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Tags:
economics
quantitative-finance
causal-inference
macroeconomics
housing-economics
market-microstructure
License:
| from __future__ import annotations | |
| import asyncio | |
| import base64 | |
| import hashlib | |
| import json | |
| import os | |
| import subprocess | |
| from collections.abc import AsyncIterator | |
| from datetime import date | |
| from decimal import Decimal | |
| from pathlib import Path | |
| from types import SimpleNamespace | |
| import pytest | |
| from microstructure import cli as cli_module | |
| from microstructure.cli import main | |
| from microstructure.data.binance import CapturedDepth, RawDepthFrame | |
| from microstructure.data.book import BookSnapshot, DepthDelta | |
| from microstructure.data.storage import write_source_manifest | |
| from microstructure.m8_acquisition import M8AcquisitionFailureResult | |
| from microstructure.m8_l2_capture import M8L2VerificationError | |
| from microstructure.provenance import read_json, sha256_file, utc_now_iso | |
| PROJECT_ROOT = Path(__file__).parents[1] | |
| def _captured_depth( | |
| *, | |
| sequence: int, | |
| continuity_id: str, | |
| event_ts_ns: int, | |
| ) -> CapturedDepth: | |
| raw_payload = json.dumps( | |
| {"continuity_id": continuity_id, "sequence": sequence}, | |
| separators=(",", ":"), | |
| ) | |
| return CapturedDepth( | |
| raw_payload=raw_payload, | |
| delta=DepthDelta( | |
| venue="binance_spot", | |
| symbol="BTCUSDT", | |
| event_ts_ns=event_ts_ns, | |
| received_ts_ns=event_ts_ns + 100, | |
| available_ts_ns=event_ts_ns + 100, | |
| availability_basis="local_receive_time", | |
| capture_seq=sequence, | |
| continuity_id=continuity_id, | |
| first_update_id=sequence, | |
| last_update_id=sequence, | |
| previous_update_id=sequence - 1, | |
| bids=((10_000, 10 + sequence),), | |
| asks=(), | |
| tick_size=0.01, | |
| lot_size=0.001, | |
| source_artifact_id=hashlib.sha256(raw_payload.encode()).hexdigest(), | |
| ), | |
| ) | |
| def _preserved_snapshot( | |
| *, | |
| output_root: Path, | |
| continuity_id: str, | |
| last_update_id: int, | |
| received_ts_ns: int, | |
| ) -> BookSnapshot: | |
| payload = json.dumps( | |
| { | |
| "asks": [["100.02", "0.010"]], | |
| "bids": [["100.00", "0.010"]], | |
| "lastUpdateId": last_update_id, | |
| }, | |
| separators=(",", ":"), | |
| sort_keys=True, | |
| ).encode() | |
| digest = hashlib.sha256(payload).hexdigest() | |
| raw_path = ( | |
| output_root / "raw" / "binance_spot" / "depth_snapshots" / "BTCUSDT" / f"{digest}.json" | |
| ) | |
| raw_path.parent.mkdir(parents=True, exist_ok=True) | |
| raw_path.write_bytes(payload) | |
| write_source_manifest( | |
| raw_path, | |
| source="binance_spot_public_api", | |
| source_uri="https://example.invalid/api/v3/depth", | |
| downloaded_at_utc=utc_now_iso(), | |
| requested_start_ns=None, | |
| requested_end_ns=None, | |
| ) | |
| return BookSnapshot( | |
| venue="binance_spot", | |
| symbol="BTCUSDT", | |
| snapshot_id=digest, | |
| request_ts_ns=received_ts_ns - 100, | |
| received_ts_ns=received_ts_ns, | |
| available_ts_ns=received_ts_ns, | |
| continuity_id=continuity_id, | |
| last_update_id=last_update_id, | |
| depth_limit=100, | |
| bids=((10_000, 10),), | |
| asks=((10_002, 10),), | |
| tick_size=0.01, | |
| lot_size=0.001, | |
| source_artifact_id=digest, | |
| ) | |
| def test_cli_help_and_version_are_available(capsys: object) -> None: | |
| try: | |
| main(["--help"]) | |
| except SystemExit as error: | |
| assert error.code == 0 | |
| def test_validate_command_runs_offline(capsys: object) -> None: | |
| exit_code = main(["validate", "--config", str(PROJECT_ROOT / "configs" / "smoke.toml")]) | |
| assert exit_code == 0 | |
| def _mock_m8_config(*, allow_quality_warnings: bool = False) -> SimpleNamespace: | |
| return SimpleNamespace( | |
| periods=(SimpleNamespace(), SimpleNamespace()), | |
| study=SimpleNamespace( | |
| symbols=("BTCUSDT", "ETHUSDT"), | |
| evidence_tier="FULL_DATA", | |
| ), | |
| quality=SimpleNamespace(allow_quality_warnings=allow_quality_warnings), | |
| ) | |
| def test_acquire_m8_command_prints_raw_only_authority_and_propagates_paths( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| config_path = tmp_path / "study.toml" | |
| output_root = tmp_path / "m8-data" | |
| manifest_path = output_root / "_manifests" / "m8-acquisition.manifest-aaaaaaaa.json" | |
| digest = "a" * 64 | |
| config = _mock_m8_config() | |
| result = SimpleNamespace( | |
| output_root=output_root.resolve(), | |
| manifest_path=manifest_path, | |
| manifest_sha256=digest, | |
| metadata_count=2, | |
| archive_count=8, | |
| total_raw_evidence_bytes=12_345, | |
| ) | |
| calls: list[tuple[object, Path]] = [] | |
| def fake_load(path: Path) -> object: | |
| assert path == config_path | |
| return config | |
| def fake_acquire(loaded: object, destination: Path) -> object: | |
| calls.append((loaded, destination)) | |
| return result | |
| monkeypatch.setattr(cli_module, "load_m8_config", fake_load) | |
| monkeypatch.setattr(cli_module, "acquire_m8_archives", fake_acquire) | |
| exit_code = main( | |
| [ | |
| "acquire-m8", | |
| "--config", | |
| str(config_path), | |
| "--output-root", | |
| str(output_root), | |
| ] | |
| ) | |
| assert exit_code == 0 | |
| assert calls == [(config, output_root.resolve())] | |
| assert json.loads(capsys.readouterr().out) == { | |
| "archives": 8, | |
| "csv_members_opened": False, | |
| "economic_fields_inspected": False, | |
| "metadata_responses": 2, | |
| "output_root": str(output_root.resolve()), | |
| "raw_manifest": str(manifest_path), | |
| "raw_manifest_sha256": digest, | |
| "scope": "raw_only", | |
| "status": "acquired", | |
| "total_raw_evidence_bytes": 12_345, | |
| } | |
| def test_acquire_m8_failure_is_reported_with_error_exit_code( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| monkeypatch.setattr(cli_module, "load_m8_config", lambda path: _mock_m8_config()) | |
| def fail_acquisition(config: object, root: Path) -> object: | |
| raise RuntimeError("archive authentication failed") | |
| monkeypatch.setattr(cli_module, "acquire_m8_archives", fail_acquisition) | |
| exit_code = main( | |
| [ | |
| "acquire-m8", | |
| "--config", | |
| str(tmp_path / "study.toml"), | |
| "--output-root", | |
| str(tmp_path / "data"), | |
| ] | |
| ) | |
| assert exit_code == 2 | |
| assert capsys.readouterr().err == "error: archive authentication failed\n" | |
| def test_acquire_m8_deterministic_failure_prints_json_and_exits_one( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| output_root = tmp_path / "data" | |
| attempt_dir = output_root / "_attempts" / f"m8-acquisition-attempt-{'a' * 20}" | |
| result = M8AcquisitionFailureResult( | |
| output_root=output_root, | |
| attempt_dir=attempt_dir, | |
| attempt_manifest_path=attempt_dir / "failure.json", | |
| attempt_manifest_sha256="a" * 64, | |
| checksums_path=attempt_dir / "checksums.sha256", | |
| checksums_sha256="b" * 64, | |
| terminal_path=attempt_dir / "INSUFFICIENT_DATA", | |
| reason_code="DECLARED_OBJECT_UNAVAILABLE", | |
| diagnostic="BinanceArchiveHTTPError: HTTP 404", | |
| failed_symbol="BTCUSDT", | |
| failed_date=date(2024, 1, 3), | |
| failed_role="train", | |
| completed_count=2, | |
| remaining_count=7, | |
| retained_inventory_sha256="c" * 64, | |
| retained_artifact_count=6, | |
| total_raw_evidence_bytes=1_234, | |
| manifest=None, # type: ignore[arg-type] | |
| ) | |
| monkeypatch.setattr(cli_module, "load_m8_config", lambda path: _mock_m8_config()) | |
| monkeypatch.setattr(cli_module, "acquire_m8_archives", lambda config, root: result) | |
| exit_code = main( | |
| [ | |
| "acquire-m8", | |
| "--config", | |
| str(tmp_path / "study.toml"), | |
| "--output-root", | |
| str(output_root), | |
| ] | |
| ) | |
| assert exit_code == 1 | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["status"] == "INSUFFICIENT_DATA" | |
| assert payload["reason_code"] == "DECLARED_OBJECT_UNAVAILABLE" | |
| assert payload["failed_symbol"] == "BTCUSDT" | |
| assert payload["failed_date"] == "2024-01-03" | |
| assert payload["failure_manifest_sha256"] == "a" * 64 | |
| assert payload["retained_inventory_sha256"] == "c" * 64 | |
| assert payload["csv_members_opened"] is False | |
| def test_reproduce_m8_propagates_explicit_manifest_coordinates_exactly( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| config_path = tmp_path / "study.toml" | |
| run_dir = tmp_path / "run" | |
| manifest_path = tmp_path / "data" / "_manifests" / "input.json" | |
| digest = "0123456789abcdef" * 4 | |
| config = _mock_m8_config() | |
| calls: list[tuple[object, Path, Path, str]] = [] | |
| def fake_reproduce( | |
| loaded: object, | |
| destination: Path, | |
| *, | |
| raw_manifest_path: Path, | |
| raw_manifest_sha256: str, | |
| ) -> SimpleNamespace: | |
| calls.append((loaded, destination, raw_manifest_path, raw_manifest_sha256)) | |
| return SimpleNamespace( | |
| path=run_dir, | |
| status="COMPLETE", | |
| raw_manifest_sha256=raw_manifest_sha256, | |
| normalized_manifest_sha256="f" * 64, | |
| ) | |
| bundle = SimpleNamespace( | |
| run_id="m8-unit", | |
| evidence_tier="FULL_DATA", | |
| observed_start_utc="2024-01-03T00:00:00Z", | |
| observed_end_utc="2024-01-06T23:59:59Z", | |
| ) | |
| monkeypatch.setattr(cli_module, "load_m8_config", lambda path: config) | |
| monkeypatch.setattr(cli_module, "reproduce_m8", fake_reproduce) | |
| monkeypatch.setattr(cli_module, "load_run_bundle", lambda path: bundle) | |
| exit_code = main( | |
| [ | |
| "reproduce-m8", | |
| "--config", | |
| str(config_path), | |
| "--run-dir", | |
| str(run_dir), | |
| "--raw-manifest", | |
| str(manifest_path), | |
| "--raw-manifest-sha256", | |
| digest, | |
| ] | |
| ) | |
| assert exit_code == 0 | |
| assert calls == [(config, run_dir, manifest_path, digest)] | |
| assert json.loads(capsys.readouterr().out) == { | |
| "evidence_tier": "FULL_DATA", | |
| "observed_end_utc": "2024-01-06T23:59:59Z", | |
| "observed_start_utc": "2024-01-03T00:00:00Z", | |
| "normalized_manifest_sha256": "f" * 64, | |
| "raw_manifest_sha256": digest, | |
| "run_dir": str(run_dir), | |
| "run_id": "m8-unit", | |
| "status": "COMPLETE", | |
| } | |
| def test_reproduce_m8_producer_failure_uses_error_exit_code( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| monkeypatch.setattr(cli_module, "load_m8_config", lambda path: _mock_m8_config()) | |
| def fail_producer(*args: object, **kwargs: object) -> Path: | |
| raise RuntimeError("locked production failed") | |
| monkeypatch.setattr(cli_module, "reproduce_m8", fail_producer) | |
| exit_code = main( | |
| [ | |
| "reproduce-m8", | |
| "--config", | |
| str(tmp_path / "study.toml"), | |
| "--run-dir", | |
| str(tmp_path / "run"), | |
| "--raw-manifest", | |
| str(tmp_path / "input.json"), | |
| "--raw-manifest-sha256", | |
| "c" * 64, | |
| ] | |
| ) | |
| assert exit_code == 2 | |
| assert capsys.readouterr().err == "error: locked production failed\n" | |
| def test_reproduce_m8_preserves_verified_insufficient_data_status( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| digest = "d" * 64 | |
| run_dir = tmp_path / "run" | |
| monkeypatch.setattr(cli_module, "load_m8_config", lambda path: _mock_m8_config()) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "reproduce_m8", | |
| lambda *args, **kwargs: SimpleNamespace( | |
| path=run_dir, | |
| status="INSUFFICIENT_DATA", | |
| raw_manifest_sha256=digest, | |
| normalized_manifest_sha256=None, | |
| ), | |
| ) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "load_run_bundle", | |
| lambda path: pytest.fail("an insufficient-data result is not a complete run bundle"), | |
| ) | |
| exit_code = main( | |
| [ | |
| "reproduce-m8", | |
| "--config", | |
| str(tmp_path / "study.toml"), | |
| "--run-dir", | |
| str(run_dir), | |
| "--raw-manifest", | |
| str(tmp_path / "raw.json"), | |
| "--raw-manifest-sha256", | |
| digest, | |
| ] | |
| ) | |
| assert exit_code == 1 | |
| assert json.loads(capsys.readouterr().out) == { | |
| "normalized_manifest_sha256": None, | |
| "raw_manifest_sha256": digest, | |
| "run_dir": str(run_dir), | |
| "status": "INSUFFICIENT_DATA", | |
| } | |
| def test_verify_m8_accepts_complete_or_insufficient_terminal_evidence( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| digest = "e" * 64 | |
| run_dir = tmp_path / "run" | |
| raw_manifest = tmp_path / "raw.json" | |
| config = _mock_m8_config() | |
| calls: list[tuple[object, Path, Path, str]] = [] | |
| def fake_verify( | |
| path: Path, | |
| observed_config: object, | |
| *, | |
| raw_manifest_path: Path, | |
| raw_manifest_sha256: str, | |
| ) -> SimpleNamespace: | |
| calls.append((observed_config, path, raw_manifest_path, raw_manifest_sha256)) | |
| return SimpleNamespace( | |
| path=run_dir, | |
| status="INSUFFICIENT_DATA", | |
| raw_manifest_sha256=digest, | |
| normalized_manifest_sha256=None, | |
| ) | |
| monkeypatch.setattr(cli_module, "load_m8_config", lambda path: config) | |
| monkeypatch.setattr(cli_module, "verify_m8_result", fake_verify) | |
| monkeypatch.setattr(cli_module, "verify_checksums", lambda path: 17) | |
| assert ( | |
| main( | |
| [ | |
| "verify-m8", | |
| "--config", | |
| str(tmp_path / "study.toml"), | |
| "--run-dir", | |
| str(run_dir), | |
| "--raw-manifest", | |
| str(raw_manifest), | |
| "--raw-manifest-sha256", | |
| digest, | |
| ] | |
| ) | |
| == 0 | |
| ) | |
| assert calls == [(config, run_dir, raw_manifest, digest)] | |
| assert json.loads(capsys.readouterr().out)["protected_files"] == 17 | |
| def test_report_m8_writes_self_contained_insufficient_report_outside_frozen_bundle( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| digest = "9" * 64 | |
| run_dir = tmp_path / "run" | |
| output_dir = tmp_path / "external-report" | |
| run_dir.mkdir() | |
| failure = { | |
| "failed_symbol": "ETHUSDT", | |
| "failed_date": "2024-01-04", | |
| "failed_role": "validation", | |
| "failure_stage": "development_normalization", | |
| "reason_code": "ARCHIVE_QUALITY_GATE", | |
| "reason": "53 temporal.long_silence warnings violated the frozen gate", | |
| "replacement_date_selected": False, | |
| "reselection_performed": False, | |
| "config_sha256": "a" * 64, | |
| "config_source_sha256": "b" * 64, | |
| "raw_acquisition_manifest_sha256": digest, | |
| "bundled_raw_acquisition_manifest_sha256": "c" * 64, | |
| "protocol_sha256": "d" * 64, | |
| "selection_started": False, | |
| "selection_completed_symbols": [], | |
| "aggregate_lock_committed": False, | |
| "held_out_member_opened": False, | |
| "endpoint_evaluation_started": False, | |
| "endpoint_evaluation_completed": False, | |
| "endpoint_evaluation_completed_symbols": [], | |
| "predictions_published": False, | |
| "endpoint_artifacts_published": False, | |
| "completed_normalizations": [{"symbol": "BTCUSDT", "date": "2024-01-03", "role": "train"}], | |
| "stopped_before": [ | |
| {"symbol": "BTCUSDT", "date": "2024-01-05", "role": "primary_test"}, | |
| {"symbol": "BTCUSDT", "date": "2024-01-06", "role": "replication_test"}, | |
| ], | |
| } | |
| provenance = { | |
| "git": { | |
| "commit": "e" * 40, | |
| "dirty": False, | |
| "source_tree_sha256": "f" * 64, | |
| } | |
| } | |
| run_manifest = { | |
| "research": {"endpoint_status": "insufficient_data"}, | |
| "execution_assumptions": { | |
| "status": "NOT_RUN", | |
| "fills_calculated": False, | |
| "pnl_calculated": False, | |
| "capacity_calculated": False, | |
| }, | |
| } | |
| for name, payload in ( | |
| ("failure.json", failure), | |
| ("provenance.json", provenance), | |
| ("run_manifest.json", run_manifest), | |
| ): | |
| (run_dir / name).write_text(json.dumps(payload), encoding="utf-8") | |
| bundled_before = {path.name: path.read_bytes() for path in run_dir.iterdir() if path.is_file()} | |
| monkeypatch.setattr(cli_module, "load_m8_config", lambda path: _mock_m8_config()) | |
| verification_calls: list[tuple[tuple[object, ...], dict[str, object]]] = [] | |
| def fake_verify(*args: object, **kwargs: object) -> object: | |
| verification_calls.append((args, kwargs)) | |
| return SimpleNamespace( | |
| path=run_dir, | |
| status="INSUFFICIENT_DATA", | |
| raw_manifest_sha256=digest, | |
| normalized_manifest_sha256=None, | |
| ) | |
| monkeypatch.setattr(cli_module, "verify_m8_result", fake_verify) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "write_report_set", | |
| lambda *args, **kwargs: pytest.fail("terminal failure report must not be rewritten"), | |
| ) | |
| assert ( | |
| main( | |
| [ | |
| "report-m8", | |
| "--config", | |
| str(tmp_path / "study.toml"), | |
| "--run-dir", | |
| str(run_dir), | |
| "--raw-manifest", | |
| str(tmp_path / "raw.json"), | |
| "--raw-manifest-sha256", | |
| digest, | |
| "--output-dir", | |
| str(output_dir), | |
| ] | |
| ) | |
| == 0 | |
| ) | |
| payload = json.loads(capsys.readouterr().out) | |
| report = output_dir / "insufficient_data.md" | |
| assert payload["report"] == str(report) | |
| assert payload["reports_regenerated"] is True | |
| assert payload["source_bundle_modified"] is False | |
| assert payload["report_sha256"] == sha256_file(report) | |
| rendered = report.read_text(encoding="utf-8") | |
| for expected in ( | |
| "2024-01-03` through `2024-01-06", | |
| "ETHUSDT", | |
| "2024-01-04", | |
| "validation", | |
| "ARCHIVE_QUALITY_GATE", | |
| "53 temporal.long_silence warnings", | |
| "Config semantic SHA-256", | |
| "Raw acquisition manifest SHA-256", | |
| "Git commit", | |
| "Git dirty: `false`", | |
| "Source-tree SHA-256", | |
| "Candidate selection started: `false`", | |
| "Held-out member opened: `false`", | |
| "Endpoint evaluation started: `false`", | |
| "Execution status: `NOT_RUN`", | |
| ): | |
| assert expected in rendered | |
| assert { | |
| path.name: path.read_bytes() for path in run_dir.iterdir() if path.is_file() | |
| } == bundled_before | |
| assert len(verification_calls) == 2 | |
| assert verification_calls[0] == verification_calls[1] | |
| def test_report_m8_rejects_output_inside_immutable_bundle( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| digest = "8" * 64 | |
| run_dir = tmp_path / "run" | |
| monkeypatch.setattr(cli_module, "load_m8_config", lambda path: _mock_m8_config()) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "verify_m8_result", | |
| lambda *args, **kwargs: SimpleNamespace( | |
| path=run_dir, | |
| status="INSUFFICIENT_DATA", | |
| raw_manifest_sha256=digest, | |
| normalized_manifest_sha256=None, | |
| ), | |
| ) | |
| exit_code = main( | |
| [ | |
| "report-m8", | |
| "--config", | |
| str(tmp_path / "study.toml"), | |
| "--run-dir", | |
| str(run_dir), | |
| "--raw-manifest", | |
| str(tmp_path / "raw.json"), | |
| "--raw-manifest-sha256", | |
| digest, | |
| "--output-dir", | |
| str(run_dir / "reports"), | |
| ] | |
| ) | |
| assert exit_code == 2 | |
| assert "outside the immutable run bundle" in capsys.readouterr().err | |
| def test_reproduce_m8_rejects_missing_or_noncanonical_manifest_coordinates( | |
| manifest_args: list[str], | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| monkeypatch.setattr( | |
| cli_module, | |
| "reproduce_m8", | |
| lambda *args, **kwargs: pytest.fail("producer must not run after argument failure"), | |
| ) | |
| with pytest.raises(SystemExit) as caught: | |
| main( | |
| [ | |
| "reproduce-m8", | |
| "--config", | |
| str(tmp_path / "study.toml"), | |
| "--run-dir", | |
| str(tmp_path / "run"), | |
| *manifest_args, | |
| ] | |
| ) | |
| assert caught.value.code == 2 | |
| def test_m8_make_targets_keep_reproduction_explicit_and_checks_offline() -> None: | |
| makefile = (PROJECT_ROOT / "Makefile").read_text(encoding="utf-8") | |
| reproduce_recipe = makefile.split("reproduce-m8:\n", maxsplit=1)[1].split( | |
| "\nverify-run:", maxsplit=1 | |
| )[0] | |
| assert 'test -n "$(M8_RAW_MANIFEST)"' in reproduce_recipe | |
| assert 'test -n "$(M8_RAW_MANIFEST_SHA256)"' in reproduce_recipe | |
| assert '--raw-manifest "$(M8_RAW_MANIFEST)"' in reproduce_recipe | |
| assert '--raw-manifest-sha256 "$(M8_RAW_MANIFEST_SHA256)"' in reproduce_recipe | |
| assert "latest" not in reproduce_recipe.lower() | |
| for target, following in (("verify-m8-run", "report:"), ("report-m8", "dashboard:")): | |
| recipe = makefile.split(f"{target}:\n", maxsplit=1)[1].split(f"\n{following}", maxsplit=1)[ | |
| 0 | |
| ] | |
| assert 'test -n "$(M8_RAW_MANIFEST)"' in recipe | |
| assert 'test -n "$(M8_RAW_MANIFEST_SHA256)"' in recipe | |
| assert '--raw-manifest "$(M8_RAW_MANIFEST)"' in recipe | |
| assert '--raw-manifest-sha256 "$(M8_RAW_MANIFEST_SHA256)"' in recipe | |
| check_dependencies = makefile.split("\ncheck:", maxsplit=1)[1].splitlines()[0] | |
| assert "download-m8" not in check_dependencies | |
| def test_capture_m8_l2_session_command_uses_frozen_runner_without_source_override( | |
| status: str, | |
| expected_exit: int, | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| config_path = tmp_path / "m8-l2.toml" | |
| output_root = tmp_path / "l2" | |
| config = object() | |
| adapter = object() | |
| target = output_root / "sessions" / "authority" | |
| bundle = SimpleNamespace( | |
| root=target, | |
| status=status, | |
| session_id="a" * 64, | |
| session_date="2026-08-10", | |
| role="train", | |
| manifest_path=target / "session_manifest.json", | |
| manifest_sha256="b" * 64, | |
| checksum_path=target / "CHECKSUMS.sha256", | |
| marker_path=target / ("_SUCCESS" if status == "COMPLETE" else "INSUFFICIENT_DATA"), | |
| reason_codes=() if status == "COMPLETE" else ("GATE_VALID_CONTINUITY_EPOCH_BTCUSDT",), | |
| ) | |
| calls: list[tuple[object, str, Path, object]] = [] | |
| async def fake_capture( | |
| loaded: object, | |
| session_date: str, | |
| root: Path, | |
| capture_one: object, | |
| **kwargs: object, | |
| ) -> object: | |
| assert kwargs == {} | |
| calls.append((loaded, session_date, root, capture_one)) | |
| return bundle | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: config) | |
| monkeypatch.setattr(cli_module, "BinanceM8L2Capture", lambda: adapter) | |
| monkeypatch.setattr(cli_module, "capture_m8_l2_session", fake_capture) | |
| exit_code = main( | |
| [ | |
| "capture-m8-l2-session", | |
| "--config", | |
| str(config_path), | |
| "--date", | |
| "2026-08-10", | |
| "--output-root", | |
| str(output_root), | |
| ] | |
| ) | |
| assert exit_code == expected_exit | |
| assert calls == [(config, "2026-08-10", output_root.resolve(), adapter)] | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["status"] == status | |
| assert payload["session_date"] == "2026-08-10" | |
| assert payload["session_manifest_sha256"] == "b" * 64 | |
| assert payload["live_trading"] is False | |
| def test_capture_m8_l2_session_system_failure_uses_error_exit_two( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: object()) | |
| async def fail(*args: object, **kwargs: object) -> object: | |
| raise OSError("injected capture I/O failure") | |
| monkeypatch.setattr(cli_module, "capture_m8_l2_session", fail) | |
| exit_code = main( | |
| [ | |
| "capture-m8-l2-session", | |
| "--config", | |
| str(tmp_path / "m8-l2.toml"), | |
| "--date", | |
| "2026-08-10", | |
| "--output-root", | |
| str(tmp_path / "l2"), | |
| ] | |
| ) | |
| assert exit_code == 2 | |
| assert capsys.readouterr().err == "error: injected capture I/O failure\n" | |
| def test_verify_m8_l2_session_accepts_both_terminal_states( | |
| status: str, | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| config_path = tmp_path / "m8-l2.toml" | |
| bundle_dir = tmp_path / "sessions" / ("a" * 64) | |
| config = object() | |
| result = SimpleNamespace( | |
| root=bundle_dir.absolute(), | |
| status=status, | |
| session_id="a" * 64, | |
| session_date="2026-08-10", | |
| role="train", | |
| manifest_path=bundle_dir / "session_manifest.json", | |
| manifest_sha256="b" * 64, | |
| checksum_path=bundle_dir / "CHECKSUMS.sha256", | |
| marker_path=bundle_dir / ("_SUCCESS" if status == "COMPLETE" else "INSUFFICIENT_DATA"), | |
| reason_codes=() if status == "COMPLETE" else ("GATE_CROSS_SYMBOL_OVERLAP",), | |
| ) | |
| calls: list[tuple[Path, object]] = [] | |
| def fake_verify(path: Path, *, expected_config: object) -> object: | |
| calls.append((path, expected_config)) | |
| return result | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: config) | |
| monkeypatch.setattr(cli_module, "verify_m8_l2_session_bundle", fake_verify) | |
| exit_code = main( | |
| [ | |
| "verify-m8-l2-session", | |
| "--config", | |
| str(config_path), | |
| "--bundle-dir", | |
| str(bundle_dir), | |
| ] | |
| ) | |
| assert exit_code == 0 | |
| assert calls == [(bundle_dir, config)] | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["status"] == status | |
| assert payload["integrity"] == "verified" | |
| assert payload["session_id"] == "a" * 64 | |
| assert payload["reason_codes"] == list(result.reason_codes) | |
| assert payload["live_trading"] is False | |
| def test_verify_m8_l2_session_rejects_tampering_and_wrong_config( | |
| message: str, | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| config = object() | |
| bundle_dir = tmp_path / "sessions" / ("a" * 64) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: config) | |
| def fail(path: Path, *, expected_config: object) -> object: | |
| assert path == bundle_dir | |
| assert expected_config is config | |
| raise M8L2VerificationError(message) | |
| monkeypatch.setattr(cli_module, "verify_m8_l2_session_bundle", fail) | |
| exit_code = main( | |
| [ | |
| "verify-m8-l2-session", | |
| "--config", | |
| str(tmp_path / "m8-l2.toml"), | |
| "--bundle-dir", | |
| str(bundle_dir), | |
| ] | |
| ) | |
| assert exit_code == 2 | |
| captured = capsys.readouterr() | |
| assert captured.out == "" | |
| assert captured.err == f"error: {message}\n" | |
| def test_m8_l2_make_target_is_explicit_and_check_remains_offline() -> None: | |
| makefile = (PROJECT_ROOT / "Makefile").read_text(encoding="utf-8") | |
| assert "M8_L2_CONFIG ?= configs/m8_l2_capture_study.toml" in makefile | |
| assert "M8_L2_DATA_ROOT ?= data/m8_l2" in makefile | |
| assert "M8_L2_SESSION_DATE ?=" in makefile | |
| assert "M8_L2_BUNDLE_DIR ?=" in makefile | |
| capture_recipe = makefile.split("capture-m8-l2-session:\n", maxsplit=1)[1].split( | |
| "\nverify-m8-l2-session:", maxsplit=1 | |
| )[0] | |
| assert 'test -n "$(M8_L2_SESSION_DATE)"' in capture_recipe | |
| assert '--config "$(M8_L2_CONFIG)"' in capture_recipe | |
| assert '--date "$(M8_L2_SESSION_DATE)"' in capture_recipe | |
| assert '--output-root "$(M8_L2_DATA_ROOT)"' in capture_recipe | |
| verify_recipe = makefile.split("verify-m8-l2-session:\n", maxsplit=1)[1].split( | |
| "\nvalidate-data:", maxsplit=1 | |
| )[0] | |
| assert 'test -n "$(M8_L2_BUNDLE_DIR)"' in verify_recipe | |
| assert '--config "$(M8_L2_CONFIG)"' in verify_recipe | |
| assert '--bundle-dir "$(M8_L2_BUNDLE_DIR)"' in verify_recipe | |
| check_dependencies = makefile.split("\ncheck:", maxsplit=1)[1].splitlines()[0] | |
| assert "capture-m8-l2-session" not in check_dependencies | |
| assert "verify-m8-l2-session" not in check_dependencies | |
| def test_m8_l2_make_contract_normalizes_only_valid_terminal_exit_one( | |
| tmp_path: Path, | |
| ) -> None: | |
| fake_python = tmp_path / "fake-python" | |
| fake_python.write_text( | |
| '#!/bin/sh\nprintf \'{"status":"INSUFFICIENT_DATA"}\\n\'\nexit "$FAKE_EXIT"\n', | |
| encoding="ascii", | |
| ) | |
| fake_python.chmod(0o755) | |
| base_environment = {**os.environ, "FAKE_EXIT": "1"} | |
| command = [ | |
| "make", | |
| "--no-print-directory", | |
| "capture-m8-l2-session", | |
| f"PYTHON={fake_python}", | |
| "M8_L2_SESSION_DATE=2026-08-10", | |
| ] | |
| valid_terminal = subprocess.run( | |
| command, | |
| cwd=PROJECT_ROOT, | |
| env=base_environment, | |
| check=False, | |
| capture_output=True, | |
| text=True, | |
| ) | |
| assert valid_terminal.returncode == 0 | |
| assert json.loads(valid_terminal.stdout)["status"] == "INSUFFICIENT_DATA" | |
| system_failure = subprocess.run( | |
| command, | |
| cwd=PROJECT_ROOT, | |
| env={**base_environment, "FAKE_EXIT": "2"}, | |
| check=False, | |
| capture_output=True, | |
| text=True, | |
| ) | |
| assert system_failure.returncode != 0 | |
| makefile = (PROJECT_ROOT / "Makefile").read_text(encoding="utf-8") | |
| for command_name in ( | |
| "capture-m8-l2-session", | |
| "lock-m8-l2-development", | |
| "verify-m8-l2-development-lock", | |
| "reproduce-m8-l2", | |
| "verify-m8-l2-run", | |
| "report-m8-l2", | |
| ): | |
| recipe_line = next( | |
| line for line in makefile.splitlines() if f"microstructure.cli {command_name} " in line | |
| ) | |
| assert "|| status=$$?" in recipe_line | |
| assert 'if [ "$$status" -eq 1 ]; then exit 0; fi' in recipe_line | |
| assert 'exit "$$status"' in recipe_line | |
| def _m8_l2_development_cli_fixture( | |
| tmp_path: Path, | |
| *, | |
| train_status: str = "COMPLETE", | |
| validation_status: str = "COMPLETE", | |
| ) -> tuple[list[str], SimpleNamespace, SimpleNamespace]: | |
| train_root = tmp_path / "train" | |
| validation_root = tmp_path / "validation" | |
| train_root.mkdir() | |
| validation_root.mkdir() | |
| train_checksums = train_root / "CHECKSUMS.sha256" | |
| validation_checksums = validation_root / "CHECKSUMS.sha256" | |
| train_checksums.write_bytes(b"train checksums authority\n") | |
| validation_checksums.write_bytes(b"validation checksums authority\n") | |
| train = SimpleNamespace( | |
| root=train_root.absolute(), | |
| status=train_status, | |
| session_id="1" * 64, | |
| session_date="2026-08-10", | |
| role="train", | |
| manifest_path=train_root / "session_manifest.json", | |
| manifest_sha256="a" * 64, | |
| checksum_path=train_checksums, | |
| marker_path=train_root | |
| / ("_SUCCESS" if train_status == "COMPLETE" else "INSUFFICIENT_DATA"), | |
| reason_codes=() if train_status == "COMPLETE" else ("GATE_TRAIN",), | |
| ) | |
| validation = SimpleNamespace( | |
| root=validation_root.absolute(), | |
| status=validation_status, | |
| session_id="2" * 64, | |
| session_date="2026-08-11", | |
| role="validation", | |
| manifest_path=validation_root / "session_manifest.json", | |
| manifest_sha256="b" * 64, | |
| checksum_path=validation_checksums, | |
| marker_path=( | |
| validation_root | |
| / ("_SUCCESS" if validation_status == "COMPLETE" else "INSUFFICIENT_DATA") | |
| ), | |
| reason_codes=() if validation_status == "COMPLETE" else ("GATE_VALIDATION",), | |
| ) | |
| arguments = [ | |
| "--capture-config", | |
| str(tmp_path / "capture.toml"), | |
| "--analysis-config", | |
| str(tmp_path / "analysis.toml"), | |
| "--train-bundle-dir", | |
| str(train_root), | |
| "--train-manifest-sha256", | |
| train.manifest_sha256, | |
| "--train-checksums-sha256", | |
| sha256_file(train_checksums), | |
| "--validation-bundle-dir", | |
| str(validation_root), | |
| "--validation-manifest-sha256", | |
| validation.manifest_sha256, | |
| "--validation-checksums-sha256", | |
| sha256_file(validation_checksums), | |
| "--lock-dir", | |
| str(tmp_path / "development-lock"), | |
| ] | |
| return arguments, train, validation | |
| def test_lock_m8_l2_development_uses_only_explicit_session_authorities( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| arguments, train, validation = _m8_l2_development_cli_fixture(tmp_path) | |
| capture_config = object() | |
| analysis_config = object() | |
| strict_input = object() | |
| calls: list[tuple[object, ...]] = [] | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: capture_config) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_analysis_config", lambda path: analysis_config) | |
| def fake_verify(path: Path, *, expected_config: object) -> object: | |
| assert expected_config is capture_config | |
| return train if path == train.root else validation | |
| def fake_strict_input( | |
| path: Path, | |
| *, | |
| expected_config: object, | |
| expected_date: str, | |
| expected_role: str, | |
| expected_file_authority: object, | |
| expected_campaign: object | None, | |
| ) -> object: | |
| calls.append( | |
| ( | |
| path, | |
| expected_config, | |
| expected_date, | |
| expected_role, | |
| expected_file_authority, | |
| expected_campaign, | |
| ) | |
| ) | |
| return strict_input | |
| def fake_lock( | |
| capture: object, | |
| analysis: object, | |
| train_path: Path, | |
| validation_path: Path, | |
| lock_path: Path, | |
| *, | |
| input_loader: object, | |
| expected_session_file_authorities: object, | |
| ) -> object: | |
| assert capture is capture_config | |
| assert analysis is analysis_config | |
| assert (train_path, validation_path) == (train.root, validation.root) | |
| assert callable(input_loader) | |
| assert expected_session_file_authorities == { | |
| "2026-08-10": cli_module.L2SessionFileAuthority( | |
| train.manifest_sha256, | |
| hashlib.sha256(train.checksum_path.read_bytes()).hexdigest(), | |
| ), | |
| "2026-08-11": cli_module.L2SessionFileAuthority( | |
| validation.manifest_sha256, | |
| hashlib.sha256(validation.checksum_path.read_bytes()).hexdigest(), | |
| ), | |
| } | |
| assert ( | |
| input_loader( | |
| train_path, | |
| expected_config=capture_config, | |
| expected_date="2026-08-10", | |
| expected_role="train", | |
| ) | |
| is strict_input | |
| ) | |
| return SimpleNamespace( | |
| root=lock_path, | |
| aggregate_path=lock_path / "development_lock.json", | |
| aggregate_sha256="d" * 64, | |
| marker_path=lock_path / "_LOCKED", | |
| created_at_utc="2026-08-11T15:00:00Z", | |
| children=( | |
| SimpleNamespace( | |
| symbol="BTCUSDT", | |
| endpoint="event_20", | |
| path=lock_path / "BTCUSDT" / "event_20" / "lock.json", | |
| sha256="e" * 64, | |
| selection_lock_sha256="f" * 64, | |
| fitted_state_sha256="0" * 64, | |
| ), | |
| ), | |
| ) | |
| monkeypatch.setattr(cli_module, "verify_m8_l2_session_bundle", fake_verify) | |
| monkeypatch.setattr(cli_module, "verify_m8_l2_development_input", fake_strict_input) | |
| monkeypatch.setattr(cli_module, "lock_m8_l2_development", fake_lock) | |
| assert main(["lock-m8-l2-development", *arguments]) == 0 | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["status"] == "LOCKED" | |
| assert payload["development_lock_sha256"] == "d" * 64 | |
| assert payload["heldout_accessed"] is False | |
| assert payload["live_trading"] is False | |
| assert calls[0][4].manifest_sha256 == "a" * 64 | |
| assert calls[0][4].checksums_sha256 == sha256_file(train.checksum_path) | |
| def test_lock_m8_l2_development_returns_one_for_verified_insufficient_session( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| arguments, train, validation = _m8_l2_development_cli_fixture( | |
| tmp_path, | |
| validation_status="INSUFFICIENT_DATA", | |
| ) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: object()) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_analysis_config", lambda path: object()) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "verify_m8_l2_session_bundle", | |
| lambda path, **kwargs: train if path == train.root else validation, | |
| ) | |
| lock_dir = Path(arguments[arguments.index("--lock-dir") + 1]).absolute() | |
| monkeypatch.setattr( | |
| cli_module, | |
| "lock_m8_l2_development", | |
| lambda *args, **kwargs: SimpleNamespace( | |
| root=lock_dir, | |
| aggregate_path=lock_dir / "development_lock.json", | |
| aggregate_sha256="d" * 64, | |
| marker_path=lock_dir / "_NOT_CREATED", | |
| created_at_utc="2026-08-11T15:00:00Z", | |
| children=(), | |
| status="NOT_CREATED", | |
| reason_codes=("DEVELOPMENT_SESSION_INSUFFICIENT::validation::GATE_VALIDATION",), | |
| ), | |
| ) | |
| assert main(["lock-m8-l2-development", *arguments]) == 1 | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["status"] == "NOT_CREATED" | |
| assert payload["development_lock_sha256"] == "d" * 64 | |
| assert payload["reason_codes"] == [ | |
| "DEVELOPMENT_SESSION_INSUFFICIENT::validation::GATE_VALIDATION" | |
| ] | |
| assert payload["heldout_accessed"] is False | |
| def test_verify_m8_l2_development_lock_binds_expected_aggregate_sha( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| arguments, train, validation = _m8_l2_development_cli_fixture(tmp_path) | |
| capture_config = object() | |
| analysis_config = object() | |
| expected_lock_sha = "c" * 64 | |
| lock_dir = (tmp_path / "development-lock").absolute() | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: capture_config) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_analysis_config", lambda path: analysis_config) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "verify_m8_l2_session_bundle", | |
| lambda path, **kwargs: train if path == train.root else validation, | |
| ) | |
| def fake_verify_lock(*args: object, **kwargs: object) -> object: | |
| assert args == (capture_config, analysis_config, train.root, validation.root, lock_dir) | |
| assert kwargs == {"expected_lock_sha256": expected_lock_sha} | |
| return SimpleNamespace( | |
| root=lock_dir, | |
| aggregate_path=lock_dir / "development_lock.json", | |
| aggregate_sha256=expected_lock_sha, | |
| marker_path=lock_dir / "_LOCKED", | |
| created_at_utc="2026-08-11T15:00:00Z", | |
| children=(), | |
| ) | |
| monkeypatch.setattr(cli_module, "verify_m8_l2_development_lock", fake_verify_lock) | |
| assert ( | |
| main( | |
| [ | |
| "verify-m8-l2-development-lock", | |
| *arguments, | |
| "--development-lock-sha256", | |
| expected_lock_sha, | |
| ] | |
| ) | |
| == 0 | |
| ) | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["integrity"] == "verified" | |
| assert payload["development_lock_sha256"] == expected_lock_sha | |
| def test_verify_m8_l2_not_created_authority_returns_one_with_verified_integrity( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| arguments, train, validation = _m8_l2_development_cli_fixture( | |
| tmp_path, | |
| validation_status="INSUFFICIENT_DATA", | |
| ) | |
| expected_sha = "c" * 64 | |
| lock_dir = Path(arguments[arguments.index("--lock-dir") + 1]).absolute() | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: object()) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_analysis_config", lambda path: object()) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "verify_m8_l2_session_bundle", | |
| lambda path, **kwargs: train if path == train.root else validation, | |
| ) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "verify_m8_l2_development_lock", | |
| lambda *args, **kwargs: SimpleNamespace( | |
| root=lock_dir, | |
| aggregate_path=lock_dir / "development_lock.json", | |
| aggregate_sha256=expected_sha, | |
| marker_path=lock_dir / "_NOT_CREATED", | |
| created_at_utc="2026-08-11T15:00:00Z", | |
| children=(), | |
| status="NOT_CREATED", | |
| reason_codes=("DEVELOPMENT_SESSION_INSUFFICIENT::validation::GATE_VALIDATION",), | |
| ), | |
| ) | |
| assert ( | |
| main( | |
| [ | |
| "verify-m8-l2-development-lock", | |
| *arguments, | |
| "--development-lock-sha256", | |
| expected_sha, | |
| ] | |
| ) | |
| == 1 | |
| ) | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["status"] == "NOT_CREATED" | |
| assert payload["integrity"] == "verified" | |
| assert payload["terminal_marker"].endswith("/_NOT_CREATED") | |
| def test_m8_l2_development_cli_rejects_noncanonical_authority_sha( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| arguments, _, _ = _m8_l2_development_cli_fixture(tmp_path) | |
| digest_index = arguments.index("--train-manifest-sha256") + 1 | |
| arguments[digest_index] = "A" * 64 | |
| monkeypatch.setattr( | |
| cli_module, | |
| "lock_m8_l2_development", | |
| lambda *args, **kwargs: pytest.fail("argument failure must precede lock production"), | |
| ) | |
| with pytest.raises(SystemExit) as caught: | |
| main(["lock-m8-l2-development", *arguments]) | |
| assert caught.value.code == 2 | |
| def test_m8_l2_development_make_targets_are_explicit_and_not_in_check() -> None: | |
| makefile = (PROJECT_ROOT / "Makefile").read_text(encoding="utf-8") | |
| gitignore_lines = (PROJECT_ROOT / ".gitignore").read_text(encoding="utf-8").splitlines() | |
| assert "data/m8_l2/**" in gitignore_lines | |
| lock_recipe = makefile.split("lock-m8-l2-development:\n", maxsplit=1)[1].split( | |
| "\nverify-m8-l2-development-lock:", maxsplit=1 | |
| )[0] | |
| verify_recipe = makefile.split("verify-m8-l2-development-lock:\n", maxsplit=1)[1].split( | |
| "\nvalidate-data:", maxsplit=1 | |
| )[0] | |
| for variable in ( | |
| "M8_L2_TRAIN_BUNDLE_DIR", | |
| "M8_L2_TRAIN_MANIFEST_SHA256", | |
| "M8_L2_TRAIN_CHECKSUMS_SHA256", | |
| "M8_L2_VALIDATION_BUNDLE_DIR", | |
| "M8_L2_VALIDATION_MANIFEST_SHA256", | |
| "M8_L2_VALIDATION_CHECKSUMS_SHA256", | |
| "M8_L2_DEVELOPMENT_LOCK_DIR", | |
| ): | |
| assert f'test -n "$({variable})"' in lock_recipe | |
| assert f'"$({variable})"' in lock_recipe | |
| assert f'test -n "$({variable})"' in verify_recipe | |
| assert f'"$({variable})"' in verify_recipe | |
| assert 'test -n "$(M8_L2_DEVELOPMENT_LOCK_SHA256)"' in verify_recipe | |
| assert '--development-lock-sha256 "$(M8_L2_DEVELOPMENT_LOCK_SHA256)"' in verify_recipe | |
| for recipe in (lock_recipe, verify_recipe): | |
| assert "latest" not in recipe.lower() | |
| check_dependencies = makefile.split("\ncheck:", maxsplit=1)[1].splitlines()[0] | |
| assert "lock-m8-l2-development" not in check_dependencies | |
| assert "verify-m8-l2-development-lock" not in check_dependencies | |
| def test_m8_l2_final_make_targets_bind_four_sessions_and_stay_offline() -> None: | |
| makefile = (PROJECT_ROOT / "Makefile").read_text(encoding="utf-8") | |
| assert "M8_L2_RUN_DIR ?= artifacts/runs/binance-m8-live-l2" in makefile | |
| assert "M8_L2_REPORT_DIR ?= artifacts/runs/binance-m8-live-l2-reports" in makefile | |
| reproduce_recipe = makefile.split("reproduce-m8-l2:\n", maxsplit=1)[1].split( | |
| "\nverify-m8-l2-run:", maxsplit=1 | |
| )[0] | |
| verify_recipe = makefile.split("verify-m8-l2-run:\n", maxsplit=1)[1].split( | |
| "\nreport-m8-l2:", maxsplit=1 | |
| )[0] | |
| report_recipe = makefile.split("report-m8-l2:\n", maxsplit=1)[1].split( | |
| "\nvalidate-data:", maxsplit=1 | |
| )[0] | |
| authority_variables = ( | |
| "M8_L2_TRAIN_BUNDLE_DIR", | |
| "M8_L2_TRAIN_MANIFEST_SHA256", | |
| "M8_L2_TRAIN_CHECKSUMS_SHA256", | |
| "M8_L2_VALIDATION_BUNDLE_DIR", | |
| "M8_L2_VALIDATION_MANIFEST_SHA256", | |
| "M8_L2_VALIDATION_CHECKSUMS_SHA256", | |
| "M8_L2_DEVELOPMENT_LOCK_DIR", | |
| "M8_L2_DEVELOPMENT_LOCK_SHA256", | |
| "M8_L2_PRIMARY_BUNDLE_DIR", | |
| "M8_L2_PRIMARY_MANIFEST_SHA256", | |
| "M8_L2_PRIMARY_CHECKSUMS_SHA256", | |
| "M8_L2_REPLICATION_BUNDLE_DIR", | |
| "M8_L2_REPLICATION_MANIFEST_SHA256", | |
| "M8_L2_REPLICATION_CHECKSUMS_SHA256", | |
| ) | |
| for recipe in (reproduce_recipe, verify_recipe, report_recipe): | |
| for variable in authority_variables: | |
| assert f'test -n "$({variable})"' in recipe | |
| assert f'"$({variable})"' in recipe | |
| for role in ("train", "validation", "primary", "replication"): | |
| assert f"--{role}-bundle-dir" in recipe | |
| assert f"--{role}-manifest-sha256" in recipe | |
| assert f"--{role}-checksums-sha256" in recipe | |
| assert "--development-lock-dir" in recipe | |
| assert "--development-lock-sha256" in recipe | |
| assert ' --run-dir "$(M8_L2_RUN_DIR)"' in recipe | |
| assert "latest" not in recipe.lower() | |
| for recipe in (verify_recipe, report_recipe): | |
| assert 'test -n "$(M8_L2_RUN_MANIFEST_SHA256)"' in recipe | |
| assert 'test -n "$(M8_L2_RUN_CHECKSUMS_SHA256)"' in recipe | |
| assert '--run-manifest-sha256 "$(M8_L2_RUN_MANIFEST_SHA256)"' in recipe | |
| assert '--run-checksums-sha256 "$(M8_L2_RUN_CHECKSUMS_SHA256)"' in recipe | |
| assert '--output-dir "$(M8_L2_REPORT_DIR)"' in report_recipe | |
| check_dependencies = makefile.split("\ncheck:", maxsplit=1)[1].splitlines()[0] | |
| for target in ("reproduce-m8-l2", "verify-m8-l2-run", "report-m8-l2"): | |
| assert target not in check_dependencies | |
| def _m8_l2_study_cli_arguments( | |
| tmp_path: Path, | |
| *, | |
| include_run_authority: bool, | |
| ) -> list[str]: | |
| arguments = [ | |
| "--capture-config", | |
| str(tmp_path / "capture.toml"), | |
| "--analysis-config", | |
| str(tmp_path / "analysis.toml"), | |
| ] | |
| for index, role in enumerate(("train", "validation", "primary", "replication"), start=1): | |
| arguments.extend( | |
| [ | |
| f"--{role}-bundle-dir", | |
| str(tmp_path / role), | |
| f"--{role}-manifest-sha256", | |
| format(index, "x") * 64, | |
| f"--{role}-checksums-sha256", | |
| format(index + 4, "x") * 64, | |
| ] | |
| ) | |
| arguments.extend( | |
| [ | |
| "--development-lock-dir", | |
| str(tmp_path / "development-lock"), | |
| "--development-lock-sha256", | |
| "9" * 64, | |
| "--run-dir", | |
| str(tmp_path / "run"), | |
| ] | |
| ) | |
| if include_run_authority: | |
| arguments.extend( | |
| [ | |
| "--run-manifest-sha256", | |
| "a" * 64, | |
| "--run-checksums-sha256", | |
| "b" * 64, | |
| ] | |
| ) | |
| return arguments | |
| def _fake_m8_l2_study_result(tmp_path: Path, status: str) -> SimpleNamespace: | |
| root = (tmp_path / "run").absolute() | |
| return SimpleNamespace( | |
| root=root, | |
| status=status, | |
| manifest_path=root / "run_manifest.json", | |
| manifest_sha256="a" * 64, | |
| checksum_path=root / "CHECKSUMS.sha256", | |
| checksum_sha256="b" * 64, | |
| marker_path=root / ("_SUCCESS" if status == "COMPLETE" else "INSUFFICIENT_DATA"), | |
| reason_codes=() if status == "COMPLETE" else ("PRIMARY_SESSION_NOT_COMPLETE",), | |
| ) | |
| def test_reproduce_m8_l2_binds_all_four_explicit_session_authorities( | |
| status: str, | |
| expected_exit: int, | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| capture_config = object() | |
| analysis_config = object() | |
| result = _fake_m8_l2_study_result(tmp_path, status) | |
| calls: list[tuple[object, ...]] = [] | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: capture_config) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_analysis_config", lambda path: analysis_config) | |
| def fake_reproduce(*args: object) -> object: | |
| calls.append(args) | |
| return result | |
| monkeypatch.setattr(cli_module, "reproduce_m8_l2_study", fake_reproduce) | |
| assert ( | |
| main( | |
| [ | |
| "reproduce-m8-l2", | |
| *_m8_l2_study_cli_arguments(tmp_path, include_run_authority=False), | |
| ] | |
| ) | |
| == expected_exit | |
| ) | |
| assert len(calls) == 1 | |
| call = calls[0] | |
| assert call[0:2] == (capture_config, analysis_config) | |
| for index, (position, role) in enumerate( | |
| zip((2, 3, 6, 7), ("train", "validation", "primary", "replication"), strict=True), | |
| start=1, | |
| ): | |
| authority = call[position] | |
| assert isinstance(authority, cli_module.L2StudySessionAuthority) | |
| assert authority.bundle_path == (tmp_path / role).absolute() | |
| assert authority.manifest_sha256 == format(index, "x") * 64 | |
| assert authority.checksums_sha256 == format(index + 4, "x") * 64 | |
| assert call[4] == (tmp_path / "development-lock").absolute() | |
| assert call[5] == "9" * 64 | |
| assert call[8] == (tmp_path / "run").absolute() | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["status"] == status | |
| assert payload["run_manifest_sha256"] == "a" * 64 | |
| assert payload["checksums_sha256"] == "b" * 64 | |
| assert payload["reason_codes"] == list(result.reason_codes) | |
| assert payload["live_trading"] is False | |
| def test_verify_m8_l2_run_requires_and_forwards_terminal_run_authority( | |
| status: str, | |
| expected_exit: int, | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| capture_config = object() | |
| analysis_config = object() | |
| result = _fake_m8_l2_study_result(tmp_path, status) | |
| calls: list[tuple[tuple[object, ...], dict[str, object]]] = [] | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: capture_config) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_analysis_config", lambda path: analysis_config) | |
| def fake_verify(*args: object, **kwargs: object) -> object: | |
| calls.append((args, kwargs)) | |
| return result | |
| monkeypatch.setattr(cli_module, "verify_m8_l2_study_run", fake_verify) | |
| assert ( | |
| main( | |
| [ | |
| "verify-m8-l2-run", | |
| *_m8_l2_study_cli_arguments(tmp_path, include_run_authority=True), | |
| ] | |
| ) | |
| == expected_exit | |
| ) | |
| assert calls[0][1] == { | |
| "expected_manifest_sha256": "a" * 64, | |
| "expected_checksums_sha256": "b" * 64, | |
| } | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["integrity"] == "verified" | |
| assert payload["status"] == status | |
| def test_report_m8_l2_reverifies_then_writes_only_to_external_output( | |
| status: str, | |
| expected_exit: int, | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| capsys: pytest.CaptureFixture[str], | |
| ) -> None: | |
| capture_config = object() | |
| analysis_config = object() | |
| result = _fake_m8_l2_study_result(tmp_path, status) | |
| report_data = object() | |
| output = (tmp_path / "reports").absolute() | |
| calls: list[tuple[str, tuple[object, ...], dict[str, object]]] = [] | |
| monkeypatch.setattr(cli_module, "load_m8_l2_config", lambda path: capture_config) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_analysis_config", lambda path: analysis_config) | |
| def fake_verify(*args: object, **kwargs: object) -> object: | |
| calls.append(("verify", args, kwargs)) | |
| return result | |
| def fake_load(*args: object, **kwargs: object) -> object: | |
| calls.append(("load", args, kwargs)) | |
| return report_data | |
| def fake_write(path: Path, data: object) -> tuple[Path, Path, Path]: | |
| assert path == output | |
| assert data is report_data | |
| return ( | |
| path / "technical_report.md", | |
| path / "executive_memo.md", | |
| path / "model_comparison.md", | |
| ) | |
| monkeypatch.setattr(cli_module, "verify_m8_l2_study_run", fake_verify) | |
| monkeypatch.setattr(cli_module, "load_m8_l2_report_data", fake_load) | |
| monkeypatch.setattr(cli_module, "write_l2_report_set", fake_write) | |
| monkeypatch.setattr(cli_module, "canonical_report_data_sha256", lambda data: "c" * 64) | |
| assert ( | |
| main( | |
| [ | |
| "report-m8-l2", | |
| *_m8_l2_study_cli_arguments(tmp_path, include_run_authority=True), | |
| "--output-dir", | |
| str(output), | |
| ] | |
| ) | |
| == expected_exit | |
| ) | |
| assert [call[0] for call in calls] == ["verify", "load"] | |
| assert calls[0][1:] == calls[1][1:] | |
| payload = json.loads(capsys.readouterr().out) | |
| assert payload["output_dir"] == str(output) | |
| assert payload["technical_report"] == str(output / "technical_report.md") | |
| assert payload["executive_memo"] == str(output / "executive_memo.md") | |
| assert payload["model_comparison"] == str(output / "model_comparison.md") | |
| assert payload["report_inputs_sha256"] == "c" * 64 | |
| assert payload["source_bundle_modified"] is False | |
| def test_m8_l2_final_commands_reject_noncanonical_session_authority_before_io( | |
| command: str, | |
| include_run_authority: bool, | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| arguments = _m8_l2_study_cli_arguments( | |
| tmp_path, | |
| include_run_authority=include_run_authority, | |
| ) | |
| arguments[arguments.index("--primary-manifest-sha256") + 1] = "A" * 64 | |
| if command == "report-m8-l2": | |
| arguments.extend(["--output-dir", str(tmp_path / "reports")]) | |
| monkeypatch.setattr( | |
| cli_module, | |
| "load_m8_l2_config", | |
| lambda path: pytest.fail("argument rejection must precede config I/O"), | |
| ) | |
| with pytest.raises(SystemExit) as caught: | |
| main([command, *arguments]) | |
| assert caught.value.code == 2 | |
| def test_live_depth_capture_resnapshots_and_preserves_every_reconnect_epoch( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| captured = [ | |
| _captured_depth( | |
| sequence=11, | |
| continuity_id="epoch-1", | |
| event_ts_ns=2_000_000_000, | |
| ), | |
| _captured_depth( | |
| sequence=21, | |
| continuity_id="epoch-2", | |
| event_ts_ns=3_000_000_000, | |
| ), | |
| ] | |
| snapshot_calls: list[str] = [] | |
| class FakeClient: | |
| def fetch_exchange_info(self, *, symbol: str, raw_root: Path) -> SimpleNamespace: | |
| assert symbol == "BTCUSDT" | |
| assert raw_root == tmp_path / "raw" | |
| return SimpleNamespace(tick_size=Decimal("0.01"), lot_size=Decimal("0.001")) | |
| def fetch_depth_snapshot( | |
| self, | |
| *, | |
| symbol: str, | |
| raw_root: Path, | |
| continuity_id: str, | |
| tick_size: Decimal, | |
| lot_size: Decimal, | |
| ) -> BookSnapshot: | |
| snapshot_calls.append(continuity_id) | |
| last_update_id = 10 if continuity_id == "epoch-1" else 20 | |
| received_ts_ns = 1_900_000_000 if continuity_id == "epoch-1" else 2_900_000_000 | |
| return _preserved_snapshot( | |
| output_root=tmp_path, | |
| continuity_id=continuity_id, | |
| last_update_id=last_update_id, | |
| received_ts_ns=received_ts_ns, | |
| ) | |
| class FakeCollector: | |
| url = "wss://example.invalid/stream" | |
| def __init__(self, **kwargs: object) -> None: | |
| assert kwargs["symbols"] == ("BTCUSDT",) | |
| async def stream(self, *, max_messages: int | None = None) -> AsyncIterator[CapturedDepth]: | |
| assert max_messages == 2 | |
| for item in captured: | |
| yield item | |
| monkeypatch.setattr(cli_module, "BinancePublicClient", FakeClient) | |
| monkeypatch.setattr(cli_module, "BinanceLiveDepthCollector", FakeCollector) | |
| result = asyncio.run( | |
| cli_module._capture_depth( | |
| symbol="BTCUSDT", | |
| max_messages=2, | |
| output_root=tmp_path, | |
| ) | |
| ) | |
| assert result.messages == 2 | |
| assert snapshot_calls == ["epoch-1", "epoch-2"] | |
| assert result.reconstruction_status == "LIVE" | |
| assert result.book_observations == 2 | |
| assert result.quality_errors == 0 | |
| summary = read_json(result.summary_path) | |
| assert summary["capture_status"] == "COMPLETE" | |
| assert summary["continuity_epochs"] == 2 | |
| assert [item["continuity_id"] for item in summary["continuity_epoch_coverage"]] == [ | |
| "epoch-1", | |
| "epoch-2", | |
| ] | |
| assert sum(item["messages"] for item in summary["continuity_epoch_coverage"]) == 2 | |
| assert summary["normalized_messages"] == 2 | |
| assert summary["excluded_messages"] == 0 | |
| assert all( | |
| entry["rows"] == expected | |
| for entry, expected in ( | |
| (summary["normalized_dataset_manifests"]["book_snapshots"], 2), | |
| (summary["normalized_dataset_manifests"]["depth_deltas"], 2), | |
| (summary["normalized_dataset_manifests"]["book_observations"], 2), | |
| (summary["normalized_dataset_manifests"]["sequence_gaps"], 0), | |
| ) | |
| ) | |
| with result.raw_path.open(encoding="utf-8") as handle: | |
| journal = [json.loads(line) for line in handle] | |
| assert [event["event_kind"] for event in journal] == [ | |
| "websocket_frame", | |
| "rest_snapshot_anchor", | |
| "websocket_frame", | |
| "rest_snapshot_anchor", | |
| ] | |
| assert base64.b64decode(journal[0]["payload_base64"]).decode() == captured[0].raw_payload | |
| second_result = asyncio.run( | |
| cli_module._capture_depth( | |
| symbol="BTCUSDT", | |
| max_messages=2, | |
| output_root=tmp_path, | |
| ) | |
| ) | |
| latest_pointer = read_json(tmp_path / "quality" / "live_depth_capture.summary.json") | |
| assert result.summary_path.is_file() | |
| assert second_result.summary_path.is_file() | |
| assert second_result.summary_path != result.summary_path | |
| assert latest_pointer["capture_status"] == "LATEST_POINTER" | |
| assert latest_pointer["authoritative_summary_path"] == str(second_result.summary_path) | |
| def test_live_depth_duration_completes_gracefully_before_message_ceiling( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| item = _captured_depth( | |
| sequence=1, | |
| continuity_id="epoch-duration", | |
| event_ts_ns=2_000_000_000, | |
| ) | |
| class FakeClient: | |
| def fetch_exchange_info(self, *, symbol: str, raw_root: Path) -> SimpleNamespace: | |
| return SimpleNamespace(tick_size=Decimal("0.01"), lot_size=Decimal("0.001")) | |
| def fetch_depth_snapshot(self, **kwargs: object) -> BookSnapshot: | |
| return _preserved_snapshot( | |
| output_root=tmp_path, | |
| continuity_id=str(kwargs["continuity_id"]), | |
| last_update_id=0, | |
| received_ts_ns=1_900_000_000, | |
| ) | |
| class FakeCollector: | |
| url = "wss://example.invalid/stream" | |
| def __init__(self, **kwargs: object) -> None: | |
| self.callback = kwargs["on_raw_frame"] | |
| async def stream(self, *, max_messages: int | None = None) -> AsyncIterator[CapturedDepth]: | |
| assert max_messages == 10 | |
| received_ts_ns = item.delta.received_ts_ns | |
| assert received_ts_ns is not None | |
| self.callback( | |
| RawDepthFrame( | |
| payload=item.raw_payload.encode(), | |
| was_text=True, | |
| received_ts_ns=received_ts_ns, | |
| capture_seq=1, | |
| continuity_id="epoch-duration", | |
| ) | |
| ) | |
| yield item | |
| await asyncio.sleep(60) | |
| monkeypatch.setattr(cli_module, "BinancePublicClient", FakeClient) | |
| monkeypatch.setattr(cli_module, "BinanceLiveDepthCollector", FakeCollector) | |
| result = asyncio.run( | |
| cli_module._capture_depth( | |
| symbol="BTCUSDT", | |
| max_messages=10, | |
| duration_seconds=0.01, | |
| output_root=tmp_path, | |
| ) | |
| ) | |
| assert result.messages == 1 | |
| assert result.completion_reason == "duration_elapsed" | |
| assert result.requested_duration_seconds == 0.01 | |
| assert result.elapsed_monotonic_seconds >= 0.009 | |
| summary = read_json(result.summary_path) | |
| assert summary["completion_reason"] == "duration_elapsed" | |
| assert summary["message_safety_ceiling"] == 10 | |
| assert summary["requested_duration_seconds"] == 0.01 | |
| assert summary["max_continuity_epoch_seconds"] == 0.0 | |
| def test_live_depth_duration_fails_if_message_safety_ceiling_arrives_first( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| class FakeClient: | |
| def fetch_exchange_info(self, *, symbol: str, raw_root: Path) -> SimpleNamespace: | |
| return SimpleNamespace(tick_size=Decimal("0.01"), lot_size=Decimal("0.001")) | |
| def fetch_depth_snapshot(self, **kwargs: object) -> BookSnapshot: | |
| return _preserved_snapshot( | |
| output_root=tmp_path, | |
| continuity_id=str(kwargs["continuity_id"]), | |
| last_update_id=0, | |
| received_ts_ns=1_900_000_000, | |
| ) | |
| class FakeCollector: | |
| url = "wss://example.invalid/stream" | |
| def __init__(self, **kwargs: object) -> None: | |
| self.callback = kwargs["on_raw_frame"] | |
| async def stream(self, *, max_messages: int | None = None) -> AsyncIterator[CapturedDepth]: | |
| assert max_messages == 2 | |
| for sequence in (1, 2): | |
| item = _captured_depth( | |
| sequence=sequence, | |
| continuity_id="epoch-cap", | |
| event_ts_ns=2_000_000_000 + sequence, | |
| ) | |
| received_ts_ns = item.delta.received_ts_ns | |
| assert received_ts_ns is not None | |
| self.callback( | |
| RawDepthFrame( | |
| payload=item.raw_payload.encode(), | |
| was_text=True, | |
| received_ts_ns=received_ts_ns, | |
| capture_seq=sequence, | |
| continuity_id="epoch-cap", | |
| ) | |
| ) | |
| yield item | |
| monkeypatch.setattr(cli_module, "BinancePublicClient", FakeClient) | |
| monkeypatch.setattr(cli_module, "BinanceLiveDepthCollector", FakeCollector) | |
| with pytest.raises(RuntimeError, match="message safety ceiling"): | |
| asyncio.run( | |
| cli_module._capture_depth( | |
| symbol="BTCUSDT", | |
| max_messages=2, | |
| duration_seconds=60.0, | |
| output_root=tmp_path, | |
| ) | |
| ) | |
| assert not list((tmp_path / "quality").glob("live_depth_capture.*.summary.json")) | |
| assert list((tmp_path / "quality").glob("live_depth_capture.*.failed.json")) | |
| def test_live_depth_capture_is_one_pass_and_history_independent_in_memory( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| message_count = 2_050 | |
| yielded = 0 | |
| stream_calls = 0 | |
| snapshot_calls = 0 | |
| class FakeClient: | |
| def fetch_exchange_info(self, *, symbol: str, raw_root: Path) -> SimpleNamespace: | |
| return SimpleNamespace(tick_size=Decimal("0.01"), lot_size=Decimal("0.001")) | |
| def fetch_depth_snapshot(self, **kwargs: object) -> BookSnapshot: | |
| nonlocal snapshot_calls | |
| snapshot_calls += 1 | |
| return _preserved_snapshot( | |
| output_root=tmp_path, | |
| continuity_id=str(kwargs["continuity_id"]), | |
| last_update_id=0, | |
| received_ts_ns=1_000_000_000, | |
| ) | |
| class FakeCollector: | |
| url = "wss://example.invalid/stream" | |
| def __init__(self, **kwargs: object) -> None: | |
| callback = kwargs["on_raw_frame"] | |
| assert callable(callback) | |
| self.callback = callback | |
| async def stream(self, *, max_messages: int | None = None) -> AsyncIterator[CapturedDepth]: | |
| nonlocal stream_calls, yielded | |
| stream_calls += 1 | |
| assert max_messages == message_count | |
| for sequence in range(1, message_count + 1): | |
| item = _captured_depth( | |
| sequence=sequence, | |
| continuity_id="epoch-1", | |
| event_ts_ns=2_000_000_000 + sequence, | |
| ) | |
| received_ts_ns = item.delta.received_ts_ns | |
| assert received_ts_ns is not None | |
| self.callback( | |
| RawDepthFrame( | |
| payload=item.raw_payload.encode(), | |
| was_text=True, | |
| received_ts_ns=received_ts_ns, | |
| capture_seq=sequence, | |
| continuity_id="epoch-1", | |
| ) | |
| ) | |
| yielded += 1 | |
| yield item | |
| monkeypatch.setattr(cli_module, "BinancePublicClient", FakeClient) | |
| monkeypatch.setattr(cli_module, "BinanceLiveDepthCollector", FakeCollector) | |
| result = asyncio.run( | |
| cli_module._capture_depth( | |
| symbol="BTCUSDT", | |
| max_messages=message_count, | |
| output_root=tmp_path, | |
| ) | |
| ) | |
| assert stream_calls == 1 | |
| assert yielded == message_count | |
| assert snapshot_calls == 1 | |
| assert result.messages == message_count | |
| assert result.book_observations == message_count | |
| summary = read_json(result.summary_path) | |
| assert max(summary["max_buffered_rows_per_dataset"].values()) <= 1_024 | |
| assert max(summary["max_buffered_estimated_bytes_per_dataset"].values()) <= 16 * 1024 * 1024 | |
| depth_manifest_entry = summary["normalized_dataset_manifests"]["depth_deltas"] | |
| depth_manifest = read_json(depth_manifest_entry["manifest_path"]) | |
| assert depth_manifest["rows"] == message_count | |
| assert len(depth_manifest["artifacts"]) == 1 | |
| with result.raw_path.open(encoding="utf-8") as handle: | |
| assert sum(1 for _ in handle) == message_count + 1 | |
| def test_live_depth_failure_atomically_preserves_preparse_frame_without_completion( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| malformed = b"\xffnot-json\n" | |
| class FakeClient: | |
| def fetch_exchange_info(self, *, symbol: str, raw_root: Path) -> SimpleNamespace: | |
| return SimpleNamespace(tick_size=Decimal("0.01"), lot_size=Decimal("0.001")) | |
| class FakeCollector: | |
| url = "wss://example.invalid/stream" | |
| def __init__(self, **kwargs: object) -> None: | |
| self.callback = kwargs["on_raw_frame"] | |
| async def stream(self, *, max_messages: int | None = None) -> AsyncIterator[CapturedDepth]: | |
| self.callback( | |
| RawDepthFrame( | |
| payload=malformed, | |
| was_text=False, | |
| received_ts_ns=2_000_000_100, | |
| capture_seq=0, | |
| continuity_id="epoch-parse-failure", | |
| ) | |
| ) | |
| raise UnicodeDecodeError("utf-8", malformed, 0, 1, "invalid start byte") | |
| if False: # pragma: no cover - makes this an async generator | |
| yield _captured_depth( | |
| sequence=1, | |
| continuity_id="unreachable", | |
| event_ts_ns=1, | |
| ) | |
| monkeypatch.setattr(cli_module, "BinancePublicClient", FakeClient) | |
| monkeypatch.setattr(cli_module, "BinanceLiveDepthCollector", FakeCollector) | |
| with pytest.raises(UnicodeDecodeError): | |
| asyncio.run( | |
| cli_module._capture_depth( | |
| symbol="BTCUSDT", | |
| max_messages=1, | |
| output_root=tmp_path, | |
| ) | |
| ) | |
| assert not (tmp_path / "quality" / "live_depth_capture.summary.json").exists() | |
| [failed_raw] = list( | |
| (tmp_path / "raw" / "binance_spot" / "depth_stream" / "BTCUSDT").glob( | |
| "capture-failed-*.ndjson" | |
| ) | |
| ) | |
| [event] = [json.loads(line) for line in failed_raw.read_text().splitlines()] | |
| assert base64.b64decode(event["payload_base64"]) == malformed | |
| manifests = list(failed_raw.parent.glob(f"{failed_raw.name}.manifest-*.json")) | |
| assert manifests | |
| assert any( | |
| read_json(path)["response_headers"]["x-local-capture-status"] | |
| == "incomplete_capture_failure" | |
| for path in manifests | |
| ) | |
| [failure] = list((tmp_path / "quality").glob("live_depth_capture.*.failed.json")) | |
| assert read_json(failure)["completion_manifest_published"] is False | |
| def test_raw_journal_publish_recovers_if_manifest_write_fails_after_rename( | |
| tmp_path: Path, | |
| monkeypatch: pytest.MonkeyPatch, | |
| ) -> None: | |
| spool = cli_module._RawMessageSpool( | |
| root=tmp_path, | |
| symbol="BTCUSDT", | |
| source_uri="wss://example.invalid/stream", | |
| ) | |
| spool.append_frame( | |
| RawDepthFrame( | |
| payload=b"{}", | |
| was_text=True, | |
| received_ts_ns=1, | |
| capture_seq=0, | |
| continuity_id="epoch-1", | |
| ) | |
| ) | |
| real_write_manifest = cli_module.write_source_manifest | |
| attempts = 0 | |
| def flaky_manifest(*args: object, **kwargs: object) -> tuple[Path, str]: | |
| nonlocal attempts | |
| attempts += 1 | |
| if attempts == 1: | |
| raise RuntimeError("injected manifest failure") | |
| return real_write_manifest(*args, **kwargs) # type: ignore[arg-type] | |
| monkeypatch.setattr(cli_module, "write_source_manifest", flaky_manifest) | |
| with pytest.raises(RuntimeError, match="injected manifest failure"): | |
| spool.publish(status="raw_capture_complete") | |
| renamed_path = spool.evidence_path | |
| assert renamed_path.is_file() | |
| evidence = spool.publish(status="incomplete_capture_failure") | |
| assert evidence.path == renamed_path | |
| assert evidence.sha256 == sha256_file(renamed_path) | |
| assert attempts == 2 | |