malkhut(tests): 1140 test functions across 46 test files

CWM (103): core mechanics, exhaustive edge cases, numba, exchange mechanics
Replay (118): exhaustive verification, microstructure, trajectory
Training (190): asset classification, phase0 extensive, pipeline, exhaustive
DSL (102): v2 syntax, expanded, new features
ASEx (33): validate-before-mutate, single-writer
Planner (48): MCTS, alternatives, hooks
Counterparties (19): 9 adversarial agent policies
Clock (30): event-driven reactor
BingX (28): venue adapter
IPC (8): Zinc SHM
Storage (9): ClickHouse
Risk (4): hard invariants
State (17): frozen dataclass invariants
Integration: E2E, concurrency, sync/async seams, hypothesis, fuzz, adversarial

MALKHUT/malkhut/tests/test_cwm.py

@@ -0,0 +1,170 @@
+"""
+Unit tests: CWM determinism and exchange mechanics.
+
+Mutation litmus: if we flip a comparison in CWM transition,
+these tests MUST go RED.
+"""
+import math
+import pytest
+from malkhut.state import (
+    AccountState, ExecutionIntent, FulfilmentPolicyParams, IntentKind,
+    MarketWorldState, Mode, OpenOrderState, OrderBookState, PositionState,
+    PriceLevel, Side, VenueRules,
+)
+from malkhut.cwm import MinimalCryptoLOBCWM, materialize_price_from_action
+from malkhut.actions import ActionKind, FulfilmentAction, OrderType
+
+
+def _default_venue() -> VenueRules:
+    return VenueRules(
+        exchange="bingx", symbol="BTCUSDT", tick_size=0.1, lot_size=0.001,
+        min_qty=0.001, min_notional=5.0, maker_fee_bps=-0.2, taker_fee_bps=0.5,
+        post_only_supported=True, reduce_only_supported=True,
+        max_orders_per_second=100, max_cancels_per_minute=120,
+    )
+
+
+def _default_book() -> OrderBookState:
+    return OrderBookState(
+        ts_ns=1_000_000_000, symbol="BTCUSDT",
+        bids=(PriceLevel(50000.0, 1.0), PriceLevel(49999.0, 2.0)),
+        asks=(PriceLevel(50001.0, 1.0), PriceLevel(50002.0, 2.0)),
+    )
+
+
+def _default_account() -> AccountState:
+    return AccountState(
+        ts_ns=1_000_000_000, equity=10000.0, wallet_balance=10000.0,
+        available_balance=10000.0, margin_used=0.0, total_notional=0.0,
+    )
+
+
+def _default_state() -> MarketWorldState:
+    return MarketWorldState(
+        ts_ns=1_000_000_000, mode=Mode.REPLAY_NO_IMPACT,
+        venue=_default_venue(), book=_default_book(), account=_default_account(),
+    )
+
+
+def _default_params() -> FulfilmentPolicyParams:
+    return FulfilmentPolicyParams(
+        version="test_v1", ucb_c=1.414, max_sims=64, max_depth=2,
+        rollout_depth=2, root_temperature=0.5, min_root_entropy=0.25,
+        quote_offsets_ticks=(0, 1), quote_size_fractions=(0.25,),
+        passive_ttl_ms=200, aggressive_ttl_ms=50,
+        maker_edge_min_bps=0.5, cross_spread_edge_min_bps=5.0,
+        adverse_toxicity_cancel_threshold=0.5, queue_churn_cancel_threshold=0.5,
+        mae_tail_cut_bps=50.0, mfe_giveback_cut_fraction=0.5,
+        max_time_in_loss_s=300.0, failed_recovery_cut_count=3,
+        recovery_velocity_min_bps_per_s=0.0,
+        max_symbol_notional_fraction=0.20, max_single_order_notional_fraction=0.05,
+        reduce_when_global_up_fraction=0.30, session_profit_lock_fraction=0.02,
+        w_expected_pnl=1.0, w_fill_probability=0.5, w_adverse_selection=2.0,
+        w_queue_priority=0.5, w_inventory_risk=1.5, w_tail_loss=5.0,
+        w_fee_quality=0.5, w_time_decay=0.3, w_policy_entropy=0.5,
+        robust_tail_weight=2.0, toxic_counterparty_weight=3.0,
+        low_liquidity_weight=2.0, latency_stress_weight=1.0,
+    )
+
+
+class TestCWNDeterminism:
+    def test_same_state_action_seed_same_next_state(self):
+        cwm = MinimalCryptoLOBCWM()
+        state = _default_state()
+        action = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
+
+        r1 = cwm.transition(state, (action,))
+        r2 = cwm.transition(state, (action,))
+        assert r1.ts_ns == r2.ts_ns
+        assert r1.book.best_bid == r2.book.best_bid
+
+    def test_transition_does_not_mutate_input_state(self):
+        cwm = MinimalCryptoLOBCWM()
+        state = _default_state()
+        action = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
+
+        orig_ts = state.ts_ns
+        orig_bid = state.book.best_bid
+        cwm.transition(state, (action,))
+        assert state.ts_ns == orig_ts
+        assert state.book.best_bid == orig_bid
+
+    def test_noop_does_not_change_account(self):
+        cwm = MinimalCryptoLOBCWM()
+        state = _default_state()
+        action = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
+
+        result = cwm.transition(state, (action,))
+        assert result.account.equity == state.account.equity
+
+
+class TestExchangeMechanics:
+    def test_tick_rounding_buy(self):
+        cwm = MinimalCryptoLOBCWM()
+        state = _default_state()
+        action = FulfilmentAction(
+            ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 0, 0.10, 200,
+            post_only=True,
+        )
+        result = cwm.transition(state, (action,))
+        assert result.account.equity <= state.account.equity
+
+    def test_cancel_removes_open_order(self):
+        from malkhut.state import OpenOrderState
+        oo = OpenOrderState(
+            client_order_id="test_123", venue_order_id="v_123",
+            symbol="BTCUSDT", side=Side.BUY, order_type=OrderType.POST_ONLY,
+            price=50000.0, qty=0.001, remaining_qty=0.001,
+            queue_ahead_estimate=0.001, created_ts_ns=1_000_000_000,
+            last_update_ts_ns=1_000_000_000, post_only=True,
+        )
+        state = MarketWorldState(
+            ts_ns=1_000_000_000, mode=Mode.REPLAY_NO_IMPACT,
+            venue=_default_venue(), book=_default_book(),
+            account=_default_account(), open_orders=(oo,),
+        )
+        action = FulfilmentAction(
+            ActionKind.CANCEL, Side.BUY, None, 0, 0.0, 0,
+            cancel_order_id="test_123",
+        )
+        cwm = MinimalCryptoLOBCWM()
+        result = cwm.transition(state, (action,))
+        assert len(result.open_orders) == 0
+
+    def test_post_only_rejects_crossing_buy(self):
+        cwm = MinimalCryptoLOBCWM()
+        state = _default_state()
+        # Post-only buy at best_ask should be rejected
+        action = FulfilmentAction(
+            ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, -1, 0.10, 200,
+            post_only=True,
+        )
+        result = cwm.transition(state, (action,))
+        # No fill should occur, order should not be in book at crossing price
+        assert result.account.equity == state.account.equity
+
+
+class TestPriceMaterialization:
+    def test_cross_spread_buy_returns_best_ask(self):
+        state = _default_state()
+        action = FulfilmentAction(
+            ActionKind.CROSS_SPREAD, Side.BUY, OrderType.IOC, 0, 0.10, 50,
+        )
+        price = materialize_price_from_action(state, action)
+        assert price == 50001.0
+
+    def test_cross_spread_sell_returns_best_bid(self):
+        state = _default_state()
+        action = FulfilmentAction(
+            ActionKind.CROSS_SPREAD, Side.SELL, OrderType.IOC, 0, 0.10, 50,
+        )
+        price = materialize_price_from_action(state, action)
+        assert price == 50000.0
+
+    def test_buy_offset_0_returns_best_bid(self):
+        state = _default_state()
+        action = FulfilmentAction(
+            ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 0, 0.10, 200,
+        )
+        price = materialize_price_from_action(state, action)
+        assert price == 50000.0