feat(strategy): add Volume Profile strategy

1 files changed, 107 insertions, 0 deletions

diff --git a/services/strategy-engine/tests/test_volume_profile_strategy.py b/services/strategy-engine/tests/test_volume_profile_strategy.py
new file mode 100644
index 0000000..be123b0
--- /dev/null
+++ b/services/strategy-engine/tests/test_volume_profile_strategy.py
@@ -0,0 +1,107 @@
+"""Tests for the Volume Profile strategy."""
+from datetime import datetime, timezone
+from decimal import Decimal
+
+import pytest
+
+from shared.models import Candle, OrderSide
+from strategies.volume_profile_strategy import VolumeProfileStrategy
+
+
+def make_candle(close: float, volume: float = 1.0) -> Candle:
+    return Candle(
+        symbol="BTC/USDT",
+        timeframe="1m",
+        open_time=datetime(2024, 1, 1, tzinfo=timezone.utc),
+        open=Decimal(str(close)),
+        high=Decimal(str(close)),
+        low=Decimal(str(close)),
+        close=Decimal(str(close)),
+        volume=Decimal(str(volume)),
+    )
+
+
+def test_volume_profile_warmup_period():
+    strategy = VolumeProfileStrategy()
+    strategy.configure({"lookback_period": 10, "num_bins": 5})
+    assert strategy.warmup_period == 10
+
+
+def test_volume_profile_no_signal_insufficient_data():
+    strategy = VolumeProfileStrategy()
+    strategy.configure({"lookback_period": 10, "num_bins": 5})
+    # Feed fewer candles than lookback_period
+    for _ in range(5):
+        result = strategy.on_candle(make_candle(100.0, 10.0))
+    assert result is None
+
+
+def test_volume_profile_buy_at_value_area_low():
+    """Concentrate volume around 95-105, price drops to 88, bounces back to 99."""
+    strategy = VolumeProfileStrategy()
+    strategy.configure({
+        "lookback_period": 10,
+        "num_bins": 5,
+        "value_area_pct": 0.7,
+        "quantity": "0.01",
+    })
+
+    # Build profile: 10 candles with volume concentrated around 95-105
+    profile_data = [
+        (95, 50), (97, 50), (99, 100), (100, 100), (101, 100),
+        (103, 50), (105, 50), (100, 100), (99, 100), (101, 50),
+    ]
+    for price, vol in profile_data:
+        strategy.on_candle(make_candle(price, vol))
+
+    # Price drops below value area low
+    strategy.on_candle(make_candle(88.0, 1.0))
+
+    # Price bounces back into value area (between va_low and poc)
+    signal = strategy.on_candle(make_candle(99.0, 1.0))
+
+    assert signal is not None
+    assert signal.side == OrderSide.BUY
+
+
+def test_volume_profile_sell_at_value_area_high():
+    """Concentrate volume around 95-105, price rises to 112, pulls back to 101."""
+    strategy = VolumeProfileStrategy()
+    strategy.configure({
+        "lookback_period": 10,
+        "num_bins": 5,
+        "value_area_pct": 0.7,
+        "quantity": "0.01",
+    })
+
+    # Build profile: 10 candles with volume concentrated around 95-105
+    profile_data = [
+        (95, 50), (97, 50), (99, 100), (100, 100), (101, 100),
+        (103, 50), (105, 50), (100, 100), (99, 100), (101, 50),
+    ]
+    for price, vol in profile_data:
+        strategy.on_candle(make_candle(price, vol))
+
+    # Price rises above value area high
+    strategy.on_candle(make_candle(112.0, 1.0))
+
+    # Price pulls back into value area (between poc and va_high)
+    signal = strategy.on_candle(make_candle(101.0, 1.0))
+
+    assert signal is not None
+    assert signal.side == OrderSide.SELL
+
+
+def test_volume_profile_reset_clears_state():
+    strategy = VolumeProfileStrategy()
+    strategy.configure({"lookback_period": 10, "num_bins": 5})
+
+    # Feed enough candles to establish profile
+    for _ in range(10):
+        strategy.on_candle(make_candle(100.0, 10.0))
+
+    strategy.reset()
+
+    # After reset, should not have enough data
+    result = strategy.on_candle(make_candle(100.0, 10.0))
+    assert result is None