296 lines
11 KiB
Python
296 lines
11 KiB
Python
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import sys
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from pathlib import Path
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from types import SimpleNamespace
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import pytest
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ROOT = Path("/mnt/dolphinng5_predict")
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sys.path.insert(0, str(ROOT / "nautilus_dolphin"))
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sys.path.insert(1, str(ROOT))
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if "nautilus_dolphin" in sys.modules:
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pkg = sys.modules["nautilus_dolphin"]
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pkg_file = str(getattr(pkg, "__file__", "") or "")
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if not pkg_file.endswith("nautilus_dolphin/nautilus_dolphin/__init__.py"):
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del sys.modules["nautilus_dolphin"]
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from nautilus_dolphin.nautilus.esf_alpha_orchestrator import NDAlphaEngine, NDPosition
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from nautilus_dolphin.nautilus.alpha_exit_v7_engine import AlphaExitEngineV7, AlphaExitV7Config
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from prod.nautilus_event_trader import DolphinLiveTrader
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class _DummyCtx:
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def __init__(self, entry_price: float, entry_bar: int, side: int) -> None:
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self.entry_price = entry_price
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self.entry_bar = entry_bar
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self.side = side
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self.exf = None
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def set_exf(self, funding: float = 0.0, dvol: float = 0.0, fear_greed: float = 0.0, taker: float = 0.0) -> None:
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self.exf = {
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"funding": funding,
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"dvol": dvol,
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"fear_greed": fear_greed,
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"taker": taker,
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}
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class _DummyV7Engine:
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def __init__(self) -> None:
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self.make_calls = []
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self.evaluate_calls = []
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def make_context(self, entry_price: float, entry_bar: int, side: int) -> _DummyCtx:
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self.make_calls.append((entry_price, entry_bar, side))
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return _DummyCtx(entry_price=entry_price, entry_bar=entry_bar, side=side)
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def evaluate(self, ctx, current_price: float, current_bar: int, ob_imbalance: float, asset: str = "default") -> dict:
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self.evaluate_calls.append(
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{
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"ctx": ctx,
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"current_price": current_price,
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"current_bar": current_bar,
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"ob_imbalance": ob_imbalance,
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"asset": asset,
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}
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)
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return {
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"action": "EXIT",
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"reason": "V7_COMPOSITE_PRESSURE",
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"pnl_pct": 1.25,
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"bars_held": current_bar - ctx.entry_bar,
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"mfe": 0.02,
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"mae": 0.01,
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"mfe_risk": 0.0,
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"mae_risk": 0.0,
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"exit_pressure": 2.81,
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"rv_comp": 0.001,
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"mae_thresh1": 0.002,
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"bounce_score": 0.1,
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"bounce_risk": 0.2,
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}
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class _DummyOBSignal:
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def __init__(self, imbalance_ma5: float) -> None:
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self.imbalance_ma5 = imbalance_ma5
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class _DummyOBEngine:
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def __init__(self) -> None:
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self.calls = []
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def get_signal(self, asset: str, bar_idx: float):
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self.calls.append((asset, bar_idx))
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return _DummyOBSignal(0.42)
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def test_ndalphaengine_prefers_exit_decision_provider_before_base_manager():
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engine = NDAlphaEngine(
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initial_capital=1000.0,
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use_sp_fees=False,
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use_sp_slippage=False,
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use_ob_edge=False,
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use_asset_selection=False,
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use_direction_confirm=False,
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use_alpha_layers=False,
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use_dynamic_leverage=False,
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)
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pos = NDPosition(
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trade_id="tid-1",
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asset="DASHUSDT",
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direction=-1,
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entry_price=100.0,
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entry_bar=0,
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notional=100.0,
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leverage=1.0,
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fraction=0.2,
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entry_vel_div=-0.03,
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bucket_idx=4,
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current_price=90.0,
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)
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engine.position = pos
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engine._day_posture = "APEX"
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engine.regime_dd_halt = False
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provider_called = {}
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def provider(**kwargs):
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provider_called.update(kwargs)
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return {
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"action": "EXIT",
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"reason": "V7_COMPOSITE_PRESSURE",
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"pnl_pct": 1.25,
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"bars_held": 7,
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}
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engine.exit_decision_provider = provider
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def _should_not_run(*args, **kwargs):
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raise AssertionError("base exit_manager should not be consulted when provider returns a decision")
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engine.exit_manager.evaluate = _should_not_run
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executed = {}
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def _fake_execute_exit(reason: str, bar_idx: int, pnl_pct_raw: float = 0.0, bars_held: int = 0):
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executed.update(
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{
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"reason": reason,
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"bar_idx": bar_idx,
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"pnl_pct_raw": pnl_pct_raw,
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"bars_held": bars_held,
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}
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)
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engine.position = None
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return executed
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engine._execute_exit = _fake_execute_exit
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out = engine._manage_position(
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bar_idx=17,
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prices={"DASHUSDT": 89.0},
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vel_div=-0.12,
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v50_vel=0.03,
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v750_vel=0.01,
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)
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assert provider_called["pos"] is pos
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assert provider_called["bar_idx"] == 17
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assert out["reason"] == "V7_COMPOSITE_PRESSURE"
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assert executed["reason"] == "V7_COMPOSITE_PRESSURE"
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assert executed["bar_idx"] == 17
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def test_blue_live_v7_provider_records_journal_and_uses_ob_signal():
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trader = DolphinLiveTrader.__new__(DolphinLiveTrader)
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trader._v7_exit_engine = _DummyV7Engine()
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trader._pending_entries = {
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"tid-2": {
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"entry_price": 100.0,
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"entry_bar": 4,
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"side": "SHORT",
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"quantity": 2.0,
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"leverage": 3.0,
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"notional": 200.0,
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}
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}
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trader._v7_contexts = {}
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trader._v7_decision_seq = {}
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trader._v7_decisions = {}
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trader._last_exf = {
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"funding": 1.0,
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"dvol": 2.0,
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"fear_greed": 3.0,
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"taker": 4.0,
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}
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trader.ob_eng = _DummyOBEngine()
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captured = {}
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def _capture_record(**kwargs):
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captured.update(kwargs)
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trader._record_v7_decision = _capture_record
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pos = SimpleNamespace(trade_id="tid-2", asset="DASHUSDT", current_price=97.0)
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decision = trader._v7_live_exit_decision(
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pos=pos,
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bar_idx=10,
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prices={"DASHUSDT": 97.5},
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vel_div=-0.3,
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v50_vel=0.1,
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v750_vel=0.2,
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)
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assert decision["action"] == "EXIT"
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assert trader._v7_contexts["tid-2"].exf == {
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"funding": 1.0,
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"dvol": 2.0,
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"fear_greed": 3.0,
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"taker": 4.0,
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}
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assert trader.ob_eng.calls == [("DASHUSDT", 9.0)]
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assert trader._v7_exit_engine.evaluate_calls[0]["current_bar"] == 9
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assert trader._v7_exit_engine.evaluate_calls[0]["ob_imbalance"] == pytest.approx(0.42)
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assert captured["source"] == "live_exit"
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assert captured["bar_idx"] == 9
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assert captured["trade_id"] == "tid-2"
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assert captured["asset"] == "DASHUSDT"
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def test_alpha_exit_v7_is_mechanically_side_aware_for_long_and_short():
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engine = AlphaExitEngineV7(bar_duration_sec=11.0, bounce_model_path="/tmp/nonexistent-bounce-model.pkl")
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long_ctx = engine.make_context(entry_price=100.0, entry_bar=0, side=0)
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long_favorable = engine.evaluate(long_ctx, current_price=101.0, current_bar=1, ob_imbalance=0.0)
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assert long_favorable["pnl_pct"] == pytest.approx(1.0)
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assert long_favorable["mfe"] == pytest.approx(0.01)
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assert long_favorable["mae"] == pytest.approx(0.0)
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long_adverse = engine.make_context(entry_price=100.0, entry_bar=0, side=0)
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long_adverse_out = engine.evaluate(long_adverse, current_price=99.0, current_bar=1, ob_imbalance=0.0)
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assert long_adverse_out["pnl_pct"] == pytest.approx(-1.0)
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assert long_adverse_out["mfe"] == pytest.approx(0.0)
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assert long_adverse_out["mae"] == pytest.approx(0.01)
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short_ctx = engine.make_context(entry_price=100.0, entry_bar=0, side=1)
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short_favorable = engine.evaluate(short_ctx, current_price=99.0, current_bar=1, ob_imbalance=0.0)
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assert short_favorable["pnl_pct"] == pytest.approx(1.0)
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assert short_favorable["mfe"] == pytest.approx(0.01)
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assert short_favorable["mae"] == pytest.approx(0.0)
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short_adverse = engine.make_context(entry_price=100.0, entry_bar=0, side=1)
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short_adverse_out = engine.evaluate(short_adverse, current_price=101.0, current_bar=1, ob_imbalance=0.0)
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assert short_adverse_out["pnl_pct"] == pytest.approx(-1.0)
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assert short_adverse_out["mfe"] == pytest.approx(0.0)
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assert short_adverse_out["mae"] == pytest.approx(0.01)
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def test_alpha_exit_v7_default_config_matches_legacy_threshold_surface():
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engine = AlphaExitEngineV7(bar_duration_sec=11.0, bounce_model_path="/tmp/nonexistent-bounce-model.pkl")
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cfg = engine.config
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assert cfg.rvol_w15 == pytest.approx(0.50)
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assert cfg.rvol_w30 == pytest.approx(0.30)
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assert cfg.rvol_w50 == pytest.approx(0.20)
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assert cfg.mae_tier1_k == pytest.approx(3.5)
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assert cfg.mae_tier2_k == pytest.approx(7.0)
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assert cfg.mae_tier3_k == pytest.approx(12.0)
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assert cfg.mae_tier1_floor == pytest.approx(0.005)
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assert cfg.mae_tier2_floor == pytest.approx(0.012)
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assert cfg.mae_tier3_floor == pytest.approx(0.025)
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assert cfg.mae_tier1_risk == pytest.approx(0.5)
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assert cfg.mae_tier2_risk == pytest.approx(0.8)
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assert cfg.mae_tier3_risk == pytest.approx(1.2)
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assert cfg.mae_accel_min_bars == 3
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assert cfg.mae_accel_peak_floor == pytest.approx(0.003)
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assert cfg.mae_recovery_peak_floor == pytest.approx(0.004)
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assert cfg.mae_recovery_prev_min == pytest.approx(0.25)
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assert cfg.mae_recovery_snapback_max == pytest.approx(0.10)
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assert cfg.mae_late_floor == pytest.approx(0.003)
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assert cfg.mae_late_start_frac == pytest.approx(0.60)
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assert cfg.mae_late_risk_max == pytest.approx(0.4)
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assert cfg.mfe_convexity_decay_exit == pytest.approx(0.35)
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assert cfg.mfe_convexity_decay_soft == pytest.approx(0.20)
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assert cfg.bounce_dir_w == pytest.approx(0.15)
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assert cfg.bounce_risk_w == pytest.approx(0.35)
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assert cfg.exit_pressure_threshold == pytest.approx(2.69)
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assert cfg.retract_pressure_threshold == pytest.approx(1.0)
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assert cfg.extend_pressure_threshold == pytest.approx(-0.5)
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def test_alpha_exit_v7_custom_threshold_config_is_per_instance():
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strict = AlphaExitEngineV7(
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bar_duration_sec=11.0,
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bounce_model_path="/tmp/nonexistent-bounce-model.pkl",
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config=AlphaExitV7Config(exit_pressure_threshold=0.1, retract_pressure_threshold=0.05),
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)
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default = AlphaExitEngineV7(bar_duration_sec=11.0, bounce_model_path="/tmp/nonexistent-bounce-model.pkl")
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strict_ctx = strict.make_context(entry_price=100.0, entry_bar=0, side=0)
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default_ctx = default.make_context(entry_price=100.0, entry_bar=0, side=0)
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strict_decision = strict.evaluate(strict_ctx, current_price=100.0, current_bar=1, ob_imbalance=0.0)
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default_decision = default.evaluate(default_ctx, current_price=100.0, current_bar=1, ob_imbalance=0.0)
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assert strict_decision["action"] == "EXIT"
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assert default_decision["action"] == "HOLD"
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assert strict.config.exit_pressure_threshold == pytest.approx(0.1)
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assert default.config.exit_pressure_threshold == pytest.approx(2.69)
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