siloqy/prod/clean_arch/violet/test_violet_exchange_leverage.py

from __future__ import annotations

import json
from datetime import datetime, timezone
from pathlib import Path

import numpy as np
import pytest
from hypothesis import given, settings, strategies as st
from pydantic import ValidationError

from prod.clean_arch.violet.exchange_leverage import (
    CONVICTION_MAX,
    CONVICTION_MIN,
    EXCHANGE_LEV_MAX,
    EXCHANGE_LEV_MIN,
    ExchangeLeverageDecision,
    VioletExchangeLeverage,
)
from prod.bingx import leverage as bingx_leverage

REPORTS_DIR = Path("/mnt/dolphinng5_predict/prod/VIOLET_dev/reports")


def _write_gate_report(name: str, **fields):
    REPORTS_DIR.mkdir(parents=True, exist_ok=True)
    ts = datetime.now(timezone.utc).strftime("%Y%m%d_%H%M%S")
    payload = {
        "generated_utc": datetime.now(timezone.utc).isoformat(),
        "layer": f"violet_v3_{name}",
        **fields,
    }
    path = REPORTS_DIR / f"violet_v3_{name}_{ts}.json"
    path.write_text(json.dumps(payload, indent=2, default=str))
    return path


def _wrapper(exchange_min: int = EXCHANGE_LEV_MIN, exchange_max: int = EXCHANGE_LEV_MAX) -> VioletExchangeLeverage:
    return VioletExchangeLeverage(exchange_min=exchange_min, exchange_max=exchange_max)


def test_defaults_and_constants_match_blue_module():
    w = _wrapper()
    assert w.exchange_min == 1
    assert w.exchange_max == 3
    assert CONVICTION_MIN == bingx_leverage.CONVICTION_MIN
    assert CONVICTION_MAX == bingx_leverage.CONVICTION_MAX
    assert EXCHANGE_LEV_MIN == bingx_leverage.EXCHANGE_LEV_MIN
    assert EXCHANGE_LEV_MAX == bingx_leverage.EXCHANGE_LEV_MAX


def test_endpoints_map_cleanly():
    w = _wrapper()
    assert w.map_target(0.5) == 1.0
    assert w.map_target(9.0) == 3.0
    assert w.normalize(1.0) == 1
    assert w.normalize(3.0) == 3


def test_round_half_even_boundary_cases():
    w = _wrapper()
    low = 0.5 + ((1.5 - 1.0) / (3.0 - 1.0)) * (9.0 - 0.5)
    high = 0.5 + ((2.5 - 1.0) / (3.0 - 1.0)) * (9.0 - 0.5)
    assert w.map_target(low) == pytest.approx(1.5)
    assert w.map_target(high) == pytest.approx(2.5)
    assert w.normalize(w.map_target(low)) == 2
    assert w.normalize(w.map_target(high)) == 2
    assert w.to_exchange(low).exchange_leverage == 2
    assert w.to_exchange(high).exchange_leverage == 2


@pytest.mark.parametrize("conviction", [-10.0, -1.0, 0.0, 0.49, 9.1, 64.0])
@pytest.mark.parametrize("exchange_max", [1, 2, 3, 5, 9])
def test_out_of_range_clamps_like_blue(conviction, exchange_max):
    w = _wrapper(exchange_max=exchange_max)
    assert w.map_target(conviction) == bingx_leverage.map_internal_conviction_to_exchange_leverage_target(
        conviction,
        exchange_min=1,
        exchange_max=exchange_max,
    )
    assert w.normalize(conviction) == bingx_leverage.normalize_bingx_leverage_value(
        conviction,
        exchange_min=1,
        exchange_max=exchange_max,
    )
    assert w.to_exchange(conviction).exchange_leverage == bingx_leverage.map_internal_conviction_to_exchange_leverage(
        conviction,
        exchange_min=1,
        exchange_max=exchange_max,
    )


@pytest.mark.parametrize("exchange_max", [5, 9])
def test_non_default_exchange_max_flows_through(exchange_max):
    w = _wrapper(exchange_max=exchange_max)
    conviction = 6.25
    decision = w.to_exchange(conviction)
    assert decision.exchange_min == 1
    assert decision.exchange_max == exchange_max
    assert decision.target_exchange_leverage == bingx_leverage.map_internal_conviction_to_exchange_leverage_target(
        conviction, exchange_min=1, exchange_max=exchange_max
    )
    assert decision.exchange_leverage == bingx_leverage.map_internal_conviction_to_exchange_leverage(
        conviction, exchange_min=1, exchange_max=exchange_max
    )


def test_exchange_leverage_decision_is_frozen():
    d = ExchangeLeverageDecision(
        internal_conviction=1.5,
        target_exchange_leverage=1.25,
        exchange_leverage=1,
        exchange_min=1,
        exchange_max=3,
    )
    with pytest.raises(ValidationError):
        d.exchange_leverage = 2


@given(
    conviction=st.floats(min_value=-5.0, max_value=64.0, allow_nan=False, allow_infinity=False),
    exchange_max=st.sampled_from([1, 2, 3, 5, 9]),
)
@settings(max_examples=200, deadline=None)
def test_property_bit_identity(conviction, exchange_max):
    w = _wrapper(exchange_max=exchange_max)
    target = w.map_target(conviction)
    blue_target = bingx_leverage.map_internal_conviction_to_exchange_leverage_target(
        conviction,
        exchange_min=1,
        exchange_max=exchange_max,
    )
    assert target == blue_target
    final = w.to_exchange(conviction)
    blue_final = bingx_leverage.map_internal_conviction_to_exchange_leverage(
        conviction,
        exchange_min=1,
        exchange_max=exchange_max,
    )
    assert final.target_exchange_leverage == blue_target
    assert final.exchange_leverage == blue_final
    assert isinstance(final.exchange_leverage, int)
    assert 1 <= final.exchange_leverage <= exchange_max


@pytest.mark.gate
def test_gate_exchange_leverage_bit_identity():
    rng = np.random.default_rng(0)
    n = 1_000_000
    conviction = rng.uniform(-1.0, 64.0, n)
    exchange_max = rng.choice(np.array([1, 2, 3, 5, 9], dtype=np.int64), n)

    violet = np.empty(n, dtype=np.int64)
    blue = np.empty(n, dtype=np.int64)
    violet_target = np.empty(n, dtype=np.float64)
    blue_target = np.empty(n, dtype=np.float64)

    w_cache: dict[int, VioletExchangeLeverage] = {}
    for i in range(n):
        ex_max = int(exchange_max[i])
        w = w_cache.get(ex_max)
        if w is None:
            w = w_cache[ex_max] = _wrapper(exchange_max=ex_max)
        conv = float(conviction[i])
        violet_target[i] = w.map_target(conv)
        violet[i] = w.to_exchange(conv).exchange_leverage
        blue_target[i] = bingx_leverage.map_internal_conviction_to_exchange_leverage_target(
            conv, exchange_min=1, exchange_max=ex_max
        )
        blue[i] = bingx_leverage.map_internal_conviction_to_exchange_leverage(
            conv, exchange_min=1, exchange_max=ex_max
        )

    target_mismatches = int(np.count_nonzero(violet_target != blue_target))
    final_mismatches = int(np.count_nonzero(violet != blue))
    total_mismatches = target_mismatches + final_mismatches
    _write_gate_report(
        "exchange_leverage",
        N=n,
        target_mismatches=target_mismatches,
        final_mismatches=final_mismatches,
        mismatches=total_mismatches,
        exchange_max_values=[1, 2, 3, 5, 9],
    )
    assert total_mismatches == 0