package backtest import ( "context" "testing" "time" "git.toki-labs.com/toki/alt/packages/domain/backtest" "git.toki-labs.com/toki/alt/packages/domain/market" ) type sourceStore struct { instruments []market.Instrument bars map[market.InstrumentID][]market.Bar } func (s *sourceStore) UpsertInstrument(_ context.Context, inst market.Instrument) error { s.instruments = append(s.instruments, inst) return nil } func (s *sourceStore) GetInstrument(_ context.Context, id market.InstrumentID) (market.Instrument, error) { for _, inst := range s.instruments { if inst.ID == id { return inst, nil } } return market.Instrument{}, nil } func (s *sourceStore) ListInstruments(_ context.Context) ([]market.Instrument, error) { out := make([]market.Instrument, len(s.instruments)) copy(out, s.instruments) return out, nil } func (s *sourceStore) UpsertBar(_ context.Context, bar market.Bar) error { if s.bars == nil { s.bars = make(map[market.InstrumentID][]market.Bar) } s.bars[bar.InstrumentID] = append(s.bars[bar.InstrumentID], bar) return nil } func (s *sourceStore) GetBars(_ context.Context, id market.InstrumentID, timeframe market.Timeframe, from, to time.Time) ([]market.Bar, error) { var out []market.Bar for _, bar := range s.bars[id] { if bar.Timeframe != timeframe { continue } if bar.Timestamp.Before(from) || bar.Timestamp.After(to) { continue } out = append(out, bar) } return out, nil } func TestStorageBarSourceReadsMarketBars(t *testing.T) { store := &sourceStore{} krx := market.Instrument{ID: "KRX:005930", Market: market.MarketKR, Venue: market.VenueKRX, Currency: market.CurrencyKRW} nasdaq := market.Instrument{ID: "NASDAQ:AAPL", Market: market.MarketUS, Venue: market.VenueNASDAQ, Currency: market.CurrencyUSD} if err := store.UpsertInstrument(context.Background(), krx); err != nil { t.Fatalf("upsert krx instrument: %v", err) } if err := store.UpsertInstrument(context.Background(), nasdaq); err != nil { t.Fatalf("upsert us instrument: %v", err) } day1 := time.Date(2024, 5, 27, 0, 0, 0, 0, time.UTC) day2 := time.Date(2024, 5, 28, 0, 0, 0, 0, time.UTC) if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: krx.ID, Timeframe: market.TimeframeDaily, Timestamp: day2}); err != nil { t.Fatalf("upsert day2: %v", err) } if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: krx.ID, Timeframe: market.TimeframeDaily, Timestamp: day1}); err != nil { t.Fatalf("upsert day1: %v", err) } if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: nasdaq.ID, Timeframe: market.TimeframeDaily, Timestamp: day1}); err != nil { t.Fatalf("upsert us day1: %v", err) } source := NewStorageBarSource(store, store) got, err := source.GetBars(context.Background(), market.MarketKR, market.TimeframeDaily, day1, day2) if err != nil { t.Fatalf("get bars: %v", err) } if len(got) != 2 { t.Fatalf("bars: got %d, want 2", len(got)) } if got[0].Timestamp != day1 || got[1].Timestamp != day2 { t.Fatalf("bars are not sorted by timestamp: %+v", got) } for _, bar := range got { if bar.InstrumentID != krx.ID { t.Fatalf("unexpected instrument id: %q", bar.InstrumentID) } } } func TestStorageBarSourceKeepsTimeframesSeparate(t *testing.T) { store := &sourceStore{} inst := market.Instrument{ID: "KRX:005930", Market: market.MarketKR, Venue: market.VenueKRX, Currency: market.CurrencyKRW} if err := store.UpsertInstrument(context.Background(), inst); err != nil { t.Fatalf("upsert instrument: %v", err) } ts := time.Date(2024, 5, 27, 0, 0, 0, 0, time.UTC) for _, bar := range []market.Bar{ {InstrumentID: inst.ID, Timeframe: market.TimeframeMonthly, Timestamp: ts}, {InstrumentID: inst.ID, Timeframe: market.TimeframeDaily, Timestamp: ts}, {InstrumentID: inst.ID, Timeframe: market.TimeframeMin1, Timestamp: ts}, } { if err := store.UpsertBar(context.Background(), bar); err != nil { t.Fatalf("upsert %s bar: %v", bar.Timeframe, err) } } source := NewStorageBarSource(store, store) for _, timeframe := range []market.Timeframe{market.TimeframeMonthly, market.TimeframeDaily, market.TimeframeMin1} { t.Run(string(timeframe), func(t *testing.T) { got, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: timeframe, From: ts, To: ts, Selector: backtest.InputSelector{InstrumentIDs: []market.InstrumentID{inst.ID}}, }) if err != nil { t.Fatalf("get bars for run: %v", err) } if len(got) != 1 { t.Fatalf("bars: got %d, want 1", len(got)) } if got[0].Timeframe != timeframe { t.Fatalf("timeframe: got %q, want %q", got[0].Timeframe, timeframe) } }) } } func TestStorageBarSourceReturnsOnlyUSBarsForUSMarket(t *testing.T) { store := &sourceStore{} krx := market.Instrument{ID: "KRX:005930", Market: market.MarketKR, Venue: market.VenueKRX, Currency: market.CurrencyKRW} nasdaq := market.Instrument{ID: "NASDAQ:AAPL", Market: market.MarketUS, Venue: market.VenueNASDAQ, Currency: market.CurrencyUSD} if err := store.UpsertInstrument(context.Background(), krx); err != nil { t.Fatalf("upsert krx instrument: %v", err) } if err := store.UpsertInstrument(context.Background(), nasdaq); err != nil { t.Fatalf("upsert us instrument: %v", err) } day1 := time.Date(2024, 5, 27, 0, 0, 0, 0, time.UTC) day2 := time.Date(2024, 5, 28, 0, 0, 0, 0, time.UTC) // Seed KR bars if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: krx.ID, Timeframe: market.TimeframeDaily, Timestamp: day2}); err != nil { t.Fatalf("upsert krx day2: %v", err) } if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: krx.ID, Timeframe: market.TimeframeDaily, Timestamp: day1}); err != nil { t.Fatalf("upsert krx day1: %v", err) } // Seed US bars if err := store.UpsertBar(context.Background(), market.Bar{ InstrumentID: nasdaq.ID, Timeframe: market.TimeframeDaily, Timestamp: day2, Close: market.Price{Currency: market.CurrencyUSD, Amount: market.Decimal{Value: "155"}}, }); err != nil { t.Fatalf("upsert us day2: %v", err) } if err := store.UpsertBar(context.Background(), market.Bar{ InstrumentID: nasdaq.ID, Timeframe: market.TimeframeDaily, Timestamp: day1, Close: market.Price{Currency: market.CurrencyUSD, Amount: market.Decimal{Value: "150"}}, }); err != nil { t.Fatalf("upsert us day1: %v", err) } source := NewStorageBarSource(store, store) // Query US market — should return only NASDAQ:AAPL bars got, err := source.GetBars(context.Background(), market.MarketUS, market.TimeframeDaily, day1, day2) if err != nil { t.Fatalf("get bars: %v", err) } if len(got) != 2 { t.Fatalf("US bars: got %d, want 2", len(got)) } // Verify chronological order if got[0].Timestamp != day1 || got[1].Timestamp != day2 { t.Fatalf("US bars not sorted by timestamp: %+v", got) } // All returned bars must be NASDAQ:AAPL for _, bar := range got { if bar.InstrumentID != nasdaq.ID { t.Fatalf("US query returned unexpected instrument id: %q, want %q", bar.InstrumentID, nasdaq.ID) } } // Verify USD currency is preserved in bar Close price for _, bar := range got { if bar.Close.Currency != market.CurrencyUSD { t.Fatalf("US bar Close currency: got %q, want %q", bar.Close.Currency, market.CurrencyUSD) } } } // seedTwoKRInstruments returns a store with two KR instruments, each with one // daily bar in the same window, so selector tests can prove only the selected // instrument's bars are returned. func seedTwoKRInstruments(t *testing.T) (*sourceStore, market.Instrument, market.Instrument, time.Time, time.Time) { t.Helper() store := &sourceStore{} samsung := market.Instrument{ ID: "KRX:005930", Market: market.MarketKR, Venue: market.VenueKRX, Currency: market.CurrencyKRW, Symbol: "005930", ProviderSymbols: map[string]string{"kis": "005930.KS"}, } hynix := market.Instrument{ ID: "KRX:000660", Market: market.MarketKR, Venue: market.VenueKRX, Currency: market.CurrencyKRW, Symbol: "000660", ProviderSymbols: map[string]string{"kis": "000660.KS"}, } for _, inst := range []market.Instrument{samsung, hynix} { if err := store.UpsertInstrument(context.Background(), inst); err != nil { t.Fatalf("upsert instrument %q: %v", inst.ID, err) } } day1 := time.Date(2024, 5, 27, 0, 0, 0, 0, time.UTC) day2 := time.Date(2024, 5, 28, 0, 0, 0, 0, time.UTC) if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: samsung.ID, Timeframe: market.TimeframeDaily, Timestamp: day1}); err != nil { t.Fatalf("upsert samsung bar: %v", err) } if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: hynix.ID, Timeframe: market.TimeframeDaily, Timestamp: day2}); err != nil { t.Fatalf("upsert hynix bar: %v", err) } return store, samsung, hynix, day1, day2 } func TestStorageBarSourceSelectsInstrumentIDs(t *testing.T) { store, samsung, _, day1, day2 := seedTwoKRInstruments(t) source := NewStorageBarSource(store, store) got, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: market.TimeframeDaily, From: day1, To: day2, Selector: backtest.InputSelector{InstrumentIDs: []market.InstrumentID{samsung.ID}}, }) if err != nil { t.Fatalf("get bars for run: %v", err) } if len(got) != 1 { t.Fatalf("selected bars: got %d, want 1", len(got)) } if got[0].InstrumentID != samsung.ID { t.Fatalf("selected instrument id: got %q, want %q", got[0].InstrumentID, samsung.ID) } } func TestStorageBarSourceSelectsSymbols(t *testing.T) { store, _, hynix, day1, day2 := seedTwoKRInstruments(t) source := NewStorageBarSource(store, store) // Canonical symbol selects the instrument. got, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: market.TimeframeDaily, From: day1, To: day2, Selector: backtest.InputSelector{Symbols: []string{"000660"}}, }) if err != nil { t.Fatalf("get bars for run by symbol: %v", err) } if len(got) != 1 || got[0].InstrumentID != hynix.ID { t.Fatalf("symbol selection: got %+v, want only %q", got, hynix.ID) } // Provider symbol value selects the same instrument. gotProvider, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: market.TimeframeDaily, From: day1, To: day2, Selector: backtest.InputSelector{Symbols: []string{"000660.KS"}}, }) if err != nil { t.Fatalf("get bars for run by provider symbol: %v", err) } if len(gotProvider) != 1 || gotProvider[0].InstrumentID != hynix.ID { t.Fatalf("provider symbol selection: got %+v, want only %q", gotProvider, hynix.ID) } } func TestStorageBarSourceRejectsMissingSelector(t *testing.T) { store, _, _, day1, day2 := seedTwoKRInstruments(t) source := NewStorageBarSource(store, store) if _, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: market.TimeframeDaily, From: day1, To: day2, Selector: backtest.InputSelector{InstrumentIDs: []market.InstrumentID{"KRX:999999"}}, }); err == nil { t.Fatal("expected error for unresolved instrument id selector, got nil") } if _, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: market.TimeframeDaily, From: day1, To: day2, Selector: backtest.InputSelector{Symbols: []string{"NOPE"}}, }); err == nil { t.Fatal("expected error for unresolved symbol selector, got nil") } } func TestStorageBarSourceRejectsWhitespaceOnlySelector(t *testing.T) { store, _, _, day1, day2 := seedTwoKRInstruments(t) source := NewStorageBarSource(store, store) if _, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: market.TimeframeDaily, From: day1, To: day2, Selector: backtest.InputSelector{InstrumentIDs: []market.InstrumentID{" "}}, }); err == nil { t.Fatal("expected error for whitespace-only instrument id, got nil") } if _, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: market.TimeframeDaily, From: day1, To: day2, Selector: backtest.InputSelector{Symbols: []string{" "}}, }); err == nil { t.Fatal("expected error for whitespace-only symbol, got nil") } } func TestStorageBarSourceEmptySelectorReadsMarket(t *testing.T) { store, _, _, day1, day2 := seedTwoKRInstruments(t) source := NewStorageBarSource(store, store) got, err := source.GetBarsForRun(context.Background(), backtest.RunSpec{ Market: market.MarketKR, Timeframe: market.TimeframeDaily, From: day1, To: day2, }) if err != nil { t.Fatalf("get bars for run with empty selector: %v", err) } if len(got) != 2 { t.Fatalf("empty selector should read the whole market: got %d bars, want 2", len(got)) } if got[0].Timestamp != day1 || got[1].Timestamp != day2 { t.Fatalf("bars not sorted by timestamp: %+v", got) } }