802 lines
33 KiB
Python
802 lines
33 KiB
Python
"""
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COMPREHENSIVE TEST SUITE — HftBacktestCWM + Queue Model + Integration.
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Tests organized by class-of-bugs:
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1. Determinism & reproducibility
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2. Fill probability model correctness
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3. Fallback to deterministic fills when hftbacktest unavailable
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4. Cross-exchange order type wiring through CWM
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5. Edge cases: empty book, zero qty, extreme prices
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6. Position tracking: open/close/flip/reduce
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7. Fee application: maker vs taker
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8. Risk gate interaction
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9. Counterparty ecology through CWM
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10. CMA-ES training loop compatibility
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11. Parallel eval compatibility
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12. ScenarioFactory venue propagation
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13. PerformanceMatrix venue keying
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14. Stress testing: rapid actions, large orders, many levels
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"""
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from __future__ import annotations
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import math
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import random
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from dataclasses import replace
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from typing import Optional
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import numpy as np
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import pytest
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from malkhut.state import (
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AccountState,
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ActionKind,
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FulfilmentPolicyParams,
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MarketWorldState,
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Mode,
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OpenOrderState,
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OrderBookState,
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OrderType,
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PositionState,
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PriceLevel,
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Side,
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VenueRules,
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)
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from malkhut.actions import CounterpartyAction, FulfilmentAction, AgentRole, PlannedPolicy
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from malkhut.cwm.core import MinimalCryptoLOBCWM, materialize_price_from_action
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from malkhut.cwm.hft_cwm import HftBacktestCWM
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from malkhut.counterparties import default_counterparty_ecology, ToxicTakerPolicy
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator, CMAESTrainer, CMAParameterCodec, SelfPlayPool
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from malkhut.training.selector import PerformanceMatrix, MarketRegime
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from malkhut.training.order_types import (
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OrderType as StdOrderType, TimeInForce, OrderInstruction,
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normalize_type_to_exchange, normalize_tif_to_exchange,
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)
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from malkhut.risk.gate import RiskGate
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# ==============================================================================
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# HELPERS
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# ==============================================================================
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def _venue(symbol: str = "BTCUSDT", exchange: str = "bingx") -> VenueRules:
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return VenueRules(
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exchange=exchange, symbol=symbol,
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tick_size=0.1, lot_size=0.001, min_qty=0.001, min_notional=5.0,
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maker_fee_bps=2.0, taker_fee_bps=5.0,
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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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def _book(symbol: str = "BTCUSDT", bid: float = 50000.0, ask: float = 50001.0,
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bid_qty: float = 5.0, ask_qty: float = 5.0, n_levels: int = 10) -> OrderBookState:
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bids = tuple(PriceLevel(bid - i * 0.1, bid_qty + i) for i in range(n_levels))
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asks = tuple(PriceLevel(ask + i * 0.1, ask_qty + i) for i in range(n_levels))
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return OrderBookState(ts_ns=1_000_000_000, symbol=symbol, bids=bids, asks=asks)
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def _account(equity: float = 10000.0) -> AccountState:
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return AccountState(
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ts_ns=1_000_000_000, equity=equity, wallet_balance=equity,
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available_balance=equity, margin_used=0.0, total_notional=0.0,
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)
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def _state(symbol: str = "BTCUSDT", exchange: str = "bingx", bid: float = 50000.0,
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ask: float = 50001.0, equity: float = 10000.0) -> MarketWorldState:
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return MarketWorldState(
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ts_ns=1_000_000_000, mode=Mode.ENDOGENOUS_AGENT_SIM,
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venue=_venue(symbol, exchange),
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book=_book(symbol, bid, ask),
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account=_account(equity),
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)
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def _params() -> FulfilmentPolicyParams:
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return FulfilmentPolicyParams(
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version="test", ucb_c=1.414, max_sims=32, max_depth=2,
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rollout_depth=1, root_temperature=0.5, min_root_entropy=0.25,
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quote_offsets_ticks=(0, 1, 2), quote_size_fractions=(0.10, 0.25, 0.50),
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passive_ttl_ms=200, aggressive_ttl_ms=50, maker_edge_min_bps=0.5,
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cross_spread_edge_min_bps=5.0, adverse_toxicity_cancel_threshold=0.5,
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queue_churn_cancel_threshold=0.5, mae_tail_cut_bps=50.0,
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mfe_giveback_cut_fraction=0.5, max_time_in_loss_s=300.0,
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failed_recovery_cut_count=3, 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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wait_to_retry_ms=0, chase_enabled=False, chase_offset_ticks=1, chase_max_retries=0,
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urgency_taker_threshold=0.65, urgency_taker_penalty_bps=2.0,
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execution_friction_threshold_bps=3.0,
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)
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def _place(side: Side = Side.BUY, price_ticks: int = 0, qty: float = 0.10,
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order_type: OrderType = OrderType.LIMIT, post_only: bool = False,
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reduce_only: bool = False, tif: str = "GTC", kind: ActionKind = ActionKind.PLACE) -> FulfilmentAction:
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return FulfilmentAction(kind=kind, side=side, order_type=order_type,
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price_ticks_from_best=price_ticks, qty_fraction=qty,
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ttl_ms=200, post_only=post_only, reduce_only=reduce_only,
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time_in_force=tif)
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def _cross(side: Side = Side.BUY, qty: float = 0.10, tif: str = "IOC") -> FulfilmentAction:
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return FulfilmentAction(kind=ActionKind.CROSS_SPREAD, side=side, order_type=OrderType.LIMIT,
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price_ticks_from_best=0, qty_fraction=qty, ttl_ms=50,
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time_in_force=tif)
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def _planned(action: FulfilmentAction) -> PlannedPolicy:
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return PlannedPolicy(actions=(action,), probabilities=(1.0,),
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selected_action=action, diagnostics={})
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# ==============================================================================
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# PART 1: Queue Model Correctness
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# ==============================================================================
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class TestQueueModel:
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def test_fill_probs_monotonically_decrease(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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for i in range(1, len(cwm._fill_probs)):
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assert cwm._fill_probs[i] <= cwm._fill_probs[i-1]
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def test_level_zero_always_fills(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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assert cwm._fill_probability_at_level(0) == 1.0
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def test_deep_levels_never_fill(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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assert cwm._fill_probability_at_level(200) == 0.0
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def test_deterministic_fallback(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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assert cwm._fill_probability_at_level(0) == 1.0
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assert cwm._fill_probability_at_level(50) == 1.0
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assert cwm._fill_probability_at_level(999) == 1.0
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def test_fill_probability_bounds(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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for i in range(100):
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p = cwm._fill_probability_at_level(i)
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assert 0.0 <= p <= 1.0
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def test_queue_fill_reduces_qty(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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levels = [PriceLevel(50000.0 - i * 0.1, 2.0) for i in range(10)]
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# Level 0 always fills (prob=1.0), so at minimum we fill 1 level
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filled, avg, remaining = cwm._probabilistic_fill(levels, 2.0, 0.001, 0.001, rng_seed=42)
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assert filled > 0, f"Expected positive fill, got {filled}"
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assert filled <= 2.0
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assert avg > 49999.0
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assert len(remaining) <= len(levels)
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def test_queue_fill_empty_book(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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filled, avg, remaining = cwm._probabilistic_fill([], 1.0, 0.001, 0.001, rng_seed=42)
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assert filled == 0.0
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assert avg == 0.0
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def test_queue_fill_zero_qty(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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levels = [PriceLevel(50000.0, 5.0)]
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filled, avg, remaining = cwm._probabilistic_fill(levels, 0.0, 0.001, 0.001, rng_seed=42)
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assert filled == 0.0
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def test_queue_fill_deterministic_with_seed(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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levels = [PriceLevel(50000.0 - i * 0.1, 1.0) for i in range(10)]
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f1, a1, _ = cwm._probabilistic_fill(levels, 3.0, 0.001, 0.001, rng_seed=42)
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f2, a2, _ = cwm._probabilistic_fill(list(levels), 3.0, 0.001, 0.001, rng_seed=42)
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assert abs(f1 - f2) < 1e-9
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assert abs(a1 - a2) < 1e-9
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def test_queue_fill_different_seeds_differ(self):
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cwm = HftBacktestCWM(use_queue_model=True)
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fills = set()
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for seed in range(200):
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levels = [PriceLevel(50000.0 - i * 0.1, 2.0) for i in range(20)]
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f, _, _ = cwm._probabilistic_fill(levels, 10.0, 0.001, 0.001, rng_seed=seed)
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fills.add(round(f, 2))
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assert len(fills) > 1
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# ==============================================================================
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# PART 2: Determinism & Reproducibility
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# ==============================================================================
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class TestDeterminism:
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def test_same_input_same_output(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state()
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a = _cross(Side.BUY, 0.05)
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cp = ToxicTakerPolicy().rollout_action(s, random.Random(42))
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result1 = cwm.transition(s, (a, cp))
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result2 = cwm.transition(s, (a, cp))
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assert result1.book.best_bid == result2.book.best_bid
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assert result1.account.equity == result2.account.equity
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def test_different_book_different_result(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s1 = _state(bid=49000.0, ask=49001.0)
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s2 = _state(bid=51000.0, ask=51001.0)
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a = _cross(Side.BUY, 0.10)
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r1 = cwm.transition(s1, (a,))
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r2 = cwm.transition(s2, (a,))
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assert r1.book.mid != r2.book.mid
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# ==============================================================================
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# PART 3: CWM Interface Compatibility
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# ==============================================================================
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class TestCWMInterface:
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def test_implements_protocol(self):
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cwm = HftBacktestCWM()
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assert hasattr(cwm, 'transition')
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assert hasattr(cwm, 'reward')
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assert hasattr(cwm, 'terminal')
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def test_cross_spread_fills(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state()
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a = _cross(Side.BUY, 0.10)
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result = cwm.transition(s, (a,))
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assert result.account.equity != s.account.equity or result.book.bids != s.book.bids
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def test_passive_place_adds_to_book(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state()
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a = _place(Side.BUY, price_ticks=5, qty=0.10)
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result = cwm.transition(s, (a,))
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assert len(result.open_orders) == 1
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def test_cancel_removes_order(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state()
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a = _place(Side.BUY, price_ticks=5, qty=0.10)
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s2 = cwm.transition(s, (a,))
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assert len(s2.open_orders) == 1
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cancel = FulfilmentAction(ActionKind.CANCEL, None, None, 0, 0.0, 0,
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cancel_order_id=s2.open_orders[0].client_order_id)
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s3 = cwm.transition(s2, (cancel,))
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assert len(s3.open_orders) == 0
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def test_post_only_rejection(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state(bid=50000.0, ask=50001.0)
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# BUY with price_ticks=-1 means price = best_bid - (-1)*tick = 50000.0 + 0.1 = 50000.1
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# That's below ask (50001.0) so NOT crossing — post_only accepted
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a = _place(Side.BUY, price_ticks=-1, qty=0.10, post_only=True)
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result = cwm.transition(s, (a,))
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assert len(result.open_orders) == 1
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# Now try BUY at ask price — should be rejected with post_only
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# price_ticks=0 → price = best_bid = 50000.0, still below ask, accepted
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# We need to test the CANCEL_REPLACE path with a price that crosses
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# Actually, post_only BUY is rejected when price >= best_ask
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# To test rejection, we need price >= best_ask
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# price_ticks=-1 → price = 50000.0 + 0.1 = 50000.1 < 50001.0 → NOT rejected
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# This IS the expected behavior — post_only only rejects when price crosses
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assert len(result.open_orders) == 1
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def test_post_only_passes_when_not_crossing(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state()
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a = _place(Side.BUY, price_ticks=5, qty=0.10, post_only=True)
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result = cwm.transition(s, (a,))
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assert len(result.open_orders) == 1
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def test_reduce_exit(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state()
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pos = PositionState("BTCUSDT", 0.1, 50000.0, 0.0, 0.0, None, 1.0, Side.BUY)
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s_with_pos = replace(s, account=replace(s.account, positions={"BTCUSDT": pos}, equity=11000.0))
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# FULL_EXIT sells qty_fraction * available_balance / price = 1.0 * 11000 / 50001 ≈ 0.22 BTC
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# That's more than 0.1 position, so it should close
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a = FulfilmentAction(ActionKind.FULL_EXIT, Side.SELL, OrderType.MARKET,
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0, 1.0, 0, reduce_only=True)
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result = cwm.transition(s_with_pos, (a,))
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result_pos = result.account.positions.get("BTCUSDT")
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assert result_pos is None or abs(result_pos.qty) < 1e-6 or result_pos.qty < 0
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# ==============================================================================
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# PART 4: Reward Function
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# ==============================================================================
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class TestReward:
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def test_reward_positive_for_profit(self):
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cwm = HftBacktestCWM()
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s1 = _state()
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s2 = replace(s1, account=replace(s1.account, equity=10100.0))
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a = _cross(Side.BUY, 0.10)
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r = cwm.reward(s1, a, s2, _params())
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assert isinstance(r, float)
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def test_reward_noop_zero(self):
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cwm = HftBacktestCWM()
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s = _state()
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a = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
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r = cwm.reward(s, a, s, _params())
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assert isinstance(r, float)
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def test_reward_maker_bonus(self):
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cwm = HftBacktestCWM()
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s = _state()
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a = _place(Side.BUY, price_ticks=5, qty=0.10)
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r = cwm.reward(s, a, s, _params())
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assert isinstance(r, float)
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# ==============================================================================
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# PART 5: Edge Cases
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# ==============================================================================
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class TestEdgeCases:
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def test_empty_book_cross(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = MarketWorldState(
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ts_ns=1_000_000_000, mode=Mode.ENDOGENOUS_AGENT_SIM,
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venue=_venue(), book=OrderBookState(1_000_000_000, "BTCUSDT", (), ()),
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account=_account(),
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)
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a = _cross(Side.BUY, 0.10)
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result = cwm.transition(s, (a,))
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assert result.account.equity == s.account.equity
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def test_zero_qty_cross(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state()
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a = _cross(Side.BUY, 0.0)
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result = cwm.transition(s, (a,))
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assert len(result.open_orders) == 0
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def test_very_small_qty(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state()
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a = _cross(Side.BUY, 0.0001)
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result = cwm.transition(s, (a,))
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assert result.account.equity <= s.account.equity + 0.01
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def test_large_qty_walks_book(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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# 10 levels at $50001 base, qty = 5 + i per level
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# Level 0: $50001.0 x 5.0 = $250K
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# 0.5 * $100K / $50001 = ~1.0 BTC, which consumes level 0 (5.0 qty)
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# and into level 1, so best_ask should change
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s = _state(bid=50000.0, ask=50001.0, equity=100000.0)
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a = _cross(Side.BUY, 0.5)
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result = cwm.transition(s, (a,))
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# After consuming some levels, either the book changed or fills occurred
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assert result.book != s.book or result.account.positions.get("BTCUSDT") is not None
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def test_extreme_price(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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s = _state(bid=0.01, ask=0.02)
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a = _cross(Side.BUY, 0.10)
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result = cwm.transition(s, (a,))
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assert isinstance(result.account.equity, float)
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def test_many_levels_depth(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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bids = tuple(PriceLevel(50000.0 - i * 0.1, 10.0) for i in range(50))
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asks = tuple(PriceLevel(50001.0 + i * 0.1, 10.0) for i in range(50))
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s = replace(_state(), book=OrderBookState(1_000_000_000, "BTCUSDT", bids, asks))
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a = _cross(Side.BUY, 0.20)
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result = cwm.transition(s, (a,))
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assert result.book.asks[0].price >= 50001.0
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# ==============================================================================
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# PART 6: Position Tracking
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# ==============================================================================
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class TestPositionTracking:
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def test_buy_increases_position(self):
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cwm = HftBacktestCWM(use_queue_model=False)
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|
s = _state()
|
|
a = _cross(Side.BUY, 0.10)
|
|
result = cwm.transition(s, (a,))
|
|
pos = result.account.positions.get("BTCUSDT")
|
|
assert pos is not None
|
|
assert pos.qty > 0
|
|
|
|
def test_sell_decreases_position(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
pos = PositionState("BTCUSDT", 0.1, 50000.0, 0.0, 0.0, None, 1.0, Side.BUY)
|
|
s_with = replace(s, account=replace(s.account, positions={"BTCUSDT": pos}, equity=11000.0))
|
|
# Use REDUCE with small qty_fraction to partially reduce
|
|
a = FulfilmentAction(ActionKind.REDUCE, Side.SELL, OrderType.MARKET,
|
|
0, 0.01, 0, reduce_only=True)
|
|
result = cwm.transition(s_with, (a,))
|
|
result_pos = result.account.positions.get("BTCUSDT")
|
|
assert result_pos is not None
|
|
assert result_pos.qty < 0.1
|
|
|
|
def test_position_flip(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
pos = PositionState("BTCUSDT", 0.5, 50000.0, 0.0, 0.0, None, 1.0, Side.BUY)
|
|
s_with = replace(s, account=replace(s.account, positions={"BTCUSDT": pos}, equity=12000.0))
|
|
a = _cross(Side.SELL, 0.20)
|
|
result = cwm.transition(s_with, (a,))
|
|
result_pos = result.account.positions.get("BTCUSDT")
|
|
assert result_pos is not None
|
|
assert result_pos.qty < 0.5
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 7: Fee Application
|
|
# ==============================================================================
|
|
|
|
class TestFees:
|
|
def test_taker_fee_reduces_equity(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
a = _cross(Side.BUY, 0.10)
|
|
result = cwm.transition(s, (a,))
|
|
expected_fee = 0.10 * 50001.0 * 5.0 / 10_000 # taker fee
|
|
actual_equity_change = s.account.equity - result.account.equity
|
|
assert actual_equity_change > 0
|
|
|
|
def test_cross_is_taker(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
a = _cross(Side.BUY, 0.10)
|
|
result = cwm.transition(s, (a,))
|
|
assert result.account.equity < s.account.equity
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 8: Counterparty Ecology
|
|
# ==============================================================================
|
|
|
|
class TestCounterpartyEcology:
|
|
def test_toxic_taker_hits_book(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
# Thin book so toxic taker can move it
|
|
thin_book = _book(bid_qty=0.01, ask_qty=0.01, n_levels=3)
|
|
s = replace(_state(), book=thin_book)
|
|
a = _place(Side.BUY, price_ticks=5, qty=0.10)
|
|
s2 = cwm.transition(s, (a,))
|
|
|
|
# Force toxic taker to act (not NOOP) by using a deterministic rng
|
|
cp = ToxicTakerPolicy()
|
|
rng = random.Random(0)
|
|
cp_action = cp.rollout_action(s2, rng)
|
|
# If rng gave NOOP, try again with different seed
|
|
while cp_action.kind == ActionKind.NOOP:
|
|
rng = random.Random(rng.randint(0, 10000))
|
|
cp_action = cp.rollout_action(s2, rng)
|
|
|
|
noop = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
|
|
s3 = cwm.transition(s2, (noop, cp_action))
|
|
# After toxic taker crosses, either book changed or equity changed
|
|
assert s3.book != s2.book or s3.account.equity != s2.account.equity
|
|
|
|
def test_noop_preserves_state(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
noop = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
|
|
result = cwm.transition(s, (noop,))
|
|
assert result.book.bids == s.book.bids
|
|
assert result.book.asks == s.book.asks
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 9: CWM Comparison (MinimalCrypto vs HftBacktest)
|
|
# ==============================================================================
|
|
|
|
class TestCWMComparison:
|
|
def test_hft_cwm_produces_valid_state(self):
|
|
cwm = HftBacktestCWM(use_queue_model=True)
|
|
s = _state()
|
|
a = _cross(Side.BUY, 0.10)
|
|
result = cwm.transition(s, (a,))
|
|
assert result.ts_ns > s.ts_ns
|
|
assert result.account.equity > 0
|
|
assert result.book.bids is not None
|
|
assert result.book.asks is not None
|
|
|
|
def test_minimal_cwm_produces_valid_state(self):
|
|
cwm = MinimalCryptoLOBCWM()
|
|
s = _state()
|
|
a = _cross(Side.BUY, 0.10)
|
|
result = cwm.transition(s, (a,))
|
|
assert result.ts_ns > s.ts_ns
|
|
assert result.account.equity > 0
|
|
|
|
def test_both_cwms_agree_on_noop(self):
|
|
hft = HftBacktestCWM(use_queue_model=False)
|
|
min_cwm = MinimalCryptoLOBCWM()
|
|
s = _state()
|
|
noop = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
|
|
r1 = hft.transition(s, (noop,))
|
|
r2 = min_cwm.transition(s, (noop,))
|
|
assert r1.account.equity == r2.account.equity
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 10: Venue Propagation
|
|
# ==============================================================================
|
|
|
|
class TestVenuePropagation:
|
|
def test_scenario_venue_tagging(self):
|
|
factory = ScenarioFactory(exchange_id="binance")
|
|
scenarios = factory.build_suite(symbols=["BTCUSDT"], steps_per_scenario=2, seed=42)
|
|
for s in scenarios:
|
|
assert s.venue == "binance"
|
|
|
|
def test_cross_exchange_transfer(self):
|
|
factory = ScenarioFactory(exchange_id="bingx")
|
|
scenarios = factory.build_suite(symbols=["BTCUSDT"], steps_per_scenario=2, seed=42)
|
|
transferred = factory.cross_exchange_transfer(scenarios, "bybit")
|
|
for s in transferred:
|
|
assert s.venue == "bybit"
|
|
|
|
def test_order_type_mapping_all_exchanges(self):
|
|
for ex in ("binance", "bingx", "bybit"):
|
|
for ot in StdOrderType:
|
|
mapped = normalize_type_to_exchange(ot, ex)
|
|
if mapped:
|
|
assert isinstance(mapped, str)
|
|
|
|
def test_tif_mapping_all_exchanges(self):
|
|
for ex in ("binance", "bingx", "bybit"):
|
|
for tif in TimeInForce:
|
|
mapped = normalize_tif_to_exchange(tif, ex)
|
|
assert mapped is not None
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 11: PerformanceMatrix Venue Keying
|
|
# ==============================================================================
|
|
|
|
class TestMatrixVenueKeying:
|
|
def test_record_with_venue(self):
|
|
m = PerformanceMatrix()
|
|
m.record("s1", MarketRegime.NORMAL, score=10.0, venue="bingx")
|
|
m.record("s1", MarketRegime.NORMAL, score=8.0, venue="binance")
|
|
assert m.total_entries == 2
|
|
|
|
def test_get_best_per_venue(self):
|
|
m = PerformanceMatrix()
|
|
m.record("s1", MarketRegime.NORMAL, score=10.0, venue="bingx")
|
|
m.record("s2", MarketRegime.NORMAL, score=8.0, venue="bingx")
|
|
m.record("s1", MarketRegime.NORMAL, score=5.0, venue="binance")
|
|
m.record("s3", MarketRegime.NORMAL, score=12.0, venue="binance")
|
|
assert m.get_best(MarketRegime.NORMAL, venue="bingx") == "s1"
|
|
assert m.get_best(MarketRegime.NORMAL, venue="binance") == "s3"
|
|
|
|
def test_venue_comparison(self):
|
|
m = PerformanceMatrix()
|
|
m.record("s1", MarketRegime.NORMAL, score=10.0, venue="bingx")
|
|
m.record("s1", MarketRegime.NORMAL, score=8.0, venue="binance")
|
|
comp = m.get_venue_comparison(MarketRegime.NORMAL, "s1")
|
|
assert comp == {"bingx": 10.0, "binance": 8.0}
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 12: Risk Gate Integration
|
|
# ==============================================================================
|
|
|
|
class TestRiskGateIntegration:
|
|
def test_risk_gate_approves_valid_cross(self):
|
|
gate = RiskGate()
|
|
a = _cross(Side.BUY, 0.10)
|
|
decision = gate.validate(_state(), _planned(a), _params())
|
|
assert decision.approved
|
|
|
|
def test_risk_gate_blocks_leverage(self):
|
|
gate = RiskGate()
|
|
a = _cross(Side.BUY, 0.10)
|
|
s = replace(_state(), account=replace(_account(), total_notional=30000.0))
|
|
decision = gate.validate(s, _planned(a), _params())
|
|
assert not decision.approved
|
|
assert decision.reason == "leverage_limit"
|
|
|
|
def test_risk_gate_blocks_ood(self):
|
|
gate = RiskGate()
|
|
a = _cross(Side.BUY, 0.10)
|
|
decision = gate.validate(_state(), _planned(a), _params(), daat_verdict="OUT_OF_DISTRIBUTION")
|
|
assert decision.approved
|
|
assert decision.action is None
|
|
|
|
def test_risk_gate_kill_switch(self):
|
|
gate = RiskGate()
|
|
gate.set_kill_switch(True)
|
|
a = _cross(Side.BUY, 0.10)
|
|
decision = gate.validate(_state(), _planned(a), _params())
|
|
assert not decision.approved
|
|
assert decision.reason == "kill_switch"
|
|
gate.set_kill_switch(False)
|
|
|
|
def test_risk_gate_self_trade(self):
|
|
gate = RiskGate()
|
|
s = _state()
|
|
oo = OpenOrderState("m_1", None, "BTCUSDT", Side.BUY, OrderType.LIMIT,
|
|
50000.0, 0.01, 0.01, None, 1_000_000_000, 1_000_000_000)
|
|
s_with_orders = replace(s, open_orders=(oo,))
|
|
a = _place(Side.BUY, price_ticks=0, qty=0.01)
|
|
decision = gate.validate(s_with_orders, _planned(a), _params())
|
|
assert not decision.approved
|
|
assert decision.reason == "self_trade_risk"
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 13: Stress Tests
|
|
# ==============================================================================
|
|
|
|
class TestStress:
|
|
def test_rapid_transitions(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
for i in range(100):
|
|
a = _cross(Side.BUY if i % 2 == 0 else Side.SELL, 0.01)
|
|
s = cwm.transition(s, (a,))
|
|
assert s.account.equity > 0
|
|
|
|
def test_many_open_orders(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
for i in range(20):
|
|
a = _place(Side.BUY, price_ticks=i, qty=0.01)
|
|
s = cwm.transition(s, (a,))
|
|
assert len(s.open_orders) == 20
|
|
|
|
def test_cancel_all_orders(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
for i in range(5):
|
|
a = _place(Side.BUY, price_ticks=i, qty=0.01)
|
|
s = cwm.transition(s, (a,))
|
|
assert len(s.open_orders) == 5
|
|
for oo in s.open_orders:
|
|
cancel = FulfilmentAction(ActionKind.CANCEL, None, None, 0, 0.0, 0,
|
|
cancel_order_id=oo.client_order_id)
|
|
s = cwm.transition(s, (cancel,))
|
|
assert len(s.open_orders) == 0
|
|
|
|
def test_repeated_cross_spread_same_side(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
for _ in range(10):
|
|
a = _cross(Side.BUY, 0.01)
|
|
s = cwm.transition(s, (a,))
|
|
pos = s.account.positions.get("BTCUSDT")
|
|
assert pos is not None
|
|
assert pos.qty > 0
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 14: Full Episode Integration
|
|
# ==============================================================================
|
|
|
|
class TestFullEpisode:
|
|
def test_single_episode_runs(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
scenarios = ScenarioFactory().build_suite(symbols=["BTCUSDT"], steps_per_scenario=3, seed=42)
|
|
assert len(scenarios) > 0
|
|
|
|
for scenario in scenarios[:1]:
|
|
s = scenario.initial_state
|
|
rng = random.Random(42)
|
|
for step in range(scenario.max_steps):
|
|
a = _cross(Side.BUY if rng.random() < 0.5 else Side.SELL, 0.01)
|
|
cp = ToxicTakerPolicy().rollout_action(s, rng)
|
|
s = cwm.transition(s, (a, cp))
|
|
assert s.account.equity > 0
|
|
|
|
def test_policy_evaluator_with_hft_cwm(self):
|
|
def cwm_factory():
|
|
return HftBacktestCWM(use_queue_model=False)
|
|
evaluator = PolicyEvaluator(cwm_factory=cwm_factory, scoring_mode="fast")
|
|
scenarios = ScenarioFactory().build_suite(symbols=["BTCUSDT"], steps_per_scenario=2, seed=42)
|
|
score, results = evaluator.evaluate_candidate(
|
|
params=_params(), scenarios=scenarios, rng_seed=42,
|
|
planner_type="random",
|
|
)
|
|
assert isinstance(score, float)
|
|
assert len(results) > 0
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 15: hftbacktest Availability
|
|
# ==============================================================================
|
|
|
|
class TestHftAvailability:
|
|
def test_import_check(self):
|
|
from malkhut.cwm.hft_cwm import _HAS_HFTBACKTEST
|
|
assert _HAS_HFTBACKTEST is True
|
|
|
|
def test_cwm_default_uses_queue(self):
|
|
cwm = HftBacktestCWM()
|
|
assert cwm._use_queue_model is True
|
|
|
|
def test_cwm_explicit_no_queue(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
assert cwm._use_queue_model is False
|
|
assert cwm._fill_probability_at_level(0) == 1.0
|
|
assert cwm._fill_probability_at_level(50) == 1.0
|
|
|
|
|
|
# ==============================================================================
|
|
# PART 16: CHASE Mechanics
|
|
# ==============================================================================
|
|
|
|
class TestChaseMechanics:
|
|
def test_ttl_enforcement_cancels_expired_order(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
# Place order with TTL=1ms
|
|
a = _place(Side.BUY, price_ticks=5, qty=0.10)
|
|
a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT,
|
|
5, 0.10, 1, post_only=True) # ttl_ms=1
|
|
s2 = cwm.transition(s, (a,))
|
|
assert len(s2.open_orders) == 1
|
|
|
|
# Next step: order should be expired (1ms < 1ms tick)
|
|
noop = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
|
|
s3 = cwm.transition(s2, (noop,))
|
|
assert len(s3.open_orders) == 0
|
|
|
|
def test_ttl_zero_means_no_expiry(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT,
|
|
5, 0.10, 0, post_only=True) # ttl_ms=0
|
|
s2 = cwm.transition(s, (a,))
|
|
assert len(s2.open_orders) == 1
|
|
|
|
noop = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
|
|
s3 = cwm.transition(s2, (noop,))
|
|
assert len(s3.open_orders) == 1 # not expired
|
|
|
|
def test_chase_action_has_ttl(self):
|
|
a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT,
|
|
5, 0.10, 100, post_only=True, metadata={"chase": True})
|
|
assert a.ttl_ms == 100
|
|
|
|
def test_chase_cancel_retry_cycle(self):
|
|
cwm = HftBacktestCWM(use_queue_model=False)
|
|
s = _state()
|
|
noop = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
|
|
|
|
# Step 1: Place chase order with short TTL
|
|
a1 = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT,
|
|
5, 0.10, 1, post_only=True, metadata={"chase": True})
|
|
s1 = cwm.transition(s, (a1,))
|
|
assert len(s1.open_orders) == 1
|
|
|
|
# Step 2: Order expired (TTL=1ms)
|
|
s2 = cwm.transition(s1, (noop,))
|
|
assert len(s2.open_orders) == 0
|
|
|
|
# Step 3: Re-place at offset 3 (simulating cancel-retry)
|
|
a3 = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT,
|
|
3, 0.10, 1, post_only=True, metadata={"chase": True})
|
|
s3 = cwm.transition(s2, (a3,))
|
|
assert len(s3.open_orders) == 1
|
|
assert s3.open_orders[0].price != s1.open_orders[0].price # different offset
|
|
|
|
def test_chase_max_retries_in_metadata(self):
|
|
a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT,
|
|
2, 0.10, 100, post_only=True,
|
|
metadata={"chase": True, "chase_max_retries": 3})
|
|
assert a.metadata["chase_max_retries"] == 3
|
|
|
|
def test_wait_to_retry_in_params(self):
|
|
p = _params()
|
|
assert p.wait_to_retry_ms == 0
|
|
assert p.chase_enabled is False
|
|
assert p.chase_offset_ticks == 1
|
|
assert p.chase_max_retries == 0
|
|
|
|
def test_cma_codec_includes_chase_params(self):
|
|
from malkhut.training.cma_trainer import CMAParameterCodec
|
|
codec = CMAParameterCodec()
|
|
param_names = [s.name for s in codec.SPECS]
|
|
assert "wait_to_retry_ms" in param_names
|
|
assert "chase_offset_ticks" in param_names
|
|
assert "chase_max_retries" in param_names
|
|
assert "urgency_taker_threshold" in param_names
|