""" Property-based tests using Hypothesis. Invariant tests: - CWM always produces valid states - Planner always returns probability distribution summing to 1 - Codec always produces valid params - Risk gate always returns valid decisions """ import hypothesis from hypothesis import given, strategies as st, assume, settings import math import pytest from malkhut.state import ( AccountState, FulfilmentPolicyParams, MarketWorldState, Mode, OrderBookState, PriceLevel, VenueRules, ) from malkhut.cwm.core import MinimalCryptoLOBCWM, materialize_price_from_action from malkhut.actions import ActionKind, FulfilmentAction, OrderType, Side from malkhut.training.cma_trainer import CMAParameterCodec from malkhut.planner.sm_mcts import DecoupledUCBPlanner from malkhut.counterparties import default_counterparty_ecology def _venue(): 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 _book(bid_price, ask_price): assume(bid_price < ask_price) assume(bid_price > 0) return OrderBookState( ts_ns=1_000_000_000, symbol="BTCUSDT", bids=(PriceLevel(bid_price, 1.0),), asks=(PriceLevel(ask_price, 1.0),), ) def _params(): return FulfilmentPolicyParams( version="hypo", ucb_c=1.414, max_sims=32, max_depth=2, rollout_depth=1, 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 TestCWMProperties: @settings(max_examples=50, deadline=None) @given(bid=st.floats(min_value=1.0, max_value=100000.0), ask=st.floats(min_value=1.0, max_value=100000.0)) def test_transition_never_crashes(self, bid, ask): assume(bid < ask) cwm = MinimalCryptoLOBCWM() book = _book(bid, ask) s = MarketWorldState( ts_ns=1_000_000_000, mode=Mode.REPLAY_NO_IMPACT, venue=_venue(), book=book, account=AccountState(ts_ns=1, equity=10000.0, wallet_balance=10000.0, available_balance=10000.0, margin_used=0.0, total_notional=0.0), ) a = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0) r = cwm.transition(s, (a,)) assert r.ts_ns >= s.ts_ns assert r.account.equity >= 0 @settings(max_examples=50, deadline=None) @given(bid=st.floats(min_value=100.0, max_value=100000.0), ask=st.floats(min_value=100.0, max_value=100000.0)) def test_book_invariants(self, bid, ask): assume(bid < ask) book = _book(bid, ask) assert book.best_bid == bid assert book.best_ask == ask assert book.spread == ask - bid assert book.spread_bps > 0 assert book.mid == (bid + ask) / 2 @settings(max_examples=50, deadline=None) @given(bid=st.floats(min_value=100.0, max_value=100000.0), ask=st.floats(min_value=100.0, max_value=100000.0), offset=st.integers(min_value=0, max_value=20)) def test_price_materialization_bounded(self, bid, ask, offset): assume(bid < ask) book = _book(bid, ask) s = MarketWorldState( ts_ns=1, mode=Mode.REPLAY_NO_IMPACT, venue=_venue(), book=book, account=AccountState(ts_ns=1, equity=10000.0, wallet_balance=10000.0, available_balance=10000.0, margin_used=0.0, total_notional=0.0), ) a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT, offset, 0.1, 200) price = materialize_price_from_action(s, a) assert price is not None assert price <= book.best_bid # buy offset should be <= best bid class TestCodecProperties: def test_decode_always_returns_valid_params(self): codec = CMAParameterCodec() import random for _ in range(50): lows, highs = codec.bounds() x = [random.uniform(lo, hi) for lo, hi in zip(lows, highs)] p = codec.decode(x, f"rand_{_}") assert isinstance(p, FulfilmentPolicyParams) assert p.version.startswith("rand_") def test_decode_bounds_respected(self): codec = CMAParameterCodec() lows, highs = codec.bounds() import random for _ in range(50): x = [random.uniform(lo, hi) for lo, hi in zip(lows, highs)] p = codec.decode(x, "b") for spec in codec.SPECS: val = getattr(p, spec.name) if spec.kind == "float": assert spec.low - 1e-9 <= val <= spec.high + 1e-9 class TestPlannerProperties: @settings(max_examples=30, deadline=None) @given(seed=st.integers(min_value=0, max_value=2**31)) def test_planner_always_returns_valid_distribution(self, seed): from malkhut.state import ExecutionIntent, IntentKind cwm = MinimalCryptoLOBCWM() intent = ExecutionIntent( intent_id="h", ts_ns=1_000_000_000, symbol="BTCUSDT", kind=IntentKind.ENTER_LONG, target_qty=0.01, max_notional=500.0, urgency=0.5, alpha_horizon_s=60.0, alpha_bps=2.0, max_slippage_bps=5.0, prefer_maker=True, reduce_only=False, ttl_s=300.0, reason="hypo", ) s = MarketWorldState( ts_ns=1_000_000_000, mode=Mode.REPLAY_NO_IMPACT, venue=_venue(), book=_book(50000.0, 50001.0), account=AccountState(ts_ns=1, equity=10000.0, wallet_balance=10000.0, available_balance=10000.0, margin_used=0.0, total_notional=0.0), intent=intent, ) planner = DecoupledUCBPlanner( cwm=cwm, counterparties=default_counterparty_ecology(), rng_seed=seed, ) result = planner.plan(root_state=s, params=_params(), budget_ms=10) total = sum(result.probabilities) assert abs(total - 1.0) < 1e-6 assert all(p >= 0 for p in result.probabilities)