from __future__ import annotations import json import os import stat from pathlib import Path from typing import Any import pytest from microstructure.reporting import ( ChecksumMismatchError, IncompleteRunError, RunBundleValidationError, comparison_rows, load_run_bundle, render_executive_memo, render_model_comparison, render_technical_report, write_checksum_manifest, write_report_set, ) PROJECT_ROOT = Path(__file__).parents[1] def _write_json(path: Path, payload: Any) -> None: path.parent.mkdir(parents=True, exist_ok=True) path.write_text(json.dumps(payload, indent=2, sort_keys=True) + "\n", encoding="utf-8") def _build_bundle( root: Path, *, evidence_tier: str = "SYNTHETIC_SMOKE", data_mode: str = "synthetic", data_source: str = "synthetic_fixture_v1", finalize: bool = True, ) -> Path: manifest = { "artifacts": { "execution_metrics": "metrics/execution_metrics.json", "execution_sensitivity": "metrics/execution_sensitivity.json", "market_state": "dashboard/market_state.json", "predictive_metrics": "metrics/predictive_metrics.json", "quality_summary": "quality/summary.json", }, "data": { "mode": data_mode, "observed_end_utc": "2024-01-02T00:10:00Z", "observed_start_utc": "2024-01-02T00:00:00Z", "source": data_source, "symbols": ["BTCUSDT", "ETHUSDT"], }, "evidence_tier": evidence_tier, "execution_assumptions": { "decision_latency_events": 1, "taker_fee_bps": 4.0, }, "run_id": "unit-smoke", "schema_version": "1.0.0", "status": "complete", } provenance = { "config_sha256": "a" * 64, "evidence_tier": evidence_tier, "generated_at_utc": "2026-08-07T12:00:00Z", "git": {"commit": "UNBORN", "dirty": True}, "input_manifest_sha256": ["b" * 64], "runtime": {"machine": "test", "python": "3.12.0"}, "seed": 7, } predictive = [ { "brier_score": 0.25, "expected_calibration_error": 0.1, "horizon_events": 20, "instrument": "BTCUSDT", "log_loss": 0.6931, "model": "majority", "n_obs": 200, "period_end_utc": "2024-01-02T00:10:00Z", "period_start_utc": "2024-01-02T00:08:00Z", "pr_auc": 0.5, "roc_auc": 0.5, "roc_auc_ci_high": 0.55, "roc_auc_ci_low": 0.45, "selected_on": "validation:log_loss", "split": "test", }, { "instrument": "BTCUSDT", "model": "validation-only-model", "roc_auc": 0.99, "split": "validation", }, { "instrument": "BTCUSDT", "model": "unsplit-model", "roc_auc": 0.999, }, ] execution = [ { "fees_bps": 4.0, "fill_rate": 0.6, "gross_bps": 1.0, "horizon_events": 20, "instrument": "BTCUSDT", "max_drawdown": -2.0, "model": "majority", "net_bps": -3.0, "split": "test", "turnover": 8.0, } ] _write_json(root / "run_manifest.json", manifest) _write_json(root / "provenance.json", provenance) _write_json(root / "metrics" / "predictive_metrics.json", predictive) _write_json(root / "metrics" / "execution_metrics.json", execution) _write_json( root / "metrics" / "execution_sensitivity.json", [ { "order_type": "market", "size_multiplier": 1.0, "net_pnl": -0.5, "net_edge_bps": -3.0, "fill_ratio": 1.0, "turnover_notional": 8.0, "maximum_drawdown": 0.5, } ], ) _write_json(root / "dashboard" / "market_state.json", [{"spread_bps": 2.0}]) _write_json(root / "quality" / "summary.json", {"error_count": 0, "warning_count": 1}) if finalize: write_checksum_manifest(root) (root / "_SUCCESS").write_text("", encoding="utf-8") return root def test_rendering_is_deterministic_held_out_only_and_watermarked(tmp_path: Path) -> None: bundle = load_run_bundle(_build_bundle(tmp_path / "run")) first = render_technical_report(bundle) second = render_technical_report(bundle) table = render_model_comparison(bundle) assert first == second assert "SYNTHETIC SMOKE — SOFTWARE VALIDATION ONLY" in first assert "2024-01-02T00:00:00Z" in first assert "Configuration SHA-256" in first assert "UNBORN" in first assert "Runtime metadata" in first assert "Seed" in first assert "0.5000 [0.4500, 0.5500]" in table assert "0.2500" in table assert "0.1000" in table assert "-3.000" in table assert "Configuration SHA-256" in table assert "Input manifest SHA-256" in table assert "Git commit" in table assert "Execution sensitivity" in first assert "size_multiplier" in first assert len(bundle.execution_sensitivity) == 1 assert "validation-only-model" not in table assert "unsplit-model" not in table assert len(comparison_rows(bundle)) == 1 def test_report_set_is_written_outside_frozen_bundle(tmp_path: Path) -> None: run_dir = _build_bundle(tmp_path / "run") checksum_before = (run_dir / "checksums.sha256").read_bytes() bundle = load_run_bundle(run_dir) paths = write_report_set(bundle, tmp_path / "published") assert paths.technical_report.is_file() assert paths.executive_memo.is_file() assert paths.model_comparison.is_file() memo = paths.executive_memo.read_text(encoding="utf-8") comparison = paths.model_comparison.read_text(encoding="utf-8") assert "a" * 64 in memo assert "b" * 64 in memo assert "UNBORN" in memo assert "a" * 64 in comparison assert "b" * 64 in comparison assert "UNBORN" in comparison assert (run_dir / "checksums.sha256").read_bytes() == checksum_before assert load_run_bundle(run_dir).run_id == "unit-smoke" def test_incomplete_and_tampered_bundles_fail_clearly(tmp_path: Path) -> None: incomplete = _build_bundle(tmp_path / "incomplete", finalize=False) with pytest.raises(IncompleteRunError, match="_SUCCESS"): load_run_bundle(incomplete) tampered = _build_bundle(tmp_path / "tampered") (tampered / "quality" / "summary.json").write_text("{}\n", encoding="utf-8") with pytest.raises(ChecksumMismatchError, match="checksum mismatch"): load_run_bundle(tampered) def test_checksum_manifest_fsyncs_file_before_replace_and_parent_directory( tmp_path: Path, monkeypatch: pytest.MonkeyPatch, ) -> None: root = tmp_path / "durable-checksums" root.mkdir() (root / "artifact.txt").write_text("evidence\n", encoding="utf-8") events: list[str] = [] original_fsync = os.fsync original_replace = os.replace def fsync(descriptor: int) -> None: mode = os.fstat(descriptor).st_mode events.append("fsync_directory" if stat.S_ISDIR(mode) else "fsync_file") original_fsync(descriptor) def replace( source: str | bytes | os.PathLike[str] | os.PathLike[bytes], destination: str | bytes | os.PathLike[str] | os.PathLike[bytes], ) -> None: events.append("replace") original_replace(source, destination) monkeypatch.setattr(os, "fsync", fsync) monkeypatch.setattr(os, "replace", replace) write_checksum_manifest(root) assert events == ["fsync_file", "replace", "fsync_directory"] def test_complete_bundle_rejects_conflicting_insufficient_marker(tmp_path: Path) -> None: complete = _build_bundle(tmp_path / "conflicting-terminal") (complete / "INSUFFICIENT_DATA").write_text("terminal\n", encoding="utf-8") with pytest.raises(IncompleteRunError, match="conflicting"): load_run_bundle(complete) def test_synthetic_source_cannot_be_promoted_to_public_evidence(tmp_path: Path) -> None: run_dir = _build_bundle( tmp_path / "laundered", evidence_tier="PUBLIC_SAMPLE_PARTIAL", data_mode="synthetic", data_source="synthetic_fixture_v1", ) with pytest.raises(RunBundleValidationError, match="cannot be promoted"): load_run_bundle(run_dir) def test_full_data_requires_manifested_complete_coverage(tmp_path: Path) -> None: run_dir = _build_bundle( tmp_path / "incomplete_full_data", evidence_tier="FULL_DATA", data_mode="binance_rest", data_source="binance_spot_public_rest", ) with pytest.raises(RunBundleValidationError, match="complete coverage"): load_run_bundle(run_dir) def test_public_bundle_requires_manifested_input_identity(tmp_path: Path) -> None: run_dir = _build_bundle( tmp_path / "missing-input", evidence_tier="PUBLIC_SAMPLE_PARTIAL", data_mode="binance_rest", data_source="binance_spot_public_rest", finalize=False, ) provenance_path = run_dir / "provenance.json" provenance = json.loads(provenance_path.read_text(encoding="utf-8")) provenance["input_manifest_sha256"] = [] _write_json(provenance_path, provenance) write_checksum_manifest(run_dir) (run_dir / "_SUCCESS").write_text("complete\n", encoding="utf-8") with pytest.raises(RunBundleValidationError, match="at least one input manifest"): load_run_bundle(run_dir) def test_public_trade_only_report_uses_manifest_scope_and_excludes_execution( tmp_path: Path, ) -> None: run_dir = _build_bundle( tmp_path / "public-trade-only", evidence_tier="PUBLIC_SAMPLE_PARTIAL", data_mode="binance_rest_trade_only", data_source="binance_spot_public_rest", finalize=False, ) manifest_path = run_dir / "run_manifest.json" manifest = json.loads(manifest_path.read_text(encoding="utf-8")) question = "Do signed aggregate trades predict future trade-price direction?" exclusion_reason = "Trade-only data contain no quotes, depth, or queue state." manifest["research"] = {"question": question} manifest["data"]["symbol_coverage"] = [ { "symbol": "BTCUSDT", "rows": 5_000, "observed_start_utc": "2024-01-02T00:00:00Z", "observed_end_inclusive_utc": "2024-01-02T00:01:53.619000Z", "complete_range": False, }, { "symbol": "ETHUSDT", "rows": 5_000, "observed_start_utc": "2024-01-02T00:00:00Z", "observed_end_inclusive_utc": "2024-01-02T00:06:49.796000Z", "complete_range": False, }, ] manifest["execution_assumptions"] = { "status": "NOT_RUN", "reason": exclusion_reason, "pnl_calculated": False, "fills_calculated": False, } manifest["artifacts"]["hypothesis_evaluation"] = "metrics/hypothesis_evaluation.json" _write_json(manifest_path, manifest) _write_json( run_dir / "metrics" / "hypothesis_evaluation.json", { "selection_metric": "log_loss", "caveat": ("Exploratory paired interval only; no significance claim is authorized."), "cross_instrument_conclusion": { "status": "not_inferred", "text": "BTCUSDT and ETHUSDT are not pooled.", }, "per_symbol": [ { "symbol": "BTCUSDT", "selected_model": "logistic_l2_c1", "baseline": "historical_prior", "metric": "log_loss", "point_delta": -0.012345, "ci_low": -0.02, "ci_high": 0.003, "n_obs": 400, "n_blocks": 10, "samples": 500, "seed": 20280807, "status": "ok", "favorable_direction": "negative_selected_minus_prior_is_favorable", }, { "symbol": "ETHUSDT", "selected_model": "shallow_tree_d2_leaf25", "baseline": "historical_prior", "metric": "log_loss", "point_delta": 0.006789, "ci_low": -0.004, "ci_high": 0.018, "n_obs": 400, "n_blocks": 10, "samples": 500, "seed": 20380807, "status": "ok", "favorable_direction": "negative_selected_minus_prior_is_favorable", }, ], }, ) _write_json(run_dir / "metrics" / "execution_metrics.json", []) _write_json(run_dir / "metrics" / "execution_sensitivity.json", []) write_checksum_manifest(run_dir) (run_dir / "_SUCCESS").write_text("complete\n", encoding="utf-8") bundle = load_run_bundle(run_dir) technical = render_technical_report(bundle) memo = render_executive_memo(bundle) published = write_report_set(bundle, tmp_path / "published-public-trade-only") assert bundle.execution_metrics == () assert bundle.execution_sensitivity == () assert len(bundle.hypothesis_evaluation["per_symbol"]) == 2 assert question in technical assert "### Per-symbol observed coverage" in technical assert "| BTCUSDT | 5000 |" in technical assert "2024-01-02T00:01:53.619000Z" in technical assert "| ETHUSDT | 5000 |" in technical assert "2024-01-02T00:06:49.796000Z" in technical assert ( "| BTCUSDT | 5000 | 2024-01-02T00:00:00Z | 2024-01-02T00:01:53.619000Z | false |" ) in technical assert ( "| ETHUSDT | 5000 | 2024-01-02T00:00:00Z | 2024-01-02T00:06:49.796000Z | false |" ) in technical assert "Execution simulation and P&L were not run" in technical assert "Execution sensitivity was not run" in technical assert exclusion_reason in technical assert "conditional on these assumptions" not in technical assert "This scenario grid changes" not in technical assert "Execution simulation, fills, execution sensitivity, and P&L were not run" in memo assert exclusion_reason in memo assert "simulated strategy outcomes" not in memo assert "Simulated fills do not prove" not in memo for rendered in ( technical, memo, published.technical_report.read_text(encoding="utf-8"), published.executive_memo.read_text(encoding="utf-8"), published.model_comparison.read_text(encoding="utf-8"), ): assert "Paired H0/H1 diagnostic" in rendered assert "negative value favors the selected model" in rendered assert "BTCUSDT" in rendered assert "-0.012345" in rendered assert "ETHUSDT" in rendered assert "0.006789" in rendered assert "not p-values or confirmatory significance intervals" in rendered assert "cannot support persistent alpha" in rendered def test_m8_full_archive_report_preserves_date_components_and_narrow_scope( tmp_path: Path, ) -> None: run_dir = _build_bundle( tmp_path / "m8-trade-only", evidence_tier="FULL_DATA", data_mode="binance_spot_daily_aggtrades_trade_only", data_source="binance_spot_daily_aggtrades_archive", finalize=False, ) manifest_path = run_dir / "run_manifest.json" manifest = json.loads(manifest_path.read_text(encoding="utf-8")) manifest["data"]["all_requested_ranges_complete"] = True manifest["data"]["date_coverage"] = [ { "symbol": "BTCUSDT", "date": "2024-01-05", "role": "primary_test", "rows": 100, "observed_start_utc": "2024-01-05T00:00:00Z", "observed_end_inclusive_utc": "2024-01-05T23:59:59.999000Z", "complete": True, "quality_errors": 0, "quality_warnings": 0, }, { "symbol": "BTCUSDT", "date": "2024-01-06", "role": "replication_test", "rows": 120, "observed_start_utc": "2024-01-06T00:00:00Z", "observed_end_inclusive_utc": "2024-01-06T23:59:59.999000Z", "complete": True, "quality_errors": 0, "quality_warnings": 0, }, ] manifest["research"] = { "scope": "trade_only", "question": "Does the locked trade-only model improve next-20-trade log loss?", } manifest["execution_assumptions"] = { "status": "NOT_RUN", "reason": "No contemporaneous order book or local receipt clock.", } manifest["artifacts"]["hypothesis_evaluation"] = "metrics/hypothesis_evaluation.json" _write_json(manifest_path, manifest) _write_json(run_dir / "metrics" / "execution_metrics.json", []) _write_json(run_dir / "metrics" / "execution_sensitivity.json", []) _write_json( run_dir / "metrics" / "predictive_metrics.json", [ { "instrument": "BTCUSDT", "model": "tree_depth_2", "horizon_events": 20, "split": "final_test", "study_date": "2024-01-05", "n_obs": 100, "period_start_utc": "2024-01-05T00:00:00Z", "period_end_utc": "2024-01-05T23:59:59.999000Z", "log_loss": 0.61, }, { "instrument": "BTCUSDT", "model": "tree_depth_2", "horizon_events": 20, "split": "final_test", "study_date": "2024-01-06", "n_obs": 120, "period_start_utc": "2024-01-06T00:00:00Z", "period_end_utc": "2024-01-06T23:59:59.999000Z", "log_loss": 0.65, }, ], ) _write_json( run_dir / "metrics" / "hypothesis_evaluation.json", { "schema_version": "1.0.0", "evidence_scope": "trade_only_complete_predeclared_daily_archives", "selection_metric": "log_loss", "caveat": "No p-values, H0 rejection, or significance claim is authorized.", "cross_instrument_conclusion": { "text": "BTCUSDT and ETHUSDT remain separate; no pooling is authorized." }, "per_date": [ { "symbol": "BTCUSDT", "study_date": "2024-01-05", "study_role": "primary_test", "selected_model": "tree_depth_2", "baseline": "historical_prior", "selected_log_loss": 0.61, "prior_log_loss": 0.64, "point_delta": -0.03, "ci_low": -0.05, "ci_high": -0.01, "n_obs": 100, "n_blocks": 3, "bootstrap_status": "ok", }, { "symbol": "BTCUSDT", "study_date": "2024-01-06", "study_role": "replication_test", "selected_model": "tree_depth_2", "baseline": "historical_prior", "selected_log_loss": 0.65, "prior_log_loss": 0.64, "point_delta": 0.01, "ci_low": -0.02, "ci_high": 0.04, "n_obs": 120, "n_blocks": 3, "bootstrap_status": "ok", }, ], "per_symbol": [ { "symbol": "BTCUSDT", "selected_model": "tree_depth_2", "baseline": "historical_prior", "point_delta": -0.01, "ci_low": -0.03, "ci_high": 0.02, "n_dates": 2, "n_obs": 220, "n_blocks": 6, "status": "mixed", "replication_status": "mixed", "validation_date": "2024-01-04", "validation_point_delta": -0.02, "primary_date": "2024-01-05", "primary_point_delta": -0.03, "replication_date": "2024-01-06", "replication_point_delta": 0.01, "direction_consistent_across_validation_primary_replication": False, "favorable_across_validation_primary_replication": False, "validation_primary_replication_status": "mixed", } ], }, ) write_checksum_manifest(run_dir) (run_dir / "_SUCCESS").write_text("complete\n", encoding="utf-8") bundle = load_run_bundle(run_dir) technical = render_technical_report(bundle) memo = render_executive_memo(bundle) published = write_report_set(bundle, tmp_path / "m8-published") held_out_rows = comparison_rows(bundle) assert len(held_out_rows) == 2 assert {row["study_date"] for row in held_out_rows} == {"2024-01-05", "2024-01-06"} assert "### Per-date observed coverage" in technical assert "M8 predeclared multi-date endpoint" in technical assert "2024-01-05" in technical and "2024-01-06" in technical assert "-0.030000" in technical and "0.010000" in technical assert "Equal-date-weighted endpoint" in technical assert "Validation → primary → replication direction consistency" in technical assert "2024-01-04" in technical assert "mixed" in technical assert "not to full market observability" in technical assert "contains no order-book, execution, P&L, capacity" in memo for path in ( published.technical_report, published.executive_memo, published.model_comparison, ): regenerated = path.read_text(encoding="utf-8") assert "M8 predeclared multi-date endpoint" in regenerated assert "2024-01-05" in regenerated and "2024-01-06" in regenerated assert "No p-values, H0 rejection, or significance claim is authorized" in regenerated def test_manifest_and_provenance_run_keys_must_match(tmp_path: Path) -> None: run_dir = _build_bundle(tmp_path / "mismatched-run-key", finalize=False) manifest_path = run_dir / "run_manifest.json" provenance_path = run_dir / "provenance.json" manifest = json.loads(manifest_path.read_text(encoding="utf-8")) provenance = json.loads(provenance_path.read_text(encoding="utf-8")) manifest["run_key"] = "c" * 64 provenance["run_key"] = "d" * 64 _write_json(manifest_path, manifest) _write_json(provenance_path, provenance) write_checksum_manifest(run_dir) (run_dir / "_SUCCESS").write_text("complete\n", encoding="utf-8") with pytest.raises(RunBundleValidationError, match="run keys do not match"): load_run_bundle(run_dir) def test_canonical_documents_make_no_unrun_performance_claim() -> None: technical = (PROJECT_ROOT / "reports" / "technical_report.md").read_text(encoding="utf-8") comparison = (PROJECT_ROOT / "reports" / "model_comparison.md").read_text(encoding="utf-8") memo = (PROJECT_ROOT / "reports" / "executive_memo.md").read_text(encoding="utf-8") resume = (PROJECT_ROOT / "portfolio" / "resume_bullets.md").read_text(encoding="utf-8") assert "SOURCE-CONTROLLED TEMPLATE" in technical assert "manually copied empirical or synthetic performance results" in technical assert "no copied model or execution numbers" in comparison assert memo.count("page-break-after: always") == 1 assert "Authorize no capital" in memo assert "## Research-focused" in resume assert "## Quant-trading-focused" in resume assert "## Data-engineering-focused" in resume