109 lines
3.6 KiB
Python
109 lines
3.6 KiB
Python
from __future__ import annotations
|
|
|
|
import pytest
|
|
|
|
from src.analysis.backtest_execution_model import (
|
|
BacktestExecutionModel,
|
|
ExecutionAssumptions,
|
|
ExecutionRequest,
|
|
)
|
|
|
|
|
|
def test_buy_uses_unfavorable_slippage_direction() -> None:
|
|
model = BacktestExecutionModel(
|
|
ExecutionAssumptions(
|
|
slippage_bps_by_session={"US_PRE": 50.0},
|
|
failure_rate_by_session={"US_PRE": 0.0},
|
|
partial_fill_rate_by_session={"US_PRE": 0.0},
|
|
seed=1,
|
|
)
|
|
)
|
|
out = model.simulate(
|
|
ExecutionRequest(side="BUY", session_id="US_PRE", qty=10, reference_price=100.0)
|
|
)
|
|
assert out.status == "FILLED"
|
|
assert out.avg_price == pytest.approx(100.5)
|
|
|
|
|
|
def test_sell_uses_unfavorable_slippage_direction() -> None:
|
|
model = BacktestExecutionModel(
|
|
ExecutionAssumptions(
|
|
slippage_bps_by_session={"US_PRE": 50.0},
|
|
failure_rate_by_session={"US_PRE": 0.0},
|
|
partial_fill_rate_by_session={"US_PRE": 0.0},
|
|
seed=1,
|
|
)
|
|
)
|
|
out = model.simulate(
|
|
ExecutionRequest(side="SELL", session_id="US_PRE", qty=10, reference_price=100.0)
|
|
)
|
|
assert out.status == "FILLED"
|
|
assert out.avg_price == pytest.approx(99.5)
|
|
|
|
|
|
def test_failure_rate_can_reject_order() -> None:
|
|
model = BacktestExecutionModel(
|
|
ExecutionAssumptions(
|
|
slippage_bps_by_session={"KRX_REG": 10.0},
|
|
failure_rate_by_session={"KRX_REG": 1.0},
|
|
partial_fill_rate_by_session={"KRX_REG": 0.0},
|
|
seed=42,
|
|
)
|
|
)
|
|
out = model.simulate(
|
|
ExecutionRequest(side="BUY", session_id="KRX_REG", qty=10, reference_price=100.0)
|
|
)
|
|
assert out.status == "REJECTED"
|
|
assert out.filled_qty == 0
|
|
|
|
|
|
def test_partial_fill_applies_when_rate_is_one() -> None:
|
|
model = BacktestExecutionModel(
|
|
ExecutionAssumptions(
|
|
slippage_bps_by_session={"KRX_REG": 0.0},
|
|
failure_rate_by_session={"KRX_REG": 0.0},
|
|
partial_fill_rate_by_session={"KRX_REG": 1.0},
|
|
partial_fill_min_ratio=0.4,
|
|
partial_fill_max_ratio=0.4,
|
|
seed=0,
|
|
)
|
|
)
|
|
out = model.simulate(
|
|
ExecutionRequest(side="BUY", session_id="KRX_REG", qty=10, reference_price=100.0)
|
|
)
|
|
assert out.status == "PARTIAL"
|
|
assert out.filled_qty == 4
|
|
assert out.avg_price == 100.0
|
|
|
|
|
|
@pytest.mark.parametrize("bad_slip", [-1.0, float("nan"), float("inf")])
|
|
def test_invalid_slippage_is_rejected(bad_slip: float) -> None:
|
|
with pytest.raises(ValueError, match="slippage_bps"):
|
|
BacktestExecutionModel(
|
|
ExecutionAssumptions(
|
|
slippage_bps_by_session={"US_PRE": bad_slip},
|
|
failure_rate_by_session={"US_PRE": 0.0},
|
|
partial_fill_rate_by_session={"US_PRE": 0.0},
|
|
)
|
|
)
|
|
|
|
|
|
@pytest.mark.parametrize("bad_rate", [-0.1, 1.1, float("nan")])
|
|
def test_invalid_failure_or_partial_rates_are_rejected(bad_rate: float) -> None:
|
|
with pytest.raises(ValueError, match="failure_rate"):
|
|
BacktestExecutionModel(
|
|
ExecutionAssumptions(
|
|
slippage_bps_by_session={"US_PRE": 10.0},
|
|
failure_rate_by_session={"US_PRE": bad_rate},
|
|
partial_fill_rate_by_session={"US_PRE": 0.0},
|
|
)
|
|
)
|
|
with pytest.raises(ValueError, match="partial_fill_rate"):
|
|
BacktestExecutionModel(
|
|
ExecutionAssumptions(
|
|
slippage_bps_by_session={"US_PRE": 10.0},
|
|
failure_rate_by_session={"US_PRE": 0.0},
|
|
partial_fill_rate_by_session={"US_PRE": bad_rate},
|
|
)
|
|
)
|