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Each test builds a small, valid dataset and breaks exactly one thing in the way
a real bug would break it. A check that cannot be made to fail is not a check.
"""
from __future__ import annotations
from datetime import UTC, date, datetime
import polars as pl
import pytest
from recipe.quality import validate
from recipe.schema import CONFIG_SCHEMAS, align
from recipe.store import write_table
AUCTION_AT = datetime(2026, 9, 10, 17, 2, tzinfo=UTC) # 13:02 Eastern
CURVE_AT = datetime(2026, 9, 10, 22, 0, tzinfo=UTC) # 18:00 Eastern
OBSERVED_AT = datetime(2026, 9, 10, 19, 30, tzinfo=UTC) # 15:30 Eastern
ANNOUNCED_AT = datetime(2026, 9, 4, 3, 59, 59, tzinfo=UTC) # end of 3 September
def _rows() -> dict[str, list[dict]]:
provenance = {
"source": "treasurydirect.gov",
"source_url": "https://example.invalid/auction",
"raw_sha256": "abc",
"parser_version": "1.0.0",
"first_seen_at": AUCTION_AT,
"ingested_at": datetime(2026, 9, 11, tzinfo=UTC),
}
rates = {
"source": "home.treasury.gov",
"source_url": "https://example.invalid/rates",
"raw_sha256": "def",
"parser_version": "1.0.0",
"first_seen_at": CURVE_AT,
"ingested_at": datetime(2026, 9, 11, tzinfo=UTC),
}
curve = {
"curve_date": date(2026, 9, 10),
"market_observation_at": OBSERVED_AT,
"publication_at": None,
"knowledge_at": CURVE_AT,
"knowledge_date": CURVE_AT,
"knowledge_time_precision": "modeled_conservative",
"availability_time_basis": "treasury_usually_available_by_1800_et",
**rates,
}
return {
"auction_calendar": [
{
"auction_id": "UST_2026-09-10_912810UW6",
"cusip": "912810UW6",
"security_type": "bond",
"security_term": "29-Year 11-Month",
"reopening": True,
"announcement_date": date(2026, 9, 3),
"announcement_at": ANNOUNCED_AT,
"auction_date": date(2026, 9, 10),
"auction_at": AUCTION_AT,
"issue_date": date(2026, 9, 15),
"maturity_date": date(2056, 8, 15),
"offering_amount": 22_000_000_000.0,
"status": "published",
"knowledge_at": ANNOUNCED_AT,
"knowledge_date": ANNOUNCED_AT,
"knowledge_time_precision": "date",
**provenance,
}
],
"auction_announcements": [
{
"announcement_id": "UST_2026-09-10_912810UW6_ANN",
"auction_id": "UST_2026-09-10_912810UW6",
"release_at": None,
"knowledge_at": ANNOUNCED_AT,
"knowledge_date": ANNOUNCED_AT,
"knowledge_time_precision": "date",
"offering_amount": 22_000_000_000.0,
"security_type": "bond",
"security_term": "29-Year 11-Month",
"cusip": "912810UW6",
"announcement_date": date(2026, 9, 3),
"auction_date": date(2026, 9, 10),
"issue_date": date(2026, 9, 15),
"maturity_date": date(2056, 8, 15),
"reopening": True,
**provenance,
}
],
"auction_results": [
{
"result_id": "UST_2026-09-10_912810UW6_RES",
"auction_id": "UST_2026-09-10_912810UW6",
"cusip": "912810UW6",
"security_type": "bond",
"security_term": "29-Year 11-Month",
"auction_date": date(2026, 9, 10),
"issue_date": date(2026, 9, 15),
"maturity_date": date(2056, 8, 15),
"result_release_at": AUCTION_AT,
"knowledge_at": AUCTION_AT,
"knowledge_date": AUCTION_AT,
"knowledge_time_precision": "minute",
"auction_format": "Single-Price",
"offering_amount": 22_000_000_000.0,
"total_tendered": 57_466_872_500.0,
"total_accepted": 22_000_024_000.0,
"competitive_tendered": 57_424_319_000.0,
"competitive_accepted": 21_957_470_500.0,
"noncompetitive_accepted": 42_553_500.0,
"high_yield": 5.308,
"bid_to_cover": 2.61,
"allocation_percentage": 64.29,
"primary_dealer_accepted": 484_800_000.0,
"direct_bidder_accepted": 4_019_900_000.0,
"indirect_bidder_accepted": 17_452_770_500.0,
"dealer_accepted_pct": 2.203996,
"direct_accepted_pct": 18.272252,
"indirect_accepted_pct": 79.330688,
"noncompetitive_accepted_pct": 0.193425,
"tendered_to_offering": 2.612131,
"wi_yield": None,
"auction_tail": None,
"status": "published",
**provenance,
}
],
"nominal_yield_curve": [
{**curve, "curve_id": f"nominal_2026-09-10_{maturity}", "curve_type": "nominal",
"maturity": maturity, "source_label": maturity, "maturity_years": years,
"yield_pct": value, "methodology_id": "monotone_convex"}
for maturity, years, value in (
("3M", 0.25, 4.0), ("2Y", 2.0, 4.56), ("5Y", 5.0, 4.75),
("10Y", 10.0, 4.95), ("30Y", 30.0, 5.37),
)
],
"real_yield_curve": [
{**curve, "curve_id": f"real_2026-09-10_{maturity}", "curve_type": "real",
"maturity": maturity, "source_label": maturity, "maturity_years": years,
"yield_pct": value, "methodology_id": None}
for maturity, years, value in (("5Y", 5.0, 2.29), ("10Y", 10.0, 2.55))
],
"bill_rates": [
{
"bill_rate_id": "bill_2026-09-10_13W",
"rate_date": date(2026, 9, 10),
"maturity": "13W",
"source_label": "13 WEEKS",
"maturity_weeks": 13.0,
"bank_discount_rate": 3.93,
"coupon_equivalent_rate": 4.03,
"market_observation_at": OBSERVED_AT,
"knowledge_at": CURVE_AT,
"knowledge_date": CURVE_AT,
"knowledge_time_precision": "modeled_conservative",
"availability_time_basis": "treasury_usually_available_by_1800_et",
**rates,
}
],
"curve_features": [
{
"feature_id": "curve_2026-09-10",
"curve_date": date(2026, 9, 10),
"knowledge_at": CURVE_AT,
"knowledge_date": CURVE_AT,
"knowledge_time_precision": "modeled_conservative",
"slope_3m10y_bp": 95.0,
"slope_2y10y_bp": 39.0,
"slope_5y30y_bp": 62.0,
"real_5y10y_slope_bp": 26.0,
"nominal_10y_minus_real_10y_bp": 240.0,
"derived_from": "nominal_yield_curve, real_yield_curve",
"parser_version": "1.0.0",
"ingested_at": datetime(2026, 9, 11, tzinfo=UTC),
}
],
"pit": [
{
"entity_id": "UST_CMT_10Y",
"event_date": date(2026, 9, 10),
"knowledge_date": CURVE_AT,
"subset": "nominal_yield_curve",
"record_id": "nominal_2026-09-10_10Y",
"actual": 4.95,
"previous": None,
"change": None,
"forecast": None,
"unit": "percent",
"value_method": "reported",
"knowledge_time_precision": "modeled_conservative",
"source_url": "https://example.invalid/rates",
"parser_version": "1.0.0",
"ingested_at": datetime(2026, 9, 11, tzinfo=UTC),
}
],
}
def _write(tmp_path, rows: dict[str, list[dict]]):
data_dir = tmp_path / "data"
for name, table in rows.items():
frame = align(pl.DataFrame(table, infer_schema_length=None), CONFIG_SCHEMAS[name])
write_table(data_dir, name, frame)
return data_dir
@pytest.fixture
def good(tmp_path):
return _write(tmp_path, _rows())
def test_a_correct_dataset_passes(good):
report = validate(good)
assert report.ok, report.errors
def test_a_curve_dated_to_half_past_three_is_caught(tmp_path):
"""The check this dataset exists for.
The quotations behind the curve are struck at 15:30 Eastern and the
Treasury says the rates are usually on its site by 18:00. Dating the curve
to 15:30 hands a backtest two and a half hours it did not have, every
trading day since 1990.
"""
rows = _rows()
for row in rows["nominal_yield_curve"]:
row["knowledge_at"] = row["knowledge_date"] = OBSERVED_AT
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("before 18:00 Eastern" in message for message in report.errors)
def test_a_curve_claiming_an_exact_time_is_caught(tmp_path):
rows = _rows()
for row in rows["nominal_yield_curve"]:
row["knowledge_time_precision"] = "exact"
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("precision the Treasury never published" in message for message in report.errors)
def test_a_result_knowable_before_its_auction_is_caught(tmp_path):
rows = _rows()
earlier = datetime(2026, 9, 9, 17, 2, tzinfo=UTC)
rows["auction_results"][0]["knowledge_at"] = earlier
rows["auction_results"][0]["knowledge_date"] = earlier
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("before their auction" in message for message in report.errors)
def test_a_calendar_entry_knowable_before_its_announcement_is_caught(tmp_path):
rows = _rows()
earlier = datetime(2026, 9, 1, 4, 0, tzinfo=UTC)
rows["auction_calendar"][0]["knowledge_at"] = earlier
rows["auction_calendar"][0]["knowledge_date"] = earlier
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("before they were announced" in message for message in report.errors)
def test_accepting_more_than_was_tendered_is_caught(tmp_path):
rows = _rows()
rows["auction_results"][0]["total_accepted"] = 99_000_000_000.0
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("more than was tendered" in message for message in report.errors)
def test_bidder_categories_that_do_not_add_up_are_caught(tmp_path):
"""Reading the wrong column would break the sum; rounding would not."""
rows = _rows()
rows["auction_results"][0]["indirect_bidder_accepted"] = 1_000_000.0
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("do not sum" in message for message in report.errors)
def test_a_security_maturing_before_it_is_issued_is_caught(tmp_path):
rows = _rows()
rows["auction_results"][0]["maturity_date"] = date(2026, 9, 1)
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("mature on or before" in message for message in report.errors)
def test_a_fabricated_tail_is_caught(tmp_path):
"""No official point-in-time when-issued series exists, so neither column may."""
rows = _rows()
rows["auction_results"][0]["auction_tail"] = 1.5
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("does not invent one" in message for message in report.errors)
def test_two_yields_for_one_maturity_on_one_day_are_caught(tmp_path):
rows = _rows()
duplicate = dict(rows["nominal_yield_curve"][0])
duplicate["curve_id"] = "nominal_2026-09-10_3M_again"
rows["nominal_yield_curve"].append(duplicate)
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("sharing a date, type and maturity" in message for message in report.errors)
def test_a_null_yield_is_caught(tmp_path):
"""A maturity the Treasury did not publish should have no row at all."""
rows = _rows()
rows["nominal_yield_curve"][0]["yield_pct"] = None
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("null yields" in message for message in report.errors)
def test_a_curve_dated_in_the_future_is_caught(tmp_path):
rows = _rows()
ahead = date(datetime.now(UTC).year + 2, 1, 5)
for row in rows["nominal_yield_curve"]:
row["curve_date"] = ahead
row["knowledge_at"] = row["knowledge_date"] = datetime(ahead.year, 1, 5, 23, 0, tzinfo=UTC)
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("dated in the future" in message for message in report.errors)
def test_an_orphan_result_is_caught(tmp_path):
rows = _rows()
rows["auction_results"][0]["auction_id"] = "UST_1999-01-01_NOPE"
report = validate(_write(tmp_path, rows))
assert not report.ok
assert any("not in the calendar" in message for message in report.errors)
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