feat(strategy): add VWAP strategy

1 files changed, 101 insertions, 0 deletions

diff --git a/services/strategy-engine/tests/test_vwap_strategy.py b/services/strategy-engine/tests/test_vwap_strategy.py
new file mode 100644
index 0000000..37d35bc
--- /dev/null
+++ b/services/strategy-engine/tests/test_vwap_strategy.py
@@ -0,0 +1,101 @@
+"""Tests for the VWAP strategy."""
+from datetime import datetime, timezone
+from decimal import Decimal
+
+import pytest
+
+from shared.models import Candle, OrderSide
+from strategies.vwap_strategy import VwapStrategy
+
+
+def make_candle(
+    close: float,
+    high: float | None = None,
+    low: float | None = None,
+    volume: float = 1.0,
+) -> Candle:
+    if high is None:
+        high = close
+    if low is None:
+        low = close
+    return Candle(
+        symbol="BTC/USDT",
+        timeframe="1m",
+        open_time=datetime(2024, 1, 1, tzinfo=timezone.utc),
+        open=Decimal(str(close)),
+        high=Decimal(str(high)),
+        low=Decimal(str(low)),
+        close=Decimal(str(close)),
+        volume=Decimal(str(volume)),
+    )
+
+
+def _configured_strategy() -> VwapStrategy:
+    strategy = VwapStrategy()
+    strategy.configure({"deviation_threshold": 0.01, "quantity": "0.01"})
+    return strategy
+
+
+def test_vwap_warmup_period():
+    strategy = VwapStrategy()
+    assert strategy.warmup_period == 30
+
+
+def test_vwap_no_signal_insufficient_data():
+    strategy = _configured_strategy()
+    # Feed fewer candles than warmup_period
+    for _ in range(29):
+        signal = strategy.on_candle(make_candle(100.0))
+    assert signal is None
+
+
+def test_vwap_buy_signal_below_vwap_recovery():
+    strategy = _configured_strategy()
+
+    # Build VWAP around 100 with 30 candles (satisfy warmup)
+    for _ in range(30):
+        strategy.on_candle(make_candle(100.0, high=101.0, low=99.0))
+
+    # Drop price well below VWAP to trigger _was_below_vwap
+    for _ in range(3):
+        strategy.on_candle(make_candle(95.0, high=96.0, low=94.0))
+
+    # Recover back to VWAP (close ~100, deviation within threshold)
+    signal = strategy.on_candle(make_candle(100.0, high=101.0, low=99.0))
+    assert signal is not None
+    assert signal.side == OrderSide.BUY
+    assert "VWAP" in signal.reason
+
+
+def test_vwap_sell_signal_above_vwap_recovery():
+    strategy = _configured_strategy()
+
+    # Build VWAP around 100 with 30 candles (satisfy warmup)
+    for _ in range(30):
+        strategy.on_candle(make_candle(100.0, high=101.0, low=99.0))
+
+    # Rise price well above VWAP to trigger _was_above_vwap
+    for _ in range(3):
+        strategy.on_candle(make_candle(105.0, high=106.0, low=104.0))
+
+    # Recover back to VWAP (close ~100, deviation within threshold)
+    signal = strategy.on_candle(make_candle(100.0, high=101.0, low=99.0))
+    assert signal is not None
+    assert signal.side == OrderSide.SELL
+    assert "VWAP" in signal.reason
+
+
+def test_vwap_reset_clears_state():
+    strategy = _configured_strategy()
+
+    # Build some state
+    for _ in range(35):
+        strategy.on_candle(make_candle(100.0))
+
+    strategy.reset()
+
+    assert strategy._cumulative_tp_vol == 0.0
+    assert strategy._cumulative_vol == 0.0
+    assert strategy._candle_count == 0
+    assert strategy._was_below_vwap is False
+    assert strategy._was_above_vwap is False