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tests/test_paper_fills.py

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+"""Paper executor + resolution tests."""
+from __future__ import annotations
+
+from decimal import Decimal as D
+
+import pytest
+
+from arbitrage.book.l2 import BookRegistry
+from arbitrage.db import db_conn
+from arbitrage.engine.opportunity import EngineConfig, EventIndex, OpportunityEngine
+from arbitrage.engine.paper_fills import (
+    PaperExecutor,
+    mark_resolution,
+    simulate_leg_fill,
+)
+from arbitrage.models import BasketStatus, Event, Outcome
+
+
+def _setup_event_and_books():
+    ev = Event(
+        id="evt",
+        slug="s",
+        title="t",
+        is_neg_risk=True,
+        end_date=None,
+        outcomes=(
+            Outcome(token_id="A", name="A", outcome_index=0),
+            Outcome(token_id="B", name="B", outcome_index=1),
+        ),
+    )
+    idx = EventIndex()
+    idx.upsert(ev)
+    reg = BookRegistry()
+    reg.apply_snapshot("A", bids=[], asks=[(D("0.40"), D("200"))])
+    reg.apply_snapshot("B", bids=[], asks=[(D("0.50"), D("200"))])
+    eng = OpportunityEngine(
+        books=reg,
+        index=idx,
+        config=EngineConfig(
+            min_net_edge_bps=50,
+            fees_per_share_usd=D("0"),
+            gas_per_basket_usd=D("0.10"),
+            max_basket_usd=D("100"),
+        ),
+    )
+    return ev, reg, eng
+
+
+def test_simulate_leg_fill_partial_depth() -> None:
+    from arbitrage.book.l2 import LiveBook
+
+    b = LiveBook(token_id="t")
+    b.apply_snapshot(bids=[], asks=[(D("0.50"), D("5"))])
+    res = simulate_leg_fill(b, D("100"))
+    assert res.filled == D("5")
+    assert res.vwap_price == D("0.50")
+
+
+def test_simulate_leg_fill_empty_book() -> None:
+    from arbitrage.book.l2 import LiveBook
+
+    b = LiveBook(token_id="t")
+    res = simulate_leg_fill(b, D("10"))
+    assert res.filled == 0
+    assert res.levels_consumed == 0
+
+
+@pytest.mark.asyncio
+async def test_successful_basket_reaches_pending_resolution(db) -> None:
+    ev, reg, eng = _setup_event_and_books()
+    opp = eng.evaluate(ev)
+    assert opp is not None
+    execr = PaperExecutor(books=reg, latency_ms=0)
+    basket = await execr.execute_now(opp)
+    assert basket is not None
+    assert basket.status is BasketStatus.PENDING_RESOLUTION
+    assert basket.basket_count == opp.max_baskets
+    assert basket.total_cost_usd > 0
+
+
+@pytest.mark.asyncio
+async def test_vanishing_depth_produces_failed_basket(db) -> None:
+    ev, reg, eng = _setup_event_and_books()
+    opp = eng.evaluate(ev)
+    assert opp is not None
+    reg.apply_snapshot("A", bids=[], asks=[(D("0.40"), D("1"))])
+    execr = PaperExecutor(books=reg, latency_ms=0)
+    basket = await execr.execute_now(opp)
+    assert basket is not None
+    assert basket.status is BasketStatus.FAILED
+
+
+@pytest.mark.asyncio
+async def test_resolution_redeems_winning_basket(db) -> None:
+    ev, reg, eng = _setup_event_and_books()
+    opp = eng.evaluate(ev)
+    assert opp is not None
+    execr = PaperExecutor(books=reg, latency_ms=0)
+    basket = await execr.execute_now(opp)
+    assert basket is not None
+
+    updated = await mark_resolution("evt", winning_token_id="A")
+    assert updated == 1
+    async with db_conn() as conn:
+        row = await (
+            await conn.execute(
+                "SELECT status, realized_pnl_usd FROM baskets WHERE id=?", (basket.id,)
+            )
+        ).fetchone()
+    assert row[0] == BasketStatus.REDEEMED.value
+    assert D(row[1]) > 0
+
+
+@pytest.mark.asyncio
+async def test_invalid_resolution_marks_basket_loss(db) -> None:
+    ev, reg, eng = _setup_event_and_books()
+    opp = eng.evaluate(ev)
+    assert opp is not None
+    execr = PaperExecutor(books=reg, latency_ms=0)
+    basket = await execr.execute_now(opp)
+    assert basket is not None
+
+    updated = await mark_resolution("evt", winning_token_id=None)
+    assert updated == 1
+    async with db_conn() as conn:
+        row = await (
+            await conn.execute(
+                "SELECT status, realized_pnl_usd FROM baskets WHERE id=?", (basket.id,)
+            )
+        ).fetchone()
+    assert row[0] == BasketStatus.INVALID.value
+    assert D(row[1]) < 0
+
+
+@pytest.mark.asyncio
+async def test_resolution_is_idempotent(db) -> None:
+    ev, reg, eng = _setup_event_and_books()
+    opp = eng.evaluate(ev)
+    assert opp is not None
+    await PaperExecutor(books=reg, latency_ms=0).execute_now(opp)
+    first = await mark_resolution("evt", winning_token_id="A")
+    second = await mark_resolution("evt", winning_token_id="A")
+    assert first == 1
+    assert second == 0  # nothing pending anymore