from __future__ import annotations from dataclasses import replace from pathlib import Path import pytest from microstructure.reporting.l2 import ( L2ReportData, L2ReportError, canonical_report_data_sha256, render_l2_executive_memo, render_l2_model_comparison, render_l2_technical_report, write_l2_report_set, ) def _data() -> L2ReportData: manifest = { "status": "COMPLETE", "evidence_tier": "FULL_DATA", "effective_evidence_tier": "FULL_DATA", "live_trading": False, "research": { "question": "Do causal L2 states improve future-mid direction log loss?", "period_start_utc": "2026-08-10T14:00:00Z", "period_end_utc": "2026-08-13T15:00:00Z", }, } provenance = { "git": {"commit": "a" * 40, "source_tree_sha256": "b" * 64, "dirty": False}, "inputs": { "capture_config_sha256": "c" * 64, "capture_protocol_sha256": "d" * 64, "analysis_config_sha256": "e" * 64, "development_lock_sha256": "f" * 64, }, } session_gates = tuple( { "study_date": f"2026-08-{day:02d}", "study_role": role, "status": "COMPLETE", "BTCUSDT_gate": "passed", "ETHUSDT_gate": "passed", "overlap_seconds": 3_590.0, } for day, role in ( (8, "train"), (9, "validation"), (10, "primary_test"), (11, "replication_test"), ) ) predictive = ( { "symbol": "BTCUSDT", "endpoint_name": "event_20", "study_date": "2026-08-12", "selected_model": "logistic_l2_c_1", "n_obs": 400, "selected_log_loss": 0.65, "prior_log_loss": 0.69, "point_delta": -0.04, "selected_brier_score": 0.23, "selected_expected_calibration_error": 0.02, }, ) paired = ( { "symbol": "BTCUSDT", "endpoint_name": "event_20", "study_date": "2026-08-12", "n_obs": 400, "n_blocks": 10, "point_delta": -0.04, "ci_low": -0.08, "ci_high": 0.01, "status": "ok", "regime": "ALL", }, ) equal = ( { **{key: value for key, value in paired[0].items() if key != "study_date"}, "directionally_replicated": True, }, ) execution = ( { "symbol": "BTCUSDT", "endpoint_name": "event_20", "study_date": "2026-08-12", "decision_latency_events": 0, "order_latency_events": 1, "strategy_orders": 20, "fill_ratio": 0.8, "turnover_notional": 1_000.0, "marked_net_pnl": -2.0, "unliquidated_quantity": 0.0, }, ) return L2ReportData( manifest=manifest, provenance=provenance, session_gates=session_gates, hypothesis={ "conclusion": "The endpoint improved on primary and replication sessions.", "directionally_replicated_pairs": 1, }, predictive_metrics=predictive, paired_metrics=paired, equal_session_metrics=equal, execution_metrics=execution, ) def test_l2_reports_are_artifact_driven_and_keep_claim_boundaries() -> None: data = _data() technical = render_l2_technical_report(data) memo = render_l2_executive_memo(data) comparison = render_l2_model_comparison(data) for report in (technical, memo, comparison): assert "aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa" in report assert "ffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffff" in report assert "no refit" in report.lower() or "without update" in report.lower() assert "not realized execution" in technical.lower() assert "no capacity or profitability claim" in technical.lower() assert "Directionally replicated symbol/endpoint pairs: **1**" in memo assert "2026-08-12 / ALL" in technical assert "equal-session / ALL" in comparison assert "0.650000" in comparison assert len(canonical_report_data_sha256(data)) == 64 def test_l2_report_set_is_deterministic_and_complete(tmp_path: Path) -> None: paths = write_l2_report_set(tmp_path, _data()) first = [path.read_bytes() for path in paths] repeated = write_l2_report_set(tmp_path, _data()) assert paths == repeated assert [path.read_bytes() for path in repeated] == first assert {path.name for path in paths} == { "technical_report.md", "executive_memo.md", "model_comparison.md", } def test_l2_reports_reject_promoted_or_underspecified_authority() -> None: data = _data() with pytest.raises(L2ReportError, match="FULL_DATA"): render_l2_technical_report( replace( data, manifest={**data.manifest, "evidence_tier": "PUBLIC_SAMPLE_PARTIAL"}, ) ) with pytest.raises(L2ReportError, match="conclusion"): render_l2_executive_memo(replace(data, hypothesis={})) def test_l2_report_counts_only_overall_pairs_and_labels_insufficient_data() -> None: data = _data() duplicated_regime = { **data.equal_session_metrics[0], "regime": "HIGH_SPREAD__HIGH_VOLATILITY", "directionally_replicated": True, } memo = render_l2_executive_memo( replace(data, equal_session_metrics=(*data.equal_session_metrics, duplicated_regime)) ) assert "Directionally replicated symbol/endpoint pairs: **1**" in memo insufficient_manifest = { **data.manifest, "status": "INSUFFICIENT_DATA", "effective_evidence_tier": "INSUFFICIENT_DATA", } insufficient = replace( data, manifest=insufficient_manifest, hypothesis={ "conclusion": "The frozen study is INSUFFICIENT_DATA.", "directionally_replicated_pairs": 0, }, predictive_metrics=(), paired_metrics=(), equal_session_metrics=(), execution_metrics=(), ) technical = render_l2_technical_report(insufficient) assert "INSUFFICIENT_DATA" in technical assert "FULL-DATA PUBLIC L2 RESEARCH" not in technical def test_l2_report_rejects_replicated_pair_count_mismatch() -> None: with pytest.raises(L2ReportError, match="replicated-pair count"): render_l2_executive_memo( replace( _data(), hypothesis={ "conclusion": "Mismatch.", "directionally_replicated_pairs": 2, }, ) ) def test_l2_report_rejects_invalid_execution_fill_ratio() -> None: data = _data() invalid = ({**data.execution_metrics[0], "fill_ratio": 1.01},) with pytest.raises(L2ReportError, match=r"\[0, 1\]"): render_l2_technical_report(replace(data, execution_metrics=invalid))