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