diff options
Diffstat (limited to 'services/backtester/tests/test_simulator.py')
| -rw-r--r-- | services/backtester/tests/test_simulator.py | 53 |
1 files changed, 27 insertions, 26 deletions
diff --git a/services/backtester/tests/test_simulator.py b/services/backtester/tests/test_simulator.py index a407c21..f85594f 100644 --- a/services/backtester/tests/test_simulator.py +++ b/services/backtester/tests/test_simulator.py @@ -1,11 +1,12 @@ """Tests for the OrderSimulator.""" -from datetime import datetime, timezone +from datetime import UTC, datetime from decimal import Decimal -from shared.models import OrderSide, Signal from backtester.simulator import OrderSimulator +from shared.models import OrderSide, Signal + def make_signal( symbol: str, @@ -36,20 +37,20 @@ def test_simulator_initial_balance(): def test_simulator_buy_reduces_balance(): sim = OrderSimulator(Decimal("10000")) - signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") result = sim.execute(signal) assert result is True assert sim.balance == Decimal("5000") - assert sim.positions["BTCUSDT"] == Decimal("0.1") + assert sim.positions["AAPL"] == Decimal("0.1") def test_simulator_sell_increases_balance(): sim = OrderSimulator(Decimal("10000")) - buy_signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + buy_signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") sim.execute(buy_signal) balance_after_buy = sim.balance - sell_signal = make_signal("BTCUSDT", OrderSide.SELL, "55000", "0.1") + sell_signal = make_signal("AAPL", OrderSide.SELL, "55000", "0.1") result = sim.execute(sell_signal) assert result is True assert sim.balance > balance_after_buy @@ -59,20 +60,20 @@ def test_simulator_sell_increases_balance(): def test_simulator_reject_buy_insufficient_balance(): sim = OrderSimulator(Decimal("100")) - signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") result = sim.execute(signal) assert result is False assert sim.balance == Decimal("100") - assert sim.positions.get("BTCUSDT", Decimal("0")) == Decimal("0") + assert sim.positions.get("AAPL", Decimal("0")) == Decimal("0") def test_simulator_trade_history(): sim = OrderSimulator(Decimal("10000")) - signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") sim.execute(signal) assert len(sim.trades) == 1 trade = sim.trades[0] - assert trade.symbol == "BTCUSDT" + assert trade.symbol == "AAPL" assert trade.side == OrderSide.BUY assert trade.price == Decimal("50000") assert trade.quantity == Decimal("0.1") @@ -86,7 +87,7 @@ def test_simulator_trade_history(): def test_slippage_on_buy(): """Buy price should increase by slippage_pct.""" sim = OrderSimulator(Decimal("100000"), slippage_pct=0.01) # 1% - signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") sim.execute(signal) trade = sim.trades[0] expected_price = Decimal("50000") * Decimal("1.01") # 50500 @@ -97,10 +98,10 @@ def test_slippage_on_sell(): """Sell price should decrease by slippage_pct.""" sim = OrderSimulator(Decimal("100000"), slippage_pct=0.01) # Buy first (no slippage check here, just need a position) - buy = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + buy = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") sim.execute(buy) # Sell - sell = make_signal("BTCUSDT", OrderSide.SELL, "50000", "0.1") + sell = make_signal("AAPL", OrderSide.SELL, "50000", "0.1") sim.execute(sell) trade = sim.trades[1] expected_price = Decimal("50000") * Decimal("0.99") # 49500 @@ -116,7 +117,7 @@ def test_fee_deducted_from_balance(): """Fees should reduce balance beyond the raw cost.""" fee_pct = 0.001 # 0.1% sim = OrderSimulator(Decimal("100000"), taker_fee_pct=fee_pct) - signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") sim.execute(signal) # cost = 50000 * 0.1 = 5000, fee = 5000 * 0.001 = 5 expected_balance = Decimal("100000") - Decimal("5000") - Decimal("5") @@ -132,10 +133,10 @@ def test_fee_deducted_from_balance(): def test_stop_loss_triggers(): """Long position auto-closed when candle_low <= stop_loss.""" sim = OrderSimulator(Decimal("100000")) - signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") sim.execute(signal, stop_loss=Decimal("48000")) - ts = datetime(2025, 1, 1, tzinfo=timezone.utc) + ts = datetime(2025, 1, 1, tzinfo=UTC) closed = sim.check_stops( candle_high=Decimal("50500"), candle_low=Decimal("47500"), # below stop_loss @@ -150,10 +151,10 @@ def test_stop_loss_triggers(): def test_take_profit_triggers(): """Long position auto-closed when candle_high >= take_profit.""" sim = OrderSimulator(Decimal("100000")) - signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") sim.execute(signal, take_profit=Decimal("55000")) - ts = datetime(2025, 1, 1, tzinfo=timezone.utc) + ts = datetime(2025, 1, 1, tzinfo=UTC) closed = sim.check_stops( candle_high=Decimal("56000"), # above take_profit candle_low=Decimal("50000"), @@ -168,10 +169,10 @@ def test_take_profit_triggers(): def test_stop_not_triggered_within_range(): """No auto-close when price stays within stop/tp range.""" sim = OrderSimulator(Decimal("100000")) - signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.BUY, "50000", "0.1") sim.execute(signal, stop_loss=Decimal("48000"), take_profit=Decimal("55000")) - ts = datetime(2025, 1, 1, tzinfo=timezone.utc) + ts = datetime(2025, 1, 1, tzinfo=UTC) closed = sim.check_stops( candle_high=Decimal("52000"), candle_low=Decimal("49000"), @@ -189,10 +190,10 @@ def test_stop_not_triggered_within_range(): def test_short_sell_allowed(): """Can open short position with allow_short=True.""" sim = OrderSimulator(Decimal("100000"), allow_short=True) - signal = make_signal("BTCUSDT", OrderSide.SELL, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.SELL, "50000", "0.1") result = sim.execute(signal) assert result is True - assert sim.positions["BTCUSDT"] == Decimal("-0.1") + assert sim.positions["AAPL"] == Decimal("-0.1") assert len(sim.open_positions) == 1 assert sim.open_positions[0].side == OrderSide.SELL @@ -200,19 +201,19 @@ def test_short_sell_allowed(): def test_short_sell_rejected(): """Short rejected when allow_short=False (default).""" sim = OrderSimulator(Decimal("100000"), allow_short=False) - signal = make_signal("BTCUSDT", OrderSide.SELL, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.SELL, "50000", "0.1") result = sim.execute(signal) assert result is False - assert sim.positions.get("BTCUSDT", Decimal("0")) == Decimal("0") + assert sim.positions.get("AAPL", Decimal("0")) == Decimal("0") def test_short_stop_loss(): """Short position stop-loss triggers on candle high >= stop_loss.""" sim = OrderSimulator(Decimal("100000"), allow_short=True) - signal = make_signal("BTCUSDT", OrderSide.SELL, "50000", "0.1") + signal = make_signal("AAPL", OrderSide.SELL, "50000", "0.1") sim.execute(signal, stop_loss=Decimal("52000")) - ts = datetime(2025, 1, 1, tzinfo=timezone.utc) + ts = datetime(2025, 1, 1, tzinfo=UTC) closed = sim.check_stops( candle_high=Decimal("53000"), # above stop_loss candle_low=Decimal("49000"), |