DOLPHIN/nautilus_dolphin/tests/test_smart_exec_algorithm.py

"""Tests for SmartExecAlgorithm enhancements."""

import pytest
from unittest.mock import Mock, MagicMock
from nautilus_trader.model.enums import OrderSide
from nautilus_trader.model.objects import Price

from nautilus_dolphin.nautilus.smart_exec_algorithm import SmartExecAlgorithmForTesting


class TestSmartExecAlgorithmAbortLogic:
    """Tests for the abort logic when price moves against position."""
    
    def test_should_abort_entry_buy_price_rises(self):
        """Test BUY entry aborted when ask rises 5bps above limit."""
        algo = SmartExecAlgorithmForTesting({'entry_abort_threshold_bps': 5.0})
        
        # Create mock order (BUY at 50000)
        order = Mock()
        order.side = OrderSide.BUY
        
        # Create mock tick (ask moved up 1% - well above 5bps threshold)
        tick = Mock()
        tick.ask_price = Price(50500, 2)
        tick.bid_price = Price(50499, 2)
        
        metadata = {'limit_price': 50000.0}
        
        # Should abort (price moved more than 5bps against)
        assert algo._should_abort_entry(order, tick, metadata) is True
        
    def test_should_not_abort_entry_buy_price_stable(self):
        """Test BUY entry not aborted when price hasn't moved much."""
        algo = SmartExecAlgorithmForTesting({'entry_abort_threshold_bps': 5.0})
        
        order = Mock()
        order.side = OrderSide.BUY
        
        # Ask only 2bps higher (below 5bps threshold)
        tick = Mock()
        tick.ask_price = Price(50010, 2)
        tick.bid_price = Price(50009, 2)
        
        metadata = {'limit_price': 50000.0}
        
        assert algo._should_abort_entry(order, tick, metadata) is False
        
    def test_should_abort_entry_sell_price_drops(self):
        """Test SELL entry aborted when bid drops 5bps below limit."""
        algo = SmartExecAlgorithmForTesting({'entry_abort_threshold_bps': 5.0})
        
        order = Mock()
        order.side = OrderSide.SELL
        
        # Bid moved down 1% - well above 5bps threshold
        tick = Mock()
        tick.ask_price = Price(49501, 2)
        tick.bid_price = Price(49500, 2)
        
        metadata = {'limit_price': 50000.0}
        
        assert algo._should_abort_entry(order, tick, metadata) is True
        
    def test_abort_entry_cancels_order(self):
        """Test abort_entry cancels the order and updates metrics."""
        algo = SmartExecAlgorithmForTesting({'entry_abort_threshold_bps': 5.0})
        
        # Setup pending entry
        order = Mock()
        order.is_closed = False
        algo._pending_entries = {'order1': {'limit_price': 50000.0}}
        
        algo._abort_entry('order1', {'limit_price': 50000.0})
        
        assert algo.cancel_order.called
        assert algo._metrics['entries_aborted'] == 1
        assert 'order1' not in algo._pending_entries


class TestSmartExecAlgorithmFeeTracking:
    """Tests for fee and slippage tracking."""
    
    def test_fee_calculation_maker(self):
        """Test maker fee calculation (0.02%)."""
        algo = SmartExecAlgorithmForTesting({
            'maker_fee_rate': 0.0002,
            'taker_fee_rate': 0.0005,
        })
        
        # $50000 notional
        fee = algo._calculate_fee(50000.0, 'maker')
        assert fee == 10.0  # 50000 * 0.0002
        
    def test_fee_calculation_taker(self):
        """Test taker fee calculation (0.05%)."""
        algo = SmartExecAlgorithmForTesting({
            'maker_fee_rate': 0.0002,
            'taker_fee_rate': 0.0005,
        })
        
        fee = algo._calculate_fee(50000.0, 'taker')
        assert fee == 25.0  # 50000 * 0.0005
        
    def test_slippage_calculation(self):
        """Test slippage calculation in basis points."""
        algo = SmartExecAlgorithmForTesting({})
        
        # BUY: expected 50000, got 50050 (10bps worse)
        slippage = algo._calculate_slippage_bps(50000.0, 50050.0, OrderSide.BUY)
        assert slippage == 10.0
        
        # SELL: expected 50000, got 49950 (10bps worse)
        slippage = algo._calculate_slippage_bps(50000.0, 49950.0, OrderSide.SELL)
        assert slippage == 10.0
        
    def test_get_metrics_summary(self):
        """Test metrics summary generation."""
        algo = SmartExecAlgorithmForTesting({})
        
        # Add some metrics
        algo._metrics['entries_maker'] = 8
        algo._metrics['entries_taker'] = 2
        algo._metrics['total_fees'] = 100.0
        algo._metrics['fill_count'] = 10
        
        summary = algo.get_metrics_summary()
        
        assert summary['entries']['total'] == 10
        assert summary['entries']['maker_pct'] == 80.0
        assert summary['fees']['total'] == 100.0
        
    def test_reset_metrics(self):
        """Test metrics reset functionality."""
        algo = SmartExecAlgorithmForTesting({})
        
        # Add some metrics
        algo._metrics['entries_maker'] = 5
        algo._metrics['total_fees'] = 50.0
        
        algo.reset_metrics()
        
        assert algo._metrics['entries_maker'] == 0
        assert algo._metrics['total_fees'] == 0.0


class TestSmartExecAlgorithmIntegration:
    """Integration tests for fee tracking with fills."""
    
    def test_entry_fill_tracked_correctly(self):
        """Test that entry fills are tracked with correct fee calculation."""
        algo = SmartExecAlgorithmForTesting({
            'maker_fee_rate': 0.0002,
        })
        
        order = Mock()
        order.side = OrderSide.BUY
        order.tags = {'type': 'entry', 'expected_price': 50000.0}
        
        # Fill at expected price (no slippage)
        algo._record_fill(order, 50000.0, 1.0, 'maker')
        
        assert algo._metrics['entries_maker'] == 1
        assert algo._metrics['total_fees'] == 10.0  # 50000 * 0.0002
        assert algo._metrics['fill_count'] == 1
        
    def test_exit_fill_tracked_correctly(self):
        """Test that exit fills are tracked separately."""
        algo = SmartExecAlgorithmForTesting({
            'maker_fee_rate': 0.0002,
        })
        
        order = Mock()
        order.side = OrderSide.SELL
        order.tags = {'type': 'exit'}
        
        algo._record_fill(order, 51000.0, 1.0, 'maker')
        
        assert algo._metrics['exits_maker'] == 1
        assert algo._metrics['entries_maker'] == 0  # Entry not counted