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.
94 lines
2.8 KiB
Python
94 lines
2.8 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass, field
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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.sequencer import TriangularExecutionSequencer
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@dataclass(slots=True)
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class _FakeRestClient:
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fail_at_call: int | None = None
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calls: list[dict[str, Any]] = field(default_factory=list)
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async def place_market_order(self, *, pair: str, side: str, volume: float) -> dict[str, Any]:
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call_number = len(self.calls) + 1
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if self.fail_at_call is not None and call_number == self.fail_at_call:
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raise RuntimeError("simulated failure")
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payload = {"pair": pair, "side": side, "volume": volume}
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self.calls.append(payload)
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return {"txid": [f"tx-{call_number}"]}
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def _sample_event(cycle: str = "USD->BTC->ETH->USD") -> OpportunityEvent:
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return OpportunityEvent(
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detected_at=datetime.now(UTC),
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cycle=cycle,
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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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@pytest.mark.asyncio
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async def test_triangular_sequencer_executes_legs_in_order() -> None:
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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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)
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result = await sequencer.execute(_sample_event())
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assert result.success
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assert result.completed_legs == 3
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assert [call["pair"] for call in client.calls] == ["BTC/USD", "ETH/BTC", "ETH/USD"]
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assert [call["side"] for call in client.calls] == ["buy", "buy", "sell"]
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@pytest.mark.asyncio
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async def test_triangular_sequencer_stops_on_failed_leg() -> None:
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client = _FakeRestClient(fail_at_call=2)
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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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)
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result = await sequencer.execute(_sample_event())
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assert not result.success
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assert result.completed_legs == 1
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assert result.failure_reason is not None
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assert len(client.calls) == 1
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def test_triangular_sequencer_rejects_non_closed_cycle() -> None:
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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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)
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with pytest.raises(ValueError, match="closed triangular path"):
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sequencer._build_legs(_sample_event(cycle="USD->BTC->ETH"))
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def test_triangular_sequencer_rejects_missing_pair() -> None:
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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"],
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)
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with pytest.raises(ValueError, match="No tradable pair"):
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sequencer._build_legs(_sample_event())
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