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Code Issues Releases Activity Actions 1

Handle missing weekend stock prices in sync process (#1242)

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* Don't append missing prices if already known

* Add failing test

* Handle weekend stock prices

* Fix tests and gapfill logic
This commit is contained in:
Zach Gollwitzer 2024-10-04 14:19:45 -04:00 • committed by GitHub
parent e8d7ee3270
commit 24d3c0243f
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5 changed files with 80 additions and 7 deletions
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34
test/models/account/holding/syncer_test.rb
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@ -77,12 +77,13 @@ class Account::Holding::SyncerTest < ActiveSupport::TestCase
{ ticker: "AMZN", qty: 10, price: nil, amount: nil, date: Date.current }
]
fetched_prices = [ Security::Price.new(ticker: "AMZN", date: 1.day.ago.to_date, price: 215) ]
Gapfiller.any_instance.expects(:run).returns(fetched_prices)
Security::Price.expects(:find_prices)
.with(start_date: 2.days.ago.to_date, end_date: Date.current, ticker: "AMZN")
.once
.returns([
Security::Price.new(ticker: "AMZN", date: 1.day.ago.to_date, price: 215)
])
.returns(fetched_prices)
@account.expects(:observe_missing_price).with(ticker: "AMZN", date: Date.current).once
@ -91,6 +92,33 @@ class Account::Holding::SyncerTest < ActiveSupport::TestCase
assert_holdings(expected)
end
# It is common for data providers to not provide prices for weekends, so we need to carry the last observation forward
test "uses locf gapfilling when price is missing" do
friday = Date.new(2024, 9, 27) # A known Friday
saturday = friday + 1.day # weekend
sunday = saturday + 1.day # weekend
monday = sunday + 1.day # known Monday
# Prices should be gapfilled like this: 210, 210, 210, 220
tm = create_security("TM", prices: [
{ date: friday, price: 210 },
{ date: monday, price: 220 }
])
create_trade(tm, account: @account, qty: 10, date: friday)
expected = [
{ ticker: "TM", qty: 10, price: 210, amount: 10 * 210, date: friday },
{ ticker: "TM", qty: 10, price: 210, amount: 10 * 210, date: saturday },
{ ticker: "TM", qty: 10, price: 210, amount: 10 * 210, date: sunday },
{ ticker: "TM", qty: 10, price: 220, amount: 10 * 220, date: monday }
]
run_sync_for(@account)
assert_holdings(expected)
end
private
def assert_holdings(expected_holdings)