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https://github.com/xavierchuan/FX-ML-Trading-Engine.git
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xiaochuan
35 lines
1.1 KiB
Python
35 lines
1.1 KiB
Python
import unittest
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from QuantTrader.core.risk.risk_engine import RiskEngine, RiskLimits
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class RiskEngineTest(unittest.TestCase):
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def setUp(self):
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limits = RiskLimits(
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max_position_notional=100000,
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max_gross_leverage=2.0,
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max_daily_loss=5000,
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max_drawdown=0.1,
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)
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self.engine = RiskEngine(limits=limits, starting_equity=50000)
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def test_exposure_limit(self):
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ok, _ = self.engine.evaluate_order("EURUSD", "buy", 90000)
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self.assertTrue(ok)
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self.engine.record_fill("EURUSD", "buy", 90000, pnl=0)
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ok, reason = self.engine.evaluate_order("EURUSD", "buy", 20000)
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self.assertFalse(ok)
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self.assertEqual(reason, "symbol_exposure_limit:EURUSD")
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def test_daily_loss_limit(self):
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ok, _ = self.engine.check_loss_limits()
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self.assertTrue(ok)
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self.engine.record_fill("USDJPY", "sell", 50000, pnl=-6000)
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ok, reason = self.engine.check_loss_limits()
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self.assertFalse(ok)
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self.assertEqual(reason, "daily_loss_limit")
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if __name__ == "__main__":
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unittest.main()
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