tests/test_quality.py

"""The gate, and the look-ahead it exists to catch.

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)