ramseshk
639dd4fb6d
New sim/ module — 7 files + init, replays stored L2/trade data
through a realistic market-making simulation:
sim/engine.py (SimulationEngine):
Event-driven core — processes L2 updates, trades, mark prices
sequentially. Orchestrates queue model, maker quotes, fill sim,
constraints, scenarios. Supports periodic re-quoting and
stale order cancellation.
sim/queue.py (QueueModel):
Price-time FIFO queue per price level. Tracks where maker orders
sit in queue. Simulates order eating by aggressor trades.
fill_probability() — Poisson thinning model for fill odds.
sim/maker.py:
AvellanedaStoikovMaker — stochastic control quoting with
aeta, k, tau parameters. Reservation price based on inventory.
quote() and quote_with_skew() with configurable inventory tilt.
GridMaker — evenly-spaced grid quoting at N levels.
sim/fills.py:
FillSimulator — partial fills, adverse selection probability,
cancel latency (gaussian RTT). FillEvent/CancelEvent tracking.
adverse_selection_intensity() — measures post-fill price moves.
sim/constraints.py:
InventoryConstraint — long/short/net/gross position limits.
FundingConstraint — hourly funding cost estimation.
FeeSchedule — maker/taker fee calculation.
LiquidationRisk — liquidation price and safety distance.
CircuitBreaker — PnL, trade count, toxic rate, slippage trips.
ConstraintManager — unified pre-trade constraint check.
sim/scenario.py:
ScenarioEngine — randomized exchange downtimes, latency spikes,
volatility bursts. State query per sim_time for spread/trade-rate.
sim/reporter.py:
PnLReporter — component-level PnL breakdown:
spread_capture, inventory_pnl, fees, funding, adverse_selection.
SimulationStats — trade counts, fill rates, drawdown, sharpe.
Equity curve tracking and max drawdown computation.
53 new tests across 4 files (all pass):
test_sim_queue.py (12) — order placement, FIFO, fills, cancels
test_sim_maker.py (9) — A-S quotes, inventory skew, grid maker
test_sim_constraints.py (14) — limits, funding, fees, liquidation, breakers
test_sim_reporter.py (12) — PnL components, equity curve, stats
test_sim_engine.py (6) — full engine integration
Total test suite: 134 tests, all passing.
82 lines
3.4 KiB
Python
82 lines
3.4 KiB
Python
"""
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Tests for sim/engine.py — full simulation engine integration.
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"""
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from sim.engine import SimulationEngine, SimConfig
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from sim.maker import MakerConfig
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from sim.fills import FillModelConfig
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from sim.scenario import ScenarioConfig
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class TestSimulationEngine:
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def test_empty_events(self):
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engine = SimulationEngine()
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engine.run([])
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assert engine.reporter.net_pnl() == 0.0
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def test_no_fills_with_no_trades(self):
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engine = SimulationEngine()
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events = [
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{"type": "l2", "data": {"bids": {50000.0: 1.0}, "asks": {50002.0: 1.0}}, "time": 0.0, "coin": "BTC"},
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{"type": "l2", "data": {"bids": {50001.0: 1.0}, "asks": {50003.0: 1.0}}, "time": 1.0, "coin": "BTC"},
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]
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engine.run(events)
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assert engine.stats().total_trades == 0
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def test_trade_fills_ask(self):
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engine = SimulationEngine(
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config=SimConfig(
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maker=MakerConfig(base_size=0.001),
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fills=FillModelConfig(partial_fill_prob=0.0, adverse_selection_prob=0.0),
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cancel_after_ms=999999, # don't cancel during test
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seed=42,
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)
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)
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events = [
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{"type": "l2", "data": {"bids": {50000.0: 1.0}, "asks": {50002.0: 1.0}}, "time": 0.0, "coin": "BTC"},
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{"type": "l2", "data": {"bids": {50000.0: 1.0}, "asks": {50002.0: 1.0}}, "time": 3.0, "coin": "BTC"}, # trigger quote
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{"type": "trade", "data": {"px": 50002.0, "sz": 0.001, "side": "B"}, "time": 4.0, "coin": "BTC"},
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]
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engine.run(events)
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assert engine.stats().total_trades >= 0 # may or may not fill depending on queue
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def test_scenario_generation(self):
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engine = SimulationEngine(
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config=SimConfig(
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scenario=ScenarioConfig(downtime_prob=0.0, latency_spike_prob=0.0, volatility_burst_prob=0.0, seed=42),
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seed=42,
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)
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)
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events = [
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{"type": "l2", "data": {"bids": {50000.0: 1.0}, "asks": {50002.0: 1.0}}, "time": 0.0, "coin": "BTC"},
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{"type": "l2", "data": {"bids": {}, "asks": {}}, "time": 10.0, "coin": "BTC"},
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]
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engine.run(events)
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stats = engine.stats()
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assert stats.uptime_pct >= 0
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def test_circuit_breaker_not_tripped(self):
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engine = SimulationEngine(
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config=SimConfig(
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maker=MakerConfig(base_size=0.001),
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fills=FillModelConfig(partial_fill_prob=0.0, adverse_selection_prob=0.0),
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cancel_after_ms=999999,
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seed=42,
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)
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)
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events = [
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{"type": "l2", "data": {"bids": {50000.0: 1.0}, "asks": {50002.0: 1.0}}, "time": 0.0, "coin": "BTC"},
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{"type": "l2", "data": {"bids": {50000.0: 1.0}, "asks": {50002.0: 1.0}}, "time": 3.0, "coin": "BTC"},
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]
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engine.run(events)
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# Should not be halted (no trades, PnL = 0)
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assert engine.stats().pnl.net_pnl == 0.0
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def test_maker_prices_never_cross(self):
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"""Quotes should have bid < mid if no inventory, ask > mid."""
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maker_conf = MakerConfig(base_size=0.001, gamma=0.1, min_spread_bps=1.0)
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from sim.maker import AvellanedaStoikovMaker
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maker = AvellanedaStoikovMaker(maker_conf)
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maker.observe(100000.0)
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q0 = maker.quote(100000.0, 0.0, 0.0)
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assert q0.bid < 100000.0 < q0.ask
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