67 lines
2.8 KiB
Python
67 lines
2.8 KiB
Python
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"""
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Unit tests: CMA parameter codec roundtrip.
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"""
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import pytest
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from malkhut.training.cma_trainer import CMAParameterCodec
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from malkhut.state import FulfilmentPolicyParams
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def _baseline() -> FulfilmentPolicyParams:
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return FulfilmentPolicyParams(
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version="baseline", ucb_c=1.414, max_sims=256, max_depth=3,
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rollout_depth=3, root_temperature=0.5, min_root_entropy=0.25,
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quote_offsets_ticks=(0, 1, 2), quote_size_fractions=(0.10, 0.25, 0.50),
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passive_ttl_ms=200, aggressive_ttl_ms=50,
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maker_edge_min_bps=0.5, cross_spread_edge_min_bps=5.0,
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adverse_toxicity_cancel_threshold=0.5, queue_churn_cancel_threshold=0.5,
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mae_tail_cut_bps=50.0, mfe_giveback_cut_fraction=0.5,
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max_time_in_loss_s=300.0, failed_recovery_cut_count=3,
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recovery_velocity_min_bps_per_s=0.0,
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max_symbol_notional_fraction=0.20, max_single_order_notional_fraction=0.05,
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reduce_when_global_up_fraction=0.30, session_profit_lock_fraction=0.02,
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w_expected_pnl=1.0, w_fill_probability=0.5, w_adverse_selection=2.0,
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w_queue_priority=0.5, w_inventory_risk=1.5, w_tail_loss=5.0,
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w_fee_quality=0.5, w_time_decay=0.3, w_policy_entropy=0.5,
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robust_tail_weight=2.0, toxic_counterparty_weight=3.0,
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low_liquidity_weight=2.0, latency_stress_weight=1.0,
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)
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class TestCMAParameterCodec:
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def test_initial_vector_length(self):
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codec = CMAParameterCodec()
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x0 = codec.initial_vector(_baseline())
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assert len(x0) == len(codec.SPECS)
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def test_bounds_length(self):
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codec = CMAParameterCodec()
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lows, highs = codec.bounds()
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assert len(lows) == len(codec.SPECS)
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assert len(highs) == len(codec.SPECS)
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assert all(l <= h for l, h in zip(lows, highs))
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def test_decode_midpoint(self):
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codec = CMAParameterCodec()
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x0 = codec.initial_vector(_baseline())
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params = codec.decode(x0, version="mid_test")
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assert isinstance(params, FulfilmentPolicyParams)
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assert params.version == "mid_test"
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assert 0.2 <= params.ucb_c <= 3.0
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def test_decode_clips_to_bounds(self):
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codec = CMAParameterCodec()
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lows, highs = codec.bounds()
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x_over = [h + 1.0 for h in highs]
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params = codec.decode(x_over, version="over")
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for i, spec in enumerate(codec.SPECS):
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val = getattr(params, spec.name)
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assert spec.low <= val <= spec.high or isinstance(val, int)
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def test_decode_int_fields_are_integers(self):
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codec = CMAParameterCodec()
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x0 = codec.initial_vector(_baseline())
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params = codec.decode(x0, version="int_test")
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assert isinstance(params.max_depth, int)
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assert isinstance(params.passive_ttl_ms, int)
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assert isinstance(params.failed_recovery_cut_count, int)
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