c4fb3f73eb
The VRP exec twin previously opened a NEW full-envelope spread every run, overwriting the single-slot book-state and never closing the prior one -- armed weekly it would stack N x notional. plan_and_record_vrp now maintains a 5-rung ladder (mirrors VrpStrategy.advance): closes rungs at 50% profit-take or DTE<=1 first, then opens at most one new rung sized at envelope/ladder (never the full envelope) only when a slot is free. Ladder decisions are factored into a pure, unit-tested plan_vrp_ladder helper. Also: IbkrBroker.place_combo used the wrong parent-order action for a net-credit combo (SELL with a negative limit); switched to BUY with a negative limit per IBKR's combo convention. fxhnt-opra-backfill.yaml's git-sync cloned the feature branch instead of master (this Job is applied manually post-merge). Added tests/unit/test_vrp_exec_helpers.py for the previously untested pure P&L helpers (compute_spread_exec_return/compute_ladder_exec_return/build_pos_state). Removed the dead --live flag from execute-vrp (plan_and_record_vrp never consulted allow_live; the paper-envelope refusal guard is the real safety mechanism). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
116 lines
4.8 KiB
Python
116 lines
4.8 KiB
Python
import pytest
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from fxhnt.application.vrp_exec_record import (
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build_close_legs,
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build_combo_legs,
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plan_vrp_ladder,
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refuse_if_live,
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rung_notional,
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)
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def test_build_combo_legs_is_defined_risk_credit():
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legs, net = build_combo_legs(short_osi="XSP..P00470000", long_osi="XSP..P00465000",
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short_price=1.20, long_price=0.40, qty=1)
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assert ("XSP..P00470000", "SELL", 1) in legs
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assert ("XSP..P00465000", "BUY", 1) in legs
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assert net == pytest.approx(-0.80) # negative limit = net credit received
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def test_build_close_legs_reverses_open_legs_with_positive_debit():
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legs, net = build_close_legs(short_osi="XSP..P00470000", long_osi="XSP..P00465000", qty=1, mark_today=0.30)
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assert ("XSP..P00470000", "BUY", 1) in legs # BUY back the short
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assert ("XSP..P00465000", "SELL", 1) in legs # SELL the long
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assert net == pytest.approx(0.30) # positive limit = debit paid to close
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def _rung(*, short_osi="S1", long_osi="L1", credit=1.0, qty=2, expiry="2026-09-01"):
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return {"entry": "2026-07-06", "expiry": expiry, "short_osi": short_osi, "long_osi": long_osi,
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"credit": credit, "last_val": credit, "qty": qty}
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def test_plan_vrp_ladder_no_stacking_when_ladder_is_full():
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# 5 rungs already open, none hitting profit-take/DTE -> no closes -> ladder stays full -> may NOT open.
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opens = [_rung(short_osi=f"S{i}") for i in range(5)]
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marks = {sp["short_osi"]: 0.9 for sp in opens} # well above the 50% profit-take line, DTE far out
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to_close, may_open, slots = plan_vrp_ladder(opens, marks, "2026-07-06", ladder=5, entry_weekday=0)
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assert to_close == []
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assert may_open is False
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assert slots == 0
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def test_plan_vrp_ladder_closes_rung_at_dte_le_1():
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sp = _rung(expiry="2026-07-07") # DTE = 1 on "2026-07-06"
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to_close, _may_open, _slots = plan_vrp_ladder([sp], {"S1": 0.9}, "2026-07-06", ladder=5, entry_weekday=0)
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assert len(to_close) == 1
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assert to_close[0][0] is sp
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def test_plan_vrp_ladder_closes_rung_at_profit_take():
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sp = _rung(credit=1.0)
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# mark <= (1 - profit_take) * credit == 0.50 -> closes
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to_close, _may_open, _slots = plan_vrp_ladder([sp], {"S1": 0.40}, "2026-07-06", ladder=5,
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profit_take=0.5, entry_weekday=0)
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assert len(to_close) == 1
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def test_plan_vrp_ladder_holds_rung_with_no_mark_today():
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sp = _rung()
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to_close, _may_open, _slots = plan_vrp_ladder([sp], {"S1": None}, "2026-07-06", ladder=5, entry_weekday=0)
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assert to_close == [] # no mark -> HOLD, not a close
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def test_plan_vrp_ladder_may_open_on_entry_day_with_free_slot():
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to_close, may_open, slots = plan_vrp_ladder([], {}, "2026-07-06", ladder=5, entry_weekday=0) # a Monday
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assert to_close == []
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assert may_open is True
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assert slots == 1
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def test_plan_vrp_ladder_no_open_off_entry_day():
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to_close, may_open, slots = plan_vrp_ladder([], {}, "2026-07-07", ladder=5, entry_weekday=0) # a Tuesday
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assert may_open is False
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assert slots == 0
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def test_plan_vrp_ladder_open_frees_up_when_a_close_makes_room():
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# ladder full (5/5), but one rung closes this run -> a slot opens for a new entry.
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opens = [_rung(short_osi=f"S{i}", expiry="2026-07-07") if i == 0 else _rung(short_osi=f"S{i}")
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for i in range(5)]
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marks = {sp["short_osi"]: 0.9 for sp in opens}
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to_close, may_open, slots = plan_vrp_ladder(opens, marks, "2026-07-06", ladder=5, entry_weekday=0)
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assert len(to_close) == 1
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assert may_open is True
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assert slots == 1
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def test_rung_notional_splits_envelope_across_ladder_and_bounds_total():
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per_rung = rung_notional(1_000_000.0, 5)
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assert per_rung == pytest.approx(200_000.0)
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assert per_rung * 5 == pytest.approx(1_000_000.0) # total open notional bounded at ~envelope
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class _RaisingBroker:
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"""A fake broker whose place_combo must NEVER be called by a refused (non-paper, real-capital) run."""
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def __init__(self) -> None:
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self.calls = 0
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def place_combo(self, legs, net_limit): # noqa: ANN001 - test double
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self.calls += 1
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raise AssertionError("place_combo must not be called when the paper-envelope guard refuses")
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def test_refuse_if_live_blocks_non_paper_account_and_places_zero_orders():
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broker = _RaisingBroker()
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with pytest.raises(ValueError, match="refused"):
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refuse_if_live(paper_envelope=1_000_000, account_is_paper=False)
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assert broker.calls == 0
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def test_refuse_if_live_allows_paper_account():
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refuse_if_live(paper_envelope=1_000_000, account_is_paper=True) # must not raise
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def test_refuse_if_live_allows_zero_envelope_on_any_account():
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refuse_if_live(paper_envelope=0.0, account_is_paper=False) # off = no real-capital exposure guard
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