"""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