from __future__ import annotations import pytest from microstructure.data.book import ( BookInvariantError, BookSnapshot, DepthDelta, IncrementalBookReconstructor, reconstruct_snapshot_and_deltas, ) def _snapshot() -> BookSnapshot: return BookSnapshot( venue="binance_spot", symbol="BTCUSDT", snapshot_id="snapshot-fixture", request_ts_ns=1_000, received_ts_ns=1_100, available_ts_ns=1_100, continuity_id="session-1", last_update_id=100, depth_limit=5000, bids=((10_000, 10), (9_999, 20), (9_998, 30)), asks=((10_001, 15), (10_002, 25), (10_003, 35)), tick_size=0.01, lot_size=0.001, source_artifact_id="snapshot-fixture", ) def _delta( start: int, end: int, *, bids: tuple[tuple[int, int], ...] = (), asks: tuple[tuple[int, int], ...] = (), event_ts_ns: int = 2_000, previous: int | None = None, continuity_id: str = "session-1", tick_size: float = 0.01, lot_size: float = 0.001, ) -> DepthDelta: return 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=end, continuity_id=continuity_id, first_update_id=start, last_update_id=end, previous_update_id=previous, bids=bids, asks=asks, tick_size=tick_size, lot_size=lot_size, source_artifact_id=f"delta-{start}-{end}", ) def test_reconstruction_discards_stale_bridges_snapshot_and_accepts_overlap() -> None: result = reconstruct_snapshot_and_deltas( _snapshot(), [ _delta(98, 100, bids=((10_000, 999),)), _delta(100, 102, bids=((10_000, 0),)), _delta(102, 104, bids=((10_000, 12),), asks=((10_001, 18),)), ], ) assert result.status == "LIVE" assert result.stale_events == 1 assert result.final_update_id == 104 assert result.observations.num_rows == 2 first, second = result.observations.to_pylist() assert first["best_bid_ticks"] == 9_999 assert second["best_bid_ticks"] == 10_000 assert second["sequence_start"] == 102 assert result.gaps.num_rows == 0 def test_forward_gap_is_recorded_and_later_events_are_not_applied() -> None: result = reconstruct_snapshot_and_deltas( _snapshot(), [ _delta(100, 102), _delta(105, 106, bids=((10_000, 20),)), _delta(107, 108, bids=((10_000, 30),)), ], ) assert result.status == "GAPPED" assert result.final_update_id == 102 assert result.observations.num_rows == 1 [gap] = result.gaps.to_pylist() assert gap["expected_sequence"] == 103 assert gap["missing_start"] == 103 assert gap["missing_end"] == 104 assert gap["reason"] == "forward_sequence_gap" def test_crossed_book_is_emitted_as_invalid_then_epoch_stops() -> None: result = reconstruct_snapshot_and_deltas( _snapshot(), [_delta(100, 101, bids=((10_002, 5),)), _delta(102, 102)], ) assert result.status == "INVALID" assert result.observations.num_rows == 1 assert result.observations.column("is_valid").to_pylist() == [False] assert result.gaps.column("reason").to_pylist() == ["crossed_or_locked_book"] assert result.final_update_id == 101 def test_sequence_order_not_timestamp_order_and_availability_waits_for_snapshot() -> None: result = reconstruct_snapshot_and_deltas( _snapshot(), [ _delta(100, 101, event_ts_ns=5_000), _delta(102, 102, event_ts_ns=4_000), ], ) assert result.status == "LIVE" assert result.final_update_id == 102 assert result.observations.column("event_ts_ns").to_pylist() == [5_000, 4_000] assert all( value >= _snapshot().available_ts_ns for value in result.observations.column("available_ts_ns").to_pylist() ) def test_previous_update_id_mismatch_requires_resynchronization() -> None: result = reconstruct_snapshot_and_deltas(_snapshot(), [_delta(100, 102, previous=99)]) assert result.status == "GAPPED" assert result.observations.num_rows == 0 assert result.gaps.column("reason").to_pylist() == ["previous_update_id_mismatch"] def test_delta_scale_mismatch_fails_closed_before_reinterpretation() -> None: with pytest.raises(BookInvariantError, match="scales do not match"): reconstruct_snapshot_and_deltas( _snapshot(), [_delta(100, 101, tick_size=0.1)], ) def test_malformed_stale_looking_range_is_invalid_and_later_delta_is_audited() -> None: reconstructor = IncrementalBookReconstructor(_snapshot()) malformed = reconstructor.update(_delta(101, 99)) excluded = reconstructor.update(_delta(101, 101)) assert malformed.outcome == "INVALID" assert malformed.gap is not None assert malformed.gap.reason == "invalid_sequence_range" assert reconstructor.stale_events == 0 assert excluded.outcome == "EXCLUDED_AFTER_TERMINAL" assert excluded.gap is not None assert excluded.gap.reason == "epoch_already_invalid"