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