| """Consistency test for the shared rolling-z normalization (BUG-03). |
| |
| The offline backtest transform `normalize_z` MUST produce the same per-tick |
| normalized vectors as the online streaming `Stage3TCN._normalize`, so that |
| offline scores transfer to the live Stage3TCN.feed path. |
| """ |
| import numpy as np |
|
|
| from flash_crash_watchdog.lob import OrderBookSnapshot, PriceLevel |
| from flash_crash_watchdog.models.stage3_tcn import ( |
| STAGE3_FEATURES, |
| Stage3TCN, |
| TCNConfig, |
| normalize_z, |
| ) |
| from flash_crash_watchdog.tick import Tick |
|
|
|
|
| def _tick_from_features(fvec: np.ndarray, ts: int) -> Tick: |
| book = OrderBookSnapshot( |
| timestamp_ms=ts, bids=[PriceLevel(100.0, 1.0)], asks=[PriceLevel(100.0, 1.0)] |
| ) |
| tick = Tick(book=book, symbol="T") |
| tick.features = {name: float(v) for name, v in zip(STAGE3_FEATURES, fvec)} |
| return tick |
|
|
|
|
| def test_offline_normalize_matches_streaming_stage3(): |
| rng = np.random.default_rng(0) |
| n = 800 |
| F = rng.normal(size=(n, 17)).astype(np.float32) |
| F[:, 5] = 42.0 |
|
|
| norm = normalize_z(F, 500) |
|
|
| s3 = Stage3TCN(TCNConfig(sequence_length=500)) |
| streamed = np.zeros_like(norm) |
| for i in range(n): |
| s3.feed(_tick_from_features(F[i], i)) |
| streamed[i] = np.array(s3._window[-1], dtype=np.float32) |
|
|
| np.testing.assert_allclose(streamed, norm, atol=1e-4) |
| |
| np.testing.assert_allclose(streamed[:, 5], 0.0, atol=1e-6) |
| np.testing.assert_allclose(norm[:, 5], 0.0, atol=1e-6) |
|
|
|
|
| def test_normalize_z_matches_hand_computed_rolling_z(): |
| """Sanity: normalize_z(window=3) equals a hand-rolled rolling z-score.""" |
| f = np.arange(10, dtype=np.float64).reshape(10, 1) |
| out = normalize_z(f.astype(np.float32), 3).squeeze() |
| |
| |
| expected = np.zeros(10) |
| for i in range(10): |
| seg = f[max(0, i - 2): i + 1, 0] |
| if len(seg) < 2: |
| expected[i] = 0.0 |
| else: |
| expected[i] = (seg[-1] - seg.mean()) / seg.std(ddof=1) |
| np.testing.assert_allclose(out, expected, atol=1e-5) |
