zwitschi
38e1d64437
CI / lint-test-build (push) Successful in 2m31s
- Introduced backtesting page and fragment in the dashboard for running backtests and viewing recent reports. - Implemented backtest run logic with configuration options including event path, starting balances, trade capital, and fee profiles. - Added recent backtest reports storage and retrieval. - Created a new strategy module for statistical arbitrage experiments with validation on configuration parameters. - Updated settings to include parameters for the statistical arbitrage strategy. - Enhanced dashboard controls to support the new strategy mode. - Added unit tests for backtesting functionality and strategy validation. - Updated templates for backtesting UI integration.
393 lines
14 KiB
Python
393 lines
14 KiB
Python
from __future__ import annotations
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from datetime import UTC, datetime, timedelta
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from typing import Any
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import httpx
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from arbitrade.api.app import create_app
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from arbitrade.config.settings import Settings
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class _FakeAlertNotifier:
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def __init__(self) -> None:
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self.events: list[dict[str, Any]] = []
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async def notify(
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self,
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*,
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category: str,
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severity: str,
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title: str,
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message: str,
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details: dict[str, str] | None = None,
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) -> bool:
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self.events.append(
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{
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"category": category,
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"severity": severity,
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"title": title,
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"message": message,
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"details": details or {},
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}
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)
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return True
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def _seed_metrics_data(app) -> None:
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store = app.state.store
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started = datetime.now(UTC)
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finished = started + timedelta(seconds=20)
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with store.connect() as conn:
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conn.execute(
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"""
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INSERT INTO trades (
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trade_ref,
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started_at,
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finished_at,
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status,
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realized_pnl,
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estimated_pnl,
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capital_used,
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cycle,
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leg_count
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) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?)
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""",
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[
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"trade-1",
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started,
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finished,
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"filled",
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15.0,
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10.0,
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100.0,
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"USD->BTC->ETH->USD",
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3,
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],
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)
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conn.execute(
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"""
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INSERT INTO opportunities (
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detected_at,
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cycle,
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gross_pct,
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net_pct,
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est_profit,
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executed
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) VALUES (?, ?, ?, ?, ?, ?)
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""",
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[started, "USD->BTC->ETH->USD", 4.0, 3.0, 0.03, True],
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)
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conn.execute(
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"""
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INSERT INTO orders (
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trade_ref,
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order_ref,
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leg_index,
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pair,
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side,
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volume,
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user_ref,
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status,
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filled_volume,
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avg_price,
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raw_response,
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recorded_at
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) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
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""",
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[
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"trade-1",
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"order-1",
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0,
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"BTC/USD",
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"buy",
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2.0,
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100,
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"closed",
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2.0,
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100.0,
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"{}",
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started,
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],
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)
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conn.execute(
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"""
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INSERT INTO portfolio_snapshots (
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snapshot_at,
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balances,
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total_value_usd
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) VALUES (?, ?, ?)
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""",
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[started, '{"USD": 1000.0, "BTC": 0.25}', 1250.0],
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)
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conn.execute(
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"""
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INSERT INTO trades (
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trade_ref,
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started_at,
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finished_at,
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status,
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realized_pnl,
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estimated_pnl,
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capital_used,
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cycle,
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leg_count
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) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?)
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""",
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[
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"trade-open",
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started,
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None,
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"open",
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None,
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5.0,
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50.0,
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"USD->BTC->ETH->USD",
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3,
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],
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)
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async def test_dashboard_page_and_fragment_and_sse(tmp_path) -> None:
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app = create_app(Settings(DUCKDB_PATH=tmp_path / "dash.duckdb"))
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_seed_metrics_data(app)
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transport = httpx.ASGITransport(app=app)
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async with httpx.AsyncClient(transport=transport, base_url="http://test") as client:
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page = await client.get("/")
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fragment = await client.get("/dashboard/fragment/metrics")
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stream = await client.get("/dashboard/stream/metrics")
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overview = await client.get("/dashboard/fragment/overview")
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overview_stream = await client.get("/dashboard/stream/overview")
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controls = await client.get("/dashboard/fragment/controls")
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charts = await client.get("/dashboard/fragment/charts")
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audit = await client.get("/dashboard/fragment/audit")
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assert page.status_code == 200
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assert "EventSource" in page.text
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assert "alpinejs" in page.text.lower()
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assert "Chart.js" in page.text or "chart.umd.min.js" in page.text
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assert 'hx-get="/dashboard/fragment/metrics"' in page.text
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assert 'hx-get="/dashboard/fragment/controls"' in page.text
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assert 'hx-get="/dashboard/fragment/charts"' in page.text
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assert 'hx-get="/dashboard/fragment/audit"' in page.text
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assert fragment.status_code == 200
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assert "Realized P&L" in fragment.text
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assert "15.00 USD" in fragment.text
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assert "100.0%" in fragment.text
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assert stream.status_code == 200
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assert stream.headers["content-type"].startswith("text/event-stream")
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assert "event: metrics" in stream.text
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assert "Realized P&L" in stream.text
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assert overview.status_code == 200
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assert "live" in overview.text
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assert "Balances Snapshot" in overview.text
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assert "Open Trades" in overview.text
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assert "Opportunity Feed" in overview.text
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assert "1250.00 USD" in overview.text
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assert "trade-open" in overview.text
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assert overview_stream.status_code == 200
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assert overview_stream.headers["content-type"].startswith(
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"text/event-stream")
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assert "event: overview" in overview_stream.text
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assert "trade-open" in overview_stream.text
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assert controls.status_code == 200
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assert "Runtime Status" in controls.text
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assert ">running<" in controls.text
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assert "Alerting" in controls.text
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assert "Last result" in controls.text
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assert "Paper trading mode" in controls.text
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assert "Trade capital USD" in controls.text
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assert "Tradable pairs" in controls.text
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assert "Strategy mode" in controls.text
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assert charts.status_code == 200
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assert "Opportunity Trend" in charts.text
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assert "opportunity-chart" in charts.text
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assert "Hide chart" in charts.text or "Show chart" in charts.text
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assert audit.status_code == 200
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assert "Audit Trail" in audit.text
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async def test_dashboard_controls_update_runtime_state_and_config(tmp_path) -> None:
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app = create_app(Settings(DUCKDB_PATH=tmp_path / "controls.duckdb"))
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transport = httpx.ASGITransport(app=app)
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async with httpx.AsyncClient(transport=transport, base_url="http://test") as client:
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stop_response = await client.post("/dashboard/control/stop")
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start_response = await client.post("/dashboard/control/start")
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kill_response = await client.post(
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"/dashboard/control/kill-switch",
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data={"reason": "manual"},
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)
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config_response = await client.post(
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"/dashboard/control/config",
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data={
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"trade_capital_usd": "250.50",
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"max_trade_capital_usd": "300.00",
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"max_concurrent_trades": "4",
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"tradable_pairs": "BTC/USD, ETH/BTC, BTC/USD",
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"strategy_mode": "paper",
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"strategy_profit_threshold": "0.0025",
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"strategy_max_depth_levels": "7",
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"paper_trading_mode": "on",
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},
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)
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assert stop_response.status_code == 200
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assert ">stopped<" in stop_response.text
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assert start_response.status_code == 200
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assert ">running<" in start_response.text
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assert kill_response.status_code == 200
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assert ">active<" in kill_response.text
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assert "manual" in kill_response.text
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assert config_response.status_code == 200
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assert "250.50 USD" in config_response.text
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assert "300.00 USD" in config_response.text
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assert "4" in config_response.text
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assert "BTC/USD, ETH/BTC" in config_response.text
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assert "paper" in config_response.text
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assert "0.002500" in config_response.text
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assert "7" in config_response.text
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assert app.state.settings.trade_capital_usd == 250.5
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assert app.state.settings.max_trade_capital_usd == 300.0
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assert app.state.settings.max_concurrent_trades == 4
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assert app.state.settings.paper_trading_mode is True
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assert app.state.dashboard_controls.tradable_pairs == [
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"BTC/USD", "ETH/BTC"]
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assert app.state.dashboard_controls.strategy_mode == "paper"
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assert app.state.dashboard_controls.strategy_profit_threshold == 0.0025
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assert app.state.dashboard_controls.strategy_max_depth_levels == 7
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transport = httpx.ASGITransport(app=app)
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async with httpx.AsyncClient(transport=transport, base_url="http://test") as client:
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audit_recent = await client.get("/dashboard/api/audit/recent")
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assert audit_recent.status_code == 200
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entries = audit_recent.json()["entries"]
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assert len(entries) >= 4
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assert any(entry["event_type"] ==
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"dashboard.control.stop" for entry in entries)
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assert any(entry["event_type"] ==
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"dashboard.control.start" for entry in entries)
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assert any(entry["event_type"] ==
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"dashboard.control.kill_switch" for entry in entries)
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assert any(entry["event_type"] ==
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"dashboard.control.config" for entry in entries)
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async def test_dashboard_controls_emit_alerts(tmp_path) -> None:
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app = create_app(Settings(DUCKDB_PATH=tmp_path / "alerts.duckdb"))
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fake_notifier = _FakeAlertNotifier()
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app.state.alert_notifier = fake_notifier
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transport = httpx.ASGITransport(app=app)
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async with httpx.AsyncClient(transport=transport, base_url="http://test") as client:
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await client.post("/dashboard/control/start")
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await client.post("/dashboard/control/stop")
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await client.post("/dashboard/control/kill-switch", data={"reason": "manual-test"})
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assert len(fake_notifier.events) == 3
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assert fake_notifier.events[0]["title"] == "Execution started"
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assert fake_notifier.events[1]["title"] == "Execution stopped"
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assert fake_notifier.events[2]["title"] == "Kill switch activated"
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assert fake_notifier.events[2]["details"]["reason"] == "manual-test"
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async def test_dashboard_requires_basic_auth_when_configured(tmp_path) -> None:
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app = create_app(
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Settings(
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DUCKDB_PATH=tmp_path / "auth.duckdb",
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DASHBOARD_AUTH_USERNAME="admin",
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DASHBOARD_AUTH_PASSWORD="secret",
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)
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)
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transport = httpx.ASGITransport(app=app)
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async with httpx.AsyncClient(transport=transport, base_url="http://test") as client:
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unauthenticated = await client.get("/dashboard/fragment/overview")
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authenticated = await client.get(
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"/dashboard/fragment/overview",
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auth=("admin", "secret"),
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)
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health = await client.get("/health")
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assert unauthenticated.status_code == 401
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assert unauthenticated.headers["www-authenticate"] == 'Basic realm="Arbitrade Dashboard"'
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assert authenticated.status_code == 200
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assert health.status_code == 200
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async def test_dashboard_alert_status_api_exposes_notifier_snapshot(tmp_path) -> None:
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app = create_app(Settings(DUCKDB_PATH=tmp_path / "alerts-status.duckdb"))
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transport = httpx.ASGITransport(app=app)
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async with httpx.AsyncClient(transport=transport, base_url="http://test") as client:
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response = await client.get("/dashboard/api/alerts/status")
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assert response.status_code == 200
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payload = response.json()
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assert payload["enabled"] is True
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assert "configured_channels" in payload
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assert "last_result" in payload
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async def test_backtesting_page_run_and_recent_reports_api(tmp_path) -> None:
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app = create_app(Settings(DUCKDB_PATH=tmp_path / "backtesting-ui.duckdb"))
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events_file = tmp_path / "replay.jsonl"
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events_file.write_text(
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"\n".join(
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[
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'{"timestamp":"2026-06-01T12:00:00Z","symbol":"BTC/USD","bids":[[99.5,10.0]],"asks":[[100.0,10.0]]}',
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'{"timestamp":"2026-06-01T12:00:01Z","symbol":"ETH/BTC","bids":[[0.051,10.0]],"asks":[[0.050,10.0]]}',
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'{"timestamp":"2026-06-01T12:00:02Z","symbol":"ETH/USD","bids":[[110.0,10.0]],"asks":[[110.5,10.0]]}',
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]
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),
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encoding="utf-8",
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)
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transport = httpx.ASGITransport(app=app)
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async with httpx.AsyncClient(transport=transport, base_url="http://test") as client:
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page = await client.get("/dashboard/backtesting")
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fragment = await client.get("/dashboard/fragment/backtesting")
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run = await client.post(
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"/dashboard/backtesting/run",
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data={
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"events_path": str(events_file),
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"starting_balances": "USD=1000.0",
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"trade_capital": "100.0",
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"min_profit_threshold": "0.0005",
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"fee_profile": "standard",
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"slippage_bps": "4.0",
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"execution_latency_ms": "20.0",
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},
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)
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reports = await client.get("/dashboard/api/backtesting/reports")
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assert page.status_code == 200
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assert "Backtesting" in page.text
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assert "/dashboard/fragment/backtesting" in page.text
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assert fragment.status_code == 200
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assert "Run Backtest" in fragment.text
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assert "Recent Runs" in fragment.text
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assert run.status_code == 200
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assert "completed" in run.text
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assert "Processed:" in run.text
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assert reports.status_code == 200
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payload = reports.json()
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assert len(payload["reports"]) >= 1
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assert payload["reports"][0]["status"] == "completed"
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