from __future__ import annotations import hashlib from dataclasses import FrozenInstanceError from pathlib import Path import pytest from microstructure.m8_l2_analysis_config import ( M8_L2_ANALYSIS_CONFIG_SEMANTIC_SHA256, M8_L2_ANALYSIS_CONFIG_SOURCE_SHA256, M8L2AnalysisConfigError, load_m8_l2_analysis_config, semantic_hash_m8_l2_analysis_config, ) PROJECT_ROOT = Path(__file__).parents[1] CONFIG_PATH = PROJECT_ROOT / "configs" / "m8_l2_analysis.toml" def _write_mutation(tmp_path: Path, old: str, new: str) -> Path: source = CONFIG_PATH.read_text(encoding="utf-8") assert old in source path = tmp_path / "mutated.toml" path.write_text(source.replace(old, new, 1), encoding="utf-8") return path def _changed_assignment(value: str) -> str: if value == "true": return "false" if value == "false": return "true" if value.startswith('"'): assert value.endswith('"') return value[:-1] + '-changed"' if value.startswith("["): assert value.endswith("]") addition = '"CHANGED"' if '"' in value else "999" return value[:-1] + f", {addition}]" if "." in value: return str(float(value) + 0.01) return str(int(value) + 1) def _all_field_mutations() -> list[tuple[int, str]]: lines = CONFIG_PATH.read_text(encoding="utf-8").splitlines() mutations: list[tuple[int, str]] = [] for index, line in enumerate(lines): if not line or line.startswith("["): continue key, separator, value = line.partition(" = ") assert separator and key and value changed = list(lines) changed[index] = f"{key} = {_changed_assignment(value)}" mutations.append((index + 1, "\n".join(changed) + "\n")) return mutations def test_frozen_analysis_contract_binds_exact_bytes_and_all_rules() -> None: config = load_m8_l2_analysis_config(CONFIG_PATH) assert hashlib.sha256(CONFIG_PATH.read_bytes()).hexdigest() == ( M8_L2_ANALYSIS_CONFIG_SOURCE_SHA256 ) assert config.source_sha256 == M8_L2_ANALYSIS_CONFIG_SOURCE_SHA256 assert config.semantic_sha256 == M8_L2_ANALYSIS_CONFIG_SEMANTIC_SHA256 assert config.hash == M8_L2_ANALYSIS_CONFIG_SEMANTIC_SHA256 assert config.study.symbols == ("BTCUSDT", "ETHUSDT") assert config.study.training_role == "train" assert config.study.selection_role == "validation" assert config.study.primary_endpoint_role == "primary_test" assert config.study.replication_endpoint_role == "replication_test" assert config.features.decision_scope == "per_symbol_verified_observed_intervals" assert config.features.flat_direction_policy == "flat_is_non_up" assert config.features.rolling_windows == (20, 100) assert config.features.volatility_window == 100 assert config.features.model_feature_columns == ( "spread_bps", "depth_total_l1", "depth_total_l5", "depth_total_l10", "queue_imbalance_l1", "queue_imbalance_l5", "queue_imbalance_l10", "microprice_deviation_bps", "ofi_l1", "ofi_w20", "ofi_w100", "cancellation_intensity_w20", "cancellation_intensity_w100", "realized_volatility_w20", "realized_volatility_w100", "volatility_regime_low", "volatility_regime_high", "liquidity_regime_liquid", "liquidity_regime_stressed", ) assert config.features.clock_max_state_age_ms == 500 assert config.features.clock_target_policy == ("exact_target_locf_same_valid_observed_interval") assert config.features.clock_label_information_end == "exact_target" assert config.features.clock_record_target_sequence is True assert config.features.clock_censor_if_no_eligible_state is True assert [endpoint.name for endpoint in config.endpoints] == [ "event_20", "event_100", "clock_1000ms", "clock_5000ms", ] assert [(endpoint.domain, endpoint.horizon_value) for endpoint in config.endpoints] == [ ("event", 20), ("event", 100), ("clock", 1000), ("clock", 5000), ] assert [endpoint.paired_block_width for endpoint in config.endpoints] == [40, 200, 2000, 10000] assert [endpoint.paired_block_unit for endpoint in config.endpoints] == [ "events", "events", "milliseconds", "milliseconds", ] assert [endpoint.nominal_event_block_width for endpoint in config.endpoints] == [ 40, 200, 20, 100, ] assert config.regimes.fit_role == "train" assert config.regimes.feature == "realized_volatility_w100" assert config.regimes.quantile_numerators == (1, 2) assert config.regimes.quantile_denominator == 3 assert config.calibration.bins == 10 assert config.bootstrap.method == "paired_moving_block" assert config.bootstrap.samples == 2000 assert config.signed_impact.metric == "ofi_signed_future_mid_markout" assert config.signed_impact.side_rule == "sign_of_horizon_matched_ofi" assert config.signed_impact.price_rule == "ofi_sign_times_future_log_mid_return_bps" assert config.execution.market_orders_only is True assert config.execution.probability_threshold == 0.55 assert config.execution.symmetric_probability_thresholds is True assert config.execution.order_notional_usd == 100.0 assert config.execution.max_l1_participation == 0.10 assert config.execution.inventory_order_multiples == 10 assert config.execution.reference_price_fit_role == "train" assert config.execution.reference_depth_fit_role == "train" assert config.execution.reference_price_statistic == "train_median_mid_price" assert config.execution.reference_depth_statistic == "train_q05_min_bid_ask_l1_depth" assert config.execution.reference_quantity_policy == ( "min_100usd_and_10pct_train_q05_l1_depth_rounded_down_to_lot" ) assert config.execution.l1_fill_policy == "fill_up_to_recorded_l1_depth_cancel_remainder" assert config.execution.scenario_reset_policy == ("per_symbol_session_endpoint_latency_pair") assert config.execution.extra_slippage_bps == 0.0 assert config.execution.liquidate_at_end is True assert config.claims.allow_capacity_claim is False assert config.claims.allow_realized_execution_claim is False assert config.claims.allow_profitability_claim is False public = config.public_dict() assert public["semantic_sha256"] == M8_L2_ANALYSIS_CONFIG_SEMANTIC_SHA256 assert public["source_sha256"] == M8_L2_ANALYSIS_CONFIG_SOURCE_SHA256 def test_analysis_config_objects_are_immutable() -> None: config = load_m8_l2_analysis_config(CONFIG_PATH) with pytest.raises(FrozenInstanceError): config.execution.probability_threshold = 0.99 # type: ignore[misc] def test_semantic_hash_ignores_formatting_but_authority_loader_does_not(tmp_path: Path) -> None: canonical_hash = semantic_hash_m8_l2_analysis_config(CONFIG_PATH) formatted = tmp_path / "formatted.toml" formatted.write_text( "# Formatting is not part of the semantic identity.\n\n" + CONFIG_PATH.read_text(encoding="utf-8"), encoding="utf-8", ) assert semantic_hash_m8_l2_analysis_config(formatted) == canonical_hash with pytest.raises(M8L2AnalysisConfigError, match="configuration bytes do not match"): load_m8_l2_analysis_config(formatted) @pytest.mark.parametrize( ("line_number", "mutated_source"), _all_field_mutations(), ids=lambda value: f"line-{value}" if isinstance(value, int) else None, ) def test_changing_any_declared_field_fails_closed( line_number: int, mutated_source: str, tmp_path: Path ) -> None: path = tmp_path / f"changed-line-{line_number}.toml" path.write_text(mutated_source, encoding="utf-8") with pytest.raises(M8L2AnalysisConfigError): load_m8_l2_analysis_config(path) def test_extra_and_missing_keys_fail_closed(tmp_path: Path) -> None: extra = _write_mutation( tmp_path, "[calibration]\nbins = 10", "[calibration]\nbins = 10\nunreviewed = true", ) with pytest.raises(M8L2AnalysisConfigError, match=r"calibration keys differ.*unreviewed"): load_m8_l2_analysis_config(extra) missing = _write_mutation(tmp_path, "bins = 10\n", "") with pytest.raises(M8L2AnalysisConfigError, match=r"calibration keys differ.*bins"): load_m8_l2_analysis_config(missing) @pytest.mark.parametrize( ("old", "new", "message"), [ ( "probability_threshold = 0.55", "probability_threshold = nan", "must be a finite number", ), ( "max_l1_participation = 0.10", "max_l1_participation = -0.10", r"must be in \(0, 1\]", ), ( "clock_max_state_age_ms = 500", "clock_max_state_age_ms = -1", "must be nonnegative", ), ( "samples = 2000", "samples = true", "must be an integer", ), ], ) def test_illegal_numeric_values_fail_before_source_authority( old: str, new: str, message: str, tmp_path: Path ) -> None: path = _write_mutation(tmp_path, old, new) with pytest.raises(M8L2AnalysisConfigError, match=message): load_m8_l2_analysis_config(path)