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.
97 lines
2.9 KiB
Python
97 lines
2.9 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.execution.fill_monitor import FillMonitorResult, OrderFillState
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from arbitrade.execution.recovery import PartialFillRecovery
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@dataclass(slots=True)
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class _FakeRestClient:
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cancel_calls: list[str] = None # type: ignore[assignment]
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market_calls: list[dict[str, Any]] = None # type: ignore[assignment]
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def __post_init__(self) -> None:
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self.cancel_calls = []
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self.market_calls = []
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async def cancel_order(self, *, order_id: str) -> dict[str, Any]:
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self.cancel_calls.append(order_id)
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return {"result": {"count": 1}}
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async def place_market_order(self, *, pair: str, side: str, volume: float) -> dict[str, Any]:
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self.market_calls.append({"pair": pair, "side": side, "volume": volume})
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return {"txid": ["hedge-1"]}
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def _monitor_result(
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*, status: str, filled_volume: float | None, timed_out: bool
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) -> FillMonitorResult:
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state = OrderFillState(
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order_id="order-1",
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status=status,
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filled_volume=filled_volume,
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avg_price=100.0,
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updated_at=datetime.now(UTC),
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source="rest_poll",
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)
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return FillMonitorResult(
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order_id="order-1",
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timed_out=timed_out,
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terminal_state=None if status in {"open", "partial"} else state,
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last_state=state,
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elapsed_seconds=1.0,
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)
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@pytest.mark.asyncio
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async def test_partial_fill_recovery_cancels_open_order_and_hedges_residual() -> None:
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client = _FakeRestClient()
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recovery = PartialFillRecovery(client)
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result = await recovery.recover_partial_fill(
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order_id="order-1",
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pair="BTC/USD",
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side="buy",
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requested_volume=10.0,
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fill_result=_monitor_result(status="partial", filled_volume=4.0, timed_out=True),
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)
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assert result.canceled
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assert result.hedged
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assert client.cancel_calls == ["order-1"]
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assert client.market_calls == [{"pair": "BTC/USD", "side": "sell", "volume": 6.0}]
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assert result.hedge_volume == 6.0
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assert result.reason == "canceled_partial_order"
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@pytest.mark.asyncio
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async def test_partial_fill_recovery_no_hedge_when_no_residual() -> None:
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client = _FakeRestClient()
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recovery = PartialFillRecovery(client)
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result = await recovery.recover_partial_fill(
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order_id="order-1",
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pair="BTC/USD",
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side="sell",
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requested_volume=5.0,
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fill_result=_monitor_result(status="closed", filled_volume=5.0, timed_out=False),
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)
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assert not result.canceled
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assert not result.hedged
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assert client.cancel_calls == []
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assert client.market_calls == []
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def test_partial_fill_recovery_rejects_invalid_volume() -> None:
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client = _FakeRestClient()
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recovery = PartialFillRecovery(client)
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with pytest.raises(ValueError, match="requested_volume"):
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recovery._residual_volume(None, 0.0)
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