ramseshk
4f66ef36a9
New live/ sub-modules for production-ready market making:
live/filters/toxicity.py (ToxicityFilter):
VPIN-based pre-trade filter. Accumulates buy/sell volume, computes
VPIN via microstructure module, produces quoting decision:
- allow_quoting: bool
- size_multiplier: 0.0–1.0 (graduated reduction approaching alarm)
- granular thresholds (threshold vs alarm) with smooth reduction
live/treasury.py (Treasury):
Central capital/risk management — single source of truth:
- Position tracking per coin (opening, closing, average entry)
- Realized + unrealized PnL computation
- Pre-trade constraint checks (inventory limits, fee estimates)
- Circuit breaker (drawdown, trade count, toxic fill rate, API errors)
- Liquidation distance monitoring
- Automatic cooldown reset after trip expiry
live/makers/hl_btc_eth.py:
HlMaker — per-coin market maker integrating:
- AvellanedaStoikovMaker (Phase 3) for optimal quotes
- ToxicityFilter for pre-trade gating
- Treasury for position/risk checks
HlMakerPool — manages multiple HlMaker instances with shared treasury
and coordinated observe_all()/quote_all()
live/monitors/cross_venue.py (CrossVenueMonitor):
Cross-exchange lead-lag detection via cross-correlation at multiple
lags. Spot premium (basis proxy) computation. Multi-venue summary.
live/monitors/funding_basis.py (FundingBasisMonitor):
Funding regime classification, momentum detection, carry PnL
estimation, basis spread analysis. Uses microstructure/funding.py.
live/monitors/liq_risk.py (LiquidationRiskOverlay):
Per-position liquidation distance monitoring with tiered warnings
(safe/warning/danger/critical). Recommended position reduction.
38 tests across 4 files (all pass):
test_live_filters.py (5)
test_live_maker.py (9)
test_live_monitors.py (11)
test_live_treasury.py (13)
Total test suite: 172 tests, all passing.
94 lines
3.5 KiB
Python
94 lines
3.5 KiB
Python
"""
|
|
Tests for live/monitors — cross-venue, funding/basis, liquidation risk.
|
|
"""
|
|
from live.monitors.cross_venue import CrossVenueMonitor
|
|
from live.monitors.funding_basis import FundingBasisMonitor
|
|
from live.monitors.liq_risk import LiquidationRiskOverlay
|
|
from live.treasury import Treasury
|
|
|
|
|
|
class TestCrossVenueMonitor:
|
|
def test_update_and_lead_lag(self):
|
|
cm = CrossVenueMonitor(window=50, max_lag=5)
|
|
for i in range(50):
|
|
cm.update("hl", "BTC", 50000.0 + i * 10, float(i))
|
|
cm.update("binance", "BTC", 50000.0 + i * 10 + 2, float(i))
|
|
result = cm.lead_lag("BTC", "hl", "binance")
|
|
assert result is not None
|
|
assert "correlation" in result
|
|
assert "lag" in result
|
|
|
|
def test_spot_premium(self):
|
|
cm = CrossVenueMonitor()
|
|
for _ in range(10):
|
|
cm.update("hl", "BTC", 50005.0, 0)
|
|
cm.update("binance", "BTC", 50000.0, 0)
|
|
premium = cm.spot_premium("BTC")
|
|
assert premium is not None
|
|
assert premium["basis_bps"] > 0
|
|
|
|
def test_nonexistent_coin_returns_none(self):
|
|
cm = CrossVenueMonitor()
|
|
assert cm.lead_lag("XYZ", "hl", "binance") is None
|
|
|
|
def test_summary(self):
|
|
cm = CrossVenueMonitor()
|
|
for i in range(50):
|
|
cm.update("hl", "BTC", 50000.0 + i * 10, float(i))
|
|
cm.update("binance", "BTC", 50000.0 + i * 10, float(i))
|
|
s = cm.summary("BTC")
|
|
assert "hl_binance" in s
|
|
|
|
|
|
class TestFundingBasisMonitor:
|
|
def test_initial_no_signal(self):
|
|
fm = FundingBasisMonitor()
|
|
result = fm.signal("BTC")
|
|
assert result["signal"] == "insufficient_data"
|
|
|
|
def test_signal_with_data(self):
|
|
fm = FundingBasisMonitor(funding_window=100, samples_per_hour=60)
|
|
for _ in range(200):
|
|
fm.update_funding("BTC", 0.00001)
|
|
result = fm.signal("BTC")
|
|
assert result["signal"] in ("neutral", "positive", "negative", "high_positive", "high_negative")
|
|
assert "funding_mean_annual_pct" in result
|
|
|
|
def test_basis_requires_spot_and_perp(self):
|
|
fm = FundingBasisMonitor()
|
|
for i in range(50):
|
|
fm.update_perp("BTC", 50005.0)
|
|
fm.update_spot("BTC", 50000.0)
|
|
fm.update_funding("BTC", 0.00001)
|
|
result = fm.signal("BTC")
|
|
assert result["basis_current_bps"] > 0
|
|
|
|
|
|
class TestLiquidationRiskOverlay:
|
|
def test_safe_position(self):
|
|
t = Treasury(initial_equity=100000.0)
|
|
t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
|
|
overlay = LiquidationRiskOverlay(treasury=t)
|
|
result = overlay.check("BTC")
|
|
assert result["level"] == "safe"
|
|
|
|
def test_no_position(self):
|
|
t = Treasury(initial_equity=10000.0)
|
|
overlay = LiquidationRiskOverlay(treasury=t)
|
|
result = overlay.check("BTC")
|
|
assert result["distance_pct"] > 1e5 # capped at 999999 for display
|
|
|
|
def test_recommended_action(self):
|
|
t = Treasury(initial_equity=10000.0)
|
|
t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
|
|
overlay = LiquidationRiskOverlay(treasury=t)
|
|
assert overlay.recommended_action("BTC") == "none"
|
|
|
|
def test_summary(self):
|
|
t = Treasury(initial_equity=100000.0)
|
|
t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
|
|
overlay = LiquidationRiskOverlay(treasury=t)
|
|
s = overlay.summary()
|
|
assert "positions" in s
|
|
assert "worst_case" in s
|