Daniel Sapkota
87 lines
3.0 KiB
Python
87 lines
3.0 KiB
Python
"""Tests for the RiskManager gates and circuit breakers."""
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from __future__ import annotations
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from polymaker.config import RiskConfig
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from polymaker.domain import Fill, Side
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from polymaker.risk.manager import RiskManager
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from polymaker.state.store import StateStore
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def _rm(tmp_path, **over):
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cfg = RiskConfig(**{
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"max_total_exposure_usdc": 5000, "max_market_notional_usdc": 800,
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"max_event_group_loss_usdc": 1000, "daily_loss_kill_usdc": 250,
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**over,
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})
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store = StateStore(tmp_path / "s.db")
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return RiskManager(cfg, store), store
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def test_daily_loss_kill_switch(tmp_path, meta):
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rm, store = _rm(tmp_path)
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# buy 1000 shares @ 0.50 -> -500 cash, +1000 inventory
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store.apply_fill(Fill(meta.yes.token_id, Side.BUY, 0.50, 1000, "t1"))
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rm.note_fill(Fill(meta.yes.token_id, Side.BUY, 0.50, 1000, "t1"))
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rm.update_mark(meta.yes.token_id, 0.50)
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rm.reset_day()
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assert rm.global_halt()[0] is False
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# fair value collapses to 0.20 -> unrealized loss 300 > 250 kill
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rm.update_mark(meta.yes.token_id, 0.20)
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halted, why = rm.global_halt()
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assert halted and "daily_loss" in why
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store.close()
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def test_market_cap_triggers_reduce_only(tmp_path, meta):
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rm, store = _rm(tmp_path, max_market_notional_usdc=100)
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store.apply_fill(Fill(meta.yes.token_id, Side.BUY, 0.50, 300, "t1")) # 150 notional > 100
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rm.update_mark(meta.yes.token_id, 0.50)
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rm.update_mark(meta.no.token_id, 0.50)
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d = rm.evaluate(meta, ws_stale=False, event_group_cost=0.0)
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assert d.reduce_only and d.reason == "market_cap"
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store.close()
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def test_ws_stale_halts_market(tmp_path, meta):
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rm, store = _rm(tmp_path)
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d = rm.evaluate(meta, ws_stale=True, event_group_cost=0.0)
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assert d.halt and d.reason == "ws_stale"
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store.close()
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def test_size_scale_tapers_near_cap(tmp_path, meta):
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rm, store = _rm(tmp_path, max_market_notional_usdc=100)
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# 85 notional -> 85% of cap -> should scale below 1.0 but not reduce-only
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store.apply_fill(Fill(meta.yes.token_id, Side.BUY, 0.50, 170, "t1")) # 85 notional
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rm.update_mark(meta.yes.token_id, 0.50)
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rm.update_mark(meta.no.token_id, 0.50)
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d = rm.evaluate(meta, ws_stale=False, event_group_cost=0.0)
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assert not d.reduce_only
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assert 0.0 < d.size_scale < 1.0
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store.close()
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def test_event_group_cap(tmp_path, meta):
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rm, store = _rm(tmp_path, max_event_group_loss_usdc=50)
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d = rm.evaluate(meta, ws_stale=False, event_group_cost=60.0)
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assert d.reduce_only and d.reason == "event_group_cap"
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store.close()
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def test_error_rate_breaker(tmp_path, meta):
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rm, store = _rm(tmp_path, max_order_error_rate=0.25)
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for _ in range(15):
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rm.note_order_result(False)
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for _ in range(10):
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rm.note_order_result(True) # 15/25 = 0.6 > 0.25
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assert rm.global_halt()[0] is True
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store.close()
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def test_manual_kill(tmp_path, meta):
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rm, store = _rm(tmp_path)
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rm.kill()
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assert rm.global_halt() == (True, "manual_kill")
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store.close()
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