64 lines
2.5 KiB
TypeScript
64 lines
2.5 KiB
TypeScript
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import { test } from 'node:test';
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import { strict as assert } from 'node:assert';
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import { readFileSync } from 'node:fs';
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import { dirname, join } from 'node:path';
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import { fileURLToPath } from 'node:url';
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import { buildDealerMap } from '../dealerExposureEngine.ts';
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import { auditDealerMap } from '../dealerMapIntegrity.ts';
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import type { NormalizedOptionSurface } from '../../options/types.ts';
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const __dirname = dirname(fileURLToPath(import.meta.url));
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const fixturePath = join(__dirname, '../__fixtures__/dealer-surface-synthetic.json');
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function loadFixture(): NormalizedOptionSurface {
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return JSON.parse(readFileSync(fixturePath, 'utf8')) as NormalizedOptionSurface;
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}
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/** Small fixture uses looser strike-count thresholds; production defaults stay strict. */
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const FIXTURE_THRESHOLDS = {
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minOiStrikesPerExpiry: 3,
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minNearSpotOiStrikes: 3,
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minCells: 6,
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minByStrike: 3,
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};
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test('golden fixture: map is complete and king is max |gex| call cluster', () => {
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const surface = loadFixture();
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const map = buildDealerMap(surface, { maxExpiries: 3 });
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const integrity = auditDealerMap(map, surface, { thresholds: FIXTURE_THRESHOLDS });
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assert.equal(integrity.status, 'complete', JSON.stringify(integrity.hardFailed));
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assert.ok(map.levels.king);
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// Heaviest call OI + gamma at 105 08-08
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assert.equal(map.levels.king!.strike, 105);
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assert.equal(map.levels.king!.expiry, '2026-08-08');
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assert.ok(map.cells.length >= 6);
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assert.ok(map.quality.greekQuality === 'ok' || map.quality.greekQuality === 'degraded');
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// Determinism
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const map2 = buildDealerMap(surface, { maxExpiries: 3 });
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assert.equal(map2.levels.king!.gex, map.levels.king!.gex);
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assert.equal(map2.cells.length, map.cells.length);
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});
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test('golden fixture: zero IV across surface → incomplete integrity', () => {
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const surface = loadFixture();
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surface.rows = surface.rows.map((r) => ({
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...r,
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iv: 1e-5,
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greeks: null,
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}));
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const map = buildDealerMap(surface, { maxExpiries: 3 });
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const integrity = auditDealerMap(map, surface, { thresholds: FIXTURE_THRESHOLDS });
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assert.equal(integrity.status, 'incomplete');
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});
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test('golden fixture: drop to one expiry → incomplete', () => {
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const surface = loadFixture();
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surface.rows = surface.rows.filter((r) => r.expiry === '2026-08-08');
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const map = buildDealerMap(surface, { maxExpiries: 3 });
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const integrity = auditDealerMap(map, surface, { thresholds: FIXTURE_THRESHOLDS });
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assert.equal(integrity.status, 'incomplete');
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assert.ok(integrity.hardFailed.includes('expiries'));
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});
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