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"""Tests for RiskManager."""
from decimal import Decimal
from shared.models import OrderSide, Position, Signal
from order_executor.risk_manager import RiskManager
def make_signal(side: OrderSide, price: str, quantity: str, symbol: str = "BTC/USDT") -> Signal:
return Signal(
strategy="test",
symbol=symbol,
side=side,
price=Decimal(price),
quantity=Decimal(quantity),
reason="test signal",
)
def make_risk_manager(
max_position_size: str = "0.1",
stop_loss_pct: str = "5.0",
daily_loss_limit_pct: str = "10.0",
trailing_stop_pct: str = "0",
max_open_positions: int = 10,
volatility_lookback: int = 20,
volatility_scale: bool = False,
) -> RiskManager:
return RiskManager(
max_position_size=Decimal(max_position_size),
stop_loss_pct=Decimal(stop_loss_pct),
daily_loss_limit_pct=Decimal(daily_loss_limit_pct),
trailing_stop_pct=Decimal(trailing_stop_pct),
max_open_positions=max_open_positions,
volatility_lookback=volatility_lookback,
volatility_scale=volatility_scale,
)
def make_position(symbol: str, quantity: str, avg_entry: str, current: str) -> Position:
return Position(
symbol=symbol,
quantity=Decimal(quantity),
avg_entry_price=Decimal(avg_entry),
current_price=Decimal(current),
)
def test_risk_check_passes_normal_order():
"""Small BUY order with enough balance should be allowed."""
rm = make_risk_manager()
signal = make_signal(side=OrderSide.BUY, price="100", quantity="0.5")
# cost = 50, balance = 10000, position_value = 0 => (0+50)/10000 = 0.5% < 10%
result = rm.check(signal, balance=Decimal("10000"), positions={}, daily_pnl=Decimal("0"))
assert result.allowed is True
assert result.reason == "OK"
def test_risk_check_rejects_exceeding_position_size():
"""5 BTC at $50,000 = $250,000 order cost on $10,000,000 balance exceeds 10% limit."""
rm = make_risk_manager(max_position_size="0.1")
signal = make_signal(side=OrderSide.BUY, price="50000", quantity="5")
# cost = 250000, balance = 1000000 => 250000/1000000 = 25% > 10%
# balance is sufficient (250000 < 1000000) but position size is exceeded
result = rm.check(signal, balance=Decimal("1000000"), positions={}, daily_pnl=Decimal("0"))
assert result.allowed is False
assert result.reason == "Position size exceeded"
def test_risk_check_rejects_daily_loss_exceeded():
"""Daily PnL of -1100 on 10000 balance = -11%, exceeding -10% limit."""
rm = make_risk_manager(daily_loss_limit_pct="10.0")
signal = make_signal(side=OrderSide.BUY, price="100", quantity="0.1")
result = rm.check(signal, balance=Decimal("10000"), positions={}, daily_pnl=Decimal("-1100"))
assert result.allowed is False
assert result.reason == "Daily loss limit exceeded"
def test_risk_check_rejects_insufficient_balance():
"""Order cost of 500 exceeds available balance of 100."""
rm = make_risk_manager()
signal = make_signal(side=OrderSide.BUY, price="100", quantity="5")
# cost = 500, balance = 100
result = rm.check(signal, balance=Decimal("100"), positions={}, daily_pnl=Decimal("0"))
assert result.allowed is False
assert result.reason == "Insufficient balance"
# --- Trailing stop tests ---
def test_trailing_stop_set_and_trigger():
"""Trailing stop should trigger when price drops below stop level."""
rm = make_risk_manager(trailing_stop_pct="5")
rm.set_trailing_stop("BTC/USDT", Decimal("100"))
signal = make_signal(side=OrderSide.BUY, price="94", quantity="0.01")
result = rm.check(signal, balance=Decimal("10000"), positions={}, daily_pnl=Decimal("0"))
assert result.allowed is False
assert "Trailing stop triggered" in result.reason
def test_trailing_stop_updates_highest_price():
"""Trailing stop should track the highest price seen."""
rm = make_risk_manager(trailing_stop_pct="5")
rm.set_trailing_stop("BTC/USDT", Decimal("100"))
# Price rises to 120 => stop at 114
rm.update_price("BTC/USDT", Decimal("120"))
# Price at 115 is above stop (114), should be allowed
signal = make_signal(side=OrderSide.BUY, price="115", quantity="0.01")
result = rm.check(signal, balance=Decimal("10000"), positions={}, daily_pnl=Decimal("0"))
assert result.allowed is True
# Price at 113 is below stop (114), should be rejected
signal = make_signal(side=OrderSide.BUY, price="113", quantity="0.01")
result = rm.check(signal, balance=Decimal("10000"), positions={}, daily_pnl=Decimal("0"))
assert result.allowed is False
assert "Trailing stop triggered" in result.reason
def test_trailing_stop_not_triggered_above_stop():
"""Trailing stop should not trigger when price is above stop level."""
rm = make_risk_manager(trailing_stop_pct="5")
rm.set_trailing_stop("BTC/USDT", Decimal("100"))
# Price at 96 is above stop (95), should be allowed
signal = make_signal(side=OrderSide.BUY, price="96", quantity="0.01")
result = rm.check(signal, balance=Decimal("10000"), positions={}, daily_pnl=Decimal("0"))
assert result.allowed is True
# --- Max open positions test ---
def test_max_open_positions_check():
"""Should reject new BUY when max open positions is reached."""
rm = make_risk_manager(max_open_positions=2)
positions = {
"BTC/USDT": make_position("BTC/USDT", "1", "100", "100"),
"ETH/USDT": make_position("ETH/USDT", "10", "50", "50"),
}
signal = make_signal(side=OrderSide.BUY, price="10", quantity="1", symbol="SOL/USDT")
result = rm.check(signal, balance=Decimal("10000"), positions=positions, daily_pnl=Decimal("0"))
assert result.allowed is False
assert result.reason == "Max open positions reached"
# --- Volatility tests ---
def test_volatility_calculation():
"""Volatility should be calculated from price history."""
rm = make_risk_manager(volatility_lookback=5)
# No history yet
assert rm.get_volatility("BTC/USDT") is None
# Feed prices
prices = [100, 102, 98, 105, 101]
for p in prices:
rm.update_price("BTC/USDT", Decimal(str(p)))
vol = rm.get_volatility("BTC/USDT")
assert vol is not None
assert vol > 0
def test_position_size_with_volatility_scaling():
"""High volatility should reduce position size."""
rm = make_risk_manager(volatility_scale=True, volatility_lookback=5)
# Feed volatile prices
prices = [100, 120, 80, 130, 70]
for p in prices:
rm.update_price("BTC/USDT", Decimal(str(p)))
size = rm.calculate_position_size("BTC/USDT", Decimal("10000"))
base = Decimal("10000") * Decimal("0.1")
# High volatility should reduce size below base
assert size < base
def test_position_size_without_scaling():
"""Without scaling, position size should be base size regardless of volatility."""
rm = make_risk_manager(volatility_scale=False, volatility_lookback=5)
prices = [100, 120, 80, 130, 70]
for p in prices:
rm.update_price("BTC/USDT", Decimal(str(p)))
size = rm.calculate_position_size("BTC/USDT", Decimal("10000"))
base = Decimal("10000") * Decimal("0.1")
assert size == base
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