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piker/tests/test_sampling_tick_times.py

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Skip stale trade ticks in 1s sampler Queued IB startup trades can arrive after samplerd has advanced the current 1s bar. Writing them into that bar creates a false price and volume spike. Compare each stamped trade with the current bar before updating either SHM buffer. Warn whenever a next-slot trade must wait for samplerd; skip other mismatches and leave untimestamped feeds on the receive-time path. Add focused tests for epoch units, queued trades, and warning before the next-slot wait. Note that incomplete provider bars still need a correction path for late trades. Prompt-IO: ai/prompt-io/codex/20260925T190523Z_c0dae89a_prompt_io.md (this patch was generated in some part by `codex` using `gpt-6` (`openai`))
2026-09-25 21:54:42 +00:00
# piker: trading gear for hackers Copyright (C) 2018-present Tyler
# Goodlet (in stewardship of pikers)
# This program is free software: you can redistribute it and/or
# modify it under the terms of the GNU Affero General Public License
# as published by the Free Software Foundation, either version 3 of
# the License, or (at your option) any later version.
# This program is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
# Affero General Public License for more details.
# You should have received a copy of the GNU Affero General Public
# License along with this program. If not, see
# <https://www.gnu.org/licenses/>.
'''
Live sampler checks for timestamped startup trade backlogs.
'''
from types import SimpleNamespace
import numpy as np
import pytest
import trio
from piker.data._sampling import (
sample_and_broadcast,
trade_time_s,
)
from piker.data import _sampling
@pytest.mark.parametrize(
('raw', 'expected'),
[
(1_790_360_484, 1_790_360_484.), # seconds
(1_790_360_484_000, 1_790_360_484.), # milliseconds
(1_790_360_484_000_000, 1_790_360_484.),
(1_790_360_484_000_000_000, 1_790_360_484.),
(None, None), # provider without a tick timestamp
],
)
def test_trade_time_s_accepts_common_epoch_units(
raw: int|None,
expected: float|None,
) -> None:
assert trade_time_s({'time': raw}) == expected
@pytest.mark.parametrize(
('bar_time', 'current_time_ns'),
[
(
1_790_360_484.,
1_790_360_484_250_000_000,
),
(
1_790_360_485.,
1_790_360_484_750_000_000,
),
],
)
def test_queued_trade_is_not_written_to_a_later_bar(
bar_time: float,
current_time_ns: int,
) -> None:
'''
A 13:21:19 IB trade queued until the 13:21:24 1s bar must not
add its price or volume to either live SHM tail. A current tick
in the same input channel still updates both bars.
'''
dtype = [
('time', 'f8'),
('open', 'f8'),
('high', 'f8'),
('low', 'f8'),
('close', 'f8'),
('volume', 'f8'),
]
rt = np.array(
[(bar_time, 30_918., 30_918.,
30_918., 30_918., 19.)],
dtype=dtype,
)
hist = np.array(
[(1_790_360_460., 30_918., 30_918.,
30_918., 30_918., 248.)],
dtype=dtype,
)
rt_shm = SimpleNamespace(array=rt)
hist_shm = SimpleNamespace(array=hist)
bus = SimpleNamespace(get_subs=lambda key: set())
async def replay() -> None:
send, receive = trio.open_memory_channel(4)
async with send:
await send.send({
'mnq.cme.20261218': {
'ticks': [{
'type': 'trade',
'time': 1_790_360_479_217_767_927,
'price': 30_923.,
'size': 12_013.,
}],
'volume': 2_222_721.,
},
})
await send.send({
'mnq.cme.20261218': {
'ticks': [{
'type': 'trade',
'time': current_time_ns,
'price': 30_918.25,
'size': 2.,
}],
'volume': 2_222_723.,
},
})
await send.send({
'mnq.cme.20261218': {
'ticks': [{
'type': 'trade',
'time': int(
(bar_time + 2.) * 1_000_000_000
),
'price': 30_925.,
'size': 100.,
}],
'volume': 2_222_823.,
},
})
await send.send({
'mnq.cme.20261218': {
'ticks': [{
'type': 'trade',
'price': 30_918.5,
'size': 1.,
}],
'volume': 2_222_824.,
},
})
async with receive:
await sample_and_broadcast(
bus,
rt_shm,
hist_shm,
receive,
'ib',
)
trio.run(replay)
assert float(rt['high'][-1]) == 30_918.5
assert float(rt['volume'][-1]) == 22.
assert float(hist['high'][-1]) == 30_918.5
assert float(hist['volume'][-1]) == 251.
def test_next_second_trade_waits_for_sampler_step(
monkeypatch: pytest.MonkeyPatch,
) -> None:
'''
A trade for the next 1s slot must not update the older SHM bar.
The independent `Sampler.increment_ohlc_buffer()` can lag the
tick stream. Waiting avoids a misdated price but delays chart
updates, so a warning must fire before the slot advances. Hold
the old slot until that warning, then advance it and verify the
trade reaches both SHM tails without being dropped.
'''
dtype = [
('time', 'f8'),
('open', 'f8'),
('high', 'f8'),
('low', 'f8'),
('close', 'f8'),
('volume', 'f8'),
]
rt = np.array(
[(1_790_360_484., 30_918., 30_918.,
30_918., 30_918., 0.)],
dtype=dtype,
)
hist = rt.copy()
rt_shm = SimpleNamespace(array=rt)
hist_shm = SimpleNamespace(array=hist)
bus = SimpleNamespace(get_subs=lambda key: set())
warnings: list[str] = []
wait_started = trio.Event()
def record_warning(message: str) -> None:
warnings.append(message)
wait_started.set()
monkeypatch.setattr(
_sampling.log,
'warning',
record_warning,
)
async def replay() -> None:
send, receive = trio.open_memory_channel(1)
async with send:
await send.send({
'mnq.cme.20261218': {
'ticks': [{
'type': 'trade',
'time': 1_790_360_485_250_000_000,
'price': 30_919.,
'size': 2.,
}],
'volume': 2_222_723.,
},
})
async def step() -> None:
with trio.fail_after(2):
await wait_started.wait()
rt['time'][-1] = 1_790_360_485.
async with (
receive,
trio.open_nursery() as nursery,
):
nursery.start_soon(step)
await sample_and_broadcast(
bus,
rt_shm,
hist_shm,
receive,
'ib',
)
trio.run(replay)
assert float(rt['high'][-1]) == 30_919.
assert float(rt['volume'][-1]) == 2.
assert float(hist['volume'][-1]) == 2.
assert len(warnings) == 1
assert 'DELAYING LIVE TRADE SHM UPDATE' in warnings[0]