"""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()