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.
110 lines
2.7 KiB
Python
110 lines
2.7 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass
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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.detection.engine import OpportunityEvent
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from arbitrade.execution.idempotency import IdempotencyKeyFactory, OrderReconciler
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from arbitrade.execution.sequencer import ExecutionLeg
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@dataclass(slots=True)
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class _FakeHistoryClient:
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response: dict[str, Any]
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async def query_order(self, *, order_id: str, include_trades: bool = True) -> dict[str, Any]:
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return self.response
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def _sample_event() -> OpportunityEvent:
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return OpportunityEvent(
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detected_at=datetime.now(UTC),
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cycle="USD->BTC->ETH->USD",
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updated_pair="BTC/USD",
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gross_rate=1.02,
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net_rate=1.01,
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gross_pct=2.0,
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net_pct=1.0,
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est_profit=1.0,
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allocated_capital=10.0,
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)
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def test_idempotency_key_factory_is_deterministic() -> None:
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factory = IdempotencyKeyFactory()
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event = _sample_event()
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leg = ExecutionLeg(
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from_currency="USD",
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to_currency="BTC",
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pair="BTC/USD",
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side="buy",
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volume=10.0,
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)
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first = factory.user_ref_for_leg(event, leg, 0)
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second = factory.user_ref_for_leg(event, leg, 0)
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assert first == second
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assert first > 0
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@pytest.mark.asyncio
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async def test_order_reconciler_maps_query_response_to_report() -> None:
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client = _FakeHistoryClient(
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response={
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"order-1": {
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"status": "closed",
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"vol_exec": "5.0",
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"price": "100.0",
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"pair": "BTC/USD",
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"type": "buy",
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"userref": 12345,
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}
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}
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)
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reconciler = OrderReconciler(client)
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report = await reconciler.reconcile_order(
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order_id="order-1",
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user_ref=12345,
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expected_pair="BTC/USD",
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expected_side="buy",
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expected_volume=10.0,
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)
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assert report.is_terminal
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assert report.matches_request
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assert report.status == "closed"
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assert report.filled_volume == 5.0
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assert report.avg_price == 100.0
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@pytest.mark.asyncio
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async def test_order_reconciler_marks_mismatch() -> None:
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client = _FakeHistoryClient(
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response={
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"order-1": {
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"status": "closed",
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"vol_exec": "5.0",
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"price": "100.0",
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"pair": "ETH/USD",
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"type": "sell",
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"userref": 999,
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}
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}
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)
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reconciler = OrderReconciler(client)
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report = await reconciler.reconcile_order(
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order_id="order-1",
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user_ref=12345,
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expected_pair="BTC/USD",
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expected_side="buy",
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expected_volume=10.0,
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)
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assert not report.matches_request
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