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.
96 lines
3.8 KiB
Python
96 lines
3.8 KiB
Python
"""
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Tests for live/treasury.py — central treasury and risk management.
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"""
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from live.treasury import Treasury
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class TestTreasury:
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def test_initial_equity(self):
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t = Treasury(initial_equity=10000.0)
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assert t.equity == 10000.0
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assert t.total_pnl() == 0.0
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def test_can_open_within_limits(self):
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t = Treasury(initial_equity=10000.0, max_position_per_asset=0.005)
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result = t.can_open("BTC", side="buy", size=0.001, mark_price=50000.0)
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assert result["allowed"]
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def test_cannot_open_exceed_inventory(self):
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t = Treasury(initial_equity=10000.0, max_position_per_asset=0.002)
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t.can_open("BTC", side="buy", size=0.001, mark_price=50000.0)
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t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
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result = t.can_open("BTC", side="buy", size=0.0015, mark_price=50000.0)
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assert not result["allowed"]
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def test_record_fill_updates_position(self):
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t = Treasury(initial_equity=10000.0)
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t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
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assert t.position("BTC") == 0.001
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def test_record_close_updates_pnl(self):
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t = Treasury(initial_equity=10000.0)
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t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
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t.record_fill("BTC", side="sell", size=0.001, price=50100.0, fee=10.0, pnl=100.0)
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assert t.position("BTC") == 0.0
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assert t.total_pnl() > 0
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def test_unrealized_pnl(self):
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t = Treasury(initial_equity=10000.0)
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t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
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t.update_mark_price("BTC", 50200.0)
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assert t.unrealized_pnl() > 0
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def test_pnl_pct(self):
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t = Treasury(initial_equity=10000.0)
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t.record_fill("BTC", side="buy", size=0.1, price=50000.0, fee=0.1, pnl=0)
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t.update_mark_price("BTC", 50200.0) # 0.1 * 200 = $20 unrealized >> $0.10 fee
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assert t.pnl_pct() > 0
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def test_circuit_breaker_drawdown(self):
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t = Treasury(initial_equity=10000.0, max_drawdown_pct=-1.0)
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# Force large negative PnL
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t._realized_pnl = -5000.0
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t._fees_paid = 0
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t._check_breakers()
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assert t.is_halted()
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def test_liquidation_distance(self):
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t = Treasury(initial_equity=50000.0)
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t.record_fill("BTC", side="buy", size=1.0, price=50000.0, fee=10.0, pnl=0)
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dist = t.liquidation_distance("BTC")
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assert dist > 0
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def test_all_positions(self):
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t = Treasury()
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t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
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t.record_fill("ETH", side="sell", size=0.01, price=3000.0, fee=10.0, pnl=0)
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positions = t.all_positions
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assert positions["BTC"] == 0.001
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assert positions["ETH"] == -0.01
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def test_net_exposure(self):
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t = Treasury()
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t.record_fill("BTC", side="buy", size=0.002, price=50000.0, fee=10.0, pnl=0)
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t.record_fill("ETH", side="buy", size=0.003, price=3000.0, fee=10.0, pnl=0)
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assert t.net_exposure == 0.005
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def test_summary(self):
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t = Treasury(initial_equity=10000.0)
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t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
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s = t.summary()
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assert "equity" in s
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assert "pnl_pct" in s
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assert "positions" in s
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assert "BTC" in s["positions"]
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def test_toxic_fill_tracking(self):
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t = Treasury(initial_equity=10000.0, max_toxic_rate=0.1)
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t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=0)
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for _ in range(9):
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t.record_fill("BTC", side="buy", size=0.001, price=50000.0, fee=10.0, pnl=-1.0)
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t.record_toxic_fill()
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t.record_toxic_fill()
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t._check_breakers()
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# 2/10 = 20% toxic > 10% threshold
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assert t.is_halted()
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