121 lines
5.3 KiB
Python
121 lines
5.3 KiB
Python
from fxhnt.application.multistrat_exec_record import build_pos_state, compute_exec_return, scaled_weights
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def test_scaled_weights_bridge_and_flatten():
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w = {"SPY": 0.6, "IEF": 0.4}
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# envelope 10k in a 100k account → scale 0.1 → weights sum to envelope/NLV
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s = scaled_weights(w, envelope=10_000.0, nlv=100_000.0)
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assert abs(s["SPY"] - 0.06) < 1e-12 and abs(s["IEF"] - 0.04) < 1e-12
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assert scaled_weights(w, 0.0, 100_000.0) == {"SPY": 0.0, "IEF": 0.0} # $0 envelope → flatten
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assert scaled_weights(w, 10_000.0, 0.0) == {"SPY": 0.0, "IEF": 0.0} # no NLV → flatten (safe)
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def test_compute_exec_return_first_run_is_none():
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assert compute_exec_return({}, {"SPY": 500.0}) is None # no prior book → inception
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def test_exec_return_is_envelope_basis_not_full_nlv():
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# prior book: $10k envelope fully deployed in 20 SPY @ 500 (=$10k), in a (hypothetical) large account.
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prior = build_pos_state({"SPY": 20.0}, {"SPY": 500.0}, envelope=10_000.0)
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# SPY +10% today → book +$1000 on the $10k envelope → 10% return (NOT diluted by any idle account cash)
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assert abs(compute_exec_return(prior, {"SPY": 550.0}) - 0.10) < 1e-9
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def test_reallocation_capital_flow_is_not_return():
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# flat prices; the envelope will grow at the NEXT rebalance (a flow) — the RETURN of the prior book is ~0
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prior = build_pos_state({"SPY": 20.0}, {"SPY": 500.0}, envelope=10_000.0)
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assert abs(compute_exec_return(prior, {"SPY": 500.0})) < 1e-12 # flat prices → 0%, not a jump
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def test_partial_deployment_reserve_earns_zero():
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# $10k envelope, only $6k deployed (12 SPY @ 500), $4k reserve. SPY +10% → +$600 on $10k = 6%.
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prior = build_pos_state({"SPY": 12.0}, {"SPY": 500.0}, envelope=10_000.0)
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assert abs(compute_exec_return(prior, {"SPY": 550.0}) - 0.06) < 1e-9
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def test_none_prior_returns_none():
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# None prior → inception, no AttributeError on .get() call
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assert compute_exec_return(None, {"SPY": 500.0}) is None
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def test_missing_price_degrades_not_raises():
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# Position absent from today's prices uses prior price; no KeyError raised
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prior = build_pos_state({"SPY": 20.0}, {"SPY": 500.0}, envelope=10_000.0)
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assert compute_exec_return(prior, {}) == 0.0
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def test_build_pos_state_persists_venue():
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from fxhnt.application.multistrat_exec_record import build_pos_state
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st = build_pos_state({"SPY": 10.0}, {"SPY": 5.0}, 1000.0, venue="ibkr-equity")
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assert st["venue"] == "ibkr-equity" and st["envelope"] == 1000.0
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def test_build_pos_state_venue_defaults_empty():
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from fxhnt.application.multistrat_exec_record import build_pos_state
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assert build_pos_state({}, {}, 0.0)["venue"] == ""
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class _FakeExecSvc:
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def __init__(self):
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self.calls = []
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def rebalance_weights(self, sid, weights, prices, *, max_gross, execute):
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self.calls.append((sid, dict(weights), execute))
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class _Plan:
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nlv = 100000.0; orders = []; notes = []; blocked = False; executed = execute
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return _Plan()
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class _FakeRepo:
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def __init__(self, alloc):
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self._alloc = alloc; self.book = {}
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def current_allocation(self): # B2a — must NOT be called in paper mode
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raise AssertionError("current_allocation must not be read in paper mode")
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def get_book_state(self, k):
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return self.book.get(k, {})
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def set_book_state(self, k, extra, at):
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self.book[k] = extra
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class _B2aRepo(_FakeRepo):
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def current_allocation(self):
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return self._alloc
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def test_plan_and_record_paper_mode_bypasses_b2a():
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import datetime as dt
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from fxhnt.application.multistrat_exec_record import plan_and_record
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repo = _FakeRepo(alloc={"multistrat": 0.0}); svc = _FakeExecSvc()
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_plan, envelope = plan_and_record(
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repo=repo, exec_svc=svc, within_weights={"SPY": 1.0}, prices={"SPY": 10.0},
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nlv=500000.0, today="2026-07-11", at=dt.datetime(2026, 7, 11), max_gross=2.0,
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execute=False, paper_envelope=1_000_000.0, account_is_paper=True, venue="ibkr-equity")
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assert envelope == 500000.0 # min(1e6 paper, 5e5 nlv); B2a NOT consulted
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def test_plan_and_record_paper_mode_refuses_live_account():
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import datetime as dt
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import pytest
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from fxhnt.application.multistrat_exec_record import plan_and_record
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repo = _FakeRepo(alloc={"multistrat": 0.0}); svc = _FakeExecSvc()
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with pytest.raises(ValueError, match="paper-envelope refused"):
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plan_and_record(
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repo=repo, exec_svc=svc, within_weights={"SPY": 1.0}, prices={"SPY": 10.0},
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nlv=500000.0, today="2026-07-11", at=dt.datetime(2026, 7, 11), max_gross=2.0,
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execute=True, paper_envelope=1_000_000.0, account_is_paper=False, venue="ibkr-equity")
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assert svc.calls == [] # NO orders on refusal
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def test_plan_and_record_default_mode_reads_b2a():
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import datetime as dt
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from fxhnt.application.multistrat_exec_record import plan_and_record
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repo = _B2aRepo(alloc={"multistrat": 25000.0}); svc = _FakeExecSvc()
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_plan, envelope = plan_and_record(
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repo=repo, exec_svc=svc, within_weights={"SPY": 1.0}, prices={"SPY": 10.0},
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nlv=500000.0, today="2026-07-11", at=dt.datetime(2026, 7, 11), max_gross=2.0,
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execute=False, paper_envelope=0.0, account_is_paper=True)
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assert envelope == 25000.0 # min($25k B2a, $500k nlv)
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