"""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)