mirror of
https://github.com/luxfi/dex.git
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zeekay
be975c5dc1
Add 265+ tests across TypeScript and Python SDKs covering: - Types: TradingPair parsing, Balance, Order, Trade, Ticker - Math: Black-Scholes, Greeks, IV, AMM pricing, risk metrics - Orderbook: bid/ask sorting, spread, liquidity, VWAP, venue routing - Risk: kill switch, position limits, order limits, PnL tracking TypeScript: 133 tests (97% coverage) Python: 132 tests (all passing)
298 lines
9.5 KiB
Python
298 lines
9.5 KiB
Python
"""Tests for LX Trading SDK risk module."""
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import pytest
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from decimal import Decimal
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from lx_trading.risk import RiskManager, RiskError
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from lx_trading.config import RiskConfig
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from lx_trading.types import OrderRequest, Side, OrderType, TimeInForce
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def create_risk_config(**kwargs) -> RiskConfig:
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defaults = {
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"enabled": True,
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"max_position_size": Decimal("100"),
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"max_order_size": Decimal("10"),
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"max_daily_loss": Decimal("1000"),
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"max_open_orders": 5,
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"kill_switch_enabled": False,
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"position_limits": {},
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}
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defaults.update(kwargs)
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return RiskConfig(**defaults)
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def create_order_request(**kwargs) -> OrderRequest:
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defaults = {
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"symbol": "BTC-USDC",
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"side": Side.BUY,
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"order_type": OrderType.LIMIT,
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"quantity": Decimal("1"),
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"price": Decimal("50000"),
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"time_in_force": TimeInForce.GTC,
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}
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defaults.update(kwargs)
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return OrderRequest(**defaults)
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class TestRiskManagerConfiguration:
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def test_enabled_flag(self):
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enabled_manager = RiskManager(create_risk_config(enabled=True))
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assert enabled_manager.is_enabled is True
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disabled_manager = RiskManager(create_risk_config(enabled=False))
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assert disabled_manager.is_enabled is False
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def test_skip_validation_when_disabled(self):
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manager = RiskManager(create_risk_config(enabled=False))
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# Oversized order should pass when disabled
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order = create_order_request(quantity=Decimal("1000"))
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manager.validate_order(order) # Should not raise
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class TestKillSwitch:
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def test_starts_inactive(self):
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manager = RiskManager(create_risk_config())
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assert manager.is_killed is False
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def test_activate_kill(self):
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manager = RiskManager(create_risk_config())
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manager.kill()
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assert manager.is_killed is True
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def test_deactivate_reset(self):
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manager = RiskManager(create_risk_config())
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manager.kill()
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manager.reset()
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assert manager.is_killed is False
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def test_blocks_all_orders_when_active(self):
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manager = RiskManager(create_risk_config())
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manager.kill()
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order = create_order_request()
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with pytest.raises(RiskError, match="Kill switch"):
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manager.validate_order(order)
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class TestOrderSizeLimits:
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def test_reject_oversized_order(self):
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manager = RiskManager(create_risk_config(max_order_size=Decimal("5")))
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order = create_order_request(quantity=Decimal("10"))
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with pytest.raises(RiskError, match="Order size"):
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manager.validate_order(order)
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def test_allow_order_within_limit(self):
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manager = RiskManager(create_risk_config(max_order_size=Decimal("10")))
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order = create_order_request(quantity=Decimal("5"))
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manager.validate_order(order) # Should not raise
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def test_allow_any_size_when_no_limit(self):
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manager = RiskManager(create_risk_config(
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max_order_size=Decimal("0"),
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max_position_size=Decimal("0"),
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))
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order = create_order_request(quantity=Decimal("1000"))
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manager.validate_order(order) # Should not raise
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class TestPositionLimits:
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def test_reject_order_exceeding_max_position(self):
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manager = RiskManager(create_risk_config(max_position_size=Decimal("10")))
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# Simulate existing position
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manager.update_position("BTC", Decimal("8"), Side.BUY)
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# Trying to buy 5 more would exceed limit (8 + 5 = 13 > 10)
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order = create_order_request(quantity=Decimal("5"))
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with pytest.raises(RiskError, match="position"):
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manager.validate_order(order)
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def test_allow_order_within_position_limit(self):
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manager = RiskManager(create_risk_config(max_position_size=Decimal("10")))
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manager.update_position("BTC", Decimal("5"), Side.BUY)
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order = create_order_request(quantity=Decimal("3"))
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manager.validate_order(order) # Should not raise
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def test_asset_specific_limits(self):
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manager = RiskManager(create_risk_config(
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position_limits={"BTC": Decimal("5")},
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))
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manager.update_position("BTC", Decimal("4"), Side.BUY)
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# Trying to buy 2 more exceeds BTC-specific limit
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order = create_order_request(quantity=Decimal("2"))
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with pytest.raises(RiskError, match="Position limit"):
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manager.validate_order(order)
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class TestOpenOrdersLimit:
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def test_reject_when_max_reached(self):
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manager = RiskManager(create_risk_config(max_open_orders=3))
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manager.order_opened("BTC-USDC")
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manager.order_opened("BTC-USDC")
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manager.order_opened("BTC-USDC")
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order = create_order_request()
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with pytest.raises(RiskError, match="open orders"):
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manager.validate_order(order)
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def test_allow_when_under_limit(self):
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manager = RiskManager(create_risk_config(max_open_orders=5))
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manager.order_opened("BTC-USDC")
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manager.order_opened("BTC-USDC")
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order = create_order_request()
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manager.validate_order(order) # Should not raise
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def test_track_per_symbol(self):
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manager = RiskManager(create_risk_config(max_open_orders=2))
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manager.order_opened("BTC-USDC")
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manager.order_opened("BTC-USDC")
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# Different symbol should still be allowed
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order = create_order_request(symbol="ETH-USDC")
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manager.validate_order(order) # Should not raise
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def test_decrement_on_close(self):
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manager = RiskManager(create_risk_config(max_open_orders=2))
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manager.order_opened("BTC-USDC")
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manager.order_opened("BTC-USDC")
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manager.order_closed("BTC-USDC")
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order = create_order_request()
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manager.validate_order(order) # Should not raise
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class TestDailyLossLimit:
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def test_reject_when_exceeded(self):
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manager = RiskManager(create_risk_config(max_daily_loss=Decimal("100")))
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manager.update_pnl(Decimal("-150"))
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order = create_order_request()
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with pytest.raises(RiskError, match="Daily loss"):
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manager.validate_order(order)
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def test_allow_when_within_limit(self):
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manager = RiskManager(create_risk_config(max_daily_loss=Decimal("100")))
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manager.update_pnl(Decimal("-50"))
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order = create_order_request()
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manager.validate_order(order) # Should not raise
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def test_auto_trigger_kill_switch(self):
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manager = RiskManager(create_risk_config(
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max_daily_loss=Decimal("100"),
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kill_switch_enabled=True,
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))
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manager.update_pnl(Decimal("-150"))
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assert manager.is_killed is True
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def test_no_auto_trigger_when_disabled(self):
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manager = RiskManager(create_risk_config(
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max_daily_loss=Decimal("100"),
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kill_switch_enabled=False,
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))
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manager.update_pnl(Decimal("-150"))
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assert manager.is_killed is False
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class TestPositionTracking:
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def test_track_buys(self):
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manager = RiskManager(create_risk_config())
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manager.update_position("BTC", Decimal("5"), Side.BUY)
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assert manager.position("BTC") == Decimal("5")
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manager.update_position("BTC", Decimal("3"), Side.BUY)
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assert manager.position("BTC") == Decimal("8")
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def test_track_sells(self):
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manager = RiskManager(create_risk_config())
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manager.update_position("BTC", Decimal("10"), Side.BUY)
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manager.update_position("BTC", Decimal("3"), Side.SELL)
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assert manager.position("BTC") == Decimal("7")
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def test_allow_negative_positions(self):
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manager = RiskManager(create_risk_config())
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manager.update_position("BTC", Decimal("5"), Side.SELL)
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assert manager.position("BTC") == Decimal("-5")
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def test_unknown_asset_returns_zero(self):
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manager = RiskManager(create_risk_config())
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assert manager.position("UNKNOWN") == Decimal("0")
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def test_all_positions(self):
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manager = RiskManager(create_risk_config())
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manager.update_position("BTC", Decimal("5"), Side.BUY)
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manager.update_position("ETH", Decimal("10"), Side.BUY)
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positions = manager.positions()
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assert len(positions) == 2
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assert positions["BTC"] == Decimal("5")
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assert positions["ETH"] == Decimal("10")
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class TestPnlTracking:
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def test_track_daily_pnl(self):
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manager = RiskManager(create_risk_config())
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manager.update_pnl(Decimal("50"))
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assert manager.daily_pnl == Decimal("50")
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manager.update_pnl(Decimal("-20"))
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assert manager.daily_pnl == Decimal("30")
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def test_reset_daily_pnl(self):
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manager = RiskManager(create_risk_config())
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manager.update_pnl(Decimal("100"))
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manager.reset_daily_pnl()
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assert manager.daily_pnl == Decimal("0")
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class TestOpenOrdersTracking:
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def test_track_count(self):
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manager = RiskManager(create_risk_config())
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assert manager.open_orders("BTC-USDC") == 0
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manager.order_opened("BTC-USDC")
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manager.order_opened("BTC-USDC")
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assert manager.open_orders("BTC-USDC") == 2
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manager.order_closed("BTC-USDC")
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assert manager.open_orders("BTC-USDC") == 1
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def test_not_go_below_zero(self):
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manager = RiskManager(create_risk_config())
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manager.order_closed("BTC-USDC")
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manager.order_closed("BTC-USDC")
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assert manager.open_orders("BTC-USDC") == 0
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class TestRiskError:
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def test_error_message(self):
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error = RiskError("test message")
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assert str(error) == "test message"
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