danielmjrr
160ed2f948
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.
61 lines
2.3 KiB
Python
61 lines
2.3 KiB
Python
"""Synthetic ticks stand in for broker data, so their invariants have to hold."""
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import numpy as np
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import pandas as pd
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import pytest
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import tickreplay as tr
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# 2024-01-01 is a Monday, so a 9-day window spans exactly one weekend
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NINE_DAYS = dict(days=9, ticks_per_day=2000, start="2024-01-01", seed=2)
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def test_time_never_goes_backwards():
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time_ns, _, _ = tr.synth.generate_ticks(days=5, ticks_per_day=3000, seed=1)
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assert len(time_ns) > 1000
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assert (np.diff(time_ns) >= 0).all()
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def test_ask_is_always_above_bid():
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_, bid, ask = tr.synth.generate_ticks(days=5, ticks_per_day=3000, seed=1)
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assert len(bid) > 1000
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assert (ask > bid).all()
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def test_no_ticks_land_on_a_weekend():
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time_ns, _, _ = tr.synth.generate_ticks(**NINE_DAYS)
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weekday = pd.DatetimeIndex(time_ns.astype("datetime64[ns]")).dayofweek
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assert set(weekday) == {0, 1, 2, 3, 4}
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def test_day_count_covers_the_requested_window_minus_weekends():
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time_ns, _, _ = tr.synth.generate_ticks(**NINE_DAYS)
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days = np.unique(time_ns.astype("datetime64[ns]").astype("datetime64[D]"))
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expected = np.array(["2024-01-01", "2024-01-02", "2024-01-03", "2024-01-04",
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"2024-01-05", "2024-01-08", "2024-01-09"], "datetime64[D]")
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np.testing.assert_array_equal(days, expected)
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def test_ticks_stay_inside_the_22h_session():
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time_ns, _, _ = tr.synth.generate_ticks(**NINE_DAYS)
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seconds_into_day = (time_ns % (86_400 * 10**9)) / 10**9
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assert seconds_into_day.max() < 22 * 3600
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assert seconds_into_day.max() > 20 * 3600, "session barely used -- fixture too thin"
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def test_same_seed_reproduces_the_same_ticks():
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kwargs = dict(days=3, ticks_per_day=2000, seed=11)
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for first, second in zip(tr.synth.generate_ticks(**kwargs),
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tr.synth.generate_ticks(**kwargs)):
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np.testing.assert_array_equal(first, second)
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def test_different_seeds_produce_different_ticks():
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_, bid_a, _ = tr.synth.generate_ticks(days=3, ticks_per_day=2000, seed=11)
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_, bid_b, _ = tr.synth.generate_ticks(days=3, ticks_per_day=2000, seed=12)
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assert len(bid_a) != len(bid_b) or not np.array_equal(bid_a, bid_b)
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def test_weekend_only_window_raises_a_clear_error():
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with pytest.raises(ValueError, match="no weekdays"):
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tr.synth.generate_ticks(days=2, start="2024-01-06") # Sat + Sun
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