242 lines
11 KiB
Python
242 lines
11 KiB
Python
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"""V2a: hypothesis property tests (V-TYPES doctrine).
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Three targets, highest value first:
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1. ExecutionRouter state machine — the accounting-adjacent core: pop-
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semantics make fill-vs-retry mutually exclusive, EXITs are never
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suppressible by expiry, retry chains are bounded.
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2. LatencyHistogram.percentile_ns — the gate numbers themselves (the
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nearest-rank/banker's-rounding bug class is live in this codebase's
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history).
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3. DivergenceRow — NaN/inf/negative inputs always rejected; valid rows
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round-trip unchanged.
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"""
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from __future__ import annotations
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import math
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import sys
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sys.path.insert(0, "/mnt/dolphinng5_predict")
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import pytest
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from hypothesis import HealthCheck, given, settings, strategies as st
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from hypothesis.stateful import (
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RuleBasedStateMachine,
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initialize,
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invariant,
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precondition,
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rule,
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)
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from pydantic import ValidationError
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from prod.clean_arch.dita_v2.exec_router import (
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ExecConfig,
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ExecutionRouter,
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MissAction,
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)
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from prod.clean_arch.violet.clock import LatencyHistogram
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from prod.clean_arch.violet.domain import DivergenceRow
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# ── 1. router state machine ───────────────────────────────────────────────────
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class RouterMachine(RuleBasedStateMachine):
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"""Drives the REAL ExecutionRouter through plan/register/fill/cancel/
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expiry sequences with a fake clock, asserting the V2 driver's load-
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bearing invariants."""
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@initialize(retries=st.integers(min_value=0, max_value=3),
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exhaust=st.sampled_from(["skip", "market"]))
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def setup(self, retries, exhaust):
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self.now = 1000.0
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self.cfg = ExecConfig(style="maker_both", entry_miss="retry",
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entry_retries=retries, retry_exhaust=exhaust)
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self.router = ExecutionRouter(self.cfg, clock=lambda: self.now)
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self.n = 0
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self.filled: set[str] = set()
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self.retried: set[str] = set() # trade_ids consumed by a retry
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self.retry_count: dict[str, int] = {} # base_trade_id → retries used
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def _fresh_tid(self) -> str:
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self.n += 1
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return f"T{self.n:04d}"
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@rule(px=st.floats(min_value=0.5, max_value=50_000, allow_nan=False))
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def plan_and_register_entry(self, px):
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tid = self._fresh_tid()
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plan = self.router.plan_entry(trade_id=tid, asset="BTCUSDT",
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position_side="SHORT", reference_price=px)
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if self.router.has_working_entry() and plan.suppress:
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return # R2: slot spoken for
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assert not plan.suppress
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if plan.is_maker:
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assert plan.sane() and plan.order_type == "LIMIT"
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self.router.register_working(trade_id=tid, asset="BTCUSDT",
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position_side="SHORT", plan=plan)
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@rule(px=st.floats(min_value=0.5, max_value=50_000, allow_nan=False),
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reason=st.sampled_from(["TAKE_PROFIT", "STOP_LOSS", "MAX_HOLD",
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"CATASTROPHIC", "ADVSL"]))
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def plan_exit_never_stranded(self, px, reason):
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tid = self._fresh_tid()
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plan = self.router.plan_exit(trade_id=tid, asset="BTCUSDT",
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position_side="SHORT",
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reference_price=px, reason=reason)
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# RULE 1: with no same-trade working exit, an exit plan is never
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# suppressed — maker or MARKET, it reaches the venue.
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assert not plan.suppress
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assert plan.sane()
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if plan.is_maker:
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self.router.register_working(trade_id=tid, asset="BTCUSDT",
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position_side="SHORT", plan=plan)
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@precondition(lambda self: self.router.working_orders())
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@rule(data=st.data())
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def fill_working(self, data):
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wo = data.draw(st.sampled_from(self.router.working_orders()))
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self.router.note_fill(wo.trade_id)
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assert wo.trade_id not in self.retried, \
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"a trade_id must never be both filled and retried"
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self.filled.add(wo.trade_id)
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assert self.router.working(wo.trade_id) is None # pop semantics
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@precondition(lambda self: any(w.action == "ENTER"
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for w in self.router.working_orders()))
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@rule(data=st.data(),
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px=st.floats(min_value=0.5, max_value=50_000, allow_nan=False))
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def expire_entry_and_apply_miss_policy(self, data, px):
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entries = [w for w in self.router.working_orders() if w.action == "ENTER"]
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wo = data.draw(st.sampled_from(entries))
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self.now += 1000.0 # everything expires
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action = self.router.entry_miss_action(wo)
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self.router.note_cancel(wo.trade_id) # runtime cancelled the quote
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assert wo.trade_id not in self.filled, \
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"a filled trade must never reach the miss path (pop semantics)"
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if action == MissAction.RETRY:
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self.retried.add(wo.trade_id)
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used = self.retry_count.get(wo.base_trade_id, 0) + 1
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self.retry_count[wo.base_trade_id] = used
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assert used <= self.cfg.entry_retries, "retry chain must be bounded"
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new_tid, plan = self.router.retry_plan(wo, reference_price=px)
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assert new_tid == f"{wo.base_trade_id}-r{wo.retry_n + 1}"
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assert plan.action == "ENTER"
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if plan.is_maker and not self.router.has_working_entry():
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self.router.register_working(
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trade_id=new_tid, asset=wo.asset, position_side=wo.side,
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plan=plan, base_trade_id=wo.base_trade_id,
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retry_n=wo.retry_n + 1)
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elif action == MissAction.MARKET:
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new_tid, plan = self.router.market_fallback_plan(wo)
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assert new_tid == f"{wo.base_trade_id}-m" # ENTER → fresh lifecycle
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assert plan.action == "ENTER" and plan.order_type == "MARKET"
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else:
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assert action == MissAction.SKIP
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@precondition(lambda self: any(w.action == "EXIT"
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for w in self.router.working_orders()))
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@rule(data=st.data())
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def expire_exit_escalates_market_same_trade(self, data):
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exits = [w for w in self.router.working_orders() if w.action == "EXIT"]
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wo = data.draw(st.sampled_from(exits))
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self.now += 1000.0
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new_tid, plan = self.router.market_fallback_plan(wo)
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# RULE 1: the MARKET escalation stays attached to the SAME trade.
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assert new_tid == wo.trade_id
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assert plan.action == "EXIT" and plan.order_type == "MARKET"
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assert not plan.suppress
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self.router.note_cancel(wo.trade_id)
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@invariant()
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def registry_is_consistent(self):
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wos = self.router.working_orders()
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assert len({w.trade_id for w in wos}) == len(wos)
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for w in wos:
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assert w.retries_left >= 0
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assert w.trade_id not in self.filled # filled ⇒ popped, forever
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assert sum(1 for w in wos if w.action == "ENTER") <= 1 # R2
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# derandomize: the suite must be reproducible run-to-run (the V0/V2 gates
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# assert determinism elsewhere; a flaky property is worse than a fixed one).
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# Health checks are suppressed because rule preconditions legitimately
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# filter often and CPU contention during the full suite trips too_slow.
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RouterMachine.TestCase.settings = settings(
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max_examples=30, stateful_step_count=30, deadline=None,
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derandomize=True, suppress_health_check=list(HealthCheck))
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TestRouterMachine = RouterMachine.TestCase
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# ── 2. LatencyHistogram percentile laws ───────────────────────────────────────
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@given(samples=st.lists(st.integers(min_value=0, max_value=10**12),
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min_size=1, max_size=500),
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p=st.floats(min_value=0.001, max_value=1.0))
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@settings(max_examples=150, deadline=None, derandomize=True,
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suppress_health_check=[HealthCheck.too_slow])
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def test_percentile_is_a_retained_sample(samples, p):
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h = LatencyHistogram("prop")
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for s in samples:
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h.record(s)
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assert h.percentile_ns(p) in samples
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@given(samples=st.lists(st.integers(min_value=0, max_value=10**12),
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min_size=1, max_size=500))
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@settings(max_examples=100, deadline=None, derandomize=True,
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suppress_health_check=[HealthCheck.too_slow])
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def test_percentile_monotone_and_extremes(samples):
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h = LatencyHistogram("prop")
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for s in samples:
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h.record(s)
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ps = [0.01, 0.25, 0.5, 0.9, 0.99, 0.999, 1.0]
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vals = [h.percentile_ns(p) for p in ps]
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assert vals == sorted(vals), "percentile must be monotone in p"
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assert vals[-1] == max(samples)
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assert h.percentile_ns(0.0000001) == min(samples)
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# ── 3. DivergenceRow parse laws ───────────────────────────────────────────────
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_finite_px = st.floats(min_value=1e-9, max_value=1e9,
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allow_nan=False, allow_infinity=False)
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_any_float = st.floats(allow_nan=True, allow_infinity=True)
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@given(scan=_finite_px, mid=_finite_px,
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bps=st.floats(min_value=-1e6, max_value=1e6, allow_nan=False),
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sseq=st.integers(min_value=0, max_value=2**31),
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vseq=st.integers(min_value=0, max_value=2**31))
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@settings(max_examples=150, deadline=None, derandomize=True,
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suppress_health_check=[HealthCheck.too_slow])
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def test_valid_rows_round_trip(scan, mid, bps, sseq, vseq):
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src = dict(ts=1, session_id="s", asset="BTCUSDT", scan_price=scan,
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venue_mid=mid, divergence_bps=bps, scan_seq=sseq,
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venue_seq=vseq, mono_ns=0)
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assert DivergenceRow(**src).model_dump() == src
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@given(bad_px=_any_float)
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@settings(max_examples=150, deadline=None, derandomize=True,
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suppress_health_check=[HealthCheck.too_slow])
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def test_nonpositive_or_nonfinite_prices_always_rejected(bad_px):
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if math.isfinite(bad_px) and bad_px > 0:
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return # valid by definition
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with pytest.raises(ValidationError):
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DivergenceRow(ts=1, session_id="s", asset="BTCUSDT",
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scan_price=bad_px, venue_mid=1.0, divergence_bps=0.0,
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scan_seq=0, venue_seq=0, mono_ns=0)
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@given(seq=st.integers(max_value=-1))
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@settings(max_examples=50, deadline=None, derandomize=True,
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suppress_health_check=[HealthCheck.too_slow])
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def test_negative_seqs_always_rejected(seq):
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with pytest.raises(ValidationError):
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DivergenceRow(ts=1, session_id="s", asset="BTCUSDT",
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scan_price=1.0, venue_mid=1.0, divergence_bps=0.0,
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scan_seq=seq, venue_seq=0, mono_ns=0)
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if __name__ == "__main__":
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raise SystemExit(pytest.main([__file__, "-v"]))
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