Add real-data empirical validation across Polymarket CLOB, 785d Binance perp NAV, 312m JKP EM, and 144 L2 scenarios
15bf08e verified | """Verify Microstructure Maker queue-position and fee sensitivity table against the 144 real scenarios and oeq-core.""" | |
| from __future__ import annotations | |
| import csv | |
| import json | |
| import sys | |
| import unittest | |
| from pathlib import Path | |
| ROOT = Path(__file__).resolve().parent.parent | |
| CORE_SRC = ROOT.parent / "packages" / "oeq-core" / "src" | |
| if CORE_SRC.exists() and str(CORE_SRC) not in sys.path: | |
| sys.path.insert(0, str(CORE_SRC)) | |
| from oeq_core import ( # noqa: E402 | |
| ClaimBoundary, | |
| EvidenceGrade, | |
| build_run_manifest, | |
| turnover_penalized_net_return, | |
| validate_claim_boundary, | |
| verify_manifest_checksums, | |
| ) | |
| class TestMicrostructureMakerFeeSensitivity(unittest.TestCase): | |
| def test_maker_queue_fee_table_matches_144_real_scenarios(self) -> None: | |
| csv_path = ROOT / "reports" / "maker_queue_fee_sensitivity.csv" | |
| json_path = ROOT / "reports" / "microstructure_144_scenarios.json" | |
| with csv_path.open("r", encoding="utf-8") as fh: | |
| rows = {r["execution_tier"]: r for r in csv.DictReader(fh)} | |
| self.assertEqual(len(rows), 6) | |
| payload = json.loads(json_path.read_text(encoding="utf-8")) | |
| gross_edges = sorted(float(s["gross_edge_bps"]) for s in payload["scenarios"]) | |
| self.assertEqual(len(gross_edges), 144) | |
| gross_pos = sum(1 for x in gross_edges if x > 0.0) | |
| self.assertEqual(gross_pos, 110) | |
| max_gross = max(gross_edges) | |
| med_gross = (gross_edges[71] + gross_edges[72]) / 2.0 | |
| for tier, row in rows.items(): | |
| hurdle = float(row["effective_hurdle_bps"]) | |
| expected_net_pos = sum(1 for x in gross_edges if x > hurdle) | |
| self.assertEqual(int(row["scenarios_gross_positive"]), gross_pos) | |
| self.assertEqual(int(row["scenarios_net_positive"]), expected_net_pos, msg=tier) | |
| self.assertAlmostEqual(float(row["best_scenario_net_edge_bps"]), max_gross - hurdle, places=3, msg=tier) | |
| self.assertAlmostEqual(float(row["median_scenario_net_edge_bps"]), med_gross - hurdle, places=3, msg=tier) | |
| net_ret = turnover_penalized_net_return(gross_return=max_gross / 10_000.0, turnover=1.0, cost_bps=0.45) | |
| self.assertAlmostEqual(net_ret * 10_000.0, float(rows["Maker 0bp (Front-of-Queue)"]["best_scenario_net_edge_bps"]), places=3) | |
| def test_claim_boundary_and_manifest(self) -> None: | |
| boundary = ClaimBoundary( | |
| project_slug="microstructure", | |
| grade=EvidenceGrade.OOS_PREDICTIVE_COMPARISON, | |
| allows_causal_language=False, | |
| allows_live_profitability_claim=False, | |
| ) | |
| self.assertEqual(validate_claim_boundary(boundary), []) | |
| manifest = build_run_manifest( | |
| project_slug="microstructure", | |
| root=ROOT, | |
| files=[ | |
| ROOT / "reports" / "maker_queue_fee_sensitivity.csv", | |
| ROOT / "reports" / "microstructure_144_scenarios.json", | |
| ROOT / "reports" / "technical_report.md", | |
| ], | |
| evidence_grade=boundary.grade.value, | |
| ) | |
| self.assertEqual(verify_manifest_checksums(ROOT, manifest), []) | |
| if __name__ == "__main__": | |
| unittest.main() | |