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
2026-07-11 10:46:12 +02:00
parent 8af7e3bce8
commit 4c239f7774
46 changed files with 12771 additions and 0 deletions
--- a/MALKHUT/malkhut/tests/test_exchange_mechanics.py
+++ b/MALKHUT/malkhut/tests/test_exchange_mechanics.py
@@ -0,0 +1,221 @@
+"""
+Exchange mechanics — price-time priority, tick/lot rounding, fees,
+partial fills, IOC/FOK, post-only rejection, reduce-only.
+"""
+import pytest
+from malkhut.state import (
+    AccountState, MarketWorldState, Mode, OpenOrderState, OrderBookState,
+    PriceLevel, Side, VenueRules,
+)
+from malkhut.cwm.core import MinimalCryptoLOBCWM
+from malkhut.actions import ActionKind, FulfilmentAction, OrderType
+
+
+def _venue(**kw):
+    d = dict(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)
+    d.update(kw); return VenueRules(**d)
+
+
+def _state(**kw):
+    book = kw.get("book", 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)),
+    ))
+    return MarketWorldState(
+        ts_ns=kw.get("ts", 1_000_000_000), mode=Mode.REPLAY_NO_IMPACT,
+        venue=kw.get("venue", _venue()), book=book,
+        account=kw.get("account", 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,
+        )),
+        open_orders=kw.get("open_orders", ()),
+    )
+
+
+class TestPostOnlyRejection:
+    def test_buy_at_ask_rejected(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        # price = best_bid - (-10)*tick = 50000 + 1.0 = 50001.0 = best_ask
+        a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, -10, 0.1, 200, post_only=True)
+        r = cwm.transition(s, (a,))
+        assert r.account.equity == s.account.equity
+
+    def test_sell_at_bid_rejected(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        # price = best_ask + (-10)*tick = 50001 - 1.0 = 50000.0 = best_bid
+        a = FulfilmentAction(ActionKind.PLACE, Side.SELL, OrderType.POST_ONLY, -10, 0.1, 200, post_only=True)
+        r = cwm.transition(s, (a,))
+        assert r.account.equity == s.account.equity
+
+    def test_buy_inside_spread_accepted(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 0, 0.1, 200, post_only=True)
+        r = cwm.transition(s, (a,))
+        # Should be in open orders (passive placement)
+        assert any(o.side == Side.BUY for o in r.open_orders)
+
+    def test_sell_inside_spread_accepted(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.PLACE, Side.SELL, OrderType.POST_ONLY, 0, 0.1, 200, post_only=True)
+        r = cwm.transition(s, (a,))
+        assert any(o.side == Side.SELL for o in r.open_orders)
+
+
+class TestCrossSpread:
+    def test_cross_buy_fills_at_best_ask(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.CROSS_SPREAD, Side.BUY, OrderType.IOC, 0, 0.1, 50)
+        r = cwm.transition(s, (a,))
+        assert r.account.equity < s.account.equity  # fees paid
+
+    def test_cross_sell_fills_at_best_bid(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.CROSS_SPREAD, Side.SELL, OrderType.IOC, 0, 0.1, 50)
+        r = cwm.transition(s, (a,))
+        assert r.account.equity <= s.account.equity
+
+    def test_cross_spread_taker_fee_applied(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.CROSS_SPREAD, Side.BUY, OrderType.IOC, 0, 0.1, 50)
+        r = cwm.transition(s, (a,))
+        fee = s.venue.taker_fee_bps
+        assert fee > 0
+
+
+class TestCancelOrder:
+    def test_cancel_removes_order(self):
+        oo = OpenOrderState(
+            client_order_id="c1", venue_order_id="v1", 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,
+        )
+        cwm = MinimalCryptoLOBCWM()
+        s = _state(open_orders=(oo,))
+        a = FulfilmentAction(ActionKind.CANCEL, Side.BUY, None, 0, 0.0, 0, cancel_order_id="c1")
+        r = cwm.transition(s, (a,))
+        assert len(r.open_orders) == 0
+
+    def test_cancel_wrong_id_keeps_order(self):
+        oo = OpenOrderState(
+            client_order_id="c1", venue_order_id="v1", 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,
+        )
+        cwm = MinimalCryptoLOBCWM()
+        s = _state(open_orders=(oo,))
+        a = FulfilmentAction(ActionKind.CANCEL, Side.BUY, None, 0, 0.0, 0, cancel_order_id="wrong_id")
+        r = cwm.transition(s, (a,))
+        assert len(r.open_orders) == 1
+
+    def test_cancel_replace_removes_old_adds_new(self):
+        oo = OpenOrderState(
+            client_order_id="c1", venue_order_id="v1", 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,
+        )
+        cwm = MinimalCryptoLOBCWM()
+        s = _state(open_orders=(oo,))
+        a = FulfilmentAction(
+            ActionKind.CANCEL_REPLACE, Side.BUY, OrderType.POST_ONLY, 0, 0.25,
+            200, cancel_order_id="c1", post_only=True,
+        )
+        r = cwm.transition(s, (a,))
+        assert len(r.open_orders) == 1
+        assert r.open_orders[0].client_order_id != "c1"
+
+
+class TestAccountUpdate:
+    def test_buy_increases_position(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.CROSS_SPREAD, Side.BUY, OrderType.IOC, 0, 0.1, 50)
+        r = cwm.transition(s, (a,))
+        pos = r.account.positions.get("BTCUSDT")
+        assert pos is not None
+        assert pos.qty > 0
+
+    def test_sell_decreases_position(self):
+        cwm = MinimalCryptoLOBCWM()
+        # Start with a long position
+        from malkhut.state import PositionState
+        pos = PositionState(
+            symbol="BTCUSDT", qty=0.1, avg_entry=50000.0,
+            unrealized_pnl=0.0, realized_pnl=0.0,
+            liquidation_price=None, leverage=0.5, side=Side.BUY,
+        )
+        s = _state(account=AccountState(
+            ts_ns=1_000_000_000, equity=10000.0, wallet_balance=10000.0,
+            available_balance=10000.0, margin_used=0.0, total_notional=5000.0,
+            positions={"BTCUSDT": pos},
+        ))
+        a = FulfilmentAction(ActionKind.CROSS_SPREAD, Side.SELL, OrderType.IOC, 0, 0.1, 50)
+        r = cwm.transition(s, (a,))
+        new_pos = r.account.positions.get("BTCUSDT")
+        assert new_pos.qty < pos.qty
+
+    def test_fees_reduce_equity(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.CROSS_SPREAD, Side.BUY, OrderType.IOC, 0, 0.1, 50)
+        r = cwm.transition(s, (a,))
+        assert r.account.equity < s.account.equity
+
+    def test_no_position_zero_notional(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = _noop()
+        r = cwm.transition(s, (a,))
+        assert r.account.total_notional == 0.0
+
+    def test_maker_fee_lower_than_taker(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        # Both maker and taker should apply their respective fees
+        a_cross = FulfilmentAction(ActionKind.CROSS_SPREAD, Side.BUY, OrderType.IOC, 0, 0.1, 50)
+        r_cross = cwm.transition(s, (a_cross,))
+        assert s.venue.taker_fee_bps > s.venue.maker_fee_bps
+
+
+class TestPassivePlacement:
+    def test_passive_order_added_to_book(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 1, 0.1, 200, post_only=True)
+        r = cwm.transition(s, (a,))
+        assert len(r.open_orders) == 1
+        assert r.open_orders[0].side == Side.BUY
+
+    def test_passive_order_price_correct(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 1, 0.1, 200, post_only=True)
+        r = cwm.transition(s, (a,))
+        assert r.open_orders[0].price == 49999.9
+
+    def test_passive_order_symbol_matches(self):
+        cwm = MinimalCryptoLOBCWM()
+        s = _state()
+        a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 0, 0.1, 200, post_only=True)
+        r = cwm.transition(s, (a,))
+        assert r.open_orders[0].symbol == "BTCUSDT"
+
+
+def _noop():
+    return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)