tickreplay 0.1.0: tick-accurate MT5 backtesting engine + research toolkit

Memory-mapped tickstores, a nogil numba replay kernel validated trade-for-trade
against an independent reference implementation, purged walk-forward CV, an
append-only FDR registry, tick-exact labels, and online changepoint detection.
129 tests, 4 runnable examples on synthetic data, CI for linux/macos.

tests/test_synth.py

@@ -0,0 +1,60 @@
+"""Synthetic ticks stand in for broker data, so their invariants have to hold."""
+import numpy as np
+import pandas as pd
+import pytest
+
+import tickreplay as tr
+
+# 2024-01-01 is a Monday, so a 9-day window spans exactly one weekend
+NINE_DAYS = dict(days=9, ticks_per_day=2000, start="2024-01-01", seed=2)
+
+
+def test_time_never_goes_backwards():
+    time_ns, _, _ = tr.synth.generate_ticks(days=5, ticks_per_day=3000, seed=1)
+    assert len(time_ns) > 1000
+    assert (np.diff(time_ns) >= 0).all()
+
+
+def test_ask_is_always_above_bid():
+    _, bid, ask = tr.synth.generate_ticks(days=5, ticks_per_day=3000, seed=1)
+    assert len(bid) > 1000
+    assert (ask > bid).all()
+
+
+def test_no_ticks_land_on_a_weekend():
+    time_ns, _, _ = tr.synth.generate_ticks(**NINE_DAYS)
+    weekday = pd.DatetimeIndex(time_ns.astype("datetime64[ns]")).dayofweek
+    assert set(weekday) == {0, 1, 2, 3, 4}
+
+
+def test_day_count_covers_the_requested_window_minus_weekends():
+    time_ns, _, _ = tr.synth.generate_ticks(**NINE_DAYS)
+    days = np.unique(time_ns.astype("datetime64[ns]").astype("datetime64[D]"))
+    expected = np.array(["2024-01-01", "2024-01-02", "2024-01-03", "2024-01-04",
+                         "2024-01-05", "2024-01-08", "2024-01-09"], "datetime64[D]")
+    np.testing.assert_array_equal(days, expected)
+
+
+def test_ticks_stay_inside_the_22h_session():
+    time_ns, _, _ = tr.synth.generate_ticks(**NINE_DAYS)
+    seconds_into_day = (time_ns % (86_400 * 10**9)) / 10**9
+    assert seconds_into_day.max() < 22 * 3600
+    assert seconds_into_day.max() > 20 * 3600, "session barely used -- fixture too thin"
+
+
+def test_same_seed_reproduces_the_same_ticks():
+    kwargs = dict(days=3, ticks_per_day=2000, seed=11)
+    for first, second in zip(tr.synth.generate_ticks(**kwargs),
+                             tr.synth.generate_ticks(**kwargs)):
+        np.testing.assert_array_equal(first, second)
+
+
+def test_different_seeds_produce_different_ticks():
+    _, bid_a, _ = tr.synth.generate_ticks(days=3, ticks_per_day=2000, seed=11)
+    _, bid_b, _ = tr.synth.generate_ticks(days=3, ticks_per_day=2000, seed=12)
+    assert len(bid_a) != len(bid_b) or not np.array_equal(bid_a, bid_b)
+
+
+def test_weekend_only_window_raises_a_clear_error():
+    with pytest.raises(ValueError, match="no weekdays"):
+        tr.synth.generate_ticks(days=2, start="2024-01-06")  # Sat + Sun