bd73e02774
execution_slippage_bps / timing_drift_bps / slippage_vs_assumed_bps — pure float math (spec §3) for the Bybit testnet real-paper leg. BUY/SELL sign, bps math, None-guards on non-positive mid/book_mark. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
51 lines
2.0 KiB
Python
51 lines
2.0 KiB
Python
"""Pure decomposed-slippage model (spec §3). All math over floats — no I/O — so it is unit-tested directly.
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The adapter supplies `fill_price`, `mid_at_order`, `book_mark`; the bps math is exercised here in isolation:
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sign on both sides, a known fill/mid → exact bps, the decomposition sums to the fill-vs-mark total, the
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assumed-tier delta, and the `mid<=0`/`book_mark<=0` None-guards (never a divide-by-zero or a garbage bp).
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"""
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from __future__ import annotations
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from fxhnt.application.slippage import (
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execution_slippage_bps,
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slippage_vs_assumed_bps,
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timing_drift_bps,
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)
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def test_buy_pays_above_mid_is_positive():
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# bought at 101 vs mid 100 → +100 bps cost
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assert execution_slippage_bps(101.0, 100.0, "BUY") == 100.0
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def test_sell_below_mid_is_positive_cost():
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# sold at 99 vs mid 100 → +100 bps cost
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assert execution_slippage_bps(99.0, 100.0, "SELL") == 100.0
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def test_timing_drift_sign():
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# BUY, mid moved 100→101 from the book mark → +100 bps adverse drift
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assert timing_drift_bps(101.0, 100.0, "BUY") == 100.0
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def test_decomposition_sums_to_total():
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fill, mid, mark = 102.0, 101.0, 100.0
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exec_bps = execution_slippage_bps(fill, mid, "BUY")
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timing_bps = timing_drift_bps(mid, mark, "BUY")
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total = exec_bps + timing_bps
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# The decomposition (spec §3) DEFINES total_fill_vs_mark_bps = execution + timing. The two terms use
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# different denominators (mid for execution, mark for timing), so the sum reconstructs the single-
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# denominator fill-vs-mark move ((102-100)/100*1e4 = 200) only up to that ~1bp compounding — it is NOT
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# exactly 200 (the plan's `< 1e-6` assertion was off by this compounding term).
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fill_vs_mark = (fill - mark) / mark * 1e4
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assert abs(total - fill_vs_mark) < 1.0
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def test_assumed_delta():
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assert slippage_vs_assumed_bps(40.0, 35.0) == 5.0 # 5bp worse than the 35bp tier
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def test_guards_none_on_bad_inputs():
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assert execution_slippage_bps(101.0, 0.0, "BUY") is None
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assert timing_drift_bps(101.0, -1.0, "SELL") is None
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