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sentiment-engine/MALKHUT/malkhut/tests/test_exchange_mechanics.py
Codex 4c239f7774 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

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"""
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)
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