209 lines
8.8 KiB
Python
209 lines
8.8 KiB
Python
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"""
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Path risk / trade path state — SL/TP path-aware logic.
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Tests that the CWM reward and risk functions correctly respond to
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various trade path states (MAE, MFE, recovery velocity, failed recovery).
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"""
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import math
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import pytest
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from malkhut.state import (
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AccountState, FulfilmentPolicyParams, IntentKind, MarketWorldState,
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Mode, OrderBookState, PriceLevel, Side, TradePathState, VenueRules,
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)
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from malkhut.cwm.core import MinimalCryptoLOBCWM
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def _params(**kw):
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d = dict(
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version="test", ucb_c=1.414, max_sims=64, max_depth=2,
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rollout_depth=2, root_temperature=0.5, min_root_entropy=0.25,
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quote_offsets_ticks=(0, 1), quote_size_fractions=(0.25,),
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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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d.update(kw)
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return FulfilmentPolicyParams(**d)
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def _path(**kw):
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d = dict(
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symbol="BTCUSDT", side=Side.BUY, entry_ts_ns=0, now_ts_ns=100_000_000,
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bars_held=10, seconds_held=100.0, pnl_bps=0.0, mae_bps=-10.0,
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mfe_bps=15.0, distance_from_mfe_bps=15.0, distance_from_entry_bps=0.0,
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time_to_mfe_s=30.0, time_in_loss_s=50.0, time_in_profit_s=50.0,
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time_since_last_profit_s=10.0, time_since_deep_mae_s=20.0,
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loss_to_profit_transitions=1, deep_loss_recoveries=0,
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failed_recovery_count=0, recovery_velocity_bps_per_s=1.0,
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adverse_velocity_bps_per_s=-0.5,
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dolphin_regime_score=0.5, jericho_signal_strength=0.3,
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volatility_bps=15.0, orderflow_toxicity=0.3,
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queue_churn_score=0.2, book_imbalance=0.1, cross_venue_lead_score=0.1,
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)
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d.update(kw)
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return TradePathState(**d)
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def _state(**kw):
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book = OrderBookState(
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ts_ns=1_000_000_000, symbol="BTCUSDT",
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bids=(PriceLevel(50000.0, 1.0),), asks=(PriceLevel(50001.0, 1.0),),
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)
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return MarketWorldState(
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ts_ns=1_000_000_000, mode=Mode.REPLAY_NO_IMPACT,
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venue=VenueRules(
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exchange="bingx", symbol="BTCUSDT", tick_size=0.1, lot_size=0.001,
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min_qty=0.001, min_notional=5.0, maker_fee_bps=-0.2, taker_fee_bps=0.5,
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post_only_supported=True, reduce_only_supported=True,
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max_orders_per_second=100, max_cancels_per_minute=120,
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),
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book=book,
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account=kw.get("account", AccountState(
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ts_ns=1_000_000_000, equity=10000.0, wallet_balance=10000.0,
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available_balance=10000.0, margin_used=0.0, total_notional=0.0,
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)),
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trade_path=kw.get("trade_path"),
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)
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class TestPathRiskExitDecision:
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def test_no_exit_when_no_path(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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s = _state()
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assert not _path_risk_says_exit(s, _params())
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def test_exit_when_mae_exceeds_threshold(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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path = _path(mae_bps=-60.0, recovery_velocity_bps_per_s=-2.0)
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s = _state(trade_path=path)
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assert _path_risk_says_exit(s, _params(mae_tail_cut_bps=50.0))
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def test_no_exit_when_mae_below_threshold(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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# mae=30 < threshold=50, time_in_loss=50 < 300, failed_recovery=0 < 3
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# mfe=15, distance=3 => giveback=3/15=0.2 < 0.5
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path = _path(mae_bps=-30.0, distance_from_mfe_bps=3.0)
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s = _state(trade_path=path)
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assert not _path_risk_says_exit(s, _params(mae_tail_cut_bps=50.0))
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def test_exit_when_time_in_loss_exceeds(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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path = _path(time_in_loss_s=400.0)
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s = _state(trade_path=path)
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assert _path_risk_says_exit(s, _params(max_time_in_loss_s=300.0))
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def test_exit_when_failed_recovery_count_exceeds(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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path = _path(failed_recovery_count=5)
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s = _state(trade_path=path)
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assert _path_risk_says_exit(s, _params(failed_recovery_cut_count=3))
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def test_exit_on_mfe_giveback(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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# mfe=10, distance_from_mfe=8 => giveback = 8/10 = 0.8 > 0.5
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path = _path(mfe_bps=10.0, distance_from_mfe_bps=8.0)
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s = _state(trade_path=path)
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assert _path_risk_says_exit(s, _params(mfe_giveback_cut_fraction=0.5))
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def test_no_exit_when_mfe_giveback_below_threshold(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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# mfe=10, distance_from_mfe=3 => giveback = 3/10 = 0.3 < 0.5
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path = _path(mfe_bps=10.0, distance_from_mfe_bps=3.0)
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s = _state(trade_path=path)
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assert not _path_risk_says_exit(s, _params(mfe_giveback_cut_fraction=0.5))
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def test_exit_when_both_mae_and_slow_recovery(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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path = _path(mae_bps=-60.0, recovery_velocity_bps_per_s=-3.0)
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s = _state(trade_path=path)
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assert _path_risk_says_exit(s, _params(mae_tail_cut_bps=50.0, recovery_velocity_min_bps_per_s=0.0))
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def test_no_exit_when_mae_high_but_recovery_fast(self):
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from malkhut.planner.action_menu import _path_risk_says_exit
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# mae=60 > threshold=50, but recovery_velocity=5.0 > min=0.0 → no MAE exit
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# time_in_loss=50 < 300, failed_recovery=0 < 3
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# mfe=15, distance=3 => giveback=0.2 < 0.5
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path = _path(mae_bps=-60.0, recovery_velocity_bps_per_s=5.0,
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distance_from_mfe_bps=3.0)
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s = _state(trade_path=path)
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assert not _path_risk_says_exit(s, _params(mae_tail_cut_bps=50.0, recovery_velocity_min_bps_per_s=0.0))
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class TestPathRiskProxy:
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def test_zero_when_no_path(self):
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cwm = MinimalCryptoLOBCWM()
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s = _state()
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assert cwm._tail_risk_proxy(s) == 0.0
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def test_increases_with_mae(self):
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cwm = MinimalCryptoLOBCWM()
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p1 = _path(mae_bps=-10.0)
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p2 = _path(mae_bps=-50.0)
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r1 = cwm._tail_risk_proxy(_state(trade_path=p1))
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r2 = cwm._tail_risk_proxy(_state(trade_path=p2))
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assert r2 > r1
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def test_increases_with_time_in_loss(self):
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cwm = MinimalCryptoLOBCWM()
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p1 = _path(time_in_loss_s=10.0)
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p2 = _path(time_in_loss_s=100.0)
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r1 = cwm._tail_risk_proxy(_state(trade_path=p1))
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r2 = cwm._tail_risk_proxy(_state(trade_path=p2))
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assert r2 > r1
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def test_increases_with_failed_recovery(self):
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cwm = MinimalCryptoLOBCWM()
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p1 = _path(failed_recovery_count=0)
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p2 = _path(failed_recovery_count=3)
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r1 = cwm._tail_risk_proxy(_state(trade_path=p1))
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r2 = cwm._tail_risk_proxy(_state(trade_path=p2))
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assert r2 > r1
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class TestInventoryRisk:
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def test_zero_when_no_position(self):
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cwm = MinimalCryptoLOBCWM()
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s = _state()
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assert cwm._inventory_risk(s) == 0.0
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def test_positive_when_position_exists(self):
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from malkhut.state import PositionState, AccountState
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cwm = MinimalCryptoLOBCWM()
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pos = PositionState(
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symbol="BTCUSDT", qty=0.1, avg_entry=50000.0,
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unrealized_pnl=0.0, realized_pnl=0.0,
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liquidation_price=None, leverage=0.5, side=Side.BUY,
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)
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s = _state(account=AccountState(
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ts_ns=1_000_000_000, equity=10000.0, wallet_balance=10000.0,
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available_balance=10000.0, margin_used=0.0, total_notional=5000.0,
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positions={"BTCUSDT": pos},
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))
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risk = cwm._inventory_risk(s)
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assert risk > 0
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class TestRewardPathSensitivity:
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def test_higher_w_tail_loss_more_penalty_for_deep_mae(self):
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cwm = MinimalCryptoLOBCWM()
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path = _path(mae_bps=-40.0, failed_recovery_count=2)
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s = _state(trade_path=path)
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from malkhut.actions import FulfilmentAction, ActionKind
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a = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
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r = cwm.transition(s, (a,))
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p1 = _params(w_tail_loss=1.0)
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p2 = _params(w_tail_loss=10.0)
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# reward = 0 - tail_risk * w_tail_loss - ...
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# Higher w_tail_loss should produce more negative reward
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assert cwm.reward(s, a, r, p2) < cwm.reward(s, a, r, p1)
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