Aura/crates/aura-engine/tests/ger40_breakout.rs

//! End-to-end verification of the GER40 / DAX 15-minute session-breakout
//! strategy (the milestone capstone), hand-wired
//! from the seven new `aura-std` nodes into a raw-index [`FlatGraph`] and run
//! over one synthetic Frankfurt session.
//!
//! This is the Phase-1 C9 deliverable: no composite / strategy-builder API is in
//! scope yet, so the DAG is wired by hand the way `harness.rs`'s own fixtures are
//! (`Edge`/`Target` raw indices, `Recorder` taps). It is a **verification** test —
//! the nodes already exist and are green in isolation, so once wired correctly it
//! must PASS; a failure would mean a real node/seam integration bug, not a missing
//! feature.
//!
//! The DAG (4 synthetic M1 OHLC sources → Resample[15m] → the breakout logic →
//! Latch → SimBroker → two Recorder taps):
//!
//! ```text
//! open,high,low,close (4 M1 sources, FIXED order)
//!   -> Resample(15)  ⇒ {open15,high15,low15,close15}
//!   close15 -> Gt.a
//!   high15  -> Delay(1) -> Gt.b           (prevHigh15)
//!   Gt -> breakout:bool                   (close15 > prevHigh15, STRICT)
//!   close15 -> Session(9,0,Berlin,15) ⇒ bars_since_open:i64
//!       bars_since_open -> EqConst(3) -> isBar3
//!       bars_since_open -> EqConst(5) -> isBar5Close
//!   And(breakout, isBar3) -> entry
//!   Latch(set=entry, reset=isBar5Close) -> held:f64
//!   held -> SimBroker(exposure=held, price=close15) ⇒ equity   [pip_size=1.0]
//!   equity -> Recorder (tap A);  held -> Recorder (tap B)
//! ```

use std::sync::mpsc;

use aura_core::{NodeSchema, Scalar, ScalarKind, Timestamp};
use aura_engine::{Edge, FlatGraph, Harness, Source, SourceSpec, Target, VecSource};
use aura_backtest::SimBroker;
use aura_market::{Resample, Session};
use aura_std::{And, Delay, EqConst, Gt, Latch, Recorder};
use chrono::TimeZone;
use chrono_tz::Europe::Berlin;

// ---------------------------------------------------------------------------
// Node indices in the FlatGraph (one fixed layout, referenced by both wiring
// and assertions).
// ---------------------------------------------------------------------------
const RESAMPLE: usize = 0;
const DELAY: usize = 1;
const GT: usize = 2;
const SESSION: usize = 3;
const EQ3: usize = 4;
const EQ5: usize = 5;
const AND: usize = 6;
const LATCH: usize = 7;
const BROKER: usize = 8;
const REC_EQUITY: usize = 9; // tap A
const REC_HELD: usize = 10; // tap B

/// Build the epoch-ns UTC instant for a Berlin **local wall-clock** minute on
/// 2024-07-01 (CEST, summer, UTC+2) — exactly as `Session`'s own unit test does,
/// so the bucket boundaries and `bars_since_open` are self-consistent with the
/// node. Seconds are always 0 (M1 ticks land on whole minutes).
fn berlin(hour: u32, minute: u32) -> Timestamp {
    let ns = Berlin
        .with_ymd_and_hms(2024, 7, 1, hour, minute, 0)
        .unwrap()
        .timestamp_nanos_opt()
        .unwrap();
    Timestamp(ns)
}

/// One M1 tick: the same timestamp pushed into all four OHLC sources, with that
/// tick's (open, high, low, close). Resample folds open=first, high=max,
/// low=min, close=last over a 15m bucket.
struct M1 {
    ts: Timestamp,
    o: f64,
    h: f64,
    l: f64,
    c: f64,
}

fn m1(hour: u32, minute: u32, o: f64, h: f64, l: f64, c: f64) -> M1 {
    M1 { ts: berlin(hour, minute), o, h, l, c }
}

/// Split a list of M1 ticks into the four per-field [`VecSource`]s the four OHLC
/// roles consume, declared in the FIXED order open, high, low, close. The k-way
/// merge tie-breaks same-timestamp pushes by source index, so this order makes
/// Resample's `Barrier(0)` group complete deterministically each M1 instant.
fn ohlc_sources(ticks: &[M1]) -> Vec<Box<dyn Source>> {
    let col = |pick: fn(&M1) -> f64| -> Box<dyn Source> {
        Box::new(VecSource::new(
            ticks.iter().map(|m| (m.ts, Scalar::f64(pick(m)))).collect(),
        ))
    };
    vec![col(|m| m.o), col(|m| m.h), col(|m| m.l), col(|m| m.c)] // open, high, low, close
}

/// Hand-wire the whole strategy DAG into a frozen [`Harness`], tapping equity
/// (`tap A`) and `held` (`tap B`) into the two supplied channels. A fresh build
/// per call (fresh nodes + channels) keeps two runs disjoint for the determinism
/// assertion (C1).
fn build_harness(
    tx_equity: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
    tx_held: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
) -> Harness {
    use aura_core::Firing;

    // Each node's declared signature (kind/firing per port), parallel to `nodes`.
    let signatures: Vec<NodeSchema> = vec![
        Resample::builder().schema().clone(),                                  // 0
        Delay::builder().schema().clone(),                                     // 1
        Gt::builder().schema().clone(),                                        // 2
        Session::builder(9, 0, Berlin, 15).schema().clone(),                   // 3
        EqConst::builder().schema().clone(),                                   // 4
        EqConst::builder().schema().clone(),                                   // 5
        And::builder().schema().clone(),                                       // 6
        Latch::builder().schema().clone(),                                     // 7
        SimBroker::builder(1.0).schema().clone(),                              // 8
        Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_equity.clone()).schema().clone(), // 9
        Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_held.clone()).schema().clone(),   // 10
    ];

    let nodes: Vec<Box<dyn aura_core::Node>> = vec![
        Box::new(Resample::new(15)),                              // 0
        Box::new(Delay::new(1)),                                  // 1
        Box::new(Gt::new()),                                      // 2
        Box::new(Session::new(9, 0, Berlin, 15)),                // 3
        Box::new(EqConst::new(3)),                               // 4
        Box::new(EqConst::new(5)),                               // 5
        Box::new(And::new()),                                     // 6
        Box::new(Latch::new()),                                   // 7
        Box::new(SimBroker::new(1.0)),                            // 8
        Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_equity)), // 9
        Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_held)),   // 10
    ];

    // Resample output fields: 0=open15, 1=high15, 2=low15, 3=close15.
    const F_HIGH15: usize = 1;
    const F_CLOSE15: usize = 3;

    let edges = vec![
        // close15 -> Gt.a (slot 0)
        Edge { from: RESAMPLE, to: GT, slot: 0, from_field: F_CLOSE15 },
        // high15 -> Delay.series (slot 0) -> Gt.b (slot 1)
        Edge { from: RESAMPLE, to: DELAY, slot: 0, from_field: F_HIGH15 },
        Edge { from: DELAY, to: GT, slot: 1, from_field: 0 },
        // close15 -> Session.trigger (value ignored)
        Edge { from: RESAMPLE, to: SESSION, slot: 0, from_field: F_CLOSE15 },
        // bars_since_open -> EqConst(3) / EqConst(5)
        Edge { from: SESSION, to: EQ3, slot: 0, from_field: 0 },
        Edge { from: SESSION, to: EQ5, slot: 0, from_field: 0 },
        // And(breakout, isBar3) -> entry
        Edge { from: GT, to: AND, slot: 0, from_field: 0 },
        Edge { from: EQ3, to: AND, slot: 1, from_field: 0 },
        // Latch(set=entry, reset=isBar5Close)
        Edge { from: AND, to: LATCH, slot: 0, from_field: 0 },
        Edge { from: EQ5, to: LATCH, slot: 1, from_field: 0 },
        // held -> SimBroker.exposure (slot 0); close15 -> SimBroker.price (slot 1)
        Edge { from: LATCH, to: BROKER, slot: 0, from_field: 0 },
        Edge { from: RESAMPLE, to: BROKER, slot: 1, from_field: F_CLOSE15 },
        // equity -> tap A; held -> tap B
        Edge { from: BROKER, to: REC_EQUITY, slot: 0, from_field: 0 },
        Edge { from: LATCH, to: REC_HELD, slot: 0, from_field: 0 },
    ];

    // Four f64 sources, one per OHLC field, each feeding one Resample slot. The
    // declaration order open(0), high(1), low(2), close(3) is the merge tie-break
    // order for the Barrier(0) group.
    let sources = (0..4)
        .map(|slot| SourceSpec::raw(ScalarKind::F64, vec![Target { node: RESAMPLE, slot }]))
        .collect();

    Harness::bootstrap(FlatGraph { nodes, signatures, sources, edges, taps: Vec::new() })
        .expect("valid strategy DAG")
}

/// The synthetic M1 ticks realising one Frankfurt session whose 15m bars are:
/// bar1 high=100; bar2 high=110, close=108; bar3 close=112 (> bar2 high → the
/// strict breakout, and bars_since_open==3 → ENTRY); bar4 close=115; bar5
/// close=120; then a single 10:15 rollover tick (bar6) that CLOSES bar5 (else the
/// partial last bar is dropped and exposure leaks to EOF — trap (a)).
/// bars 1 and 2 precede the bar3 entry so `Delay[1]` is warm (trap (b)).
fn entry_session_ticks() -> Vec<M1> {
    vec![
        // bar1 09:00-09:15: high=100, close=100 (single tick).
        m1(9, 0, 100.0, 100.0, 100.0, 100.0),
        // bar2 09:15-09:30: high=110 (first tick), close=108 (second tick).
        m1(9, 15, 100.0, 110.0, 100.0, 110.0),
        m1(9, 20, 110.0, 110.0, 108.0, 108.0),
        // bar3 09:30-09:45: close=112 (> bar2 high 110 → breakout; bar3 → entry).
        m1(9, 30, 108.0, 112.0, 108.0, 112.0),
        // bar4 09:45-10:00: close=115.
        m1(9, 45, 112.0, 115.0, 112.0, 115.0),
        // bar5 10:00-10:15: close=120.
        m1(10, 0, 115.0, 120.0, 115.0, 120.0),
        // bar6 rollover tick at 10:15: ANY value — closes bar5 (trap (a)).
        m1(10, 15, 120.0, 120.0, 120.0, 120.0),
    ]
}

/// Drain a recorder channel into the single-column f64 values it captured, in
/// arrival order (the run is deterministic, so the order is stable).
fn drain_f64(rx: &mpsc::Receiver<(Timestamp, Vec<Scalar>)>) -> Vec<f64> {
    rx.try_iter()
        .map(|(_, row)| match row[0] {
            Scalar::F64(v) => v,
            other => panic!("expected an f64 column, got {other:?}"),
        })
        .collect()
}

/// Property: the GER40 session-breakout strategy, wired end-to-end, latches a
/// long position exactly from the bar3 close (the strict breakout that lands on
/// the third session bar) through the bar5 close, then exits — and the
/// sim-optimal broker integrates `held·Δclose15` into the equity curve over
/// exactly that window. This pins the *whole* node vocabulary composed: Resample
/// emit-on-rollover, Delay[1] = prevHigh15, strict-`>` breakout, Session
/// close-instant indexing, the EqConst i64→bool gates, And, the Latch SR
/// register (bool→f64), and SimBroker's lagged-exposure integration, against one
/// synthetic session.
#[test]
fn ger40_session_breakout_holds_exposure_bar3_to_bar5() {
    let (tx_eq, rx_eq) = mpsc::channel();
    let (tx_held, rx_held) = mpsc::channel();
    let mut h = build_harness(tx_eq, tx_held);
    h.run(ohlc_sources(&entry_session_ticks()));

    // Tap B — the Latch f64, recorded once per completed bar (Resample emits 5
    // bars: bar1..bar5 at 09:15/09:30/09:45/10:00/10:15). held is 0.0 before the
    // bar3 close, 1.0 from the bar3 close through the bar5 close, then 0.0 at the
    // bar5 close (reset-dominant exit on isBar5Close).
    let held = drain_f64(&rx_held);
    assert_eq!(
        held,
        vec![0.0, 0.0, 1.0, 1.0, 0.0],
        "held: flat through bar2-close, latched 1.0 from bar3-close through bar4-close, \
         0.0 at the bar5-close exit"
    );

    // Tap A — the SimBroker equity (pip_size = 1.0). The broker integrates the
    // exposure HELD INTO each cycle (decided at t-1) times Δclose15, derived
    // directly from sim_broker.rs (`cum += prev_exposure * (price - prev_price)`):
    //   close15 stream: 100, 108, 112, 115, 120
    //   prev_exposure : (0), 0,   0,   1,   1     (held set on the PRIOR bar)
    //   step PnL      :  -   0    0    1*(115-112)=3   1*(120-115)=5
    //   cum equity    : 0.0  0.0  0.0  3.0  8.0
    // Flat 0.0 through the bar3 close, accruing only while held=1.0 (bar3→bar5),
    // final equity 8.0 pips.
    let equity = drain_f64(&rx_eq);
    assert_eq!(
        equity,
        vec![0.0, 0.0, 0.0, 3.0, 8.0],
        "equity: flat 0.0 until the position is held, then +3 then +8 over the bar3→bar5 hold"
    );
}

/// Property: the breakout is **strictly** greater-than, pinned end-to-end. When
/// bar3 closes *exactly equal* to bar2's high (110 == 110), `Gt` emits `false`,
/// so `entry` never fires, the Latch stays flat, and equity is 0.0 for the whole
/// session. A regression to `>=` would silently enter here; this is the
/// no-entry control that pins the strict-`>` semantic through the full graph.
#[test]
fn no_entry_when_bar3_close_equals_bar2_high_strict_greater() {
    // Identical to the entry session, except bar3 closes at 110 == bar2.high(110),
    // so the strict `>` is false and no position is ever taken.
    let ticks = vec![
        // bar1 09:00-09:15: high=100.
        m1(9, 0, 100.0, 100.0, 100.0, 100.0),
        // bar2 09:15-09:30: high=110.
        m1(9, 15, 100.0, 110.0, 100.0, 110.0),
        m1(9, 20, 110.0, 110.0, 108.0, 108.0),
        // bar3 09:30-09:45: close=110 == bar2 high → NOT a strict breakout.
        m1(9, 30, 108.0, 110.0, 108.0, 110.0),
        // bar4 / bar5 continue upward (irrelevant — no entry ever latched).
        m1(9, 45, 110.0, 115.0, 110.0, 115.0),
        m1(10, 0, 115.0, 120.0, 115.0, 120.0),
        // bar6 rollover tick: closes bar5.
        m1(10, 15, 120.0, 120.0, 120.0, 120.0),
    ];

    let (tx_eq, rx_eq) = mpsc::channel();
    let (tx_held, rx_held) = mpsc::channel();
    let mut h = build_harness(tx_eq, tx_held);
    h.run(ohlc_sources(&ticks));

    let held = drain_f64(&rx_held);
    assert_eq!(
        held,
        vec![0.0, 0.0, 0.0, 0.0, 0.0],
        "strict `>`: close == prev high is no breakout, so held never latches"
    );
    let equity = drain_f64(&rx_eq);
    assert_eq!(
        equity,
        vec![0.0, 0.0, 0.0, 0.0, 0.0],
        "no position is ever taken, so equity is flat 0.0 across the session"
    );
}

/// Property: the whole hand-wired harness is deterministic (C1) — two disjoint
/// runs over byte-identical input produce byte-identical recorded output. Mirrors
/// `harness.rs::fan_out_join_dag_runs_deterministically` on the full strategy DAG.
#[test]
fn ger40_breakout_run_is_deterministic() {
    let run_once = || {
        let (tx_eq, rx_eq) = mpsc::channel();
        let (tx_held, rx_held) = mpsc::channel();
        let mut h = build_harness(tx_eq, tx_held);
        h.run(ohlc_sources(&entry_session_ticks()));
        let eq: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
        let hd: Vec<(Timestamp, Vec<Scalar>)> = rx_held.try_iter().collect();
        (eq, hd)
    };
    assert_eq!(run_once(), run_once(), "same input → byte-identical recorded output (C1)");
}