7137d62bfa
- CRITICAL: add combined to migration_builders so its anchor is seeded — the pre-branch forward_summary row would otherwise trip the lost-anchor guard and crash combined_forward_nav every nightly - hash accuracy: bybit cost_bps mirrors Settings default (10.0); multistrat instruments derive from FUND_INSTRUMENTS (no duplicate) so a return-affecting change actually re-inceptions - sixtyforty documented as a benchmark exempt from strict PIT (spec §4) - observed mode: xsfunding consumes the engine's UTC _today; re-inception resets carried book-state Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
129 lines
6.5 KiB
Python
129 lines
6.5 KiB
Python
import datetime as dt
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from fxhnt.adapters.persistence.forward_nav import ForwardNavRepo
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from fxhnt.application.forward_migration import migrate_track
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def _repo(tmp_path):
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repo = ForwardNavRepo(f"sqlite:///{tmp_path}/mig.db")
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repo.migrate()
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return repo
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class _RecomputeStrat:
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def __init__(self, series):
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self._series = series
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def advance(self, last_date, extra):
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return list(self._series), extra
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def _reg(monkeypatch, sid, mode):
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from fxhnt import registry
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monkeypatch.setitem(registry.STRATEGY_REGISTRY, sid,
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{"display_name": "T", "sleeve": "x", "gate_spec": {},
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"definition": {"params": {"v": 1}, "version": 1, "record_mode": mode}})
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def test_recompute_migration_preserves_t0_on_match(tmp_path, monkeypatch):
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repo = _repo(tmp_path)
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_reg(monkeypatch, "t_rec", "recompute")
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series = [("2026-07-06", 0.01), ("2026-07-07", 0.02)]
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# accumulated state whose nav MATCHES the recompute over [inception, ...]
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nav = 1.0
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days = []
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for d, r in series:
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nav *= 1 + r
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days.append({"date": d, "ret": r, "nav": nav})
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state = {"inception": "2026-07-06", "last_date": "2026-07-07", "nav": nav, "days": days, "extra": {}}
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out = migrate_track(repo, "t_rec", state, _RecomputeStrat(series), today="2026-07-07",
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at=dt.datetime(2026, 7, 7, 23, 30))
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assert out["status"] == "match" and repo.active_anchor("t_rec").t0 == "2026-07-06"
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def test_recompute_migration_flags_divergence(tmp_path, monkeypatch):
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repo = _repo(tmp_path)
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_reg(monkeypatch, "t_rec", "recompute")
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series = [("2026-07-06", 0.01), ("2026-07-07", 0.02)]
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# accumulated state that DRIFTED (wrong nav) → divergence flagged
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state = {"inception": "2026-07-06", "last_date": "2026-07-07", "nav": 5.0,
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"days": [{"date": "2026-07-06", "ret": 0.5, "nav": 1.5},
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{"date": "2026-07-07", "ret": 2.0, "nav": 4.5}], "extra": {}}
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out = migrate_track(repo, "t_rec", state, _RecomputeStrat(series), today="2026-07-07",
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at=dt.datetime(2026, 7, 7, 23, 30))
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assert out["status"] == "diverged" and out["max_abs_nav_diff"] > 0.02
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def test_recompute_missing_dates_flags_divergence(tmp_path, monkeypatch):
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repo = _repo(tmp_path)
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_reg(monkeypatch, "t_rec", "recompute")
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state = {"inception": "2026-07-06", "last_date": "2026-07-07", "nav": 100.0,
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"days": [{"date": "2026-07-06", "ret": 9.0, "nav": 10.0},
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{"date": "2026-07-07", "ret": 9.0, "nav": 100.0}], "extra": {}}
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out = migrate_track(repo, "t_rec", state, _RecomputeStrat([]), today="2026-07-07",
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at=dt.datetime(2026, 7, 7, 23, 30))
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assert out["status"] == "diverged" and out["missing_dates"] == 2
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def test_recompute_window_bounded_by_today(tmp_path, monkeypatch):
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repo = _repo(tmp_path)
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_reg(monkeypatch, "t_rec", "recompute")
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series = [("2026-07-06", 0.01), ("2026-07-07", 0.02), ("2026-07-09", 0.5)] # 07-09 is beyond today
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nav = 1.0
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days = []
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for d, r in series[:2]:
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nav *= 1 + r
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days.append({"date": d, "ret": r, "nav": nav})
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state = {"inception": "2026-07-06", "last_date": "2026-07-07", "nav": nav, "days": days, "extra": {}}
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out = migrate_track(repo, "t_rec", state, _RecomputeStrat(series), today="2026-07-07",
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at=dt.datetime(2026, 7, 7, 23, 30))
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assert out["status"] == "match" # the future 07-09 row is excluded from the reconcile window
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def test_observed_migration_imports_verbatim(tmp_path, monkeypatch):
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repo = _repo(tmp_path)
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_reg(monkeypatch, "t_obs", "observed")
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state = {"inception": "2026-07-06", "last_date": "2026-07-07", "nav": 1.03,
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"days": [{"date": "2026-07-06", "ret": 0.01}, {"date": "2026-07-07", "ret": 0.02}],
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"extra": {"positions": {"BTCUSDT": 0.5}}}
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out = migrate_track(repo, "t_obs", state, _RecomputeStrat([]), today="2026-07-07",
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at=dt.datetime(2026, 7, 7, 23, 30))
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assert out["status"] == "imported" and out["n"] == 2
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assert repo.record_series("t_obs") == [("2026-07-06", 0.01), ("2026-07-07", 0.02)]
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assert repo.get_book_state("t_obs") == {"positions": {"BTCUSDT": 0.5}}
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def test_combined_migration_seeds_anchor_when_forward_summary_exists_but_no_anchor(tmp_path):
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"""CRITICAL 1 regression: production has a pre-branch forward_summary["combined"] row (the old ingest
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wrote all tracks) but no anchor row. Before the fix `combined` had no entry in `track_builders`, so
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`migrate-forward-anchors` skipped it and the anchor was never seeded — the next engine run's
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`active_anchor("combined")` is None while `has_forward_history("combined")` is True, tripping the
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lost-anchor guard in `forward_engine.run_track` and crashing `combined_forward_nav` every nightly.
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Assert `combined` is now in the builders map, and that running `migrate_track` on the crash precondition
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(forward_summary row present, no anchor) seeds an anchor — so a subsequent engine run will not raise."""
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from fxhnt.adapters.orchestration.migration_builders import track_builders
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from fxhnt.application.forward_models import ForwardSummary
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from fxhnt.config import get_settings
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repo = _repo(tmp_path)
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sid = "combined"
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assert sid in track_builders(get_settings(), str(tmp_path)) # the CRITICAL-1 fix: combined has a builder
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# seed the pre-branch forward_summary row (old ingest wrote all tracks) — no anchor exists yet.
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repo.upsert_summary(
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ForwardSummary(strategy_id=sid, as_of="2026-07-06", days=10, nav=1.05,
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total_return=0.05, sharpe=1.0, maxdd=-0.02),
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gate_status="WAIT", gate_reason="pre-branch", at=dt.datetime(2026, 7, 6, 23, 30))
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assert repo.has_forward_history(sid) is True
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assert repo.active_anchor(sid) is None # the exact crash precondition
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series = [("2026-07-06", 0.01), ("2026-07-07", 0.02)]
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state = {"inception": "2026-07-06", "last_date": "2026-07-07", "nav": 1.03,
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"days": [{"date": "2026-07-06", "ret": 0.01, "nav": 1.01},
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{"date": "2026-07-07", "ret": 0.02, "nav": 1.03}], "extra": {}}
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migrate_track(repo, sid, state, _RecomputeStrat(series), today="2026-07-07",
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at=dt.datetime(2026, 7, 7, 23, 30))
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# anchor now exists — a subsequent engine run's active_anchor(sid) is no longer None, so the
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# lost-anchor guard (active is None and has_forward_history) will not trip.
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assert repo.active_anchor(sid) is not None
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