Add real-time market truth layer
This commit is contained in:
Codex
@@ -30,6 +30,7 @@ class DocumentationConsistencyTests(unittest.TestCase):
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top_level_docs,
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{
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"AI_ICT_实盘交易分析系统开发计划_v1.md",
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"AI_ICT_实盘辅助决策系统开发方案_v2.md",
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"ICT交易全书_出版终校版.md",
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"training_console_public_surface_v1.md",
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},
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@@ -8,6 +8,8 @@ from src.services.execution import evaluate_execution_decision
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from src.services.market_state import (
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MarketStateService,
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build_session_state,
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build_gap_state,
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build_stream_state,
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evaluate_freshness,
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evaluate_news_window,
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evaluate_opening_volatility,
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@@ -98,6 +100,8 @@ class MarketStateServiceTests(unittest.TestCase):
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self.assertEqual(state.session.session_code, "LONDON")
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self.assertTrue(state.session.allows_new_positions)
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self.assertFalse(state.news_window.is_active)
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self.assertEqual(state.stream_state.code, "market_stream_disconnected")
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self.assertEqual(state.data_gap_state.code, "market_data_gap_unavailable")
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class RiskGovernorServiceTests(unittest.TestCase):
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@@ -141,6 +145,23 @@ class RiskGovernorServiceTests(unittest.TestCase):
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self.assertFalse(decision.allowed)
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self.assertIn("news_window_active", decision.reject_codes)
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def test_risk_governor_rejects_stream_disconnect_and_gap(self) -> None:
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decision = RiskGovernorService().evaluate(
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context=RiskContext(
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market_state={
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"freshness": {"code": "market_data_fresh"},
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"session": {"allows_new_positions": True},
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"stream_state": build_stream_state({"code": "market_stream_disconnected"}).to_dict(),
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"data_gap_state": build_gap_state({"code": "market_data_gap_detected", "is_gap": True, "source": "stream"}).to_dict(),
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}
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),
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execution_mode="paper",
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)
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self.assertFalse(decision.allowed)
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self.assertIn("market_stream_disconnected", decision.reject_codes)
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self.assertIn("market_data_gap_detected", decision.reject_codes)
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def test_risk_governor_rejects_low_quality_backtest_gate_for_semi_auto_only(self) -> None:
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context = RiskContext(
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backtest_quality_gate={
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@@ -0,0 +1,322 @@
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from datetime import datetime, timedelta, timezone
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import json
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import os
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import unittest
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os.environ.setdefault("DATABASE_URL", "postgresql+psycopg://user:pass@localhost:5432/ai_ict_test")
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from src.services.market_data.okx_client import OKXCandle
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from src.services.market_state import (
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DATA_GAP_CODE_DETECTED,
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EconomicCalendarProvider,
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MarketDataStreamService,
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MarketStateService,
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MarketTruthRuntimeState,
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MarketTruthSupervisor,
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STREAM_CODE_CONNECTED,
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STREAM_CODE_DISCONNECTED,
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build_data_gap_state,
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)
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from src.services.market_state.news_event_provider import NewsProviderSnapshot
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class MarketDataStreamServiceTests(unittest.TestCase):
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def test_stream_service_parses_ticker_and_candle_messages(self) -> None:
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service = MarketDataStreamService(url="wss://example.test")
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service.subscribe(
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instrument_id=1,
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symbol="BTC-USDT",
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inst_id="BTC-USDT-SWAP",
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timeframe="1m",
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)
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service._on_message(None, json.dumps({"event": "subscribe", "arg": {"channel": "tickers", "instId": "BTC-USDT-SWAP"}}))
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service._on_message(
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None,
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json.dumps(
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{
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"arg": {"channel": "tickers", "instId": "BTC-USDT-SWAP"},
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"data": [{"last": "65000.5", "ts": "1778032800000"}],
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}
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),
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)
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service._on_message(
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None,
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json.dumps(
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{
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"arg": {"channel": "candle1m", "instId": "BTC-USDT-SWAP"},
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"data": [["1778032800000", "64990.1", "65010.0", "64980.0", "65000.5", "12.3", "0", "0", "1"]],
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}
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),
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)
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snapshot = service.get_snapshot(instrument_id=1, timeframe="1m")
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self.assertEqual(snapshot["code"], STREAM_CODE_CONNECTED)
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self.assertTrue(snapshot["connected"])
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self.assertTrue(snapshot["subscribed"])
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self.assertEqual(snapshot["latest_price"], 65000.5)
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self.assertEqual(snapshot["latest_candle_open"], 64990.1)
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self.assertEqual(snapshot["latest_candle_close"], 65000.5)
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self.assertIsNotNone(snapshot["last_confirmed_candle_close_ts"])
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def test_build_data_gap_state_detects_missing_candle_interval(self) -> None:
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now = datetime(2026, 5, 7, 12, 5, tzinfo=timezone.utc)
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gap_state = build_data_gap_state(
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stream_snapshot={"code": STREAM_CODE_CONNECTED, "gap_detected": False},
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latest_candle_ts=now - timedelta(minutes=4),
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timeframe="1m",
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now=now,
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gap_multiplier=2,
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)
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self.assertTrue(gap_state["is_gap"])
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self.assertEqual(gap_state["code"], DATA_GAP_CODE_DETECTED)
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class EconomicCalendarProviderTests(unittest.TestCase):
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def test_provider_marks_active_high_impact_event(self) -> None:
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now = datetime(2026, 5, 7, 12, 0, tzinfo=timezone.utc)
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provider = EconomicCalendarProvider(
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pre_window_minutes=15,
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post_window_minutes=15,
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high_impact_only=True,
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)
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snapshot = provider.fetch_snapshot(
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now=now,
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rows=[
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{
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"id": "cpi",
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"title": "US CPI",
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"country": "USD",
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"impact": "High",
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"dateUtc": now.isoformat(),
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}
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],
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)
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self.assertTrue(snapshot.is_active)
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self.assertEqual(snapshot.code, "news_window_active")
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self.assertEqual(snapshot.event_count, 1)
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class MarketTruthSupervisorTests(unittest.TestCase):
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def test_supervisor_runs_rest_fallback_and_records_incident(self) -> None:
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now = datetime(2026, 5, 7, 12, 0, tzinfo=timezone.utc)
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repository = _SupervisorRepository(now=now)
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candle_repository = _FallbackCandleRepository(repository)
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supervisor = MarketTruthSupervisor(
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repository=repository,
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candle_repository=candle_repository,
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stream_service=_DisconnectedStreamService(now=now),
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rest_client=_FallbackOKXClient(now=now),
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news_provider=_InactiveNewsProvider(now=now),
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enabled=False,
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)
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state = supervisor.current_state(instrument_id=1, timeframe="1m", now=now)
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self.assertEqual(state.stream_state["code"], STREAM_CODE_DISCONNECTED)
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self.assertEqual(candle_repository.write_calls, 1)
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self.assertTrue(any(item["incident_code"] == "rest_backfill_applied" for item in repository.incidents))
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self.assertTrue(any(item["incident_code"] == STREAM_CODE_DISCONNECTED for item in repository.incidents))
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def test_market_state_service_uses_supervisor_runtime_state(self) -> None:
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now = datetime(2026, 5, 7, 12, 0, tzinfo=timezone.utc)
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repository = _SupervisorRepository(now=now)
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supervisor = _StaticSupervisor(now=now)
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service = MarketStateService(repository=repository, market_truth_supervisor=supervisor)
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state = service.build_market_state(instrument_id=1, timeframe="1m", now=now)
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payload = state.to_dict()
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self.assertIn("stream_state", payload)
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self.assertIn("data_gap_state", payload)
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self.assertIn("news_state", payload)
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self.assertEqual(payload["stream_state"]["code"], STREAM_CODE_CONNECTED)
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self.assertEqual(payload["latest_candle"]["latest_price"], 65111.0)
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class _SupervisorRepository:
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def __init__(self, now: datetime) -> None:
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self.now = now
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self.latest_candle = {
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"id": 1,
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"instrument_id": 1,
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"timeframe": "1m",
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"ts_close": now - timedelta(minutes=10),
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"open": 64000.0,
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"close": 64010.0,
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}
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self.incidents: list[dict] = []
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def fetch_active_instruments_by_symbols(self, symbols: list[str]) -> list[dict]:
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return [{"id": 1, "symbol": "BTC-USDT", "active": True}] if "BTC-USDT" in symbols else []
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def fetch_instrument_by_id(self, instrument_id: int):
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return {"id": instrument_id, "symbol": "BTC-USDT", "active": True}
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def fetch_latest_candle(self, instrument_id: int, timeframe: str):
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return dict(self.latest_candle)
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def fetch_session_at(self, instrument_id: int, ts):
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return {
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"id": 5,
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"session_code": "LONDON",
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"status": "open",
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"start_ts": self.now - timedelta(minutes=20),
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"end_ts": self.now + timedelta(hours=2),
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}
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def insert_market_truth_incident(self, **kwargs) -> int:
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self.incidents.append(dict(kwargs))
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return len(self.incidents)
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class _FallbackCandleRepository:
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def __init__(self, repository: _SupervisorRepository) -> None:
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self.repository = repository
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self.write_calls = 0
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def upsert_many(self, candles, instrument_id: int) -> int:
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self.write_calls += 1
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latest = candles[-1]
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self.repository.latest_candle = {
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"id": 99,
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"instrument_id": instrument_id,
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"timeframe": latest.timeframe,
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"ts_close": datetime.fromtimestamp((latest.ts_open_ms + 60_000 - 1) / 1000, tz=timezone.utc),
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"open": latest.open,
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"close": latest.close,
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}
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return len(candles)
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class _DisconnectedStreamService:
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def __init__(self, now: datetime) -> None:
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self.now = now
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self.subscriptions = []
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def subscribe(self, **kwargs) -> None:
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self.subscriptions.append(dict(kwargs))
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def start(self) -> None:
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return
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def stop(self) -> None:
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return
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def iter_subscriptions(self):
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return []
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def get_snapshot(self, *, instrument_id: int, timeframe: str, now=None) -> dict:
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return {
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"instrument_id": instrument_id,
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"timeframe": timeframe,
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"code": STREAM_CODE_DISCONNECTED,
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"connected": False,
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"subscribed": False,
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"reconnect_count": 1,
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"last_message_ts": None,
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"heartbeat_age_seconds": None,
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"lag_seconds": None,
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"latest_price": None,
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"latest_candle_open": None,
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"latest_candle_close": None,
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"latest_candle_open_ts": None,
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"latest_candle_close_ts": None,
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"last_confirmed_candle_close_ts": None,
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"last_disconnect_reason": "socket_closed",
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"last_error": "socket_closed",
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"gap_detected": False,
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"gap_seconds": None,
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}
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class _FallbackOKXClient:
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def __init__(self, now: datetime) -> None:
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self.now = now
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def get_candles(self, inst_id: str, bar: str, limit: int):
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return [
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OKXCandle(
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inst_id=inst_id,
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bar=bar,
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ts=str(int((self.now - timedelta(minutes=1)).timestamp() * 1000)),
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open="65000.0",
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high="65120.0",
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low="64980.0",
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close="65111.0",
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volume="5.2",
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confirm="1",
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)
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]
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class _InactiveNewsProvider:
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def __init__(self, now: datetime) -> None:
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self.now = now
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def fetch_snapshot(self, *, now: datetime):
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return NewsProviderSnapshot(
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provider_name="test",
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fetched_ts=now,
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freshness_code="news_provider_fresh",
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active_events=[],
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event_count=0,
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is_active=False,
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code="news_window_inactive",
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error=None,
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)
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def evaluate_cached_snapshot(self, *, snapshot, now: datetime):
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return snapshot
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class _StaticSupervisor:
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def __init__(self, now: datetime) -> None:
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self.now = now
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def current_state(self, *, instrument_id: int, timeframe: str, now: datetime):
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return MarketTruthRuntimeState(
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stream_state={
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"code": STREAM_CODE_CONNECTED,
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"connected": True,
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"subscribed": True,
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"reconnect_count": 0,
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"last_message_ts": now.isoformat(),
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"heartbeat_age_seconds": 1.0,
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"lag_seconds": 1.0,
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"latest_price": 65111.0,
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"latest_candle_open": 65000.0,
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"latest_candle_close": 65111.0,
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"latest_candle_open_ts": (now - timedelta(minutes=1)).isoformat(),
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"latest_candle_close_ts": now.isoformat(),
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"last_confirmed_candle_close_ts": now.isoformat(),
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"last_disconnect_reason": None,
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"last_error": None,
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},
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data_gap_state={
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"is_gap": False,
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"code": "market_data_gap_clear",
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"expected_interval_seconds": 60,
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"gap_seconds": 0.0,
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"last_candle_ts": now.isoformat(),
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"source": "stream",
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},
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news_snapshot=NewsProviderSnapshot(
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provider_name="test",
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fetched_ts=now,
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freshness_code="news_provider_fresh",
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active_events=[],
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event_count=0,
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is_active=False,
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code="news_window_inactive",
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error=None,
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),
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)
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if __name__ == "__main__":
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unittest.main()
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