4c239f7774
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
109 lines
4.6 KiB
Python
109 lines
4.6 KiB
Python
"""
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Unit tests: Risk gate.
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Mutation litmus: remove kill switch check; if no test breaks,
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the gate is untested.
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"""
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import pytest
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from malkhut.state import (
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AccountState, FulfilmentPolicyParams, MarketWorldState, Mode,
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OrderBookState, PriceLevel, VenueRules,
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)
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from malkhut.risk.gate import RiskGate
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from malkhut.actions import ActionKind, FulfilmentAction, OrderType, PlannedPolicy, Side
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def _state() -> MarketWorldState:
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return MarketWorldState(
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ts_ns=1_000_000_000, mode=Mode.LIVE,
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venue=VenueRules(
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exchange="bingx", symbol="BTCUSDT", tick_size=0.1, lot_size=0.001,
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min_qty=0.001, min_notional=5.0, maker_fee_bps=-0.2, taker_fee_bps=0.5,
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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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book=OrderBookState(
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ts_ns=1_000_000_000, symbol="BTCUSDT",
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bids=(PriceLevel(50000.0, 1.0),),
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asks=(PriceLevel(50001.0, 1.0),),
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),
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account=AccountState(
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ts_ns=1_000_000_000, equity=10000.0, wallet_balance=10000.0,
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available_balance=10000.0, margin_used=0.0, total_notional=0.0,
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),
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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,
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maker_edge_min_bps=0.5, cross_spread_edge_min_bps=5.0,
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adverse_toxicity_cancel_threshold=0.5, queue_churn_cancel_threshold=0.5,
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mae_tail_cut_bps=50.0, mfe_giveback_cut_fraction=0.5,
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max_time_in_loss_s=300.0, failed_recovery_cut_count=3,
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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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)
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class TestRiskGate:
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def test_noop_always_approved(self):
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gate = RiskGate()
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action = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
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planned = PlannedPolicy(actions=(action,), probabilities=(1.0,),
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selected_action=action, diagnostics={})
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decision = gate.validate(_state(), planned, _params())
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assert decision.approved
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assert decision.reason == "noop"
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def test_post_only_cross_block(self):
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gate = RiskGate()
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# offset=-10 => price = best_bid + 10*tick = 50001.0 >= best_ask => crosses
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action = FulfilmentAction(
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ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, -10, 0.10, 200,
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post_only=True,
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)
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planned = PlannedPolicy(actions=(action,), probabilities=(1.0,),
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selected_action=action, diagnostics={})
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decision = gate.validate(_state(), planned, _params())
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assert not decision.approved
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assert decision.reason == "post_only_cross"
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def test_leverage_block(self):
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gate = RiskGate()
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state = MarketWorldState(
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ts_ns=1_000_000_000, mode=Mode.LIVE,
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venue=_state().venue, book=_state().book,
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account=AccountState(
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ts_ns=1_000_000_000, equity=1000.0, wallet_balance=1000.0,
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available_balance=1000.0, margin_used=0.0, total_notional=5000.0,
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),
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)
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action = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT, 0, 0.10, 200)
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planned = PlannedPolicy(actions=(action,), probabilities=(1.0,),
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selected_action=action, diagnostics={})
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decision = gate.validate(state, planned, _params())
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assert not decision.approved
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assert decision.reason == "leverage_limit"
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def test_approved_action_passes(self):
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gate = RiskGate()
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action = FulfilmentAction(
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ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 1, 0.10, 200,
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post_only=True,
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)
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planned = PlannedPolicy(actions=(action,), probabilities=(1.0,),
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selected_action=action, diagnostics={})
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decision = gate.validate(_state(), planned, _params())
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assert decision.approved
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assert decision.reason == "approved"
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