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.
91 lines
2.7 KiB
Python
91 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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import pytest
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from arbitrade.config.settings import Settings
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from arbitrade.detection.engine import OpportunityEvent
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from arbitrade.execution.sequencer import TriangularExecutionSequencer
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from arbitrade.storage.db import DuckDBStore
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from arbitrade.storage.executions import AsyncExecutionWriter
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from arbitrade.storage.repositories import OrderRepository, PnLRepository, TradeRepository
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@dataclass(slots=True)
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class _FakeRestClient:
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calls: int = 0
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async def place_market_order(self, *, pair: str, side: str, volume: float) -> dict[str, object]:
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self.calls += 1
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return {"txid": [f"tx-{self.calls}"], "status": "submitted"}
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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=1.04,
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net_rate=1.03,
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gross_pct=4.0,
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net_pct=3.0,
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est_profit=0.03,
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)
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@pytest.mark.asyncio
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async def test_execution_writer_persists_trade_order_and_pnl(tmp_path) -> None:
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settings = Settings(_env_file=None, DUCKDB_PATH=tmp_path / "exec.duckdb")
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store = DuckDBStore(settings)
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store.migrate()
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writer = AsyncExecutionWriter(
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TradeRepository(store),
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OrderRepository(store),
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PnLRepository(store),
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max_queue_size=10,
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)
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await writer.start()
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client = _FakeRestClient()
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sequencer = TriangularExecutionSequencer(
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client,
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available_pairs=["BTC/USD", "ETH/BTC", "ETH/USD"],
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execution_writer=writer,
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)
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result = await sequencer.execute(_sample_event())
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await writer.stop()
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assert result.success
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assert client.calls == 3
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with store.connect() as conn:
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trades = conn.execute(
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"SELECT trade_ref, status, estimated_pnl, capital_used, cycle, leg_count FROM trades"
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).fetchall()
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orders = conn.execute(
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"SELECT trade_ref, order_ref, leg_index, pair, side, volume, status "
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"FROM orders ORDER BY leg_index"
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).fetchall()
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pnls = conn.execute(
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"SELECT trade_ref, kind, pnl_usd, source FROM pnl_events").fetchall()
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assert len(trades) == 1
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assert trades[0][1] == "filled"
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assert trades[0][2] == 0.03
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assert trades[0][3] == 1.0
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assert trades[0][4] == "USD->BTC->ETH->USD"
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assert trades[0][5] == 3
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assert len(orders) == 3
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assert orders[0][2] == 0
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assert orders[1][2] == 1
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assert orders[2][2] == 2
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assert orders[0][6] == "submitted"
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assert len(pnls) == 1
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assert pnls[0][1] == "estimated"
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assert pnls[0][2] == 0.03
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