(99.7, 10.0, ts(1003)).is_none()); // 5th sell tick should emit bar let bar = sampler.update(99.6, 10.0, ts(1004)); assert!(bar.is_some()); let bar = bar.unwrap(); assert_eq!(bar.open, 100.0); assert_eq!(bar.high, 100.0); assert_eq!(bar.low, 99.6); assert_eq!(bar.close, 99.6); assert_eq!(bar.volume, 50.0); assert_eq!(bar.timestamp, ts(1000)); } #[test] fn test_run_bar_direction_change_resets_counter() { let mut sampler = RunBarSampler::new(5); // Send 3 buy ticks assert!(sampler.update(100.0, 10.0, ts(1000)).is_none()); assert!(sampler.update(100.1, 10.0, ts(1001)).is_none()); assert!(sampler.update(100.2, 10.0, ts(1002)).is_none()); // Direction change - sell tick (should reset counter) assert!(sampler.update(100.1, 10.0, ts(1003)).is_none()); // Send 3 more sell ticks (total 4 sells, but counter reset so no bar yet) assert!(sampler.update(100.0, 10.0, ts(1004)).is_none()); assert!(sampler.update(99.9, 10.0, ts(1005)).is_none()); assert!(sampler.update(99.8, 10.0, ts(1006)).is_none()); // 5th sell tick should emit bar let bar = sampler.update(99.7, 10.0, ts(1007)); assert!(bar.is_some()); let bar = bar.unwrap(); assert_eq!(bar.open, 100.1); // Start from direction change assert_eq!(bar.close, 99.7); assert_eq!(bar.volume, 50.0); // 5 ticks * 10 volume } #[test] fn test_run_bar_equal_price_no_direction() { let mut sampler = RunBarSampler::new(5); // Send ticks with same price (no clear direction) assert!(sampler.update(100.0, 10.0, ts(1000)).is_none()); assert!(sampler.update(100.0, 10.0, ts(1001)).is_none()); assert!(sampler.update(100.0, 10.0, ts(1002)).is_none()); assert!(sampler.update(100.0, 10.0, ts(1003)).is_none()); assert!(sampler.update(100.0, 10.0, ts(1004)).is_none()); // Should not emit bar even after 5 ticks (no directional run) assert!(sampler.update(100.0, 10.0, ts(1005)).is_none()); } #[test] fn test_run_bar_multiple_bars() { let mut sampler = RunBarSampler::new(3); // Lower threshold for faster testing // First bar: 3 buys assert!(sampler.update(100.0, 10.0, ts(1000)).is_none()); assert!(sampler.update(100.1, 10.0, ts(1001)).is_none()); let bar1 = sampler.update(100.2, 10.0, ts(1002)); assert!(bar1.is_some()); assert_eq!(bar1.unwrap().close, 100.2); // Second bar: 3 sells assert!(sampler.update(100.1, 10.0, ts(1003)).is_none()); assert!(sampler.update(100.0, 10.0, ts(1004)).is_none()); let bar2 = sampler.update(99.9, 10.0, ts(1005)); assert!(bar2.is_some()); assert_eq!(bar2.unwrap().close, 99.9); // Third bar: 3 buys assert!(sampler.update(100.0, 10.0, ts(1006)).is_none()); assert!(sampler.update(100.1, 10.0, ts(1007)).is_none()); let bar3 = sampler.update(100.2, 10.0, ts(1008)); assert!(bar3.is_some()); assert_eq!(bar3.unwrap().close, 100.2); } #[test] fn test_run_bar_threshold_boundaries() { // Test threshold of 1 (every tick is a bar) let mut sampler = RunBarSampler::new(1); let bar = sampler.update(100.0, 10.0, ts(1000)); assert!(bar.is_none()); // First tick doesn't have direction yet let bar = sampler.update(100.1, 10.0, ts(1001)); assert!(bar.is_some()); // Second tick has direction // Test larger threshold let mut sampler = RunBarSampler::new(100); for i in 0..99 { assert!(sampler .update(100.0 + (i as f64 * 0.01), 10.0, ts(1000 + i)) .is_none()); } let bar = sampler.update(100.99, 10.0, ts(1099)); assert!(bar.is_some()); assert_eq!(bar.unwrap().volume, 1000.0); // 100 ticks * 10 volume } #[test] fn test_run_bar_ohlcv_accuracy() { let mut sampler = RunBarSampler::new(5); // Send 5 consecutive buy ticks (each price > previous) with varying prices // to test OHLCV tracking during a run sampler.update(100.0, 5.0, ts(1000)); // Tick 1: Open (no direction yet) sampler.update(100.2, 10.0, ts(1001)); // Tick 2: Buy (100.2 > 100.0) sampler.update(100.5, 15.0, ts(1002)); // Tick 3: Buy (100.5 > 100.2) sampler.update(100.8, 20.0, ts(1003)); // Tick 4: Buy (100.8 > 100.5) let bar = sampler.update(101.0, 25.0, ts(1004)); // Tick 5: Buy (101.0 > 100.8) -> EMIT assert!(bar.is_some()); let bar = bar.unwrap(); assert_eq!(bar.open, 100.0); assert_eq!(bar.high, 101.0); assert_eq!(bar.low, 100.0); assert_eq!(bar.close, 101.0); assert_eq!(bar.volume, 75.0); // 5 + 10 + 15 + 20 + 25 assert_eq!(bar.timestamp, ts(1000)); } #[test] fn test_run_bar_alternating_direction() { let mut sampler = RunBarSampler::new(5); // Alternating buy/sell should never emit bar for i in 0..20 { let price = if i % 2 == 0 { 100.0 + (i as f64 * 0.01) } else { 100.0 - (i as f64 * 0.01) }; assert!(sampler.update(price, 10.0, ts(1000 + i as i64)).is_none()); } } #[test] fn test_run_bar_performance_single_tick() { let mut sampler = RunBarSampler::new(1000); let start = Instant::now(); sampler.update(100.0, 10.0, ts(1000)); let elapsed = start.elapsed(); // Must be <50μs per tick assert!( elapsed.as_micros() < 50, "Single tick took {}μs (target: <50μs)", elapsed.as_micros() ); } #[test] fn test_run_bar_performance_100_ticks() { let mut sampler = RunBarSampler::new(1000); let start = Instant::now(); for i in 0..100 { sampler.update(100.0 + (i as f64 * 0.01), 10.0, ts(1000 + i as i64)); } let elapsed = start.elapsed(); let avg_per_tick = elapsed.as_micros() / 100; assert!( avg_per_tick < 50, "Average per tick: {}μs (target: <50μs)", avg_per_tick ); } #[test] fn test_run_bar_tick_rule() { let mut sampler = RunBarSampler::new(5); // Test tick rule: price change determines direction // Up tick (price increase) = buy assert!(sampler.update(100.0, 10.0, ts(1000)).is_none()); assert!(sampler.update(100.1, 10.0, ts(1001)).is_none()); // Buy assert!(sampler.update(100.2, 10.0, ts(1002)).is_none()); // Buy assert!(sampler.update(100.3, 10.0, ts(1003)).is_none()); // Buy let bar = sampler.update(100.4, 10.0, ts(1004)); // Buy assert!(bar.is_some()); let bar = bar.unwrap(); assert_eq!(bar.open, 100.0); assert_eq!(bar.close, 100.4); } #[test] fn test_run_bar_reset_after_emission() { let mut sampler = RunBarSampler::new(3); // First bar: 3 buys assert!(sampler.update(100.0, 10.0, ts(1000)).is_none()); assert!(sampler.update(100.1, 10.0, ts(1001)).is_none()); let bar = sampler.update(100.2, 10.0, ts(1002)); assert!(bar.is_some()); // After emission, counter should be reset // Next 2 buys should not emit bar assert!(sampler.update(100.3, 10.0, ts(1003)).is_none()); assert!(sampler.update(100.4, 10.0, ts(1004)).is_none()); // 3rd buy should emit new bar let bar = sampler.update(100.5, 10.0, ts(1005)); assert!(bar.is_some()); assert_eq!(bar.unwrap().open, 100.3); // New bar starts after reset } #[test] fn test_run_bar_sampler_getters() { let mut sampler = RunBarSampler::new(50); assert_eq!(sampler.threshold(), 50); assert_eq!(sampler.run_count(), 0); assert_eq!(sampler.direction(), 0); // After one buy tick sampler.update(100.0, 10.0, ts(1000)); sampler.update(100.1, 10.0, ts(1001)); assert_eq!(sampler.run_count(), 2); assert_eq!(sampler.direction(), 1); // Buy direction } #[test] fn test_run_bar_sampler_reset() { let mut sampler = RunBarSampler::new(5); sampler.update(100.0, 10.0, ts(1000)); sampler.update(100.1, 10.0, ts(1001)); assert_eq!(sampler.run_count(), 2); sampler.reset(); assert_eq!(sampler.run_count(), 0); assert_eq!(sampler.direction(), 0); } #[test] #[should_panic(expected = "Threshold must be greater than 0")] fn test_run_bar_zero_threshold() { RunBarSampler::new(0); }