""" Adversarial scenario tests. These prove the core thesis: mixed policies survive diverse counterparty ecologies better than pure deterministic quotes. """ import pytest from malkhut.state import ( AccountState, ExecutionIntent, FulfilmentPolicyParams, IntentKind, MarketWorldState, Mode, OrderBookState, PriceLevel, Side, VenueRules, ) from malkhut.cwm.core import MinimalCryptoLOBCWM from malkhut.planner.sm_mcts import DecoupledUCBPlanner from malkhut.planner.action_menu import build_our_actions from malkhut.risk.gate import RiskGate from malkhut.counterparties import ToxicTakerPolicy, default_counterparty_ecology from malkhut.actions import ActionKind, FulfilmentAction, OrderType, PlannedPolicy 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 _params(**kw): d = dict( version="adv", 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, 2), quote_size_fractions=(0.10, 0.25, 0.50), 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, ) d.update(kw) return FulfilmentPolicyParams(**d) def _state_with_intent(**kw): from malkhut.state import TradePathState, AccountState as AC tp = kw.get("trade_path") return MarketWorldState( ts_ns=1_000_000_000, mode=Mode.REPLAY_NO_IMPACT, venue=_venue(), 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)), ), account=AC( 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, ), intent=ExecutionIntent( intent_id="adv", 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="adversarial_test", ), trade_path=tp, ) class TestToxicTakerPicksOffStaleQuote: def test_pure_stale_quote_vulnerable(self): """A pure 'always quote best bid' is predictable and gets picked off.""" state = _state_with_intent() params = _params() actions = build_our_actions(state, params) # Pure strategy: always place at best bid, 25% size pure_actions = [a for a in actions if a.kind == ActionKind.PLACE and a.price_ticks_from_best == 0] assert len(pure_actions) > 0 # This action is predictable — toxic taker can target it def test_mixed_policy_reduces_predictability(self): """SM-MCTS should return a mixed distribution, not a single action.""" cwm = MinimalCryptoLOBCWM() planner = DecoupledUCBPlanner( cwm=cwm, counterparties=default_counterparty_ecology(), rng_seed=42, ) state = _state_with_intent() params = _params() result = planner.plan(root_state=state, params=params, budget_ms=15) # Distribution should have multiple non-zero probabilities nonzero = [p for p in result.probabilities if p > 0.01] assert len(nonzero) >= 2, "Pure deterministic policy is exploitable" def test_mixed_policy_includes_cancellation_option(self): """A good policy should have PASSIVE placement + NOOP as minimum diversity.""" cwm = MinimalCryptoLOBCWM() planner = DecoupledUCBPlanner( cwm=cwm, counterparties=default_counterparty_ecology(), rng_seed=42, ) state = _state_with_intent() params = _params() result = planner.plan(root_state=state, params=params, budget_ms=15) # Action set should include NOOP and at least one passive placement all_kinds = set(a.kind for a in result.actions) assert ActionKind.NOOP in all_kinds assert ActionKind.PLACE in all_kinds class TestRiskGateAdversarial: def test_kill_switch_blocks_all(self): gate = RiskGate() gate._kill_switch_active = lambda: True action = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT, 0, 0.1, 200) planned = PlannedPolicy(actions=(action,), probabilities=(1.0,), selected_action=action, diagnostics={}) state = _state_with_intent() decision = gate.validate(state, planned, _params()) assert not decision.approved assert decision.reason == "kill_switch" def test_post_only_cross_rejected(self): gate = RiskGate() state = _state_with_intent() action = FulfilmentAction( ActionKind.PLACE, Side.BUY, OrderType.LIMIT, -10, 0.1, 200, post_only=True, ) planned = PlannedPolicy(actions=(action,), probabilities=(1.0,), selected_action=action, diagnostics={}) decision = gate.validate(state, planned, _params()) assert not decision.approved def test_leverage_exceeded_blocks(self): gate = RiskGate() from malkhut.state import AccountState state = MarketWorldState( ts_ns=1_000_000_000, mode=Mode.LIVE, venue=_venue(), book=OrderBookState(ts_ns=1, symbol="BTCUSDT", bids=(PriceLevel(50000.0, 1.0),), asks=(PriceLevel(50001.0, 1.0),)), account=AccountState( ts_ns=1, equity=1000.0, wallet_balance=1000.0, available_balance=1000.0, margin_used=0.0, total_notional=5000.0, ), ) action = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT, 0, 0.1, 200) planned = PlannedPolicy(actions=(action,), probabilities=(1.0,), selected_action=action, diagnostics={}) decision = gate.validate(state, planned, _params()) assert not decision.approved assert decision.reason == "leverage_limit" class TestCounterpartyAdversarial: def test_toxic_taker_attacks_high_toxicity(self): """When orderflow toxicity is high, toxic taker should cross.""" from malkhut.state import TradePathState tp = TradePathState( symbol="BTCUSDT", side=Side.BUY, entry_ts_ns=0, now_ts_ns=100_000_000, bars_held=10, seconds_held=100.0, pnl_bps=0.0, mae_bps=-10.0, mfe_bps=15.0, distance_from_mfe_bps=15.0, distance_from_entry_bps=0.0, time_to_mfe_s=30.0, time_in_loss_s=50.0, time_in_profit_s=50.0, time_since_last_profit_s=10.0, time_since_deep_mae_s=20.0, loss_to_profit_transitions=1, deep_loss_recoveries=0, failed_recovery_count=0, recovery_velocity_bps_per_s=1.0, adverse_velocity_bps_per_s=-0.5, dolphin_regime_score=0.5, jericho_signal_strength=0.3, volatility_bps=15.0, orderflow_toxicity=0.9, queue_churn_score=0.2, book_imbalance=0.1, cross_venue_lead_score=0.1, ) state = _state_with_intent(trade_path=tp) toxic = ToxicTakerPolicy() import random action = toxic.rollout_action(state, random.Random(42)) assert action.kind == ActionKind.CROSS_SPREAD def test_latency_arb_attacks_stale_quotes(self): """Latency arb crosses when cross-venue lead is strong.""" from malkhut.state import TradePathState from malkhut.counterparties import LatencyArbPolicy tp = TradePathState( symbol="BTCUSDT", side=Side.BUY, entry_ts_ns=0, now_ts_ns=100_000_000, bars_held=10, seconds_held=100.0, pnl_bps=0.0, mae_bps=-10.0, mfe_bps=15.0, distance_from_mfe_bps=15.0, distance_from_entry_bps=0.0, time_to_mfe_s=30.0, time_in_loss_s=50.0, time_in_profit_s=50.0, time_since_last_profit_s=10.0, time_since_deep_mae_s=20.0, loss_to_profit_transitions=1, deep_loss_recoveries=0, failed_recovery_count=0, recovery_velocity_bps_per_s=1.0, adverse_velocity_bps_per_s=-0.5, dolphin_regime_score=0.5, jericho_signal_strength=0.3, volatility_bps=15.0, orderflow_toxicity=0.3, queue_churn_score=0.2, book_imbalance=0.1, cross_venue_lead_score=0.9, ) state = _state_with_intent(trade_path=tp) arb = LatencyArbPolicy() import random action = arb.rollout_action(state, random.Random(42)) assert action.kind == ActionKind.CROSS_SPREAD class TestMixedPolicySurvivesEcology: def test_noop_always_available(self): """NOOP must always be in the action set — sometimes the best quote is no quote.""" state = _state_with_intent() params = _params() actions = build_our_actions(state, params) kinds = [a.kind for a in actions] assert ActionKind.NOOP in kinds def test_exit_available_under_tail_risk(self): """When path risk is high, FULL_EXIT must be available.""" from malkhut.state import TradePathState tp = TradePathState( symbol="BTCUSDT", side=Side.BUY, entry_ts_ns=0, now_ts_ns=100_000_000, bars_held=10, seconds_held=100.0, pnl_bps=-30.0, mae_bps=-60.0, mfe_bps=5.0, distance_from_mfe_bps=35.0, distance_from_entry_bps=30.0, time_to_mfe_s=10.0, time_in_loss_s=90.0, time_in_profit_s=10.0, time_since_last_profit_s=80.0, time_since_deep_mae_s=5.0, loss_to_profit_transitions=0, deep_loss_recoveries=0, failed_recovery_count=4, recovery_velocity_bps_per_s=-2.0, adverse_velocity_bps_per_s=3.0, dolphin_regime_score=0.2, jericho_signal_strength=0.1, volatility_bps=30.0, orderflow_toxicity=0.7, queue_churn_score=0.5, book_imbalance=0.3, cross_venue_lead_score=-0.5, ) state = _state_with_intent(trade_path=tp) params = _params() actions = build_our_actions(state, params) kinds = [a.kind for a in actions] assert ActionKind.FULL_EXIT in kinds