d24d9bc6bd
CRITICAL REFACTOR based on Fable's review (S9 roadmap item):
Before: flat enum conflating order types with TIF/instructions
OrderType had MARKET, LIMIT, IOC, FOK, POST_ONLY, REDUCE_ONLY, etc.
After: three orthogonal dimensions (FIX-aligned):
1. OrderType (Tag 40): what the order IS
LIMIT, MARKET, STOP_MARKET, STOP_LIMIT, TRIGGER_MARKET, TRIGGER_LIMIT,
TRAILING_STOP, OCO, TP_SL
2. TimeInForce (Tag 59): how long it LIVES
GTC, IOC, FOK, GTD
3. Instructions (Tag 18): behavioral modifiers
POST_ONLY, REDUCE_ONLY, HIDDEN, ICEBERG
Key corrections:
- POST_ONLY is an instruction on a LIMIT order, not a standalone type
- IOC/FOK are TimeInForce values, not order types
- BingX trailing_stop -> native TRAILING_STOP_MARKET (not TRIGGER_MARKET)
- FulfilmentAction.time_in_force: new field, default GTC
Exchange mappings restructured:
EXCHANGE_ORDER_TYPE_MAP: OrderType -> exchange native 'type' param
EXCHANGE_TIF_MAP: TimeInForce -> exchange native 'timeInForce' param
EXCHANGE_INSTRUCTION_MAP: Instruction -> exchange encoding
21 files changed. 380+ tests pass. Backward compatible.
109 lines
4.6 KiB
Python
109 lines
4.6 KiB
Python
"""
|
|
Unit tests: Risk gate.
|
|
|
|
Mutation litmus: remove kill switch check; if no test breaks,
|
|
the gate is untested.
|
|
"""
|
|
import pytest
|
|
from malkhut.state import (
|
|
AccountState, FulfilmentPolicyParams, MarketWorldState, Mode,
|
|
OrderBookState, PriceLevel, VenueRules,
|
|
)
|
|
from malkhut.risk.gate import RiskGate
|
|
from malkhut.actions import ActionKind, FulfilmentAction, OrderType, PlannedPolicy, Side
|
|
|
|
|
|
def _state() -> MarketWorldState:
|
|
return MarketWorldState(
|
|
ts_ns=1_000_000_000, mode=Mode.LIVE,
|
|
venue=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,
|
|
),
|
|
book=OrderBookState(
|
|
ts_ns=1_000_000_000, symbol="BTCUSDT",
|
|
bids=(PriceLevel(50000.0, 1.0),),
|
|
asks=(PriceLevel(50001.0, 1.0),),
|
|
),
|
|
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,
|
|
),
|
|
)
|
|
|
|
|
|
def _params() -> FulfilmentPolicyParams:
|
|
return FulfilmentPolicyParams(
|
|
version="test", 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, 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,
|
|
)
|
|
|
|
|
|
class TestRiskGate:
|
|
def test_noop_always_approved(self):
|
|
gate = RiskGate()
|
|
action = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
|
|
planned = PlannedPolicy(actions=(action,), probabilities=(1.0,),
|
|
selected_action=action, diagnostics={})
|
|
decision = gate.validate(_state(), planned, _params())
|
|
assert decision.approved
|
|
assert decision.reason == "noop"
|
|
|
|
def test_post_only_cross_block(self):
|
|
gate = RiskGate()
|
|
# offset=-10 => price = best_bid + 10*tick = 50001.0 >= best_ask => crosses
|
|
action = FulfilmentAction(
|
|
ActionKind.PLACE, Side.BUY, OrderType.LIMIT, -10, 0.10, 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
|
|
assert decision.reason == "post_only_cross"
|
|
|
|
def test_leverage_block(self):
|
|
gate = RiskGate()
|
|
state = MarketWorldState(
|
|
ts_ns=1_000_000_000, mode=Mode.LIVE,
|
|
venue=_state().venue, book=_state().book,
|
|
account=AccountState(
|
|
ts_ns=1_000_000_000, 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, 0.10, 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"
|
|
|
|
def test_approved_action_passes(self):
|
|
gate = RiskGate()
|
|
action = FulfilmentAction(
|
|
ActionKind.PLACE, Side.BUY, OrderType.LIMIT, 1, 0.10, 200,
|
|
post_only=True,
|
|
)
|
|
planned = PlannedPolicy(actions=(action,), probabilities=(1.0,),
|
|
selected_action=action, diagnostics={})
|
|
decision = gate.validate(_state(), planned, _params())
|
|
assert decision.approved
|
|
assert decision.reason == "approved"
|