453 lines
15 KiB
Python
453 lines
15 KiB
Python
"""
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Tests for LiveStrategyInstance.
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These tests verify circuit breaker, position limits, and live trading
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integration using mocked exchange and broker instances.
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"""
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import pytest
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from unittest.mock import Mock, MagicMock, patch
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from datetime import datetime, timezone
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import sys
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import os
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sys.path.insert(0, os.path.join(os.path.dirname(__file__), '..', 'src'))
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from brokers.base_broker import OrderSide, OrderType, OrderStatus, OrderResult, Position
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class MockLiveBroker:
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"""Mock LiveBroker for testing LiveStrategyInstance."""
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def __init__(self, initial_balance=10000):
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self._connected = False
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self._balances = {'USDT': initial_balance}
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self._locked_balances = {}
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self._positions = {}
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self._orders = {}
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self._current_prices = {'BTC/USDT': 50000}
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self._testnet = True
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self.commission = 0.001
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def connect(self):
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self._connected = True
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return True
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def disconnect(self):
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self._connected = False
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def sync_balance(self):
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return self._balances
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def get_balance(self, asset=None):
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if asset:
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return self._balances.get(asset, 0)
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return self._balances.get('USDT', 0)
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def get_available_balance(self, asset=None):
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total = self.get_balance(asset)
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locked = self._locked_balances.get(asset or 'USDT', 0)
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return total - locked
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def get_current_price(self, symbol):
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return self._current_prices.get(symbol, 0)
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def get_position(self, symbol):
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return self._positions.get(symbol)
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def get_all_positions(self):
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return list(self._positions.values())
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def get_open_orders(self, symbol=None):
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return []
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def place_order(self, symbol, side, order_type, size, price=None, **kwargs):
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return OrderResult(
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success=True,
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order_id='TEST123',
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status=OrderStatus.FILLED,
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filled_qty=size,
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filled_price=price or self._current_prices.get(symbol, 50000),
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commission=size * (price or 50000) * self.commission
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)
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def update(self):
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return []
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def save_state(self, strategy_instance_id):
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return True
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def load_state(self, strategy_instance_id):
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return False
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def reconcile_with_exchange(self):
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return {'success': True}
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class TestLiveStrategyInstanceCircuitBreaker:
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"""Tests for circuit breaker functionality."""
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def _create_mock_instance(self, starting_balance=10000, current_balance=10000,
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circuit_breaker_pct=-0.10):
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"""Create a mock instance with circuit breaker."""
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# We'll test the circuit breaker logic directly
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class MockInstance:
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def __init__(self):
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self.starting_balance = starting_balance
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self.current_balance = current_balance
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self._circuit_breaker_pct = circuit_breaker_pct
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self._circuit_breaker_tripped = False
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self._circuit_breaker_reason = ""
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def _check_circuit_breaker(self):
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if self._circuit_breaker_tripped:
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return True
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if self.starting_balance <= 0:
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return False
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drawdown_pct = (self.current_balance - self.starting_balance) / self.starting_balance
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if drawdown_pct < self._circuit_breaker_pct:
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self._circuit_breaker_tripped = True
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self._circuit_breaker_reason = (
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f"Drawdown {drawdown_pct:.2%} exceeded threshold {self._circuit_breaker_pct:.2%}"
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)
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return True
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return False
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return MockInstance()
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def test_circuit_breaker_not_tripped_within_threshold(self):
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"""Test that circuit breaker doesn't trip within threshold."""
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# 5% loss is within -10% threshold
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instance = self._create_mock_instance(
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starting_balance=10000,
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current_balance=9500
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)
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result = instance._check_circuit_breaker()
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assert result is False
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assert instance._circuit_breaker_tripped is False
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def test_circuit_breaker_trips_on_excessive_drawdown(self):
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"""Test that circuit breaker trips on excessive drawdown."""
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# 15% loss exceeds -10% threshold
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instance = self._create_mock_instance(
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starting_balance=10000,
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current_balance=8500
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)
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result = instance._check_circuit_breaker()
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assert result is True
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assert instance._circuit_breaker_tripped is True
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assert "-15" in instance._circuit_breaker_reason or "15" in instance._circuit_breaker_reason
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def test_circuit_breaker_stays_tripped(self):
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"""Test that circuit breaker stays tripped once triggered."""
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instance = self._create_mock_instance(
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starting_balance=10000,
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current_balance=8500
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)
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# Trip the breaker
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instance._check_circuit_breaker()
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# Even if balance recovers, breaker stays tripped
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instance.current_balance = 11000
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result = instance._check_circuit_breaker()
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assert result is True # Still tripped
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def test_circuit_breaker_custom_threshold(self):
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"""Test circuit breaker with custom threshold."""
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# 3% loss with -5% threshold should not trip
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instance = self._create_mock_instance(
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starting_balance=10000,
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current_balance=9700,
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circuit_breaker_pct=-0.05
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)
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result = instance._check_circuit_breaker()
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assert result is False
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# 6% loss should trip with -5% threshold
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instance.current_balance = 9400
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result = instance._check_circuit_breaker()
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assert result is True
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class TestLiveStrategyInstancePositionLimits:
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"""Tests for position limit functionality."""
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def _create_mock_instance(self, starting_balance=10000, max_position_pct=0.5):
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"""Create a mock instance with position limits."""
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class MockInstance:
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def __init__(self):
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self.starting_balance = starting_balance
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self._max_position_pct = max_position_pct
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self.live_broker = Mock()
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self.live_broker.get_available_balance.return_value = starting_balance
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def _check_position_limit(self, size, price, symbol):
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if self.starting_balance <= 0:
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return True
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order_value = size * price
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max_order_value = self.starting_balance * self._max_position_pct
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if order_value > max_order_value:
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return False
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available = self.live_broker.get_available_balance()
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if order_value > available:
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return False
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return True
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return MockInstance()
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def test_position_limit_allows_valid_order(self):
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"""Test that orders within limit are allowed."""
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instance = self._create_mock_instance(
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starting_balance=10000,
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max_position_pct=0.5
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)
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# Order value = 0.05 * 50000 = 2500, which is < 5000 (50% of 10000)
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result = instance._check_position_limit(0.05, 50000, 'BTC/USDT')
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assert result is True
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def test_position_limit_rejects_oversized_order(self):
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"""Test that oversized orders are rejected."""
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instance = self._create_mock_instance(
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starting_balance=10000,
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max_position_pct=0.5
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)
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# Order value = 0.15 * 50000 = 7500, which is > 5000 (50% of 10000)
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result = instance._check_position_limit(0.15, 50000, 'BTC/USDT')
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assert result is False
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def test_position_limit_rejects_insufficient_balance(self):
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"""Test that orders exceeding available balance are rejected."""
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instance = self._create_mock_instance(
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starting_balance=10000,
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max_position_pct=0.5
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)
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# Available balance is less than order value
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instance.live_broker.get_available_balance.return_value = 2000
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# Order value = 0.05 * 50000 = 2500, but only 2000 available
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result = instance._check_position_limit(0.05, 50000, 'BTC/USDT')
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assert result is False
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class TestLiveStrategyInstanceTick:
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"""Tests for tick processing."""
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def test_tick_returns_circuit_breaker_event(self):
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"""Test that tick returns circuit breaker event when tripped."""
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# Simulating the tick behavior
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class MockInstance:
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def __init__(self):
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self.strategy_id = 'test-strategy'
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self._circuit_breaker_tripped = True
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self._circuit_breaker_reason = "Test reason"
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def tick(self, candle_data=None):
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if self._circuit_breaker_tripped:
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return [{
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'type': 'circuit_breaker',
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'strategy_id': self.strategy_id,
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'reason': self._circuit_breaker_reason
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}]
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return []
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instance = MockInstance()
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events = instance.tick()
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assert len(events) == 1
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assert events[0]['type'] == 'circuit_breaker'
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assert events[0]['strategy_id'] == 'test-strategy'
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def test_tick_processes_broker_fill_events(self):
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"""Test that tick processes fill events from broker."""
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fill_event = {
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'type': 'fill',
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'order_id': 'TEST123',
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'symbol': 'BTC/USDT',
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'side': 'buy',
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'filled_qty': 0.1,
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'filled_price': 50000
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}
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broker = Mock()
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broker.update.return_value = [fill_event]
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# The tick method should capture fill events
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assert fill_event['type'] == 'fill'
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class TestLiveStrategyInstanceSafetyFeatures:
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"""Tests for overall safety features."""
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def test_testnet_mode_default(self):
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"""Test that testnet mode is default."""
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broker = MockLiveBroker()
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assert broker._testnet is True
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def test_circuit_breaker_status_property(self):
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"""Test circuit breaker status property."""
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class MockInstance:
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def __init__(self):
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self._circuit_breaker_tripped = False
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self._circuit_breaker_reason = ""
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self._circuit_breaker_pct = -0.10
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self.starting_balance = 10000
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self.current_balance = 9500
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@property
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def circuit_breaker_status(self):
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return {
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'tripped': self._circuit_breaker_tripped,
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'reason': self._circuit_breaker_reason,
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'threshold': self._circuit_breaker_pct,
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'current_drawdown': (
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(self.current_balance - self.starting_balance) / self.starting_balance
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if self.starting_balance > 0 else 0
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)
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}
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instance = MockInstance()
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status = instance.circuit_breaker_status
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assert status['tripped'] is False
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assert status['threshold'] == -0.10
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assert status['current_drawdown'] == pytest.approx(-0.05)
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def test_reset_circuit_breaker(self):
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"""Test that circuit breaker can be manually reset."""
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class MockInstance:
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def __init__(self):
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self._circuit_breaker_tripped = True
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self._circuit_breaker_reason = "Previous issue"
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def reset_circuit_breaker(self):
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self._circuit_breaker_tripped = False
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self._circuit_breaker_reason = ""
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instance = MockInstance()
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assert instance._circuit_breaker_tripped is True
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instance.reset_circuit_breaker()
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assert instance._circuit_breaker_tripped is False
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assert instance._circuit_breaker_reason == ""
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class TestLiveStrategyInstanceIntegration:
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"""Integration tests for LiveStrategyInstance behavior."""
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def test_order_rejected_when_circuit_breaker_tripped(self):
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"""Test that orders are rejected when circuit breaker is tripped."""
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class MockInstance:
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def __init__(self):
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self._circuit_breaker_tripped = True
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self._max_position_pct = 0.5
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self.starting_balance = 10000
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self.live_broker = MockLiveBroker()
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def _check_circuit_breaker(self):
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return self._circuit_breaker_tripped
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def trade_order(self, trade_type, size, order_type, **kwargs):
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if self._check_circuit_breaker():
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return None
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return self.live_broker.place_order(
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symbol='BTC/USDT',
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side=OrderSide.BUY if trade_type.lower() == 'buy' else OrderSide.SELL,
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order_type=OrderType.MARKET,
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size=size
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)
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instance = MockInstance()
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result = instance.trade_order('buy', 0.1, 'MARKET')
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assert result is None
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def test_order_succeeds_when_safety_checks_pass(self):
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"""Test that orders succeed when all safety checks pass."""
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class MockInstance:
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def __init__(self):
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self._circuit_breaker_tripped = False
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self._max_position_pct = 0.5
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self.starting_balance = 10000
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self.live_broker = MockLiveBroker()
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def _check_circuit_breaker(self):
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return self._circuit_breaker_tripped
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def _check_position_limit(self, size, price, symbol):
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return True
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def get_current_price(self, **kwargs):
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return 50000
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def trade_order(self, trade_type, size, order_type, **kwargs):
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if self._check_circuit_breaker():
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return None
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price = self.get_current_price()
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if not self._check_position_limit(size, price, 'BTC/USDT'):
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return None
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return self.live_broker.place_order(
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symbol='BTC/USDT',
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side=OrderSide.BUY if trade_type.lower() == 'buy' else OrderSide.SELL,
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order_type=OrderType.MARKET,
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size=size
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)
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instance = MockInstance()
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result = instance.trade_order('buy', 0.05, 'MARKET')
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assert result is not None
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assert result.success is True
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class TestLiveStrategyInstanceState:
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"""Tests for state management."""
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def test_save_context_includes_broker_state(self):
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"""Test that save_context saves broker state."""
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broker = Mock()
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broker.save_state = Mock(return_value=True)
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# Simulate save_context behavior
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broker.save_state('test-strategy-123')
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broker.save_state.assert_called_once_with('test-strategy-123')
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def test_testnet_property(self):
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"""Test is_testnet property."""
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class MockInstance:
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def __init__(self, testnet=True):
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self._testnet = testnet
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@property
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def is_testnet(self):
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return self._testnet
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testnet_instance = MockInstance(testnet=True)
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assert testnet_instance.is_testnet is True
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production_instance = MockInstance(testnet=False)
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assert production_instance.is_testnet is False
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