01c19662cb
Includes core prod + GREEN/BLUE subsystems: - prod/ (BLUE harness, configs, scripts, docs) - nautilus_dolphin/ (GREEN Nautilus-native impl + dvae/ preserved) - adaptive_exit/ (AEM engine + models/bucket_assignments.pkl) - Observability/ (EsoF advisor, TUI, dashboards) - external_factors/ (EsoF producer) - mc_forewarning_qlabs_fork/ (MC regime/envelope) Excludes runtime caches, logs, backups, and reproducible artifacts per .gitignore.
213 lines
7.1 KiB
Python
Executable File
213 lines
7.1 KiB
Python
Executable File
"""Tests for MetricsMonitor."""
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import pytest
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from datetime import datetime
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from unittest.mock import Mock
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from nautilus_dolphin.nautilus.metrics_monitor import (
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MetricsMonitor,
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ThresholdConfig,
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Alert
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)
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class TestMetricsMonitor:
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def test_record_fill_updates_counters(self):
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"""Test fill recording updates maker/taker counters."""
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monitor = MetricsMonitor()
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monitor.record_fill('maker', 0.5)
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monitor.record_fill('maker', 0.3)
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monitor.record_fill('taker', 1.2)
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assert monitor._maker_fills == 2
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assert monitor._taker_fills == 1
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def test_get_maker_fill_rate(self):
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"""Test maker fill rate calculation."""
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monitor = MetricsMonitor()
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# Default when no fills
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assert monitor.get_maker_fill_rate() == 100.0
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# After some fills
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monitor.record_fill('maker', 0.5)
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monitor.record_fill('maker', 0.3)
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monitor.record_fill('taker', 1.2)
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assert monitor.get_maker_fill_rate() == (2/3) * 100
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def test_get_average_slippage(self):
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"""Test average slippage calculation."""
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monitor = MetricsMonitor()
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# Default when no data
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assert monitor.get_average_slippage() == 0.0
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# After fills
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monitor.record_fill('maker', 2.0)
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monitor.record_fill('taker', 4.0)
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monitor.record_fill('maker', 6.0)
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assert monitor.get_average_slippage() == 4.0
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def test_record_trade_result_updates_pnl(self):
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"""Test trade result recording updates P&L."""
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monitor = MetricsMonitor()
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monitor.record_trade_result(100.0)
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monitor.record_trade_result(-50.0)
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monitor.record_trade_result(200.0)
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assert monitor._total_pnl == 250.0
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assert monitor._winning_trades == 2
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assert monitor._total_trades == 3
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def test_get_win_rate(self):
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"""Test win rate calculation."""
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monitor = MetricsMonitor()
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# Default when no trades
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assert monitor.get_win_rate() == 0.0
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monitor.record_trade_result(100.0)
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monitor.record_trade_result(200.0)
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monitor.record_trade_result(-50.0)
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assert monitor.get_win_rate() == (2/3) * 100
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def test_get_profit_factor(self):
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"""Test profit factor calculation."""
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monitor = MetricsMonitor()
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monitor.record_trade_result(100.0)
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monitor.record_trade_result(200.0)
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monitor.record_trade_result(-50.0)
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assert monitor.get_profit_factor() == 300.0 / 50.0
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def test_profit_factor_no_losses(self):
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"""Test profit factor when no losses."""
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monitor = MetricsMonitor()
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monitor.record_trade_result(100.0)
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assert monitor.get_profit_factor() == float('inf')
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def test_alert_on_low_maker_fill_rate(self):
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"""Test alert raised when maker fill rate drops below threshold."""
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config = ThresholdConfig(
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critical_maker_fill_rate=50.0,
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warning_maker_fill_rate=60.0
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)
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monitor = MetricsMonitor(config)
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# Add many taker fills to drop maker rate below threshold
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for _ in range(10):
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monitor.record_fill('taker', 1.0)
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# Check alert was raised
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alerts = [a for a in monitor._alerts if a.metric == 'maker_fill_rate']
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assert len(alerts) > 0
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assert alerts[0].level == 'critical'
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def test_alert_on_high_slippage(self):
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"""Test alert raised when slippage exceeds threshold."""
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config = ThresholdConfig(
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warning_slippage_bps=3.0,
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critical_slippage_bps=5.0
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)
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monitor = MetricsMonitor(config)
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monitor.record_fill('taker', 10.0)
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# Check alert was raised
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alerts = [a for a in monitor._alerts if a.metric == 'slippage']
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assert len(alerts) > 0
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assert alerts[0].level == 'critical'
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def test_alert_deduplication(self):
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"""Test alerts are deduplicated within 5-minute window."""
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config = ThresholdConfig(critical_maker_fill_rate=50.0)
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monitor = MetricsMonitor(config)
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# Add many taker fills
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for _ in range(20):
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monitor.record_fill('taker', 1.0)
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# Should only have 1 alert (deduplicated)
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alerts = [a for a in monitor._alerts if a.metric == 'maker_fill_rate']
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assert len(alerts) == 1
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def test_add_alert_handler(self):
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"""Test custom alert handler registration."""
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monitor = MetricsMonitor()
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handler = Mock()
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monitor.add_alert_handler(handler)
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# Trigger an alert
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config = ThresholdConfig(critical_maker_fill_rate=50.0)
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monitor.config = config
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for _ in range(10):
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monitor.record_fill('taker', 1.0)
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# Handler should have been called
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assert handler.called
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def test_get_metrics_summary(self):
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"""Test metrics summary report."""
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monitor = MetricsMonitor()
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monitor.record_fill('maker', 0.5)
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monitor.record_trade_result(100.0)
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summary = monitor.get_metrics_summary()
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assert 'maker_fill_rate_pct' in summary
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assert 'average_slippage_bps' in summary
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assert 'total_trades' in summary
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assert 'win_rate_pct' in summary
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assert 'profit_factor' in summary
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assert 'total_pnl' in summary
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def test_prometheus_export(self):
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"""Test Prometheus format export."""
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monitor = MetricsMonitor()
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monitor.record_fill('maker', 0.5)
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monitor.record_trade_result(100.0)
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prometheus = monitor.get_prometheus_metrics()
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assert 'dolphin_maker_fill_rate_pct' in prometheus
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assert 'dolphin_slippage_bps' in prometheus
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assert 'dolphin_total_trades' in prometheus
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assert 'dolphin_win_rate_pct' in prometheus
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assert 'dolphin_profit_factor' in prometheus
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assert 'dolphin_total_pnl' in prometheus
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class TestThresholdConfig:
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def test_default_thresholds(self):
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"""Test default threshold configuration."""
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config = ThresholdConfig()
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assert config.min_maker_fill_rate == 48.0
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assert config.max_slippage_bps == 5.0
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assert config.critical_maker_fill_rate == 48.0
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assert config.warning_slippage_bps == 3.0
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def test_custom_thresholds(self):
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"""Test custom threshold configuration."""
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config = ThresholdConfig(
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min_maker_fill_rate=60.0,
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max_slippage_bps=3.0,
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critical_maker_fill_rate=55.0
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)
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assert config.min_maker_fill_rate == 60.0
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assert config.max_slippage_bps == 3.0
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assert config.critical_maker_fill_rate == 55.0
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