feat: autonomous trading engine — full implementation

- Database migration 018 with 13 tables for trading engine state - Trading engine service (services/trading/) with 12 pure computation modules: position sizer, stop-loss manager, reserve pool, circuit breaker, risk tier controller, correlation matrix, tax lots, trading window, gradual entry, notifications, micro-trading, backtester - Core TradingEngine with pre-trade evaluation pipeline and integration wiring - FastAPI HTTP service with 14 endpoints (health, config, decisions, metrics, backtest) - Performance tracker with Sharpe ratio, drawdown, profit factor computation - 194 Python tests (165 property-based + 29 integration) - Frontend: 13 TanStack Query hooks, 7 dashboard panels, tabbed Trading Engine page - Helm chart entry, network policy, nginx proxy, ingress for trading-engine - Shared infrastructure: enums, Redis keys, TradingConfig in AppConfig
2026-04-15 16:12:22 +00:00
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+"""Property-based tests for the Tax Lot Tracker.
+
+Feature: autonomous-trading-engine
+
+Tests properties 22 and 23 from the design specification,
+covering FIFO lot ordering and wash sale detection.
+"""
+from __future__ import annotations
+
+from datetime import date, timedelta
+
+from hypothesis import given, settings, assume
+from hypothesis import strategies as st
+
+from services.trading.tax_lots import ClosedLot, TaxLot, TaxLotTracker
+
+
+# ---------------------------------------------------------------------------
+# Hypothesis strategies
+# ---------------------------------------------------------------------------
+
+def _tax_lot_strategy(
+    ticker: str = "AAPL",
+    status: str = "open",
+) -> st.SearchStrategy[TaxLot]:
+    """Generate a random TaxLot with a fixed ticker and status."""
+    return st.builds(
+        TaxLot,
+        ticker=st.just(ticker),
+        quantity=st.integers(min_value=1, max_value=100),
+        cost_basis_per_share=st.floats(
+            min_value=1.0, max_value=500.0,
+            allow_nan=False, allow_infinity=False,
+        ),
+        acquisition_date=st.dates(
+            min_value=date(2023, 1, 1),
+            max_value=date(2025, 6, 1),
+        ),
+        status=st.just(status),
+    )
+
+
+# ---------------------------------------------------------------------------
+# Property 22: Tax lot FIFO ordering
+# **Validates: Requirements 12.4**
+# ---------------------------------------------------------------------------
+
+
+class TestProperty22TaxLotFIFOOrdering:
+    """Property 22: Tax lot FIFO ordering.
+
+    For any sequence of buy transactions, closing lots SHALL follow
+    FIFO order — the earliest-acquired open lot is closed first.
+    The realized P&L for each closed lot SHALL equal
+    (exit_price - cost_basis_per_share) * quantity.
+
+    **Validates: Requirements 12.4**
+    """
+
+    @given(
+        lots=st.lists(
+            _tax_lot_strategy(),
+            min_size=1,
+            max_size=10,
+        ),
+        exit_price=st.floats(
+            min_value=1.0, max_value=500.0,
+            allow_nan=False, allow_infinity=False,
+        ),
+        exit_date=st.dates(
+            min_value=date(2025, 1, 1),
+            max_value=date(2025, 12, 31),
+        ),
+    )
+    @settings(max_examples=100)
+    def test_lots_closed_in_fifo_order(
+        self,
+        lots: list[TaxLot],
+        exit_price: float,
+        exit_date: date,
+    ) -> None:
+        """Closed lots are ordered by acquisition_date ascending (FIFO)."""
+        total_available = sum(lot.quantity for lot in lots)
+        assume(total_available > 0)
+
+        tracker = TaxLotTracker()
+        closed = tracker.close_lots_fifo(
+            lots=lots,
+            quantity=total_available,
+            exit_price=exit_price,
+            exit_date=exit_date,
+        )
+
+        # Verify FIFO: each closed lot's acquisition_date is <= the next
+        for i in range(len(closed) - 1):
+            assert closed[i].acquisition_date <= closed[i + 1].acquisition_date, (
+                f"FIFO violated: lot {i} acquired {closed[i].acquisition_date} "
+                f"but lot {i+1} acquired {closed[i+1].acquisition_date}"
+            )
+
+    @given(
+        lots=st.lists(
+            _tax_lot_strategy(),
+            min_size=1,
+            max_size=10,
+        ),
+        exit_price=st.floats(
+            min_value=1.0, max_value=500.0,
+            allow_nan=False, allow_infinity=False,
+        ),
+        exit_date=st.dates(
+            min_value=date(2025, 1, 1),
+            max_value=date(2025, 12, 31),
+        ),
+    )
+    @settings(max_examples=100)
+    def test_realized_pnl_formula(
+        self,
+        lots: list[TaxLot],
+        exit_price: float,
+        exit_date: date,
+    ) -> None:
+        """Realized P&L = (exit_price - cost_basis_per_share) * quantity per lot."""
+        total_available = sum(lot.quantity for lot in lots)
+        assume(total_available > 0)
+
+        tracker = TaxLotTracker()
+        closed = tracker.close_lots_fifo(
+            lots=lots,
+            quantity=total_available,
+            exit_price=exit_price,
+            exit_date=exit_date,
+        )
+
+        for cl in closed:
+            expected_pnl = (cl.exit_price - cl.cost_basis_per_share) * cl.quantity
+            assert abs(cl.realized_pnl - expected_pnl) < 1e-6, (
+                f"P&L mismatch: got {cl.realized_pnl}, "
+                f"expected {expected_pnl} for lot acquired {cl.acquisition_date}"
+            )
+
+    @given(
+        lots=st.lists(
+            _tax_lot_strategy(),
+            min_size=2,
+            max_size=10,
+        ),
+        exit_price=st.floats(
+            min_value=1.0, max_value=500.0,
+            allow_nan=False, allow_infinity=False,
+        ),
+        exit_date=st.dates(
+            min_value=date(2025, 1, 1),
+            max_value=date(2025, 12, 31),
+        ),
+    )
+    @settings(max_examples=100)
+    def test_partial_close_respects_fifo(
+        self,
+        lots: list[TaxLot],
+        exit_price: float,
+        exit_date: date,
+    ) -> None:
+        """Closing fewer shares than available still follows FIFO order."""
+        total_available = sum(lot.quantity for lot in lots)
+        assume(total_available >= 2)
+
+        # Close only half the shares
+        close_qty = total_available // 2
+        assume(close_qty > 0)
+
+        tracker = TaxLotTracker()
+        closed = tracker.close_lots_fifo(
+            lots=lots,
+            quantity=close_qty,
+            exit_price=exit_price,
+            exit_date=exit_date,
+        )
+
+        # Total closed quantity should not exceed requested
+        total_closed = sum(cl.quantity for cl in closed)
+        assert total_closed <= close_qty
+
+        # FIFO order maintained
+        for i in range(len(closed) - 1):
+            assert closed[i].acquisition_date <= closed[i + 1].acquisition_date
+
+
+# ---------------------------------------------------------------------------
+# Property 23: Wash sale detection within 30-day window
+# **Validates: Requirements 12.2, 12.3**
+# ---------------------------------------------------------------------------
+
+
+class TestProperty23WashSaleDetection:
+    """Property 23: Wash sale detection within 30-day window.
+
+    For any position closed at a loss, the Tax Lot Tracker SHALL flag
+    it as a potential wash sale if the same ticker was purchased within
+    30 days before or after the loss date.
+
+    **Validates: Requirements 12.2, 12.3**
+    """
+
+    @given(
+        loss_date=st.dates(
+            min_value=date(2024, 6, 1),
+            max_value=date(2025, 6, 1),
+        ),
+        days_offset=st.integers(min_value=-30, max_value=30),
+    )
+    @settings(max_examples=100)
+    def test_wash_sale_flagged_within_30_days(
+        self,
+        loss_date: date,
+        days_offset: int,
+    ) -> None:
+        """Purchase within 30 days of loss triggers wash sale flag."""
+        purchase_date = loss_date + timedelta(days=days_offset)
+        purchase = TaxLot(
+            ticker="AAPL",
+            quantity=10,
+            cost_basis_per_share=100.0,
+            acquisition_date=purchase_date,
+        )
+
+        tracker = TaxLotTracker()
+        result = tracker.check_wash_sale(
+            loss_date=loss_date,
+            purchases=[purchase],
+        )
+
+        assert result is True, (
+            f"Expected wash sale flag for purchase {days_offset} days "
+            f"from loss date {loss_date}"
+        )
+
+    @given(
+        loss_date=st.dates(
+            min_value=date(2024, 6, 1),
+            max_value=date(2025, 6, 1),
+        ),
+        days_offset=st.integers(min_value=31, max_value=365),
+        direction=st.sampled_from([-1, 1]),
+    )
+    @settings(max_examples=100)
+    def test_no_wash_sale_outside_30_days(
+        self,
+        loss_date: date,
+        days_offset: int,
+        direction: int,
+    ) -> None:
+        """Purchase outside 30-day window does not trigger wash sale."""
+        purchase_date = loss_date + timedelta(days=days_offset * direction)
+        purchase = TaxLot(
+            ticker="AAPL",
+            quantity=10,
+            cost_basis_per_share=100.0,
+            acquisition_date=purchase_date,
+        )
+
+        tracker = TaxLotTracker()
+        result = tracker.check_wash_sale(
+            loss_date=loss_date,
+            purchases=[purchase],
+        )
+
+        assert result is False, (
+            f"Unexpected wash sale flag for purchase {days_offset * direction} "
+            f"days from loss date {loss_date}"
+        )
+
+    @given(
+        loss_date=st.dates(
+            min_value=date(2024, 6, 1),
+            max_value=date(2025, 6, 1),
+        ),
+    )
+    @settings(max_examples=100)
+    def test_no_wash_sale_with_no_purchases(
+        self,
+        loss_date: date,
+    ) -> None:
+        """No purchases means no wash sale."""
+        tracker = TaxLotTracker()
+        result = tracker.check_wash_sale(
+            loss_date=loss_date,
+            purchases=[],
+        )
+
+        assert result is False