Add IncrementalCycleDetector and related classes for cycle scoring

- Implement IncrementalCycleDetector for scoring based on updated market data. - Introduce CycleScore class to encapsulate cycle scoring details. - Update CurrencyGraph and MarketDataFeed to integrate cycle detection. - Add unit tests for IncrementalCycleDetector functionality.
2026-06-01 10:36:35 +02:00
parent 7d3071463e
commit 652b20274a
5 changed files with 223 additions and 8 deletions
@@ -0,0 +1,66 @@
+from arbitrade.detection.engine import IncrementalCycleDetector
+from arbitrade.detection.graph import CurrencyGraph, TriangularCycle
+from arbitrade.exchange.models import BookLevel
+from arbitrade.market_data.order_book import OrderBook
+
+
+def _make_book(*, bid: float, ask: float) -> OrderBook:
+    book = OrderBook()
+    book.apply_bids([BookLevel(price=bid, volume=1.0)])
+    book.apply_asks([BookLevel(price=ask, volume=1.0)])
+    return book
+
+
+def test_incremental_detector_scores_only_cycles_touched_by_pair() -> None:
+    cycle_a = TriangularCycle(
+        currencies=("USD", "BTC", "ETH"),
+        pairs=("BTC/USD", "ETH/BTC", "ETH/USD"),
+    )
+    cycle_b = TriangularCycle(
+        currencies=("USD", "BTC", "LTC"),
+        pairs=("BTC/USD", "LTC/BTC", "LTC/USD"),
+    )
+    cycle_c = TriangularCycle(
+        currencies=("USD", "SOL", "ADA"),
+        pairs=("SOL/USD", "ADA/SOL", "ADA/USD"),
+    )
+
+    cycles = [cycle_a, cycle_b, cycle_c]
+    index = CurrencyGraph.index_cycles_by_pair(cycles)
+    detector = IncrementalCycleDetector(index)
+
+    books = {
+        "BTC/USD": _make_book(bid=100.0, ask=100.0),
+        "ETH/BTC": _make_book(bid=0.05, ask=0.05),
+        "ETH/USD": _make_book(bid=5.20, ask=5.21),
+        "LTC/BTC": _make_book(bid=0.01, ask=0.01),
+        "LTC/USD": _make_book(bid=1.02, ask=1.03),
+        "SOL/USD": _make_book(bid=20.0, ask=20.1),
+        "ADA/SOL": _make_book(bid=0.02, ask=0.021),
+        "ADA/USD": _make_book(bid=0.42, ask=0.43),
+    }
+
+    scores = detector.score_updated_pair("BTC/USD", books)
+
+    assert len(scores) == 2
+    assert {score.cycle for score in scores} == {cycle_a, cycle_b}
+
+
+def test_incremental_detector_uses_best_bid_ask_for_gross_rate() -> None:
+    cycle = TriangularCycle(
+        currencies=("USD", "BTC", "ETH"),
+        pairs=("BTC/USD", "ETH/BTC", "ETH/USD"),
+    )
+    detector = IncrementalCycleDetector(CurrencyGraph.index_cycles_by_pair([cycle]))
+
+    books = {
+        "BTC/USD": _make_book(bid=99.9, ask=100.0),
+        "ETH/BTC": _make_book(bid=0.049, ask=0.05),
+        "ETH/USD": _make_book(bid=5.20, ask=5.21),
+    }
+
+    scores = detector.score_updated_pair("ETH/BTC", books)
+
+    assert len(scores) == 1
+    assert scores[0].gross_rate == 1.04
+    assert scores[0].is_profitable