initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
Includes core prod + GREEN/BLUE subsystems: - prod/ (BLUE harness, configs, scripts, docs) - nautilus_dolphin/ (GREEN Nautilus-native impl + dvae/ preserved) - adaptive_exit/ (AEM engine + models/bucket_assignments.pkl) - Observability/ (EsoF advisor, TUI, dashboards) - external_factors/ (EsoF producer) - mc_forewarning_qlabs_fork/ (MC regime/envelope) Excludes runtime caches, logs, backups, and reproducible artifacts per .gitignore.
This commit is contained in:
hjnormey
392
prod/test_deribit_fix.py
Executable file
392
prod/test_deribit_fix.py
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#!/usr/bin/env python3
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"""
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DERIBIT API FIX - UNIT TESTS WITH CONTROL VALUES
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================================================
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Control Values are historical known-good data points for validation.
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=== MARCH 2026 CONTROL VALUES (from 2026-03-19 12:00 UTC) ===
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- DVOL BTC: 54.88
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- DVOL ETH: 79.13
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- Funding BTC: 2.7150135764992048e-06
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- Funding ETH: -8.348741006833234e-07
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=== MID-FEBRUARY 2026 CONTROL VALUES (from 2026-02-15 12:00 UTC) ===
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- Funding BTC: 0.0001770952404538274 (17.7 bps - high funding period)
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- Funding ETH: -4.402918249409541e-06 (-0.44 bps - negative funding)
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Note: DVOL historical data has limited retention. Tests use March 2026
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as primary control, with range validation for current values.
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=== CURRENT VALID RANGES ===
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- DVOL BTC: 30.0 - 150.0 (typical BTC volatility range)
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- DVOL ETH: 40.0 - 200.0 (ETH typically higher vol than BTC)
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- Funding: -0.001 to +0.001 (-100 bps to +100 bps)
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These tests verify:
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1. URL builder generates correct timestamps
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2. Parsers extract correct values from API response format
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3. Values match known control values within tolerance
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4. Current values fall within expected ranges
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"""
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import unittest
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import json
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import time
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from datetime import datetime, timezone
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import sys
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from pathlib import Path
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# Add parent to path
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sys.path.insert(0, str(Path(__file__).parent))
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sys.path.insert(0, str(Path(__file__).parent.parent / "external_factors"))
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from realtime_exf_service import RealTimeExFService, Parsers, INDICATORS
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# === CONTROL VALUES FROM KNOWN HISTORICAL DATA ===
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# March 19, 2026 12:00 UTC (verified from API)
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CONTROL_VALUES_MAR_2026 = {
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'timestamp': 1773931200,
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'date': '2026-03-19T12:00:00+00:00',
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'dvol_btc': 54.88,
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'dvol_eth': 79.13,
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'fund_dbt_btc': 2.7150135764992048e-06,
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'fund_dbt_eth': -8.348741006833234e-07,
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}
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# February 15, 2026 12:00 UTC (verified from API)
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CONTROL_VALUES_FEB_2026 = {
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'timestamp': 1739611200,
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'date': '2026-02-15T12:00:00+00:00',
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'fund_dbt_btc': 0.0001770952404538274, # 17.7 bps - elevated funding
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'fund_dbt_eth': -4.402918249409541e-06, # -0.44 bps - negative funding
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}
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# Valid ranges for sanity checks
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VALID_RANGES = {
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'dvol_btc': (30.0, 150.0), # BTC vol typically 30-150%
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'dvol_eth': (40.0, 200.0), # ETH vol typically 40-200%
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'fund_dbt_btc': (-0.001, 0.001), # -100 bps to +100 bps
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'fund_dbt_eth': (-0.001, 0.001), # -100 bps to +100 bps
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}
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# Mock API responses
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MOCK_DVOL_RESPONSE_MAR_2026 = {
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"jsonrpc": "2.0",
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"result": {
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"data": [
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[1773931140000, 54.87, 54.87, 54.86, 54.86], # 11:59
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[1773931200000, 54.87, 54.88, 54.87, CONTROL_VALUES_MAR_2026['dvol_btc']], # 12:00
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[1773931260000, 54.88, 54.88, 54.88, CONTROL_VALUES_MAR_2026['dvol_btc']], # 12:01
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],
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"status": "ok"
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},
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"usIn": 1773931200000000,
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"usOut": 1773931200000100,
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"usDiff": 100
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}
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MOCK_FUNDING_RESPONSE_MAR_2026 = {
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"jsonrpc": "2.0",
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"result": CONTROL_VALUES_MAR_2026['fund_dbt_btc'],
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"usIn": 1773931200000000,
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"usOut": 1773931200000100,
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"usDiff": 100
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}
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MOCK_FUNDING_RESPONSE_FEB_2026 = {
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"jsonrpc": "2.0",
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"result": CONTROL_VALUES_FEB_2026['fund_dbt_btc'],
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"usIn": 1739611200000000,
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"usOut": 1739611200000100,
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"usDiff": 100
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}
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class TestDeribitURLBuilder(unittest.TestCase):
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"""Test the _build_deribit_url method."""
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def setUp(self):
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self.svc = RealTimeExFService()
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def test_dvol_btc_url_structure(self):
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"""DVOL BTC URL should contain required parameters."""
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url = self.svc._build_deribit_url('dvol:BTC')
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self.assertIn('currency=BTC', url)
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self.assertIn('resolution=60', url)
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self.assertIn('start_timestamp=', url)
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self.assertIn('end_timestamp=', url)
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self.assertIn('get_volatility_index_data', url)
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def test_dvol_eth_url_structure(self):
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"""DVOL ETH URL should contain ETH parameter."""
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url = self.svc._build_deribit_url('dvol:ETH')
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self.assertIn('currency=ETH', url)
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self.assertIn('get_volatility_index_data', url)
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def test_funding_btc_url_structure(self):
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"""Funding BTC URL should contain instrument name."""
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url = self.svc._build_deribit_url('funding:BTC-PERPETUAL')
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self.assertIn('instrument_name=BTC-PERPETUAL', url)
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self.assertIn('get_funding_rate_value', url)
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self.assertIn('start_timestamp=', url)
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self.assertIn('end_timestamp=', url)
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def test_timestamp_range(self):
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"""Timestamps should bracket a reasonable time window."""
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url = self.svc._build_deribit_url('dvol:BTC')
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# Extract timestamps
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import re
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start_match = re.search(r'start_timestamp=(\d+)', url)
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end_match = re.search(r'end_timestamp=(\d+)', url)
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self.assertIsNotNone(start_match)
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self.assertIsNotNone(end_match)
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start_ts = int(start_match.group(1))
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end_ts = int(end_match.group(1))
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# End should be after start
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self.assertGreater(end_ts, start_ts)
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# Window should be approximately 2 hours for DVOL
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window_ms = end_ts - start_ts
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self.assertAlmostEqual(window_ms, 7200 * 1000, delta=60000) # ±1 minute
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def test_funding_window_24h(self):
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"""Funding URL should use 24-hour window."""
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url = self.svc._build_deribit_url('funding:BTC-PERPETUAL')
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import re
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start_match = re.search(r'start_timestamp=(\d+)', url)
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end_match = re.search(r'end_timestamp=(\d+)', url)
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start_ts = int(start_match.group(1))
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end_ts = int(end_match.group(1))
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# Window should be approximately 24 hours
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window_ms = end_ts - start_ts
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self.assertAlmostEqual(window_ms, 86400 * 1000, delta=60000)
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class TestDeribitParsersMarch2026(unittest.TestCase):
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"""Test parsers against March 2026 control values."""
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def test_parse_dvol_btc_march_control(self):
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"""Parser should extract March 2026 control value 54.88."""
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result = Parsers.parse_deribit_dvol(MOCK_DVOL_RESPONSE_MAR_2026)
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self.assertIsInstance(result, float)
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self.assertAlmostEqual(
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result,
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CONTROL_VALUES_MAR_2026['dvol_btc'],
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places=2,
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msg=f"Expected {CONTROL_VALUES_MAR_2026['dvol_btc']}, got {result}"
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)
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def test_parse_dvol_eth_march_control(self):
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"""Parser should extract March 2026 ETH control value 79.13."""
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# Modify mock for ETH
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mock_eth = json.loads(json.dumps(MOCK_DVOL_RESPONSE_MAR_2026))
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mock_eth['result']['data'] = [
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[1773931200000, 79.10, 79.15, 79.10, CONTROL_VALUES_MAR_2026['dvol_eth']]
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]
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result = Parsers.parse_deribit_dvol(mock_eth)
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self.assertIsInstance(result, float)
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self.assertAlmostEqual(
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result,
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CONTROL_VALUES_MAR_2026['dvol_eth'],
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places=1
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)
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def test_parse_funding_btc_march_control(self):
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"""Parser should extract March 2026 funding control value."""
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result = Parsers.parse_deribit_fund(MOCK_FUNDING_RESPONSE_MAR_2026)
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self.assertIsInstance(result, float)
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self.assertAlmostEqual(
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result,
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CONTROL_VALUES_MAR_2026['fund_dbt_btc'],
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places=15
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)
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def test_parse_funding_btc_feb_control(self):
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"""Parser should extract February 2026 funding control value (17.7 bps)."""
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result = Parsers.parse_deribit_fund(MOCK_FUNDING_RESPONSE_FEB_2026)
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self.assertIsInstance(result, float)
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self.assertAlmostEqual(
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result,
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CONTROL_VALUES_FEB_2026['fund_dbt_btc'],
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places=15
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)
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# Verify it's in the elevated range (positive funding = shorts pay longs)
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self.assertGreater(result, 0.0001) # > 10 bps
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class TestDeribitParsersEdgeCases(unittest.TestCase):
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"""Test parser edge cases and error handling."""
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def test_parse_dvol_empty_response(self):
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"""Parser should return 0.0 for empty response."""
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result = Parsers.parse_deribit_dvol({})
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self.assertEqual(result, 0.0)
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def test_parse_dvol_no_data(self):
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"""Parser should return 0.0 when no data array."""
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result = Parsers.parse_deribit_dvol({"result": {"data": []}})
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self.assertEqual(result, 0.0)
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def test_parse_dvol_missing_result(self):
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"""Parser should return 0.0 when result missing."""
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result = Parsers.parse_deribit_dvol({"error": "some_error"})
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self.assertEqual(result, 0.0)
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def test_parse_funding_scalar_result(self):
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"""Parser should handle scalar (non-array) result."""
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mock = {"result": 0.00001}
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result = Parsers.parse_deribit_fund(mock)
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self.assertEqual(result, 0.00001)
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def test_parse_funding_list_result(self):
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"""Parser should handle list result with interest_8h field."""
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mock = {"result": [{"interest_8h": 0.00002}]}
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result = Parsers.parse_deribit_fund(mock)
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self.assertEqual(result, 0.00002)
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def test_parse_funding_empty(self):
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"""Parser should return 0.0 for empty funding response."""
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result = Parsers.parse_deribit_fund({})
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self.assertEqual(result, 0.0)
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class TestIndicatorConfig(unittest.TestCase):
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"""Test that indicator metadata is correctly configured."""
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def test_dvol_btc_config(self):
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"""DVOL BTC should have correct metadata."""
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meta = INDICATORS['dvol_btc']
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self.assertEqual(meta.name, 'dvol_btc')
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self.assertEqual(meta.source, 'deribit')
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self.assertTrue(meta.url.startswith('dvol:'))
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self.assertEqual(meta.parser, 'parse_deribit_dvol')
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self.assertTrue(meta.acb_critical)
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self.assertEqual(meta.optimal_lag_days, 1)
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def test_dvol_eth_config(self):
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"""DVOL ETH should have correct metadata."""
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meta = INDICATORS['dvol_eth']
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self.assertEqual(meta.name, 'dvol_eth')
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self.assertTrue(meta.url.startswith('dvol:'))
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self.assertTrue(meta.acb_critical)
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def test_funding_btc_config(self):
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"""Funding BTC should have correct metadata."""
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meta = INDICATORS['fund_dbt_btc']
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self.assertEqual(meta.name, 'fund_dbt_btc')
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self.assertTrue(meta.url.startswith('funding:'))
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def test_all_deribit_indicators_exist(self):
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"""All expected Deribit indicators should be configured."""
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expected = ['dvol_btc', 'dvol_eth', 'fund_dbt_btc', 'fund_dbt_eth']
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for ind in expected:
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self.assertIn(ind, INDICATORS)
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self.assertEqual(INDICATORS[ind].source, 'deribit')
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class TestLiveAPIRanges(unittest.TestCase):
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"""Live API tests - validates current values are in expected ranges."""
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def test_live_dvol_in_valid_range(self):
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"""Live DVOL should be in valid range (30-150 for BTC)."""
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import os
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if os.environ.get('RUN_LIVE_TESTS') != '1':
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self.skipTest("Set RUN_LIVE_TESTS=1 to run live tests")
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import aiohttp
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import asyncio
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async def fetch():
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svc = RealTimeExFService()
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url = svc._build_deribit_url('dvol:BTC')
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async with aiohttp.ClientSession() as session:
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async with session.get(url) as resp:
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self.assertEqual(resp.status, 200)
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data = await resp.json()
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value = Parsers.parse_deribit_dvol(data)
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# Validate range
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min_val, max_val = VALID_RANGES['dvol_btc']
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self.assertGreaterEqual(value, min_val)
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self.assertLessEqual(value, max_val)
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return value
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value = asyncio.run(fetch())
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print(f"\nLive DVOL BTC: {value} (valid range: {VALID_RANGES['dvol_btc']})")
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def test_live_funding_in_valid_range(self):
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"""Live funding should be in valid range (-0.001 to +0.001)."""
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import os
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if os.environ.get('RUN_LIVE_TESTS') != '1':
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self.skipTest("Set RUN_LIVE_TESTS=1 to run live tests")
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import aiohttp
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import asyncio
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async def fetch():
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svc = RealTimeExFService()
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url = svc._build_deribit_url('funding:BTC-PERPETUAL')
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async with aiohttp.ClientSession() as session:
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async with session.get(url) as resp:
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data = await resp.json()
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value = Parsers.parse_deribit_fund(data)
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min_val, max_val = VALID_RANGES['fund_dbt_btc']
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self.assertGreaterEqual(value, min_val)
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self.assertLessEqual(value, max_val)
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return value
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value = asyncio.run(fetch())
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print(f"\nLive Funding BTC: {value}")
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def run_tests():
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"""Run all tests."""
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loader = unittest.TestLoader()
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suite = unittest.TestSuite()
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# Add all test classes
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suite.addTests(loader.loadTestsFromTestCase(TestDeribitURLBuilder))
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suite.addTests(loader.loadTestsFromTestCase(TestDeribitParsersMarch2026))
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suite.addTests(loader.loadTestsFromTestCase(TestDeribitParsersEdgeCases))
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suite.addTests(loader.loadTestsFromTestCase(TestIndicatorConfig))
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# Skip live tests by default
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# suite.addTests(loader.loadTestsFromTestCase(TestLiveAPIRanges))
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runner = unittest.TextTestRunner(verbosity=2)
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result = runner.run(suite)
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return result.wasSuccessful()
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if __name__ == '__main__':
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success = run_tests()
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sys.exit(0 if success else 1)
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Reference in New Issue
Block a user