4915f1bae4
2 new endpoints: - POST /portfolio/cluster - t-SNE + KMeans clustering by return similarity. Maps stocks to 2D coordinates with cluster labels. - POST /portfolio/similar - find most/least similar stocks by return correlation against a target symbol. Implementation: - sklearn TSNE (method=exact) + KMeans with auto n_clusters - Jitter handling for identical returns edge case - 33 new tests (17 service unit + 16 route integration) - All 503 tests passing
494 lines
17 KiB
Python
494 lines
17 KiB
Python
"""Tests for portfolio optimization routes (TDD - RED phase first)."""
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from unittest.mock import patch, AsyncMock
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import pytest
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from httpx import AsyncClient, ASGITransport
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from main import app
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@pytest.fixture
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async def client():
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transport = ASGITransport(app=app)
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async with AsyncClient(transport=transport, base_url="http://test") as c:
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yield c
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# --- POST /api/v1/portfolio/optimize ---
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.optimize_hrp", new_callable=AsyncMock)
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async def test_portfolio_optimize_happy_path(mock_fn, client):
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mock_fn.return_value = {
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"weights": {"AAPL": 0.35, "MSFT": 0.32, "GOOGL": 0.33},
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"method": "hrp",
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}
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resp = await client.post(
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"/api/v1/portfolio/optimize",
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json={"symbols": ["AAPL", "MSFT", "GOOGL"], "days": 365},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert data["data"]["method"] == "hrp"
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assert "AAPL" in data["data"]["weights"]
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mock_fn.assert_called_once_with(["AAPL", "MSFT", "GOOGL"], days=365)
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@pytest.mark.asyncio
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async def test_portfolio_optimize_missing_symbols(client):
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resp = await client.post("/api/v1/portfolio/optimize", json={"days": 365})
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_optimize_empty_symbols(client):
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resp = await client.post(
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"/api/v1/portfolio/optimize", json={"symbols": [], "days": 365}
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_optimize_too_many_symbols(client):
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symbols = [f"SYM{i}" for i in range(51)]
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resp = await client.post(
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"/api/v1/portfolio/optimize", json={"symbols": symbols, "days": 365}
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.optimize_hrp", new_callable=AsyncMock)
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async def test_portfolio_optimize_service_error_returns_502(mock_fn, client):
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mock_fn.side_effect = RuntimeError("Computation failed")
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resp = await client.post(
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"/api/v1/portfolio/optimize",
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json={"symbols": ["AAPL", "MSFT"], "days": 365},
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)
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assert resp.status_code == 502
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.optimize_hrp", new_callable=AsyncMock)
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async def test_portfolio_optimize_value_error_returns_400(mock_fn, client):
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mock_fn.side_effect = ValueError("No price data available")
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resp = await client.post(
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"/api/v1/portfolio/optimize",
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json={"symbols": ["AAPL", "MSFT"], "days": 365},
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)
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assert resp.status_code == 400
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.optimize_hrp", new_callable=AsyncMock)
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async def test_portfolio_optimize_default_days(mock_fn, client):
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mock_fn.return_value = {"weights": {"AAPL": 1.0}, "method": "hrp"}
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resp = await client.post(
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"/api/v1/portfolio/optimize", json={"symbols": ["AAPL"]}
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)
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assert resp.status_code == 200
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mock_fn.assert_called_once_with(["AAPL"], days=365)
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# --- POST /api/v1/portfolio/correlation ---
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.compute_correlation", new_callable=AsyncMock)
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async def test_portfolio_correlation_happy_path(mock_fn, client):
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mock_fn.return_value = {
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"symbols": ["AAPL", "MSFT"],
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"matrix": [[1.0, 0.85], [0.85, 1.0]],
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}
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resp = await client.post(
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"/api/v1/portfolio/correlation",
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json={"symbols": ["AAPL", "MSFT"], "days": 365},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert data["data"]["symbols"] == ["AAPL", "MSFT"]
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assert data["data"]["matrix"][0][0] == pytest.approx(1.0)
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mock_fn.assert_called_once_with(["AAPL", "MSFT"], days=365)
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@pytest.mark.asyncio
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async def test_portfolio_correlation_missing_symbols(client):
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resp = await client.post("/api/v1/portfolio/correlation", json={"days": 365})
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_correlation_empty_symbols(client):
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resp = await client.post(
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"/api/v1/portfolio/correlation", json={"symbols": [], "days": 365}
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.compute_correlation", new_callable=AsyncMock)
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async def test_portfolio_correlation_service_error_returns_502(mock_fn, client):
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mock_fn.side_effect = RuntimeError("Failed")
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resp = await client.post(
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"/api/v1/portfolio/correlation",
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json={"symbols": ["AAPL", "MSFT"], "days": 365},
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)
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assert resp.status_code == 502
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.compute_correlation", new_callable=AsyncMock)
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async def test_portfolio_correlation_value_error_returns_400(mock_fn, client):
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mock_fn.side_effect = ValueError("No price data available")
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resp = await client.post(
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"/api/v1/portfolio/correlation",
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json={"symbols": ["AAPL", "MSFT"], "days": 365},
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)
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assert resp.status_code == 400
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# --- POST /api/v1/portfolio/risk-parity ---
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.compute_risk_parity", new_callable=AsyncMock)
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async def test_portfolio_risk_parity_happy_path(mock_fn, client):
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mock_fn.return_value = {
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"weights": {"AAPL": 0.35, "MSFT": 0.33, "GOOGL": 0.32},
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"risk_contributions": {"AAPL": 0.34, "MSFT": 0.33, "GOOGL": 0.33},
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"method": "risk_parity",
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}
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resp = await client.post(
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"/api/v1/portfolio/risk-parity",
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json={"symbols": ["AAPL", "MSFT", "GOOGL"], "days": 365},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert data["data"]["method"] == "risk_parity"
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assert "risk_contributions" in data["data"]
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mock_fn.assert_called_once_with(["AAPL", "MSFT", "GOOGL"], days=365)
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@pytest.mark.asyncio
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async def test_portfolio_risk_parity_missing_symbols(client):
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resp = await client.post("/api/v1/portfolio/risk-parity", json={"days": 365})
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_risk_parity_empty_symbols(client):
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resp = await client.post(
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"/api/v1/portfolio/risk-parity", json={"symbols": [], "days": 365}
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.compute_risk_parity", new_callable=AsyncMock)
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async def test_portfolio_risk_parity_service_error_returns_502(mock_fn, client):
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mock_fn.side_effect = RuntimeError("Failed")
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resp = await client.post(
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"/api/v1/portfolio/risk-parity",
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json={"symbols": ["AAPL", "MSFT"], "days": 365},
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)
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assert resp.status_code == 502
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.compute_risk_parity", new_callable=AsyncMock)
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async def test_portfolio_risk_parity_value_error_returns_400(mock_fn, client):
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mock_fn.side_effect = ValueError("No price data available")
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resp = await client.post(
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"/api/v1/portfolio/risk-parity",
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json={"symbols": ["AAPL", "MSFT"], "days": 365},
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)
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assert resp.status_code == 400
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.compute_risk_parity", new_callable=AsyncMock)
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async def test_portfolio_risk_parity_default_days(mock_fn, client):
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mock_fn.return_value = {
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"weights": {"AAPL": 1.0},
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"risk_contributions": {"AAPL": 1.0},
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"method": "risk_parity",
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}
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resp = await client.post(
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"/api/v1/portfolio/risk-parity", json={"symbols": ["AAPL"]}
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)
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assert resp.status_code == 200
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mock_fn.assert_called_once_with(["AAPL"], days=365)
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# ---------------------------------------------------------------------------
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# POST /api/v1/portfolio/cluster
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# ---------------------------------------------------------------------------
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_CLUSTER_RESULT = {
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"symbols": ["AAPL", "MSFT", "GOOGL", "AMZN", "JPM", "BAC"],
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"coordinates": [
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{"symbol": "AAPL", "x": 12.5, "y": -3.2, "cluster": 0},
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{"symbol": "MSFT", "x": 11.8, "y": -2.9, "cluster": 0},
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{"symbol": "GOOGL", "x": 10.1, "y": -1.5, "cluster": 0},
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{"symbol": "AMZN", "x": 9.5, "y": -0.8, "cluster": 0},
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{"symbol": "JPM", "x": -5.1, "y": 8.3, "cluster": 1},
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{"symbol": "BAC", "x": -4.9, "y": 7.9, "cluster": 1},
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],
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"clusters": {"0": ["AAPL", "MSFT", "GOOGL", "AMZN"], "1": ["JPM", "BAC"]},
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"method": "t-SNE + KMeans",
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"n_clusters": 2,
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"days": 180,
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}
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.cluster_stocks", new_callable=AsyncMock)
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async def test_portfolio_cluster_happy_path(mock_fn, client):
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"""POST /cluster returns 200 with valid cluster result."""
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mock_fn.return_value = _CLUSTER_RESULT
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resp = await client.post(
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"/api/v1/portfolio/cluster",
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json={"symbols": ["AAPL", "MSFT", "GOOGL", "AMZN", "JPM", "BAC"], "days": 180},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert data["data"]["method"] == "t-SNE + KMeans"
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assert "coordinates" in data["data"]
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assert "clusters" in data["data"]
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mock_fn.assert_called_once_with(
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["AAPL", "MSFT", "GOOGL", "AMZN", "JPM", "BAC"], days=180, n_clusters=None
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)
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.cluster_stocks", new_callable=AsyncMock)
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async def test_portfolio_cluster_with_custom_n_clusters(mock_fn, client):
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"""n_clusters is forwarded to service when provided."""
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mock_fn.return_value = _CLUSTER_RESULT
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resp = await client.post(
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"/api/v1/portfolio/cluster",
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json={
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"symbols": ["AAPL", "MSFT", "GOOGL", "AMZN", "JPM", "BAC"],
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"days": 180,
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"n_clusters": 3,
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},
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)
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assert resp.status_code == 200
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mock_fn.assert_called_once_with(
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["AAPL", "MSFT", "GOOGL", "AMZN", "JPM", "BAC"], days=180, n_clusters=3
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)
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@pytest.mark.asyncio
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async def test_portfolio_cluster_too_few_symbols_returns_422(client):
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"""Fewer than 3 symbols triggers Pydantic validation error (422)."""
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resp = await client.post(
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"/api/v1/portfolio/cluster",
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json={"symbols": ["AAPL", "MSFT"], "days": 180},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_cluster_missing_symbols_returns_422(client):
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"""Missing symbols field returns 422."""
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resp = await client.post("/api/v1/portfolio/cluster", json={"days": 180})
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_cluster_too_many_symbols_returns_422(client):
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"""More than 50 symbols returns 422."""
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symbols = [f"SYM{i}" for i in range(51)]
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resp = await client.post(
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"/api/v1/portfolio/cluster", json={"symbols": symbols, "days": 180}
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_cluster_days_below_minimum_returns_422(client):
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"""days < 30 returns 422."""
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resp = await client.post(
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"/api/v1/portfolio/cluster",
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json={"symbols": ["AAPL", "MSFT", "GOOGL"], "days": 10},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_cluster_n_clusters_below_minimum_returns_422(client):
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"""n_clusters < 2 returns 422."""
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resp = await client.post(
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"/api/v1/portfolio/cluster",
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json={"symbols": ["AAPL", "MSFT", "GOOGL"], "days": 180, "n_clusters": 1},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.cluster_stocks", new_callable=AsyncMock)
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async def test_portfolio_cluster_value_error_returns_400(mock_fn, client):
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"""ValueError from service returns 400."""
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mock_fn.side_effect = ValueError("at least 3 symbols required")
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resp = await client.post(
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"/api/v1/portfolio/cluster",
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json={"symbols": ["AAPL", "MSFT", "GOOGL"], "days": 180},
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)
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assert resp.status_code == 400
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.cluster_stocks", new_callable=AsyncMock)
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async def test_portfolio_cluster_upstream_error_returns_502(mock_fn, client):
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"""Unexpected exception from service returns 502."""
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mock_fn.side_effect = RuntimeError("upstream failure")
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resp = await client.post(
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"/api/v1/portfolio/cluster",
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json={"symbols": ["AAPL", "MSFT", "GOOGL"], "days": 180},
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)
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assert resp.status_code == 502
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.cluster_stocks", new_callable=AsyncMock)
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async def test_portfolio_cluster_default_days(mock_fn, client):
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"""Default days=180 is used when not provided."""
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mock_fn.return_value = _CLUSTER_RESULT
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resp = await client.post(
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"/api/v1/portfolio/cluster",
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json={"symbols": ["AAPL", "MSFT", "GOOGL"]},
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)
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assert resp.status_code == 200
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mock_fn.assert_called_once_with(
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["AAPL", "MSFT", "GOOGL"], days=180, n_clusters=None
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)
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# ---------------------------------------------------------------------------
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# POST /api/v1/portfolio/similar
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# ---------------------------------------------------------------------------
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_SIMILAR_RESULT = {
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"symbol": "AAPL",
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"most_similar": [
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{"symbol": "MSFT", "correlation": 0.85},
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{"symbol": "GOOGL", "correlation": 0.78},
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],
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"least_similar": [
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{"symbol": "JPM", "correlation": 0.32},
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{"symbol": "BAC", "correlation": 0.28},
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],
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}
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@pytest.mark.asyncio
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@patch("routes_portfolio.portfolio_service.find_similar_stocks", new_callable=AsyncMock)
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async def test_portfolio_similar_happy_path(mock_fn, client):
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"""POST /similar returns 200 with most_similar and least_similar."""
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mock_fn.return_value = _SIMILAR_RESULT
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resp = await client.post(
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"/api/v1/portfolio/similar",
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json={
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"symbol": "AAPL",
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"universe": ["MSFT", "GOOGL", "AMZN", "JPM", "BAC"],
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"days": 180,
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"top_n": 2,
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},
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)
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assert resp.status_code == 200
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data = resp.json()
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assert data["success"] is True
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assert data["data"]["symbol"] == "AAPL"
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assert "most_similar" in data["data"]
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assert "least_similar" in data["data"]
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mock_fn.assert_called_once_with(
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"AAPL",
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["MSFT", "GOOGL", "AMZN", "JPM", "BAC"],
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days=180,
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top_n=2,
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)
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@pytest.mark.asyncio
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async def test_portfolio_similar_missing_symbol_returns_422(client):
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"""Missing symbol field returns 422."""
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resp = await client.post(
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"/api/v1/portfolio/similar",
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json={"universe": ["MSFT", "GOOGL"], "days": 180},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_similar_missing_universe_returns_422(client):
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"""Missing universe field returns 422."""
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resp = await client.post(
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"/api/v1/portfolio/similar",
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json={"symbol": "AAPL", "days": 180},
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)
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assert resp.status_code == 422
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@pytest.mark.asyncio
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async def test_portfolio_similar_universe_too_small_returns_422(client):
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"""universe with fewer than 2 entries returns 422."""
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resp = await client.post(
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"/api/v1/portfolio/similar",
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json={"symbol": "AAPL", "universe": ["MSFT"], "days": 180},
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)
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assert resp.status_code == 422
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|
|
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@pytest.mark.asyncio
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async def test_portfolio_similar_top_n_below_minimum_returns_422(client):
|
|
"""top_n < 1 returns 422."""
|
|
resp = await client.post(
|
|
"/api/v1/portfolio/similar",
|
|
json={"symbol": "AAPL", "universe": ["MSFT", "GOOGL"], "days": 180, "top_n": 0},
|
|
)
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|
assert resp.status_code == 422
|
|
|
|
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|
@pytest.mark.asyncio
|
|
@patch("routes_portfolio.portfolio_service.find_similar_stocks", new_callable=AsyncMock)
|
|
async def test_portfolio_similar_value_error_returns_400(mock_fn, client):
|
|
"""ValueError from service returns 400."""
|
|
mock_fn.side_effect = ValueError("AAPL not found in price data")
|
|
resp = await client.post(
|
|
"/api/v1/portfolio/similar",
|
|
json={"symbol": "AAPL", "universe": ["MSFT", "GOOGL"], "days": 180},
|
|
)
|
|
assert resp.status_code == 400
|
|
|
|
|
|
@pytest.mark.asyncio
|
|
@patch("routes_portfolio.portfolio_service.find_similar_stocks", new_callable=AsyncMock)
|
|
async def test_portfolio_similar_upstream_error_returns_502(mock_fn, client):
|
|
"""Unexpected exception from service returns 502."""
|
|
mock_fn.side_effect = RuntimeError("upstream failure")
|
|
resp = await client.post(
|
|
"/api/v1/portfolio/similar",
|
|
json={"symbol": "AAPL", "universe": ["MSFT", "GOOGL"], "days": 180},
|
|
)
|
|
assert resp.status_code == 502
|
|
|
|
|
|
@pytest.mark.asyncio
|
|
@patch("routes_portfolio.portfolio_service.find_similar_stocks", new_callable=AsyncMock)
|
|
async def test_portfolio_similar_default_top_n(mock_fn, client):
|
|
"""Default top_n=5 is passed to service when not specified."""
|
|
mock_fn.return_value = _SIMILAR_RESULT
|
|
resp = await client.post(
|
|
"/api/v1/portfolio/similar",
|
|
json={"symbol": "AAPL", "universe": ["MSFT", "GOOGL", "AMZN"]},
|
|
)
|
|
assert resp.status_code == 200
|
|
mock_fn.assert_called_once_with("AAPL", ["MSFT", "GOOGL", "AMZN"], days=180, top_n=5)
|