ramseshk
3073415d33
- strategies/funding_arb_strategy.py: full backtestable funding rate carry module with entry/exit thresholds, position tracking, funding payment accounting, basis stop-loss, max-hold timeout. Includes backtest_funding_arb() and run_funding_discovery() for threshold optimization - live/node_v2.py: replaced naive random fills with QueueAwareFillModel (sim/fills.py) with queue-priority simulation; integrated WQI predictor and funding arb strategies; per-coin WQI signal generation every 3 ticks; funding arb metrics in dashboard - cli.py: added 'funding' command for funding rate distribution analysis and threshold backtesting - tests/test_funding_arb.py: 20 tests covering entry/exit logic, fee accounting, signal generation, backtesting, and node integration 321 tests passing (20 new).
206 lines
7.3 KiB
Python
206 lines
7.3 KiB
Python
"""
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Tests for funding arb strategy and WQI predictor integration.
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"""
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import math
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class TestFundingArb:
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def test_no_entry_below_threshold(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30)
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trade = arb.tick(0.10, 100000.0, 0.0)
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assert trade is None
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assert arb.position == 0
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def test_entry_above_threshold_positive(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30)
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trade = arb.tick(0.50, 100000.0, 0.0)
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assert trade is not None
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assert trade["action"] == "SELL"
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assert arb.position == -1
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def test_entry_above_threshold_negative(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30)
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trade = arb.tick(-0.50, 100000.0, 0.0)
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assert trade is not None
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assert trade["action"] == "BUY"
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assert arb.position == 1
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def test_exit_when_apr_fades(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30, apr_exit=0.10)
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arb.tick(0.50, 100000.0, 0.0)
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trade = arb.tick(0.05, 100000.0, 3600.0)
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assert trade is not None
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assert "EXIT" in trade["action"]
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assert arb.position == 0
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def test_exit_when_funding_flips(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30, apr_exit=0.10)
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arb.tick(0.50, 100000.0, 0.0)
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trade = arb.tick(-0.10, 100000.0, 3600.0)
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assert trade is not None
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assert "EXIT" in trade["action"]
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assert arb.position == 0
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def test_signal_no_exit_when_apr_still_high(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30)
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arb.tick(0.50, 100000.0, 0.0)
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result = arb.signal(0.60, 100000.0)
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assert result["action"] == "HOLD"
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def test_signal_hold_when_below_threshold(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30)
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result = arb.signal(0.05)
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assert result["action"] == "HOLD"
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def test_summary_no_trades(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb()
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s = arb.summary()
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assert s["total_trades"] == 0
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assert s["win_rate"] == 0.0
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def test_summary_with_trades(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30, apr_exit=0.10)
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arb.tick(0.50, 100000.0, 0.0)
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arb.tick(0.05, 100100.0, 3600.0)
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arb.tick(0.50, 100000.0, 7200.0)
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arb.tick(0.05, 100050.0, 10800.0)
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s = arb.summary()
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assert s["total_trades"] == 2
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assert s["position"] == 0
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def test_reset(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.30, apr_exit=0.10)
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arb.tick(0.50, 100000.0, 0.0)
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arb.reset()
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assert arb.position == 0
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assert len(arb.trades) == 0
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def test_backtest_empty(self):
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from strategies.funding_arb_strategy import backtest_funding_arb
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result = backtest_funding_arb([], [])
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assert result["total_trades"] == 0
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def test_backtest_single_trade(self):
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from strategies.funding_arb_strategy import backtest_funding_arb
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rates = [0.50, 0.06]
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prices = [100000.0, 100000.0]
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result = backtest_funding_arb(rates, prices, apr_threshold=0.30)
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assert result["total_trades"] == 1
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def test_fee_accounting(self):
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from strategies.funding_arb_strategy import FundingArb
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arb = FundingArb(apr_threshold=0.10, size=0.001, taker_fee_pct=0.00045)
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trade = arb.tick(0.50, 100000.0, 0.0)
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assert trade is not None
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expected_fee = 0.001 * 100000.0 * 0.00045
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assert abs(trade["fee"] - expected_fee) < 0.001
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class TestFundingDiscoveryCLI:
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def test_discovery_no_data(self):
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from strategies.funding_arb_strategy import run_funding_discovery
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result = run_funding_discovery(
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data_dir="/tmp/nonexistent_data",
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coin="BTC",
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)
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assert "error" in result
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def test_backtest_multiple_thresholds(self):
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from strategies.funding_arb_strategy import backtest_funding_arb
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import random
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random.seed(42)
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rates = [abs(random.gauss(0, 0.5)) for _ in range(200)]
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prices = [100000.0 + random.gauss(0, 500) for _ in range(200)]
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for threshold in [0.10, 0.30, 0.50]:
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result = backtest_funding_arb(rates, prices, apr_threshold=threshold)
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assert "total_trades" in result
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assert "total_net_pnl" in result
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class TestWQIIntegration:
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def test_wqi_with_node_interface(self):
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from strategies.wqi_predictor import WQIPredictor
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wqi = WQIPredictor(z_entry=2.0, max_hold_seconds=30)
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bids = [(50000.0, 1.0), (49999.0, 0.5)]
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asks = [(50002.0, 1.0), (50003.0, 0.5)]
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for _ in range(30):
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wqi.feed_signal(bids, asks, 50001.0)
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extreme_bids = [(50000.0, 10.0), (49999.0, 5.0)]
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extreme_asks = [(50002.0, 0.5)]
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signal = wqi.feed_signal(extreme_bids, extreme_asks, 50001.0)
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assert signal["action"] in ("BUY", "HOLD")
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if signal["action"] == "BUY":
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assert wqi.position != 0
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def test_wqi_exit_on_timeout(self):
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from strategies.wqi_predictor import WQIPredictor
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import time
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wqi = WQIPredictor(z_entry=0.01, z_exit=999.0, wqi_threshold=0.01,
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max_hold_seconds=0.001, max_adverse=999.0)
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for _ in range(30):
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wqi.feed_signal([(100.0, 1.0)], [(102.0, 1.0)], 101.0)
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extreme_bids = [(100.0, 20.0), (99.0, 10.0)]
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extreme_asks = [(102.0, 1.0)]
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signal = wqi.feed_signal(extreme_bids, extreme_asks, 101.0)
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if signal["action"] in ("BUY", "SELL"):
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time.sleep(0.01)
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signal2 = wqi.feed_signal(extreme_bids, extreme_asks, 101.0)
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assert signal2["action"] in ("EXIT", "HOLD")
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class TestNodeV2Strategies:
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def test_node_creates_all_strategies(self):
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from live.node_v2 import ProductionNode
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node = ProductionNode(
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coins=["BTC"],
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testnet=True,
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mode="paper",
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max_position_per_coin=0.001,
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base_quote_size=0.0001,
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)
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assert len(node._wqi_predictors) == 1
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assert node._funding_arb is not None
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assert node._fill_model is not None
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def test_wqi_not_none(self):
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from live.node_v2 import ProductionNode
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node = ProductionNode(
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coins=["BTC"],
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testnet=True,
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mode="paper",
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max_position_per_coin=0.001,
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)
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wqi = node._wqi_predictors.get("BTC")
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assert wqi is not None
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assert wqi._z_entry == 2.0
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assert wqi._max_hold_seconds == 30
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def test_funding_arb_config(self):
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from live.node_v2 import ProductionNode
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node = ProductionNode(
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coins=["BTC"],
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testnet=True,
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mode="paper",
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max_position_per_coin=0.001,
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)
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arb = node._funding_arb
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assert arb._apr_threshold == 0.30
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assert arb._apr_exit == 0.10
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