zwitschi
a89886186f
- Introduced OpportunityEvent class for structured opportunity data. - Enhanced IncrementalCycleDetector to generate opportunities based on updated pairs. - Implemented AsyncOpportunityWriter for persisting opportunities to the database. - Updated MarketDataFeed to handle opportunity detection and execution in both paper and live trading modes. - Added unit tests for opportunity detection and persistence.
113 lines
2.9 KiB
Python
113 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 types import SimpleNamespace
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import pytest
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from arbitrade.detection.engine import OpportunityEvent
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from arbitrade.exchange.models import BookDelta, BookLevel
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from arbitrade.market_data.feed import MarketDataFeed
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@dataclass(slots=True)
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class _FakeWsClient:
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delta: BookDelta
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async def connect_stream(self):
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yield SimpleNamespace(payload={"channel": "book"})
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def parse_book_delta(self, _payload: dict[str, object]) -> BookDelta:
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return self.delta
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class _FakeSnapshotWriter:
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def __init__(self) -> None:
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self.items: list[object] = []
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async def enqueue(self, snapshot: object) -> None:
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self.items.append(snapshot)
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class _FakeOpportunityWriter:
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def __init__(self) -> None:
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self.items: list[OpportunityEvent] = []
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async def enqueue(self, event: OpportunityEvent) -> None:
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self.items.append(event)
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class _FakeDetector:
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def __init__(self, event: OpportunityEvent) -> None:
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self._event = event
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def opportunities_for_updated_pair(self, _updated_pair: str, _books: dict[str, object]):
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return [self._event]
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class _FakeExecutor:
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def __init__(self) -> None:
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self.calls: list[OpportunityEvent] = []
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async def execute(self, event: OpportunityEvent) -> None:
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self.calls.append(event)
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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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def _sample_delta() -> BookDelta:
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return BookDelta(
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symbol="BTC/USD",
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bids=[BookLevel(price=100.0, volume=1.0)],
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asks=[BookLevel(price=100.5, volume=1.0)],
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)
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@pytest.mark.asyncio
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async def test_market_data_feed_dry_run_does_not_execute_orders() -> None:
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event = _sample_event()
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executor = _FakeExecutor()
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feed = MarketDataFeed(
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ws_client=_FakeWsClient(_sample_delta()),
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snapshot_writer=_FakeSnapshotWriter(),
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detector=_FakeDetector(event),
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opportunity_writer=_FakeOpportunityWriter(),
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paper_trading_mode=True,
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opportunity_executor=executor.execute,
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)
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await feed.run()
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assert executor.calls == []
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@pytest.mark.asyncio
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async def test_market_data_feed_live_mode_executes_orders() -> None:
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event = _sample_event()
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executor = _FakeExecutor()
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feed = MarketDataFeed(
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ws_client=_FakeWsClient(_sample_delta()),
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snapshot_writer=_FakeSnapshotWriter(),
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detector=_FakeDetector(event),
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opportunity_writer=_FakeOpportunityWriter(),
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paper_trading_mode=False,
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opportunity_executor=executor.execute,
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)
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await feed.run()
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assert len(executor.calls) == 1
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assert executor.calls[0].cycle == "USD->BTC->ETH->USD"
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