warren618
10a3027b7a
- 13 test files covering: market detection, loader registry/fallback, engine market rules (ChinaA T+1/涨跌停, Crypto funding/liquidation, US/HK commission), signal alignment, metrics, optimizer, provider mapping - CI: fix branch master→main, add pytest step (e2e excluded) - pyproject.toml: add pytest config + dev dependencies - .gitignore: expose unit tests, keep e2e local-only
270 lines
10 KiB
Python
270 lines
10 KiB
Python
"""Tests for CryptoEngine market rules.
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Validates:
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- 24/7 execution (no direction/time restrictions)
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- Fractional position sizing
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- Maker/Taker fee separation
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- Funding fee settlement (every 8 hours)
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- Forced liquidation (maintenance margin check)
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- Tiered maintenance margin rates
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"""
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from __future__ import annotations
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import pandas as pd
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import pytest
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from backtest.engines.crypto import CryptoEngine, _FUNDING_HOURS, _TIER_TABLE
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from backtest.models import Position
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# ---------------------------------------------------------------------------
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# Helpers
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# ---------------------------------------------------------------------------
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def _make_bar(close: float = 60000.0, open_: float | None = None) -> pd.Series:
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return pd.Series({"close": close, "open": open_ or close})
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def _make_engine(**overrides) -> CryptoEngine:
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config = {
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"initial_cash": 100_000,
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"leverage": 10.0,
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"maker_rate": 0.0002,
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"taker_rate": 0.0005,
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"funding_rate": 0.0001,
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}
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config.update(overrides)
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return CryptoEngine(config)
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# ---------------------------------------------------------------------------
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# can_execute: no restrictions
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# ---------------------------------------------------------------------------
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class TestCanExecute:
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def test_long_allowed(self) -> None:
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engine = _make_engine()
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assert engine.can_execute("BTC-USDT", 1, _make_bar()) is True
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def test_short_allowed(self) -> None:
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engine = _make_engine()
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assert engine.can_execute("BTC-USDT", -1, _make_bar()) is True
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def test_close_allowed(self) -> None:
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engine = _make_engine()
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assert engine.can_execute("BTC-USDT", 0, _make_bar()) is True
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# ---------------------------------------------------------------------------
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# round_size: fractional
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# ---------------------------------------------------------------------------
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class TestRoundSize:
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def test_fractional_preserved(self) -> None:
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engine = _make_engine()
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assert engine.round_size(0.123456, 60000.0) == 0.123456
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def test_six_decimal_precision(self) -> None:
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engine = _make_engine()
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assert engine.round_size(0.1234567890, 60000.0) == pytest.approx(0.123457, abs=1e-7)
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def test_negative_clamps_to_zero(self) -> None:
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engine = _make_engine()
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assert engine.round_size(-0.5, 60000.0) == 0.0
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# ---------------------------------------------------------------------------
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# calc_commission: maker/taker
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# ---------------------------------------------------------------------------
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class TestCommission:
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def test_open_uses_taker(self) -> None:
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engine = _make_engine(taker_rate=0.0005, maker_rate=0.0002)
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comm = engine.calc_commission(1.0, 60000.0, 1, is_open=True)
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# 1 BTC × $60000 × 0.0005 = $30
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assert comm == pytest.approx(30.0)
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def test_close_uses_maker(self) -> None:
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engine = _make_engine(taker_rate=0.0005, maker_rate=0.0002)
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comm = engine.calc_commission(1.0, 60000.0, 1, is_open=False)
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# 1 BTC × $60000 × 0.0002 = $12
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assert comm == pytest.approx(12.0)
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def test_taker_higher_than_maker(self) -> None:
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engine = _make_engine()
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open_comm = engine.calc_commission(1.0, 60000.0, 1, is_open=True)
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close_comm = engine.calc_commission(1.0, 60000.0, 1, is_open=False)
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assert open_comm > close_comm
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# ---------------------------------------------------------------------------
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# apply_slippage
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# ---------------------------------------------------------------------------
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class TestSlippage:
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def test_long_slippage_increases_price(self) -> None:
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engine = _make_engine(slippage=0.001)
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assert engine.apply_slippage(60000.0, 1) == pytest.approx(60060.0)
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def test_short_slippage_decreases_price(self) -> None:
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engine = _make_engine(slippage=0.001)
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assert engine.apply_slippage(60000.0, -1) == pytest.approx(59940.0)
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# ---------------------------------------------------------------------------
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# Funding fee
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# ---------------------------------------------------------------------------
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class TestFundingFee:
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def test_funding_deducted_at_settlement_hour(self) -> None:
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engine = _make_engine(funding_rate=0.0001)
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engine.positions["BTC-USDT"] = Position(
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"BTC-USDT", 1, 60000.0, pd.Timestamp("2025-01-01"), 1.0, leverage=10.0,
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)
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initial_capital = engine.capital
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bar = _make_bar(close=60000.0)
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ts = pd.Timestamp("2025-01-01 08:00:00") # settlement hour
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engine._apply_funding_fee("BTC-USDT", bar, ts)
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# Long pays: 1.0 × 60000 × 0.0001 × 1(long) = $6
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assert engine.capital == pytest.approx(initial_capital - 6.0)
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def test_no_funding_at_non_settlement_hour(self) -> None:
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engine = _make_engine(funding_rate=0.0001)
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engine.positions["BTC-USDT"] = Position(
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"BTC-USDT", 1, 60000.0, pd.Timestamp("2025-01-01"), 1.0, leverage=10.0,
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)
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initial_capital = engine.capital
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bar = _make_bar(close=60000.0)
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ts = pd.Timestamp("2025-01-01 05:00:00") # not settlement hour
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engine._apply_funding_fee("BTC-USDT", bar, ts)
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assert engine.capital == initial_capital
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def test_short_receives_funding(self) -> None:
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engine = _make_engine(funding_rate=0.0001)
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engine.positions["BTC-USDT"] = Position(
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"BTC-USDT", -1, 60000.0, pd.Timestamp("2025-01-01"), 1.0, leverage=10.0,
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)
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initial_capital = engine.capital
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bar = _make_bar(close=60000.0)
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ts = pd.Timestamp("2025-01-01 08:00:00")
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engine._apply_funding_fee("BTC-USDT", bar, ts)
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# Short: direction=-1, fee = notional × rate × direction = negative → capital increases
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assert engine.capital > initial_capital
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def test_no_double_settlement(self) -> None:
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engine = _make_engine(funding_rate=0.0001)
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engine.positions["BTC-USDT"] = Position(
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"BTC-USDT", 1, 60000.0, pd.Timestamp("2025-01-01"), 1.0, leverage=10.0,
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)
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bar = _make_bar(close=60000.0)
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ts = pd.Timestamp("2025-01-01 08:00:00")
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engine._apply_funding_fee("BTC-USDT", bar, ts)
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capital_after_first = engine.capital
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# Call again at same hour — should not deduct again
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engine._apply_funding_fee("BTC-USDT", bar, ts)
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assert engine.capital == capital_after_first
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def test_no_funding_without_position(self) -> None:
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engine = _make_engine()
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initial_capital = engine.capital
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bar = _make_bar()
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ts = pd.Timestamp("2025-01-01 08:00:00")
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engine._apply_funding_fee("BTC-USDT", bar, ts)
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assert engine.capital == initial_capital
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def test_funding_hours_correct(self) -> None:
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assert _FUNDING_HOURS == {0, 8, 16}
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# ---------------------------------------------------------------------------
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# Liquidation
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# ---------------------------------------------------------------------------
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class TestLiquidation:
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def test_liquidation_on_large_loss(self) -> None:
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"""Position wiped when equity drops below maintenance margin."""
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engine = _make_engine(leverage=10.0)
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engine.positions["BTC-USDT"] = Position(
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"BTC-USDT", 1, 60000.0, pd.Timestamp("2025-01-01"), 1.0, leverage=10.0,
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)
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# Margin = 1.0 × 60000 / 10 = $6000
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# If price drops to 54500: unrealized = 1 × (54500 - 60000) = -$5500
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# equity_in_pos = 6000 + (-5500) = $500
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# Notional = 1 × 54500 = 54500, maint_rate(54500) = 0.004
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# Maint margin = 54500 × 0.004 = $218
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# $500 > $218 → no liquidation
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# But if price drops to 54000:
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# unrealized = -6000, equity = 0 → clearly liquidated
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bar = _make_bar(close=54000.0)
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ts = pd.Timestamp("2025-01-02")
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engine._check_liquidation("BTC-USDT", bar, ts)
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assert "BTC-USDT" not in engine.positions
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assert len(engine.trades) == 1
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assert engine.trades[0].exit_reason == "liquidation"
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def test_no_liquidation_when_profitable(self) -> None:
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engine = _make_engine(leverage=10.0)
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engine.positions["BTC-USDT"] = Position(
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"BTC-USDT", 1, 60000.0, pd.Timestamp("2025-01-01"), 1.0, leverage=10.0,
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)
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bar = _make_bar(close=65000.0)
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ts = pd.Timestamp("2025-01-02")
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engine._check_liquidation("BTC-USDT", bar, ts)
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assert "BTC-USDT" in engine.positions
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def test_no_liquidation_for_spot(self) -> None:
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"""Spot (leverage=1) should never get liquidated."""
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engine = _make_engine(leverage=1.0)
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engine.positions["BTC-USDT"] = Position(
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"BTC-USDT", 1, 60000.0, pd.Timestamp("2025-01-01"), 1.0, leverage=1.0,
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)
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bar = _make_bar(close=30000.0) # 50% drop
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ts = pd.Timestamp("2025-01-02")
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engine._check_liquidation("BTC-USDT", bar, ts)
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assert "BTC-USDT" in engine.positions
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def test_short_liquidation(self) -> None:
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"""Short position liquidated when price rises sharply."""
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engine = _make_engine(leverage=10.0)
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engine.positions["BTC-USDT"] = Position(
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"BTC-USDT", -1, 60000.0, pd.Timestamp("2025-01-01"), 1.0, leverage=10.0,
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)
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# Margin = $6000, unrealized = -1 × 1 × (66500 - 60000) = -$6500
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# equity_in_pos = 6000 - 6500 = -$500 < 0 → liquidated
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bar = _make_bar(close=66500.0)
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ts = pd.Timestamp("2025-01-02")
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engine._check_liquidation("BTC-USDT", bar, ts)
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assert "BTC-USDT" not in engine.positions
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# ---------------------------------------------------------------------------
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# Tiered maintenance margin
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# ---------------------------------------------------------------------------
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class TestMaintenanceRate:
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def test_small_position(self) -> None:
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assert CryptoEngine._maintenance_rate(50_000) == 0.004
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def test_medium_position(self) -> None:
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assert CryptoEngine._maintenance_rate(300_000) == 0.006
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def test_large_position(self) -> None:
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assert CryptoEngine._maintenance_rate(2_000_000) == 0.02
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def test_tier_boundaries(self) -> None:
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assert CryptoEngine._maintenance_rate(100_000) == 0.004
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assert CryptoEngine._maintenance_rate(100_001) == 0.006
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def test_maximum_tier(self) -> None:
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assert CryptoEngine._maintenance_rate(100_000_000) == 0.10
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