feat: HFT infrastructure — tick backtest runner, VPIN-gated A-S maker, WQI predictor, queue-aware fills

- backtests/tick_runner.py: TickBacktestRunner replays stored Parquet L2/trade events through sim/engine.py with queue position modeling, producing PnL breakdowns, equity curves, VPIN curves, and QuantVerdict significance reports - VPINGatedASMaker: VPIN-toxicity-gated A-S market maker with inventory skew and dynamic spread widening; blocks quoting when VPIN >= alarm threshold - sim/engine.py: Added SimConfig.from_fee_tier() factory — constructs sim config from Hyperliquid fee tier (VIP + staking) - sim/fills.py: Added QueueAwareFillModel — realistic queue-priority fill simulation replacing random fills in paper trading - strategies/wqi_predictor.py: WQI z-score directional strategy with adverse selection gating, timeout exit, stop-loss, and take-profit - cli.py: Added 'tick', 'markout' analysis, and 'discover' signal-discovery commands for end-to-end tick-level HFT research pipeline 301 tests passing (23 new).
2026-08-11 10:43:51 +08:00
parent cdc7a01986
commit 50d63e1ecc
6 changed files with 1517 additions and 3 deletions
@@ -0,0 +1,228 @@
+"""
+Tests for tick-level backtest runner and queue-aware fill model.
+"""
+from sim.fills import QueueAwareFillModel, FillModelConfig, FillSimulator
+from sim.maker import MakerConfig
+from sim.engine import SimConfig
+
+
+class TestQueueAwareFillModel:
+    def test_price_not_crossed(self):
+        qm = QueueAwareFillModel()
+        result = qm.check_fill(
+            aggressor_side="buy",
+            agg_size=0.01,
+            agg_price=49900.0,
+            our_price=50000.0,
+            our_size=0.001,
+            depth_ahead=0.0,
+        )
+        assert not result["filled"]
+        assert result["reason"] == "price_not_crossed"
+
+    def test_fills_when_price_crossed_and_no_queue_ahead(self):
+        qm = QueueAwareFillModel()
+        result = qm.check_fill(
+            aggressor_side="buy",
+            agg_size=0.01,
+            agg_price=50005.0,
+            our_price=50000.0,
+            our_size=0.001,
+            depth_ahead=0.0,
+        )
+        assert result["filled"]
+        assert result["fill_size"] == 0.001
+
+    def test_does_not_fill_when_queue_not_reached(self):
+        qm = QueueAwareFillModel()
+        result = qm.check_fill(
+            aggressor_side="buy",
+            agg_size=0.001,
+            agg_price=50005.0,
+            our_price=50000.0,
+            our_size=0.001,
+            depth_ahead=0.005,
+        )
+        assert not result["filled"]
+        assert result["reason"] == "queue_not_reached"
+
+    def test_partial_fill(self):
+        qm = QueueAwareFillModel()
+        result = qm.check_fill(
+            aggressor_side="sell",
+            agg_size=0.005,
+            agg_price=49990.0,
+            our_price=50000.0,
+            our_size=0.003,
+            depth_ahead=0.002,
+        )
+        assert result["filled"]
+        assert result["fill_size"] == 0.003
+
+    def test_sell_fill_price_match(self):
+        qm = QueueAwareFillModel()
+        result = qm.check_fill(
+            aggressor_side="sell",
+            agg_size=0.01,
+            agg_price=49990.0,
+            our_price=50000.0,
+            our_size=0.001,
+            depth_ahead=0.0,
+        )
+        assert result["filled"]
+
+    def test_estimate_depth_ahead_at_best(self):
+        qm = QueueAwareFillModel()
+        depth = qm.estimate_depth_ahead(
+            our_price=50000.0,
+            our_side="bid",
+            best_bid=50000.0,
+            best_ask=50002.0,
+            bid_depth=2.0,
+            ask_depth=1.0,
+        )
+        assert depth == 1.0
+
+    def test_estimate_depth_ahead_not_at_best(self):
+        qm = QueueAwareFillModel()
+        depth = qm.estimate_depth_ahead(
+            our_price=49999.0,
+            our_side="bid",
+            best_bid=50000.0,
+            best_ask=50002.0,
+            bid_depth=2.0,
+            ask_depth=1.0,
+        )
+        assert depth == float("inf")
+
+    def test_fill_rate_tracking(self):
+        qm = QueueAwareFillModel()
+        qm.check_fill("buy", 0.01, 50005.0, 50000.0, 0.001, 0.0)
+        qm.check_fill("buy", 0.001, 50005.0, 50000.0, 0.001, 0.005)
+        qm.check_fill("buy", 0.01, 50005.0, 50000.0, 0.001, 0.0)
+        assert qm.fill_count == 2
+        assert qm.skip_count == 1
+        assert qm.fill_rate() == 2 / 3
+
+
+class TestSimConfigFeeTier:
+    def test_from_fee_tier_default(self):
+        cfg = SimConfig.from_fee_tier(vip_tier=0)
+        assert cfg.maker_fee_pct == 0.00015
+        assert cfg.taker_fee_pct == 0.00045
+
+    def test_from_fee_tier_vip2(self):
+        cfg = SimConfig.from_fee_tier(vip_tier=2)
+        assert cfg.maker_fee_pct == 0.00008
+        assert cfg.taker_fee_pct == 0.00035
+
+    def test_from_fee_tier_with_staking(self):
+        cfg = SimConfig.from_fee_tier(vip_tier=0, staking_tier="gold")
+        assert cfg.maker_fee_pct < 0.00015
+        assert cfg.taker_fee_pct < 0.00045
+
+    def test_from_fee_tier_custom_params(self):
+        cfg = SimConfig.from_fee_tier(
+            vip_tier=0,
+            max_inventory=0.01,
+            initial_equity=50000.0,
+        )
+        assert cfg.max_inventory == 0.01
+        assert cfg.initial_equity == 50000.0
+
+
+class TestVPINGatedASMaker:
+    def test_default_allows_quoting(self):
+        from backtests.tick_runner import VPINGatedASMaker
+        maker = VPINGatedASMaker(MakerConfig())
+        assert maker.allowed_to_quote() == (True, 1.0)
+
+    def test_alarm_blocks_quoting(self):
+        from backtests.tick_runner import VPINGatedASMaker
+        maker = VPINGatedASMaker(MakerConfig(), vpin_threshold=0.3, vpin_alarm=0.5)
+        maker._current_vpin = 0.55
+        assert maker.allowed_to_quote() == (False, 0.0)
+
+    def test_threshold_reduces_size(self):
+        from backtests.tick_runner import VPINGatedASMaker
+        maker = VPINGatedASMaker(MakerConfig(), vpin_threshold=0.3, vpin_alarm=0.5)
+        maker._current_vpin = 0.35
+        allowed, size_mult = maker.allowed_to_quote()
+        assert allowed
+        assert 0 < size_mult < 1.0
+
+    def test_returns_none_when_not_allowed(self):
+        from backtests.tick_runner import VPINGatedASMaker
+        maker = VPINGatedASMaker(MakerConfig(), vpin_threshold=0.3, vpin_alarm=0.5)
+        maker._current_vpin = 0.55
+        maker.observe(100000.0)
+        q = maker.quote(100000.0, 0.0, 0.0)
+        assert q is None
+
+    def test_returns_quote_when_allowed(self):
+        from backtests.tick_runner import VPINGatedASMaker
+        maker = VPINGatedASMaker(MakerConfig())
+        maker.observe(100000.0)
+        maker.observe(100100.0)
+        maker.observe(100050.0)
+        q = maker.quote(100000.0, 0.0, 0.0)
+        assert q is not None
+        assert q.bid < q.ask
+        assert q.bid_size > 0
+
+
+class TestWQIPredictor:
+    def test_initial_state(self):
+        from strategies.wqi_predictor import WQIPredictor
+        wqi = WQIPredictor()
+        assert wqi.position == 0
+        assert len(wqi.trades) == 0
+
+    def test_no_signal_with_balanced_book(self):
+        from strategies.wqi_predictor import WQIPredictor
+        wqi = WQIPredictor()
+        bids = [(100.0, 1.0), (99.0, 1.0)]
+        asks = [(102.0, 1.0), (103.0, 1.0)]
+        signal = wqi.feed_signal(bids, asks, 101.0)
+        assert signal["action"] == "HOLD"
+
+    def test_buy_signal_with_bid_heavy_book(self):
+        from strategies.wqi_predictor import WQIPredictor
+        wqi = WQIPredictor(z_entry=0.5, wqi_threshold=0.05)
+        for _ in range(25):
+            wqi.feed_signal([(100.0, 1.0), (99.0, 1.0)], [(102.0, 1.0), (103.0, 1.0)], 101.0)
+        bids = [(100.0, 10.0), (99.0, 5.0)]
+        asks = [(102.0, 1.0)]
+        signal = wqi.feed_signal(bids, asks, 101.0)
+        if signal["action"] == "BUY":
+            assert wqi.position != 0
+
+    def test_exit_on_timeout(self):
+        from strategies.wqi_predictor import WQIPredictor
+        import time
+        wqi = WQIPredictor(z_entry=0.01, z_exit=999.0, wqi_threshold=0.01,
+                           max_hold_seconds=0.001)
+        for _ in range(25):
+            wqi.feed_signal([(100.0, 1.0), (99.0, 1.0)], [(102.0, 1.0), (103.0, 1.0)], 101.0)
+        bids = [(100.0, 10.0), (99.0, 5.0)]
+        asks = [(102.0, 1.0)]
+        wqi.feed_signal(bids, asks, 101.0)
+        time.sleep(0.01)
+        signal = wqi.feed_signal(bids, asks, 101.0)
+        assert signal["action"] in ("HOLD", "EXIT")
+
+    def test_summary_returns_zero_for_no_trades(self):
+        from strategies.wqi_predictor import WQIPredictor
+        wqi = WQIPredictor()
+        s = wqi.summary()
+        assert s["total_trades"] == 0
+
+    def test_reset_clears_state(self):
+        from strategies.wqi_predictor import WQIPredictor
+        wqi = WQIPredictor()
+        bids = [(100.0, 1.0)]
+        asks = [(102.0, 1.0)]
+        wqi.feed_signal(bids, asks, 101.0)
+        wqi.reset()
+        assert wqi.position == 0
+        assert len(wqi.trades) == 0