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"""Tests for the OrderSimulator."""
from datetime import datetime, timezone
from decimal import Decimal
from shared.models import OrderSide, Signal
from backtester.simulator import OrderSimulator
def make_signal(
symbol: str,
side: OrderSide,
price: str,
quantity: str,
strategy: str = "test",
) -> Signal:
return Signal(
strategy=strategy,
symbol=symbol,
side=side,
price=Decimal(price),
quantity=Decimal(quantity),
reason="test",
)
# ---------------------------------------------------------------------------
# Existing tests (backward compat: defaults slippage=0, fee=0)
# ---------------------------------------------------------------------------
def test_simulator_initial_balance():
sim = OrderSimulator(Decimal("10000"))
assert sim.balance == Decimal("10000")
def test_simulator_buy_reduces_balance():
sim = OrderSimulator(Decimal("10000"))
signal = make_signal("BTCUSDT", 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")
def test_simulator_sell_increases_balance():
sim = OrderSimulator(Decimal("10000"))
buy_signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1")
sim.execute(buy_signal)
balance_after_buy = sim.balance
sell_signal = make_signal("BTCUSDT", OrderSide.SELL, "55000", "0.1")
result = sim.execute(sell_signal)
assert result is True
assert sim.balance > balance_after_buy
# Profit: sold at 55000, bought at 50000 -> gain 500
assert sim.balance == Decimal("10000") - Decimal("5000") + Decimal("5500")
def test_simulator_reject_buy_insufficient_balance():
sim = OrderSimulator(Decimal("100"))
signal = make_signal("BTCUSDT", 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")
def test_simulator_trade_history():
sim = OrderSimulator(Decimal("10000"))
signal = make_signal("BTCUSDT", OrderSide.BUY, "50000", "0.1")
sim.execute(signal)
assert len(sim.trades) == 1
trade = sim.trades[0]
assert trade.symbol == "BTCUSDT"
assert trade.side == OrderSide.BUY
assert trade.price == Decimal("50000")
assert trade.quantity == Decimal("0.1")
# ---------------------------------------------------------------------------
# Slippage tests
# ---------------------------------------------------------------------------
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")
sim.execute(signal)
trade = sim.trades[0]
expected_price = Decimal("50000") * Decimal("1.01") # 50500
assert trade.price == expected_price
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")
sim.execute(buy)
# Sell
sell = make_signal("BTCUSDT", OrderSide.SELL, "50000", "0.1")
sim.execute(sell)
trade = sim.trades[1]
expected_price = Decimal("50000") * Decimal("0.99") # 49500
assert trade.price == expected_price
# ---------------------------------------------------------------------------
# Fee tests
# ---------------------------------------------------------------------------
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")
sim.execute(signal)
# cost = 50000 * 0.1 = 5000, fee = 5000 * 0.001 = 5
expected_balance = Decimal("100000") - Decimal("5000") - Decimal("5")
assert sim.balance == expected_balance
assert sim.trades[0].fee == Decimal("5")
# ---------------------------------------------------------------------------
# Stop-loss / take-profit tests
# ---------------------------------------------------------------------------
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")
sim.execute(signal, stop_loss=Decimal("48000"))
ts = datetime(2025, 1, 1, tzinfo=timezone.utc)
closed = sim.check_stops(
candle_high=Decimal("50500"),
candle_low=Decimal("47500"), # below stop_loss
timestamp=ts,
)
assert len(closed) == 1
assert closed[0].side == OrderSide.SELL
assert closed[0].price == Decimal("48000")
assert len(sim.open_positions) == 0
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")
sim.execute(signal, take_profit=Decimal("55000"))
ts = datetime(2025, 1, 1, tzinfo=timezone.utc)
closed = sim.check_stops(
candle_high=Decimal("56000"), # above take_profit
candle_low=Decimal("50000"),
timestamp=ts,
)
assert len(closed) == 1
assert closed[0].side == OrderSide.SELL
assert closed[0].price == Decimal("55000")
assert len(sim.open_positions) == 0
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")
sim.execute(signal, stop_loss=Decimal("48000"), take_profit=Decimal("55000"))
ts = datetime(2025, 1, 1, tzinfo=timezone.utc)
closed = sim.check_stops(
candle_high=Decimal("52000"),
candle_low=Decimal("49000"),
timestamp=ts,
)
assert len(closed) == 0
assert len(sim.open_positions) == 1
# ---------------------------------------------------------------------------
# Short selling tests
# ---------------------------------------------------------------------------
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")
result = sim.execute(signal)
assert result is True
assert sim.positions["BTCUSDT"] == Decimal("-0.1")
assert len(sim.open_positions) == 1
assert sim.open_positions[0].side == OrderSide.SELL
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")
result = sim.execute(signal)
assert result is False
assert sim.positions.get("BTCUSDT", 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")
sim.execute(signal, stop_loss=Decimal("52000"))
ts = datetime(2025, 1, 1, tzinfo=timezone.utc)
closed = sim.check_stops(
candle_high=Decimal("53000"), # above stop_loss
candle_low=Decimal("49000"),
timestamp=ts,
)
assert len(closed) == 1
assert closed[0].side == OrderSide.BUY # closing a short = buy
assert closed[0].price == Decimal("52000")
assert len(sim.open_positions) == 0
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