zwitschi
dc99f1604e
CI / lint-test-build (push) Successful in 54s
- Cleaned up multiline statements and removed unnecessary line breaks in various files. - Ensured consistent formatting in function definitions and calls across the codebase. - Updated docstrings and comments for clarity where applicable. - Removed trailing newlines in module docstrings. - Enhanced logging statements for better clarity in maintenance tasks.
134 lines
4.1 KiB
Python
134 lines
4.1 KiB
Python
from __future__ import annotations
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from collections.abc import AsyncIterator
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from contextlib import asynccontextmanager
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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 get_settings
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from arbitrade.metrics import MetricsCalculator
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from arbitrade.storage.pg_store import PgStore
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pytestmark = pytest.mark.integration
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@asynccontextmanager
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async def _pg() -> AsyncIterator[PgStore]:
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s = get_settings()
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store = PgStore(s)
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try:
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await store.start()
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await store.migrate()
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yield store
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finally:
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await store.stop()
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@pytest.mark.asyncio
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async def test_metrics_calculator_summarizes_execution_data() -> None:
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async with _pg() as store:
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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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async with store.pool.acquire() as conn:
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await conn.execute(
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"""
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INSERT INTO trades (
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trade_ref, started_at, finished_at, status,
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realized_pnl, estimated_pnl, capital_used, cycle, leg_count
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) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9),
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($10, $11, $12, $13, $14, $15, $16, $17, $18)
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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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await conn.execute(
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"""
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INSERT INTO opportunities (detected_at, cycle, gross_pct, net_pct, est_profit, executed)
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VALUES ($1, $2, $3, $4, $5, $6),
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($7, $8, $9, $10, $11, $12),
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($13, $14, $15, $16, $17, $18)
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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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await conn.execute(
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"""
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INSERT INTO orders (
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trade_ref, order_ref, leg_index, pair, side, volume,
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user_ref, status, filled_volume, avg_price, raw_response, recorded_at
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) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9, $10, $11, $12),
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($13, $14, $15, $16, $17, $18, $19, $20, $21, $22, $23, $24)
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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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metrics = await 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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