145 lines
3.9 KiB
Python
145 lines
3.9 KiB
Python
from __future__ import annotations
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from datetime import UTC, datetime, timedelta
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import pytest
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from arbitrade.config.settings import Settings
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from arbitrade.metrics import MetricsCalculator
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from arbitrade.storage.db import DuckDBStore
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def test_metrics_calculator_summarizes_execution_data(tmp_path) -> None:
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settings = Settings(_env_file=None, DUCKDB_PATH=tmp_path / "metrics.duckdb")
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store = DuckDBStore(settings)
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store.migrate()
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started = datetime.now(UTC)
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finished = started + timedelta(seconds=30)
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started_two = started + timedelta(minutes=1)
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finished_two = started_two + timedelta(seconds=90)
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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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12.5,
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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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"trade-2",
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started_two,
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finished_two,
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"filled",
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-4.5,
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-2.0,
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200.0,
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"USD->ETH->BTC->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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[
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started,
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"USD->BTC->ETH->USD",
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4.0,
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3.0,
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0.03,
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True,
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started_two,
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"USD->ETH->BTC->USD",
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2.0,
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1.0,
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0.01,
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False,
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started_two + timedelta(seconds=30),
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"USD->BTC->ETH->USD",
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5.0,
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4.0,
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0.04,
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True,
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],
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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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101,
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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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"trade-2",
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"order-2",
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0,
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"ETH/USD",
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"sell",
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4.0,
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202,
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"closed",
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3.0,
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200.0,
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"{}",
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started_two,
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],
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)
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metrics = MetricsCalculator(store).compute()
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assert metrics.realized_pnl_usd == 8.0
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assert metrics.win_rate == 0.5
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assert metrics.avg_trade_duration_seconds == 60.0
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assert metrics.opportunities_per_minute == 2.0
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assert metrics.fill_rate == 0.875
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assert metrics.latency_p50_seconds == 60.0
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assert metrics.latency_p95_seconds == 87.0
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assert metrics.latency_p99_seconds == pytest.approx(89.4)
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