paper FAK parity: no ask inside the protected band -> honest miss, not a pretend fill

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-07-15 23:48:56 -04:00
parent d833168c05
commit 646139dfa3
4 changed files with 158 additions and 5 deletions
@@ -0,0 +1,104 @@
+"""Stub tests for the paper FAK no-match model (HANDOFF 2026-07-15):
+PaperExecutor.buy rejects when no ask sits inside the live protected band,
+reuses the depth gate's book snapshot, fails open on a dead book fetch, and
+LedgerPaperExecutor records no fill row for a rejection. Run:
+python3 tests/test_paper_fak.py — needs no network, no config.
+"""
+import os
+import sys
+
+sys.path.insert(0, os.path.join(os.path.dirname(os.path.abspath(__file__)), ".."))
+import copytrade  # noqa: E402
+import copybot    # noqa: E402
+
+fails = []
+
+
+def case(name):
+    def deco(fn):
+        bd0 = copytrade.book_depth
+        try:
+            fn()
+            print(f"PASS  {name}")
+        except AssertionError as e:
+            print(f"FAIL  {name}: {e}")
+            fails.append(name)
+        finally:
+            copytrade.book_depth = bd0
+    return deco
+
+
+def boom(token_id):
+    raise AssertionError("book_depth called — meta['book'] should be reused")
+
+
+@case("ask inside the band -> fills, and the meta book is reused (no refetch)")
+def t1():
+    copytrade.book_depth = boom
+    ex = copytrade.PaperExecutor()
+    r = ex.buy("T", 10.0, 0.80, {"book": {"ba": 0.82, "ask5c": 200.0}})
+    assert r["ok"] and r["filled_shares"] == 10.0 and r["price"] == 0.80
+
+
+@case("best ask above quote*(1+5%) -> FAK no-match rejection")
+def t2():
+    copytrade.book_depth = boom
+    ex = copytrade.PaperExecutor()
+    r = ex.buy("T", 10.0, 0.80, {"book": {"ba": 0.90, "ask5c": 200.0}})
+    assert not r["ok"] and r["filled_shares"] == 0.0
+    assert "no orders found to match" in r["resp"], r["resp"]
+
+
+@case("no asks at all -> FAK no-match rejection")
+def t3():
+    copytrade.book_depth = boom
+    ex = copytrade.PaperExecutor()
+    r = ex.buy("T", 10.0, 0.80, {"book": {"ba": None, "ask5c": None}})
+    assert not r["ok"] and "no asks" in r["resp"], r["resp"]
+
+
+@case("boundary: ask exactly at the cap still fills")
+def t4():
+    copytrade.book_depth = boom
+    ex = copytrade.PaperExecutor()
+    r = ex.buy("T", 10.0, 0.80, {"book": {"ba": 0.84, "ask5c": 200.0}})
+    assert r["ok"], r
+
+
+@case("no meta book + dead book fetch -> fail OPEN (fills, today's behavior)")
+def t5():
+    copytrade.book_depth = lambda token_id: None
+    ex = copytrade.PaperExecutor()
+    r = ex.buy("T", 10.0, 0.80, {"title": "x", "book": None})
+    assert r["ok"] and r["filled_shares"] == 10.0
+
+
+@case("no meta book -> fetches its own and applies the band")
+def t6():
+    copytrade.book_depth = lambda token_id: {"ba": 0.95, "ask5c": 200.0}
+    ex = copytrade.PaperExecutor()
+    r = ex.buy("T", 10.0, 0.80, {"title": "x"})
+    assert not r["ok"] and "no orders found to match" in r["resp"]
+
+
+@case("SELLs stay optimistic-fill (unchanged)")
+def t7():
+    copytrade.book_depth = boom
+    ex = copytrade.PaperExecutor()
+    r = ex.sell("T", 10.0, 0.80, {"book": {"ba": None}})
+    assert r["ok"] and r["filled_shares"] == 10.0
+
+
+@case("LedgerPaperExecutor: rejection appends NO fill row; success appends")
+def t8():
+    copytrade.book_depth = boom
+    ex = copybot.LedgerPaperExecutor()
+    r = ex.buy("T", 10.0, 0.80, {"book": {"ba": 0.95, "ask5c": 200.0}})
+    assert not r["ok"] and ex.fills == [], ex.fills
+    r = ex.buy("T", 10.0, 0.80, {"book": {"ba": 0.81, "ask5c": 200.0}})
+    assert r["ok"] and len(ex.fills) == 1 and ex.fills[0]["shares"] == 10.0
+
+
+print()
+print("FAILURES:", fails or "none")
+sys.exit(1 if fails else 0)