first commit

2026-07-22 18:53:44 +08:00
commit 9259325d8a
60 changed files with 11081 additions and 0 deletions
@@ -0,0 +1,96 @@
+"""Polymarket CLOB WS message dispatch (parse-only, no live socket)."""
+from __future__ import annotations
+
+from decimal import Decimal as D
+
+from arbitrage.book.l2 import BookRegistry
+from arbitrage.clients.polymarket_ws import MarketChannel, shard_tokens
+
+
+def _channel(reg: BookRegistry) -> MarketChannel:
+    return MarketChannel(["tok1", "tok2"], registry=reg)
+
+
+def test_book_snapshot_message_populates_registry() -> None:
+    reg = BookRegistry()
+    _channel(reg)._dispatch(
+        {
+            "event_type": "book",
+            "asset_id": "tok1",
+            "market": "m1",
+            "bids": [{"price": "0.10", "size": "100"}, {"price": "0.12", "size": "50"}],
+            "asks": [{"price": "0.20", "size": "80"}],
+            "timestamp": "1700000000000",
+            "hash": "0xaa",
+        }
+    )
+    book = reg.get("tok1")
+    assert book is not None
+    assert book.best_bid() == (D("0.12"), D("50"))
+    assert book.best_ask() == (D("0.20"), D("80"))
+    assert book.last_hash == "0xaa"
+
+
+def test_price_change_applies_delta_per_asset() -> None:
+    reg = BookRegistry()
+    ch = _channel(reg)
+    ch._dispatch(
+        {
+            "event_type": "book",
+            "asset_id": "tok1",
+            "market": "m",
+            "bids": [],
+            "asks": [{"price": "0.20", "size": "80"}],
+            "timestamp": "1",
+        }
+    )
+    ch._dispatch(
+        {
+            "event_type": "price_change",
+            "market": "m",
+            "timestamp": "2",
+            "price_changes": [
+                {"asset_id": "tok1", "price": "0.20", "size": "0", "side": "SELL"},
+                {"asset_id": "tok1", "price": "0.19", "size": "30", "side": "SELL"},
+                {"asset_id": "tok1", "price": "0.11", "size": "60", "side": "BUY"},
+            ],
+        }
+    )
+    book = reg.get("tok1")
+    assert book.best_ask() == (D("0.19"), D("30"))
+    assert book.best_bid() == (D("0.11"), D("60"))
+
+
+def test_zero_size_removes_level() -> None:
+    reg = BookRegistry()
+    ch = _channel(reg)
+    ch._dispatch(
+        {
+            "event_type": "book",
+            "asset_id": "tok1",
+            "bids": [],
+            "asks": [{"price": "0.20", "size": "10"}],
+            "timestamp": "1",
+        }
+    )
+    ch._dispatch(
+        {
+            "event_type": "price_change",
+            "timestamp": "2",
+            "price_changes": [
+                {"asset_id": "tok1", "price": "0.20", "size": "0", "side": "SELL"}
+            ],
+        }
+    )
+    assert reg.get("tok1").best_ask() is None
+
+
+def test_unknown_event_type_is_ignored() -> None:
+    reg = BookRegistry()
+    _channel(reg)._dispatch({"event_type": "who_knows", "asset_id": "tok1"})
+    assert reg.get("tok1") is None
+
+
+def test_shard_tokens_splits_evenly() -> None:
+    shards = shard_tokens([str(i) for i in range(250)], shard_size=100)
+    assert [len(s) for s in shards] == [100, 100, 50]