Daniel Sapkota
84 lines
2.4 KiB
Python
84 lines
2.4 KiB
Python
"""Unit tests for the online estimators (vol, flow, markout/toxicity)."""
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from __future__ import annotations
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import pytest
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from polymaker.domain import Side
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from polymaker.strategy.estimators import (
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Ewma,
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FlowEstimator,
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MarkoutTracker,
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VolEstimator,
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)
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def test_ewma_seeds_then_decays():
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e = Ewma(halflife_s=10.0)
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assert not e.ready
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e.update(1.0, ts=0.0)
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assert e.value == 1.0
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# after exactly one half-life, a 0 observation pulls the mean halfway
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e.update(0.0, ts=10.0)
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assert e.value == pytest.approx(0.5, abs=1e-9)
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def test_ewma_decay_to_ages_value():
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e = Ewma(halflife_s=10.0)
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e.update(1.0, ts=0.0)
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e.decay_to(ts=10.0) # one half-life of silence
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assert e.value == pytest.approx(0.5, abs=1e-9)
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def test_vol_estimator_rises_with_movement():
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v = VolEstimator(short_halflife_s=5.0, long_halflife_s=100.0)
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# quiet: tiny moves
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fv, t = 0.5, 0.0
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for _ in range(20):
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t += 1.0
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v.update(fv, t) # no change -> zero vol
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assert v.short == pytest.approx(0.0, abs=1e-6)
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# sudden jumps -> short vol jumps, ratio > 1
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for step in (0.05, -0.04, 0.06):
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t += 1.0
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fv += step
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v.update(fv, t)
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assert v.short > 0.01
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assert v.ratio > 1.0
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def test_flow_estimator_sign_and_z():
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f = FlowEstimator(halflife_s=10.0)
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t = 0.0
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for _ in range(5):
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t += 1.0
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f.update(Side.BUY, 100, t) # persistent buying
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assert f.signed > 0
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assert f.z > 0.5 # strongly one-sided
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# now heavy selling flips the sign over time
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for _ in range(10):
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t += 1.0
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f.update(Side.SELL, 200, t)
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assert f.signed < 0
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assert f.z < 0
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def test_markout_toxicity_from_adverse_fills():
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mt = MarkoutTracker(horizon_s=30.0, ewma_halflife_s=100.0)
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# we BUY at fv=0.50; price then falls to 0.45 after the horizon -> adverse
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mt.record_fill(Side.BUY, fv_at_fill=0.50, ts=0.0)
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mt.evaluate(fv_now=0.50, ts=10.0) # before horizon: nothing resolves
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assert mt.markout == 0.0
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mt.evaluate(fv_now=0.45, ts=31.0) # after horizon: -0.05 markout
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assert mt.markout < 0
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assert mt.toxicity > 0
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def test_markout_benign_fills_are_not_toxic():
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mt = MarkoutTracker(horizon_s=30.0, ewma_halflife_s=100.0)
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# we BUY at 0.50; price rises to 0.55 -> favorable, not toxic
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mt.record_fill(Side.BUY, fv_at_fill=0.50, ts=0.0)
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mt.evaluate(fv_now=0.55, ts=31.0)
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assert mt.markout > 0
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assert mt.toxicity == 0.0
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