"""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