392 lines
12 KiB
Python
392 lines
12 KiB
Python
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from __future__ import annotations
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from dataclasses import dataclass
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from datetime import datetime, timezone
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from typing import Any
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import pytest
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from prod.clean_arch.dita_v2 import (
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BingxVenueAdapter,
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ExecutionKernel,
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InMemoryControlPlane,
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KernelCommandType,
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KernelControlSnapshot,
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KernelIntent,
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KernelMode,
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KernelEventKind,
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KernelVerbosity,
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TradeSide,
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TradeStage,
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VenueEventStatus,
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VenueOrder,
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VenueOrderStatus,
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)
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from prod.clean_arch.ports.execution import ExchangeStateSnapshot, ExecutionReceipt
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def _norm_symbol(symbol: str) -> str:
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return str(symbol or "").replace("-", "").replace("_", "").upper()
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def _snapshot(
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*,
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capital: float = 25_000.0,
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positions: list[dict[str, Any]] | None = None,
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open_orders: list[dict[str, Any]] | None = None,
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all_orders: list[dict[str, Any]] | None = None,
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all_fills: list[dict[str, Any]] | None = None,
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source: str = "bingx",
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) -> ExchangeStateSnapshot:
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position_map = {
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_norm_symbol(str(row.get("symbol", ""))): dict(row)
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for row in (positions or [])
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if _norm_symbol(str(row.get("symbol", "")))
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}
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return ExchangeStateSnapshot(
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timestamp=datetime.now(timezone.utc),
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capital=capital,
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equity=capital,
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open_positions=position_map,
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open_orders=[dict(row) for row in (open_orders or [])],
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all_orders=[dict(row) for row in (all_orders or [])],
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all_fills=[dict(row) for row in (all_fills or [])],
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account={"balances": [{"asset": "USDT", "total": capital}]},
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open_notional=0.0,
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source=source,
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recovered=False,
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)
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class FakeBingxBackend:
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def __init__(
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self,
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*,
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snapshots: list[ExchangeStateSnapshot],
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receipt: ExecutionReceipt | None = None,
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cancel_response: dict[str, Any] | None = None,
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) -> None:
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self.snapshots = snapshots
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self.receipt = receipt
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self.cancel_response = cancel_response or {"status": "CANCELED"}
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self.calls: list[tuple[str, Any]] = []
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self.submitted: list[Any] = []
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self.canceled: list[tuple[Any, str]] = []
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self._refresh_count = 0
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self.connected = False
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async def connect(self) -> bool:
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self.connected = True
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self.calls.append(("connect", None))
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return True
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async def disconnect(self) -> None:
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self.connected = False
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self.calls.append(("disconnect", None))
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async def refresh_state(self, symbol: str | None = None, *, include_history: bool = False) -> ExchangeStateSnapshot:
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self.calls.append(("refresh_state", symbol, include_history))
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index = min(self._refresh_count, len(self.snapshots) - 1)
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snapshot = self.snapshots[index]
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if self._refresh_count < len(self.snapshots) - 1:
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self._refresh_count += 1
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return snapshot
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async def submit_intent(self, legacy_intent: Any) -> ExecutionReceipt:
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self.calls.append(("submit_intent", legacy_intent.trade_id))
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self.submitted.append(legacy_intent)
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if self.receipt is None:
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raise AssertionError("receipt must be configured")
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return self.receipt
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async def cancel_order(self, order: VenueOrder, *, reason: str = "") -> dict[str, Any]:
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self.calls.append(("cancel_order", order.venue_order_id, reason))
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self.canceled.append((order, reason))
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return dict(self.cancel_response)
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def _intent(
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*,
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action: KernelCommandType = KernelCommandType.ENTER,
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trade_id: str = "trade-1",
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slot_id: int = 0,
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asset: str = "BTCUSDT",
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side: TradeSide = TradeSide.SHORT,
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target_size: float = 1.0,
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leverage: float = 2.0,
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reference_price: float = 75_000.0,
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reason: str = "TEST",
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) -> KernelIntent:
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return KernelIntent(
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timestamp=datetime.now(timezone.utc),
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intent_id=f"{trade_id}:{action.value}",
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trade_id=trade_id,
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slot_id=slot_id,
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asset=asset,
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side=side,
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action=action,
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reference_price=reference_price,
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target_size=target_size,
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leverage=leverage,
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reason=reason,
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)
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def test_submit_maps_bingx_ack_and_snapshot_fill_to_ditav2_events() -> None:
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ack_row = {
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"orderId": "1001",
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"clientOrderId": "cid-1",
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"clientOrderID": "cid-1",
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"symbol": "BTC-USDT",
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"status": "NEW",
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"executedQty": "0",
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"cumFilledQty": "0",
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}
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fill_row = {
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"clientOrderId": "cid-1",
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"clientOrderID": "cid-1",
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"orderId": "1001",
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"symbol": "BTC-USDT",
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"status": "FILLED",
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"executedQty": "1",
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"lastFilledQty": "1",
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"lastFillPrice": "75000",
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}
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backend = FakeBingxBackend(
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snapshots=[
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_snapshot(),
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_snapshot(
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positions=[
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{
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"symbol": "BTC-USDT",
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"positionSide": "SHORT",
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"positionAmt": "-1",
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"avgPrice": "75000",
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"markPrice": "75010",
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"leverage": "2",
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}
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],
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open_orders=[ack_row],
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all_orders=[ack_row],
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all_fills=[fill_row],
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),
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],
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receipt=ExecutionReceipt(
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timestamp=datetime.now(timezone.utc),
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status="NEW",
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symbol="BTC-USDT",
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side="SELL",
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action="ENTER",
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quantity=1.0,
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price=75_000.0,
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client_order_id="cid-1",
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order_id="1001",
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raw_ack=ack_row,
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raw_state={},
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),
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)
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adapter = BingxVenueAdapter(backend=backend)
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events = adapter.submit(_intent())
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assert backend.connected is False
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assert backend.submitted
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assert [event.kind for event in events] == [event.kind for event in events if event.kind.value]
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assert events[0].kind.value == "ORDER_ACK"
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assert events[0].status == VenueEventStatus.ACKED
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assert events[0].venue_client_id == "cid-1"
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assert events[0].venue_order_id == "1001"
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assert len(events) == 2
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assert events[1].kind.value == "FULL_FILL"
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assert events[1].status == VenueEventStatus.FILLED
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assert events[1].filled_size == pytest.approx(1.0)
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assert events[1].remaining_size == pytest.approx(0.0)
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def test_cancel_uses_bingx_cancel_surface_and_maps_cancel_ack() -> None:
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cancel_row = {
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"orderId": "2001",
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"clientOrderId": "cid-2",
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"clientOrderID": "cid-2",
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"symbol": "BTC-USDT",
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"status": "CANCELED",
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}
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backend = FakeBingxBackend(
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snapshots=[
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_snapshot(
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open_orders=[cancel_row],
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all_orders=[cancel_row],
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),
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_snapshot(),
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],
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cancel_response=cancel_row,
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)
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adapter = BingxVenueAdapter(backend=backend)
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order = VenueOrder(
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internal_trade_id="trade-2",
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venue_order_id="2001",
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venue_client_id="cid-2",
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side=TradeSide.SHORT,
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intended_size=1.0,
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status=VenueOrderStatus.NEW,
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metadata={"slot_id": 0, "asset": "BTCUSDT"},
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)
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events = adapter.cancel(order, reason="MANUAL_CLOSE")
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assert backend.canceled
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assert events[0].kind.value == "CANCEL_ACK"
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assert events[0].status == VenueEventStatus.CANCELED
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assert events[0].venue_order_id == "2001"
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assert events[0].reason == "MANUAL_CLOSE"
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def test_reconcile_and_open_views_normalize_bingx_rows() -> None:
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ack_row = {
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"orderId": "3001",
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"clientOrderId": "cid-3",
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"clientOrderID": "cid-3",
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"symbol": "ETH-USDT",
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"status": "NEW",
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"executedQty": "0",
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}
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fill_row = {
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"clientOrderId": "cid-3",
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"clientOrderID": "cid-3",
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"orderId": "3001",
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"symbol": "ETH-USDT",
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"status": "PARTIALLY_FILLED",
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"executedQty": "2",
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"lastFilledQty": "1",
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"lastFillPrice": "2500",
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}
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position_row = {
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"symbol": "ETH-USDT",
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"positionSide": "LONG",
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"positionAmt": "2",
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"avgPrice": "2500",
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"markPrice": "2510",
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"leverage": "3",
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}
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backend = FakeBingxBackend(
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snapshots=[
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_snapshot(
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positions=[position_row],
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open_orders=[ack_row],
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all_orders=[ack_row, fill_row],
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all_fills=[fill_row],
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)
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]
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)
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adapter = BingxVenueAdapter(backend=backend)
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orders = adapter.open_orders()
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positions = adapter.open_positions()
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events = adapter.reconcile()
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assert orders[0].status == VenueOrderStatus.NEW
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assert orders[0].venue_client_id == "cid-3"
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assert positions[0]["positionAmt"] == "2"
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assert any(event.kind.value == "PARTIAL_FILL" for event in events)
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assert any(event.kind.value == "ORDER_ACK" for event in events)
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def test_kernel_can_drive_through_bingx_venue_shim() -> None:
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ack_row = {
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"orderId": "4001",
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"clientOrderId": "cid-4",
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"clientOrderID": "cid-4",
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"symbol": "BTC-USDT",
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"status": "NEW",
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"executedQty": "0",
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}
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fill_row = {
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"clientOrderId": "cid-4",
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"clientOrderID": "cid-4",
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"orderId": "4001",
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"symbol": "BTC-USDT",
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"status": "FILLED",
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"executedQty": "1",
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"lastFilledQty": "1",
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"lastFillPrice": "75000",
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}
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backend = FakeBingxBackend(
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snapshots=[
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_snapshot(),
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_snapshot(
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positions=[
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{
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"symbol": "BTC-USDT",
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"positionSide": "SHORT",
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"positionAmt": "-1",
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"avgPrice": "75000",
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"markPrice": "75010",
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"leverage": "2",
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}
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],
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open_orders=[ack_row],
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all_orders=[ack_row],
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all_fills=[fill_row],
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),
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],
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receipt=ExecutionReceipt(
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timestamp=datetime.now(timezone.utc),
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status="NEW",
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symbol="BTC-USDT",
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side="SELL",
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action="ENTER",
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quantity=1.0,
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price=75_000.0,
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client_order_id="cid-4",
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order_id="4001",
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raw_ack=ack_row,
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raw_state={},
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),
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)
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kernel = ExecutionKernel(
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control_plane=InMemoryControlPlane(
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KernelControlSnapshot(mode=KernelMode.DEBUG, verbosity=KernelVerbosity.TRACE)
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),
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venue=BingxVenueAdapter(backend=backend),
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)
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outcome = kernel.process_intent(_intent(trade_id="trade-4"))
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slot = kernel.slot(0)
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assert outcome.accepted is True
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assert slot.fsm_state == TradeStage.POSITION_OPEN
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assert slot.trade_id == "trade-4"
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assert backend.submitted
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def test_submit_maps_bingx_rate_limit_to_first_class_venue_event() -> None:
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backend = FakeBingxBackend(
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snapshots=[_snapshot(), _snapshot()],
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receipt=ExecutionReceipt(
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timestamp=datetime.now(timezone.utc),
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status="RATE_LIMITED",
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symbol="BTC-USDT",
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side="SELL",
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action="ENTER",
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quantity=1.0,
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price=75_000.0,
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client_order_id="cid-rate-limit",
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order_id="",
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raw_ack={
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"status": "RATE_LIMITED",
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"msg": "code:100410 endpoint is in disabled/frequency-limited period",
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"retryAfter": int(datetime.now(timezone.utc).timestamp() * 1000) + 2_500,
|
||
|
|
},
|
||
|
|
raw_state={},
|
||
|
|
),
|
||
|
|
)
|
||
|
|
adapter = BingxVenueAdapter(backend=backend)
|
||
|
|
|
||
|
|
events = adapter.submit(_intent(trade_id="trade-rate-limit"))
|
||
|
|
|
||
|
|
assert len(events) == 1
|
||
|
|
assert events[0].kind == KernelEventKind.RATE_LIMITED
|
||
|
|
assert events[0].status == VenueEventStatus.RATE_LIMITED
|
||
|
|
assert events[0].venue_client_id == "cid-rate-limit"
|
||
|
|
assert events[0].metadata["retry_after_ms"] >= 0
|