Daniel Sapkota
188 lines
7.3 KiB
Python
188 lines
7.3 KiB
Python
"""Unit tests for pure quote construction — the strategy's decision core."""
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from __future__ import annotations
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import pytest
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from polymaker.domain import Position, Regime, Side
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from polymaker.strategy.quoting import (
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QuoteInputs,
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compute_fair_value,
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construct_quotes,
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round_to_tick,
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)
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from tests.conftest import view
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def _inputs(meta, profile, **over):
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base = dict(
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meta=meta,
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regime=Regime.QUIET,
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fv=0.50,
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vol_short=0.0,
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toxicity=0.0,
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yes_view=view(0.49, 0.51),
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no_view=view(0.49, 0.51),
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pos_yes=Position("yes-token"),
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pos_no=Position("no-token"),
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profile=profile,
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now=1000.0,
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)
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base.update(over)
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return QuoteInputs(**base)
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# ── round_to_tick ──────────────────────────────────────────────────────────
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def test_round_to_tick_down_and_up():
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assert round_to_tick(0.5049, 0.01, 2, up=False) == 0.50
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assert round_to_tick(0.5051, 0.01, 2, up=True) == 0.51
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# clamps inside (0,1)
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assert round_to_tick(0.0, 0.01, 2, up=False) == 0.01
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assert round_to_tick(1.0, 0.01, 2, up=True) == 0.99
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def test_compute_fair_value_flow_nudge():
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# positive flow nudges FV up, negative down, no flow = microprice
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assert compute_fair_value(0.50, 0.0, 0.01) == pytest.approx(0.50)
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assert compute_fair_value(0.50, 1.0, 0.01, weight=0.5) == pytest.approx(0.505)
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assert compute_fair_value(0.50, -1.0, 0.01, weight=0.5) == pytest.approx(0.495)
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# ── two-sided quoting ────────────────────────────────────────────────────────
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def test_quiet_market_quotes_both_sides_as_bids(meta, profile):
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tq = construct_quotes(_inputs(meta, profile))
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assert tq.regime == Regime.QUIET
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yes = [q for q in tq.quotes if q.token_id == "yes-token"]
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no = [q for q in tq.quotes if q.token_id == "no-token"]
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assert yes and no
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# both entry quotes are BUYs (USDC-collateralized two-sided quote)
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assert all(q.side == Side.BUY for q in yes)
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assert all(q.side == Side.BUY for q in no)
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def test_pair_prices_sum_below_one(meta, profile):
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"""BUY YES @ p and BUY NO @ q must satisfy p + q < 1 (merge edge)."""
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tq = construct_quotes(_inputs(meta, profile))
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top_yes = max(q.price for q in tq.quotes if q.token_id == "yes-token")
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top_no = max(q.price for q in tq.quotes if q.token_id == "no-token")
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assert top_yes + top_no < 1.0
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def test_never_bids_through_fair_value(meta, profile):
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"""No BUY should ever sit at or above FV - min_edge (YES) / (1-FV)-min_edge (NO)."""
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tq = construct_quotes(_inputs(meta, profile, fv=0.50))
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edge = profile.min_edge_ticks * meta.tick_size
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for q in tq.quotes:
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if q.side == Side.BUY and q.token_id == "yes-token":
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assert q.price <= 0.50 - edge + 1e-9
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if q.side == Side.BUY and q.token_id == "no-token":
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assert q.price <= 0.50 - edge + 1e-9 # NO fv is also 0.50 here
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def test_layers_split_size(meta, profile):
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tq = construct_quotes(_inputs(meta, profile))
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yes = sorted((q for q in tq.quotes if q.token_id == "yes-token" and q.side == Side.BUY),
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key=lambda q: -q.price)
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assert len(yes) == profile.layers
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# deeper layer is at a lower price
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assert yes[0].price > yes[1].price
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# ── inventory skew ──────────────────────────────────────────────────────────
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def test_long_yes_inventory_skews_quotes_down(meta, profile):
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"""Holding YES should lower the YES bid and raise the NO bid vs flat."""
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flat = construct_quotes(_inputs(meta, profile, vol_short=0.02))
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longy = construct_quotes(
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_inputs(meta, profile, vol_short=0.02, pos_yes=Position("yes-token", 300, 0.5))
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)
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def top(tq, tok):
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ps = [q.price for q in tq.quotes if q.token_id == tok and q.side == Side.BUY]
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return max(ps) if ps else None
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# YES bid should not be higher when long YES; NO bid should not be lower
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assert top(longy, "yes-token") <= top(flat, "yes-token")
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assert top(longy, "no-token") >= top(flat, "no-token")
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def test_reduce_only_emits_only_exits(meta, profile):
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tq = construct_quotes(
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_inputs(
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meta, profile, regime=Regime.REDUCE_ONLY,
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pos_yes=Position("yes-token", 100, 0.5),
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)
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)
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assert all(q.side == Side.SELL for q in tq.quotes)
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assert any(q.token_id == "yes-token" for q in tq.quotes)
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def test_event_and_halted_pull_all_quotes(meta, profile):
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for regime in (Regime.EVENT, Regime.HALTED):
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tq = construct_quotes(
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_inputs(meta, profile, regime=regime, pos_yes=Position("yes-token", 100, 0.5))
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)
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assert tq.is_empty
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# ── exits ────────────────────────────────────────────────────────────────────
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def test_exit_sell_priced_above_fv_when_not_urgent(meta, profile):
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tq = construct_quotes(
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_inputs(meta, profile, pos_yes=Position("yes-token", 100, 0.4), yes_exit_urgency=0.0)
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)
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sells = [q for q in tq.quotes if q.side == Side.SELL and q.token_id == "yes-token"]
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assert sells
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assert sells[0].price >= 0.50 # at/above FV, a passive maker exit
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def test_exit_never_below_best_bid(meta, profile):
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tq = construct_quotes(
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_inputs(
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meta, profile,
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pos_yes=Position("yes-token", 100, 0.4),
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yes_view=view(0.49, 0.51),
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yes_exit_urgency=1.0, # maximally urgent
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)
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)
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sells = [q for q in tq.quotes if q.side == Side.SELL and q.token_id == "yes-token"]
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assert sells
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assert sells[0].price >= 0.49 # still a maker order, never crosses down
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def test_no_exit_when_position_is_dust(meta, profile):
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tq = construct_quotes(
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_inputs(meta, profile, pos_yes=Position("yes-token", 1.0, 0.4)) # below min_order_size
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)
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assert not [q for q in tq.quotes if q.side == Side.SELL]
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# ── spread widening ──────────────────────────────────────────────────────────
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def test_toxicity_widens_spread(meta, profile):
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"""Higher toxicity should push the YES bid lower (wider spread)."""
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calm = construct_quotes(_inputs(meta, profile, regime=Regime.TRENDING, toxicity=0.0))
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toxic = construct_quotes(_inputs(meta, profile, regime=Regime.TRENDING, toxicity=0.02))
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def top_yes(tq):
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ps = [q.price for q in tq.quotes if q.token_id == "yes-token" and q.side == Side.BUY]
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return max(ps) if ps else None
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assert top_yes(toxic) < top_yes(calm)
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def test_quiet_regime_clamps_spread_to_reward_band(meta, profile):
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"""In QUIET, even with high vol the bid stays within the reward band of FV."""
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tq = construct_quotes(_inputs(meta, profile, regime=Regime.QUIET, vol_short=0.5))
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band = meta.rewards_max_spread / 100.0 # 0.03
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top_yes = max(q.price for q in tq.quotes if q.token_id == "yes-token" and q.side == Side.BUY)
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# bid should be within (band + a tick of rounding) of FV
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assert top_yes >= 0.50 - band - meta.tick_size
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