158 lines
7.0 KiB
Python
158 lines
7.0 KiB
Python
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"""Friction telemetry tests (§12). Each asserts a business invariant, not execution.
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Two are load-bearing and mutation-annotated: the BingX commission SIGN and the side-lane
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NEVER-RAISES law (b46ebd2).
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Run: /home/dolphin/siloqy_env/bin/python3 -m pytest prod/exec_unified/test_friction.py -q
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"""
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from __future__ import annotations
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from decimal import Decimal
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import pytest
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from prod.exec_unified.contract import Side, UrgencyClass
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from prod.exec_unified.friction import (
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MAKER_FEE_BPS,
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TAKER_FEE_BPS,
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FrictionJournal,
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FrictionRecord,
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adverse_slippage_bps,
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effective_friction_bps,
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fee_bps,
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fee_cost_from_commission,
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naive_baseline_bps,
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savings_vs_naive_bps,
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)
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# ── the commission SIGN (the omp headstone) ──────────────────────────────────
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def test_negative_commission_is_a_cost_not_a_rebate():
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# BingX: negative commission = DEBIT. omp read this as a rebate and was wrong.
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# Mutation: `return commission` -> this goes RED.
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assert fee_cost_from_commission(Decimal("-0.013")) == Decimal("0.013") # cost, positive
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def test_positive_commission_is_a_rebate_negative_cost():
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assert fee_cost_from_commission(Decimal("0.005")) == Decimal("-0.005") # earned, negative cost
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# ── adverse slippage: the side flip is the point ─────────────────────────────
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def test_buy_above_guideline_is_adverse_sell_is_improvement():
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# same raw +0.1% delta: a cost to the buyer, a gift to the seller.
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buy = adverse_slippage_bps(Decimal("100"), Decimal("100.1"), Side.BUY)
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sell = adverse_slippage_bps(Decimal("100"), Decimal("100.1"), Side.SELL)
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assert buy == Decimal("10") # +10 bps adverse
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assert sell == Decimal("-10") # −10 bps = price improvement
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# Mutation: drop the side_sign flip -> sell would read +10 and this fails.
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def test_buy_below_guideline_is_price_improvement():
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assert adverse_slippage_bps(Decimal("100"), Decimal("99.9"), Side.BUY) == Decimal("-10")
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def test_slippage_rejects_nonpositive_reference():
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with pytest.raises(ValueError):
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adverse_slippage_bps(Decimal("0"), Decimal("1"), Side.BUY)
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# ── fee bps ──────────────────────────────────────────────────────────────────
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def test_fee_bps_of_notional():
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# 0.02 quote cost on 100 notional = 2 bps (the measured maker rate shape).
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assert fee_bps(Decimal("0.02"), Decimal("100")) == Decimal("2")
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def test_fee_bps_rejects_nonpositive_notional():
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with pytest.raises(ValueError):
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fee_bps(Decimal("1"), Decimal("0"))
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# ── effective friction = slippage + fee ──────────────────────────────────────
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def test_effective_friction_sums_slippage_and_fee():
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# BUY 1 unit, guideline 100, fill 100.1 (+10 bps), fee 0.020021 on 100.1 notional (~2 bps).
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eff = effective_friction_bps(Decimal("100"), Decimal("100.1"), Side.BUY,
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fee_cost=Decimal("0.020020"), size=Decimal("1"))
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# 10 bps slippage + ~2 bps fee ≈ 12 bps
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assert Decimal("11.9") < eff < Decimal("12.1")
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# ── naive baseline + savings: the before/after ───────────────────────────────
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def test_naive_baseline_crosses_spread_plus_taker():
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# BUY guideline 100, touch (ask) 100.05 -> 5 bps cross + 5.016 taker = ~10.016 bps.
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base = naive_baseline_bps(Decimal("100"), Decimal("100.05"), Side.BUY)
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assert base == Decimal("5") + TAKER_FEE_BPS
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def test_savings_positive_when_smart_beats_naive():
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assert savings_vs_naive_bps(Decimal("4"), Decimal("10")) == Decimal("6") # saved 6 bps
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assert savings_vs_naive_bps(Decimal("12"), Decimal("10")) == Decimal("-2") # worse than naive
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def test_maker_rate_is_cheaper_than_taker():
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assert MAKER_FEE_BPS < TAKER_FEE_BPS # the whole reason T1 exists
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# ── record derives its own bps ───────────────────────────────────────────────
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def _rec(**kw):
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base = dict(request_id="r", asset="BTCUSDT", side=Side.BUY, urgency=UrgencyClass.ACQUIRE,
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maker=True, guideline_px=Decimal("100"), placed_px=Decimal("100"),
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fill_px=Decimal("100"), touch_px=Decimal("100.05"), size=Decimal("1"),
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fee_cost=Decimal("0.02"))
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base.update(kw)
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return FrictionRecord(**base)
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def test_record_maker_fill_at_guideline_beats_naive():
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# maker filled exactly at guideline (0 slippage) paying 2 bps fee vs naive 5bps cross+5bps taker.
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r = _rec()
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assert r.effective_bps() == Decimal("2") # 0 slippage + 2 bps fee
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assert r.savings_bps() > Decimal("7") # naive ~10.016 − 2 = ~8 bps saved
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# ── THE side-lane law: telemetry NEVER raises on the exec path (b46ebd2) ──────
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def test_record_swallows_a_failing_sink():
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def boom(_):
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raise RuntimeError("clickhouse down")
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j = FrictionJournal(sink=boom)
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j.record(_rec()) # must NOT raise — a dead sink loses a row, never an order.
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# Mutation: remove the try/except in record() -> this raises and goes RED.
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assert len(j.rows()) == 1 # retained locally even though the sink failed
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def test_record_forwards_to_sink_when_healthy():
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seen = []
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j = FrictionJournal(sink=seen.append)
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j.record(_rec(request_id="a"))
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assert len(seen) == 1 and seen[0].request_id == "a"
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# ── aggregates: the §15 rung delta ───────────────────────────────────────────
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def test_friction_and_savings_by_urgency():
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j = FrictionJournal()
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j.record(_rec(request_id="a", urgency=UrgencyClass.ACQUIRE, fill_px=Decimal("100"))) # 2 bps
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j.record(_rec(request_id="b", urgency=UrgencyClass.ACQUIRE, fill_px=Decimal("100.1"),
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fee_cost=Decimal("0.02"))) # ~12 bps
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j.record(_rec(request_id="c", urgency=UrgencyClass.PROTECT, fill_px=Decimal("100"))) # 2 bps
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fr = j.friction_by_urgency()
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assert UrgencyClass.ACQUIRE in fr and UrgencyClass.PROTECT in fr
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assert fr[UrgencyClass.PROTECT] == Decimal("2")
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assert Decimal("6") < fr[UrgencyClass.ACQUIRE] < Decimal("8") # mean of ~2 and ~12
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sv = j.savings_by_urgency()
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assert sv[UrgencyClass.PROTECT] > 0 # maker@guideline beats naive
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def test_aggregate_skips_unbucketable_rows_without_dying():
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# a row with a poison reference px must not kill the whole aggregate (side-lane).
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j = FrictionJournal()
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j.record(_rec(request_id="ok"))
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j.record(_rec(request_id="bad", guideline_px=Decimal("0"))) # effective_bps() will raise
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fr = j.friction_by_urgency() # must still return the good one
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assert fr[UrgencyClass.ACQUIRE] == Decimal("2")
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