99 lines
3.8 KiB
Python
99 lines
3.8 KiB
Python
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from __future__ import annotations
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import sys
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import tempfile
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import unittest
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from argparse import Namespace
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from pathlib import Path
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import pandas as pd
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TRAINING_ROOT = Path(__file__).resolve().parents[1]
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if str(TRAINING_ROOT) not in sys.path:
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sys.path.insert(0, str(TRAINING_ROOT))
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from trader_training.io_utils import write_json
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from trader_training.labels import build_continue_exit_risk_labels
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class ContinueLabelsTest(unittest.TestCase):
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def test_continue_label_uses_first_price_plan_barrier_not_later_mae(self) -> None:
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with tempfile.TemporaryDirectory() as tmp:
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data_root = Path(tmp)
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run_root = data_root / "trader-v4" / "runs" / "unit-continue"
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feature_path = run_root / "feature" / "feature_frame.parquet"
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replay_path = run_root / "replay" / "replay_1m.parquet"
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plan_path = run_root / "label" / "price_plan_context.json"
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config_path = data_root / "label_config.json"
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feature_path.parent.mkdir(parents=True)
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replay_path.parent.mkdir(parents=True)
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plan_path.parent.mkdir(parents=True)
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times = pd.date_range("2026-01-01", periods=5, freq="min", tz="UTC")
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pd.DataFrame(
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{
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"sample_id": ["s0"],
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"symbol": "BTC-USDT-PERP",
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"event_time": [times[0]],
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"open_time_ms": [0],
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"split_id": ["fit_inner"],
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"walk_forward_fold": [0],
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"data_quality_flag": ["OK"],
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"spread_bps": [1.0],
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"spread_rank_24h_pct": [0.1],
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"realized_vol_15m_bps": [2.0],
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}
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).to_parquet(feature_path, index=False)
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pd.DataFrame(
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{
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"event_time": times,
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"open_time_ms": [0, 60_000, 120_000, 180_000, 240_000],
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"symbol": "BTC-USDT-PERP",
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"open": [100.0, 100.0, 100.0, 100.0, 100.0],
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"high": [100.0, 100.30, 100.0, 100.0, 100.0],
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"low": [100.0, 100.0, 99.80, 100.0, 100.0],
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"close": [100.0, 100.10, 100.0, 100.0, 100.0],
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"spread_bps": [1.0, 1.1, 1.2, 1.3, 1.4],
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}
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).to_parquet(replay_path, index=False)
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write_json(
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config_path,
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{
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"continue": {"horizon_minutes": 3, "min_expected_continue_edge_bps": 5.0},
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"entry": {"target_bps": 20.0, "stop_bps": 8.0, "max_hold_minutes": 3},
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},
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)
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write_json(
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plan_path,
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{
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"pricePlanId": "unit-plan",
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"pricePlanConfigHash": "unit-hash",
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"targetDistanceBps": 20.0,
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"stopDistanceBps": 8.0,
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"maxHoldMinutes": 3,
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"costBps": 6.5,
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"entryLabelMethod": "PRICE_PLAN_OUTCOME_V1",
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},
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)
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build_continue_exit_risk_labels(
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Namespace(
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data_root=data_root,
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run_id="unit-continue",
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feature_path=feature_path,
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replay_path=replay_path,
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label_config_path=config_path,
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cost_config_path=None,
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price_plan_context_path=plan_path,
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)
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)
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labels = pd.read_parquet(run_root / "label" / "continue_labels.parquet")
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row = labels.iloc[0]
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self.assertEqual(1, int(row["long_continue_target"]))
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self.assertAlmostEqual(13.5, float(row["long_expected_continue_edge_bps"]), places=6)
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if __name__ == "__main__":
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unittest.main()
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