tests/test_l2_factor.py

"""Tests for the Level-2 large-resting-order factor."""

from __future__ import annotations

import math

import pytest

from scanner.factor_sources import StubDataSource
from scanner.l2_factor import (
    BIG_SIZE,
    CLIP_RANGE,
    SPOOF_AGE_THRESH,
    TOP_LEVELS,
    _book_lying,
    compute_l2_factor,
    compute_l2_factors,
)


def _book(bids, asks, age=5.0):
    """Wrap bid/ask lists in the dict schema the factor expects."""
    return {
        "ticker": "TEST",
        "ts": "2026-06-02T14:30:00Z",
        "bids": [[p, s, "NSDQ", age] for p, s in bids],
        "asks": [[p, s, "NSDQ", age] for p, s in asks],
    }


class _StaticSource:
    """Data source that returns the same book for every ticker."""
    def __init__(self, book):
        self._book = book
    def get_l2_snapshot(self, ticker):
        return self._book


def test_balanced_book_is_near_zero():
    book = _book(
        [(100.0, 1000), (99.99, 800), (99.98, 600)],
        [(100.01, 1000), (100.02, 800), (100.03, 600)],
    )
    f = compute_l2_factor("X", source=_StaticSource(book))
    assert -0.5 < f < 0.5, f"expected near-zero for balanced book, got {f}"


def test_bid_heavy_book_is_positive():
    book = _book(
        [(100.0, 50000), (99.99, 40000), (99.98, 30000), (99.97, 20000), (99.96, 10000)],
        [(100.01, 200), (100.02, 200), (100.03, 200), (100.04, 200), (100.05, 200)],
    )
    f = compute_l2_factor("X", source=_StaticSource(book))
    assert f > 0.3, f"expected positive for bid-heavy book, got {f}"


def test_ask_heavy_book_is_negative():
    book = _book(
        [(100.0, 200), (99.99, 200), (99.98, 200), (99.97, 200), (99.96, 200)],
        [(100.01, 50000), (100.02, 40000), (100.03, 30000), (100.04, 20000), (100.05, 10000)],
    )
    f = compute_l2_factor("X", source=_StaticSource(book))
    assert f < -0.3, f"expected negative for ask-heavy book, got {f}"


def test_clipped_to_range():
    book = _book(
        [(100.0, 1_000_000)] * TOP_LEVELS,
        [(100.01, 1)] * TOP_LEVELS,
    )
    f = compute_l2_factor("X", source=_StaticSource(book))
    assert -CLIP_RANGE <= f <= CLIP_RANGE


def test_spoofed_orders_ignored():
    """Orders with age < SPOOF_AGE_THRESH should be filtered out."""
    book = _book(
        [(100.0, 50000)],   # one big bid
        [(100.01, 200)],
    )
    # With normal ages - all included, factor should be bid-heavy
    f_normal = compute_l2_factor("X", source=_StaticSource(book))
    assert f_normal > 0.2
    # With spoof ages (0.1s) - the big bid is filtered, book looks thin
    book_spoofed = {
        "ticker": "X",
        "ts": "2026-06-02T14:30:00Z",
        "bids": [[100.0, 50000, "NSDQ", 0.1]],   # spoof!
        "asks": [[100.01, 200, "NSDQ", 5.0]],
    }
    f_spoofed = compute_l2_factor("X", source=_StaticSource(book_spoofed))
    # Spoofed book should be weaker (closer to 0)
    assert abs(f_spoofed) < abs(f_normal)


def test_book_lying_detection():
    assert _book_lying(0.7, -0.005) is True   # bid-heavy but falling
    assert _book_lying(0.7, 0.0) is False     # bid-heavy and flat
    assert _book_lying(0.3, 0.005) is True    # ask-heavy but rising
    assert _book_lying(0.5, 0.0) is False     # neutral


def test_book_lying_discounts_factor():
    book = _book(
        [(100.0, 50000), (99.99, 40000), (99.98, 30000), (99.97, 20000), (99.96, 10000)],
        [(100.01, 200), (100.02, 200), (100.03, 200), (100.04, 200), (100.05, 200)],
    )
    f_honest = compute_l2_factor("X", recent_return=0.001, source=_StaticSource(book))
    f_lying = compute_l2_factor("X", recent_return=-0.01, source=_StaticSource(book))
    # "Lying" book should produce a smaller absolute factor
    assert abs(f_lying) < abs(f_honest)


def test_empty_book_returns_zero():
    f = compute_l2_factor("X", source=_StaticSource(None))
    assert f == 0.0
    f = compute_l2_factor("X", source=_StaticSource({"bids": [], "asks": []}))
    assert f == 0.0


def test_batch_returns_all_tickers():
    book = _book(
        [(100.0, 1000), (99.99, 800)],
        [(100.01, 1000), (100.02, 800)],
    )
    src = _StaticSource(book)
    out = compute_l2_factors(["A", "B", "C"], source=src)
    assert set(out.keys()) == {"A", "B", "C"}
    for v in out.values():
        assert -CLIP_RANGE <= v <= CLIP_RANGE


def test_stub_data_source_synthesises():
    src = StubDataSource(stub_dir="/nonexistent")
    book = src.get_l2_snapshot("AAPL")
    assert book is not None
    assert "bids" in book and "asks" in book
    assert len(book["bids"]) == 10
    assert all(len(b) == 4 for b in book["bids"])