zwitschi
93f4f62d42
- Add IdempotencyKeyFactory for generating unique user references based on execution legs. - Introduce OrderReconciler to reconcile order statuses with historical data. - Implement PartialFillRecovery to handle partial fills by canceling orders and placing hedges. - Create TriangularExecutionSequencer for executing triangular arbitrage strategies. - Enhance storage with new tables for trades, orders, and PnL events. - Develop AsyncExecutionWriter for asynchronous writing of execution records to the database. - Add unit tests for execution persistence, sequencer behavior, fill monitoring, and idempotency checks. - Update KrakenRestClient to ensure proper payloads for order placement and querying.
113 lines
3.5 KiB
Python
113 lines
3.5 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass, field
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from datetime import UTC, datetime
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from typing import Any
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import pytest
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from arbitrade.execution.fill_monitor import FillMonitor, OrderFillState
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@dataclass(slots=True)
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class _FakePollClient:
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responses: list[dict[str, Any]]
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calls: int = 0
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async def query_order(self, *, order_id: str, include_trades: bool = True) -> dict[str, Any]:
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self.calls += 1
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if self.responses:
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return self.responses.pop(0)
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return {order_id: {"status": "open", "vol_exec": "0.0", "price": "0.0"}}
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@dataclass(slots=True)
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class _FakeWsProvider:
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states: list[OrderFillState] = field(default_factory=list)
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def get(self, _order_id: str) -> OrderFillState | None:
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if not self.states:
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return None
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return self.states.pop(0)
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@pytest.mark.asyncio
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async def test_fill_monitor_detects_terminal_state_via_polling() -> None:
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order_id = "order-1"
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client = _FakePollClient(
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responses=[
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{order_id: {"status": "open", "vol_exec": "0.0", "price": "0.0"}},
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{order_id: {"status": "closed", "vol_exec": "1.0", "price": "100.0"}},
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]
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)
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monitor = FillMonitor(client, poll_interval_seconds=0.001, max_wait_seconds=0.1)
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result = await monitor.wait_for_terminal_fill(order_id)
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assert not result.timed_out
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assert result.terminal_state is not None
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assert result.terminal_state.status == "closed"
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assert result.terminal_state.filled_volume == 1.0
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assert result.terminal_state.source == "rest_poll"
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@pytest.mark.asyncio
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async def test_fill_monitor_times_out_when_no_terminal_state() -> None:
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order_id = "order-2"
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client = _FakePollClient(
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responses=[
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{order_id: {"status": "open", "vol_exec": "0.1", "price": "100.0"}},
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{order_id: {"status": "partial", "vol_exec": "0.2", "price": "100.0"}},
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{order_id: {"status": "open", "vol_exec": "0.2", "price": "100.0"}},
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]
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)
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monitor = FillMonitor(client, poll_interval_seconds=0.001, max_wait_seconds=0.01)
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result = await monitor.wait_for_terminal_fill(order_id)
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assert result.timed_out
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assert result.terminal_state is None
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assert result.last_state is not None
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assert result.last_state.status in {"open", "partial"}
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@pytest.mark.asyncio
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async def test_fill_monitor_uses_ws_status_for_fast_terminal_detection() -> None:
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order_id = "order-3"
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ws_provider = _FakeWsProvider(
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states=[
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OrderFillState(
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order_id=order_id,
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status="closed",
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filled_volume=0.5,
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avg_price=200.0,
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updated_at=datetime.now(UTC),
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source="ws",
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)
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]
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)
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client = _FakePollClient(responses=[])
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monitor = FillMonitor(
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client,
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poll_interval_seconds=0.001,
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max_wait_seconds=0.1,
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ws_status_provider=ws_provider.get,
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)
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result = await monitor.wait_for_terminal_fill(order_id)
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assert not result.timed_out
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assert result.terminal_state is not None
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assert result.terminal_state.source == "ws"
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assert client.calls == 0
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def test_fill_monitor_rejects_invalid_configuration() -> None:
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client = _FakePollClient(responses=[])
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with pytest.raises(ValueError, match="poll_interval_seconds"):
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FillMonitor(client, poll_interval_seconds=0.0)
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with pytest.raises(ValueError, match="max_wait_seconds"):
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FillMonitor(client, max_wait_seconds=0.0)
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