Add benchmark detection script and related tests; refactor settings and update project scripts

tests/unit/test_detection_benchmark.py

@@ -0,0 +1,19 @@
+import pytest
+
+from arbitrade.detection.benchmark import run_incremental_detection_benchmark
+
+
+def test_incremental_detection_benchmark_returns_metrics() -> None:
+    result = run_incremental_detection_benchmark(iterations=500)
+
+    assert result.iterations == 500
+    assert result.total_ms > 0.0
+    assert result.avg_ms > 0.0
+    assert result.p50_ms > 0.0
+    assert result.p95_ms > 0.0
+    assert result.max_ms >= result.p95_ms
+
+
+def test_incremental_detection_benchmark_rejects_invalid_iterations() -> None:
+    with pytest.raises(ValueError, match="iterations"):
+        run_incremental_detection_benchmark(iterations=0)

tests/unit/test_detection_synthetic_books.py

@@ -0,0 +1,119 @@
+from __future__ import annotations
+
+import pytest
+
+from arbitrade.detection.engine import IncrementalCycleDetector
+from arbitrade.detection.graph import CurrencyGraph
+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=2_000.0)])
+    book.apply_asks([BookLevel(price=ask, volume=2_000.0)])
+    return book
+
+
+def _make_book_levels(
+    *, bids: list[tuple[float, float]], asks: list[tuple[float, float]]
+) -> OrderBook:
+    book = OrderBook()
+    book.apply_bids([BookLevel(price=price, volume=volume)
+                    for price, volume in bids])
+    book.apply_asks([BookLevel(price=price, volume=volume)
+                    for price, volume in asks])
+    return book
+
+
+def test_synthetic_single_cycle_known_exact_rates() -> None:
+    asset_pairs = {
+        "XXBTZUSD": {"wsname": "BTC/USD"},
+        "XETHXXBT": {"wsname": "ETH/BTC"},
+        "XETHZUSD": {"wsname": "ETH/USD"},
+    }
+    graph = CurrencyGraph.from_kraken_asset_pairs(asset_pairs)
+    detector = IncrementalCycleDetector(
+        graph.index_cycles_by_pair(graph.triangular_cycles()),
+        fee_rate=0.001,
+        max_depth_levels=1,
+    )
+
+    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
+    score = scores[0]
+    # Known path result: 1 USD -> 0.01 BTC -> 0.2 ETH -> 1.04 USD gross.
+    assert score.gross_rate == pytest.approx(1.04)
+    assert score.net_rate == pytest.approx(1.04 * (1 - 0.001) ** 3)
+
+
+def test_synthetic_two_cycles_known_filtering_and_pair_index() -> None:
+    asset_pairs = {
+        "XXBTZUSD": {"wsname": "BTC/USD"},
+        "XETHXXBT": {"wsname": "ETH/BTC"},
+        "XETHZUSD": {"wsname": "ETH/USD"},
+        "XLTCXXBT": {"wsname": "LTC/BTC"},
+        "XLTCZUSD": {"wsname": "LTC/USD"},
+    }
+    graph = CurrencyGraph.from_kraken_asset_pairs(asset_pairs)
+    detector = IncrementalCycleDetector(
+        graph.index_cycles_by_pair(graph.triangular_cycles()),
+        min_profit_threshold=0.02,
+        max_depth_levels=3,
+    )
+
+    books = {
+        # ETH cycle expected to pass threshold (~4% gross)
+        "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),
+        # LTC cycle expected to fail threshold (<2% gross)
+        "LTC/BTC": _make_book(bid=0.01005, ask=0.0101),
+        "LTC/USD": _make_book(bid=1.01, ask=1.011),
+    }
+
+    scores = detector.score_updated_pair("BTC/USD", books)
+
+    assert len(scores) == 1
+    assert scores[0].cycle.currencies == ("BTC", "ETH", "USD")
+    assert (scores[0].net_rate - 1.0) >= 0.02
+
+
+def test_synthetic_depth_scenario_known_no_result_when_not_fillable() -> None:
+    asset_pairs = {
+        "XXBTZUSD": {"wsname": "BTC/USD"},
+        "XETHXXBT": {"wsname": "ETH/BTC"},
+        "XETHZUSD": {"wsname": "ETH/USD"},
+    }
+    graph = CurrencyGraph.from_kraken_asset_pairs(asset_pairs)
+    detector = IncrementalCycleDetector(
+        graph.index_cycles_by_pair(graph.triangular_cycles()),
+        max_depth_levels=2,
+    )
+
+    books = {
+        # Not enough ask-side BTC/USD capacity inside top-2 levels for initial USD->BTC conversion.
+        "BTC/USD": _make_book_levels(
+            bids=[(99.9, 10.0)],
+            asks=[(100.0, 0.003), (101.0, 0.003)],
+        ),
+        "ETH/BTC": _make_book_levels(
+            bids=[(0.049, 10.0)],
+            asks=[(0.05, 10.0)],
+        ),
+        "ETH/USD": _make_book_levels(
+            bids=[(5.20, 10.0)],
+            asks=[(5.21, 10.0)],
+        ),
+    }
+
+    scores = detector.score_updated_pair("BTC/USD", books)
+
+    assert scores == []