valentineus/overnight-trading-bot
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thirteenth version

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Valentin Popov
2026-06-09 21:04:01 +00:00
parent f877907b20
commit 4dec14f57c
19 changed files with 602 additions and 110 deletions
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internal/features/pipeline_test.go
+41
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@@ -174,6 +174,47 @@ func TestComputeAllowsWeekendGap(t *testing.T) {
}
}
func TestComputeAllowsHolidayGapWithTradingCalendar(t *testing.T) {
monday := time.Date(2026, 1, 5, 0, 0, 0, 0, time.UTC)
wednesday := monday.AddDate(0, 0, 2)
candles := []domain.Candle{
{InstrumentUID: "uid", TradeDate: monday, Open: decimal.NewFromInt(100), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(1)},
{InstrumentUID: "uid", TradeDate: wednesday, Open: decimal.NewFromInt(101), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(1)},
}
got, err := Compute(domain.Instrument{InstrumentUID: "uid", Lot: 1}, candles, wednesday.AddDate(0, 0, 1), SpreadResult{}, PipelineConfig{
RollingShort: 1,
RollingLong: 1,
EWMALambda: 0.08,
TradingDays: []time.Time{monday, wednesday},
}, decimal.Zero, decimal.Zero)
if err != nil {
t.Fatal(err)
}
want := decimal.RequireFromString("0.01")
if !got.ROn.Equal(want) {
t.Fatalf("ROn=%s, want %s across holiday gap", got.ROn, want)
}
}
func TestComputeRejectsMissingTradingDayWithTradingCalendar(t *testing.T) {
monday := time.Date(2026, 1, 5, 0, 0, 0, 0, time.UTC)
tuesday := monday.AddDate(0, 0, 1)
wednesday := monday.AddDate(0, 0, 2)
candles := []domain.Candle{
{InstrumentUID: "uid", TradeDate: monday, Open: decimal.NewFromInt(100), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(1)},
{InstrumentUID: "uid", TradeDate: wednesday, Open: decimal.NewFromInt(101), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(1)},
}
_, err := Compute(domain.Instrument{InstrumentUID: "uid", Lot: 1}, candles, wednesday.AddDate(0, 0, 1), SpreadResult{}, PipelineConfig{
RollingShort: 1,
RollingLong: 1,
EWMALambda: 0.08,
TradingDays: []time.Time{monday, tuesday, wednesday},
}, decimal.Zero, decimal.Zero)
if err == nil {
t.Fatal("expected missing trading day to make overnight pair unavailable")
}
}
func flatCandles(start time.Time, count int) []domain.Candle {
candles := make([]domain.Candle, 0, count)
for i := 0; i < count; i++ {