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https://github.com/saymrwulf/alpha-arena.git
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774f8b3f61
A comprehensive autonomous trading system for Polymarket prediction markets featuring multi-LLM provider support, a native macOS menu bar app, and a web-based control dashboard. Key features: - Multi-agent trading system (Research, Risk, Execution, Reflection agents) - LLM provider flexibility (Anthropic, OpenAI, Google, xAI, Local models) - Automatic provider fallback chain for resilience - Native Swift/SwiftUI macOS menu bar application - FastAPI web dashboard with real-time WebSocket updates - Risk management with kill switch - Technical indicators and market analysis
344 lines
11 KiB
Python
344 lines
11 KiB
Python
"""Tests for risk management controls."""
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from datetime import datetime, timedelta
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from decimal import Decimal
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import pytest
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import sys
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from pathlib import Path
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sys.path.insert(0, str(Path(__file__).parent.parent))
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from src.broker.base import OrderSide, Position
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from src.risk.controls import RiskConfig, RiskManager, RiskViolation
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from src.strategy.base import ExitPlan, SignalType, TradeSignal
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@pytest.fixture
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def risk_config() -> RiskConfig:
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"""Default risk configuration for tests."""
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return RiskConfig(
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max_position_size_usdc=Decimal("100"),
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max_single_trade_usdc=Decimal("25"),
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max_open_positions=3,
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daily_loss_limit_usdc=Decimal("50"),
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max_orders_per_minute=5,
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kill_switch=False,
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min_confidence=Decimal("0.6"),
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min_edge=Decimal("0.05"),
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)
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@pytest.fixture
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def risk_manager(risk_config: RiskConfig) -> RiskManager:
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"""Risk manager instance for tests."""
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return RiskManager(risk_config)
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@pytest.fixture
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def valid_signal() -> TradeSignal:
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"""A valid trade signal that should pass risk checks."""
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return TradeSignal(
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market_id="test_market_123",
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token_id="test_token_456",
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signal_type=SignalType.ENTER_LONG,
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side=OrderSide.BUY,
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size=Decimal("10"),
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price=Decimal("0.50"),
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confidence=Decimal("0.75"),
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expected_edge=Decimal("0.08"),
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exit_plan=ExitPlan(
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profit_target_price=Decimal("0.65"),
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stop_loss_price=Decimal("0.40"),
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),
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)
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class TestRiskChecks:
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"""Test risk check validations."""
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def test_valid_signal_passes(self, risk_manager: RiskManager, valid_signal: TradeSignal):
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"""Valid signal should pass all checks."""
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check = risk_manager.check_signal(
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valid_signal,
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balance=Decimal("100"),
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positions=[],
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)
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assert check.passed is True
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assert len(check.violations) == 0
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def test_kill_switch_blocks_all(self, risk_manager: RiskManager, valid_signal: TradeSignal):
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"""Kill switch should block all trades."""
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risk_manager.activate_kill_switch("test")
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check = risk_manager.check_signal(
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valid_signal,
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balance=Decimal("100"),
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positions=[],
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)
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assert check.passed is False
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assert RiskViolation.KILL_SWITCH_ACTIVE in check.violations
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def test_insufficient_balance(self, risk_manager: RiskManager, valid_signal: TradeSignal):
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"""Should reject when balance too low."""
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check = risk_manager.check_signal(
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valid_signal,
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balance=Decimal("1"), # Not enough
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positions=[],
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)
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assert check.passed is False
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assert RiskViolation.INSUFFICIENT_BALANCE in check.violations
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def test_max_single_trade(self, risk_manager: RiskManager):
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"""Should reject trades exceeding single trade limit."""
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big_signal = TradeSignal(
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market_id="test",
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token_id="test",
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signal_type=SignalType.ENTER_LONG,
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side=OrderSide.BUY,
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size=Decimal("50"), # Exceeds $25 limit
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price=Decimal("0.50"),
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confidence=Decimal("0.75"),
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expected_edge=Decimal("0.08"),
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)
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check = risk_manager.check_signal(
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big_signal,
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balance=Decimal("100"),
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positions=[],
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)
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assert check.passed is False
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assert RiskViolation.MAX_SINGLE_TRADE in check.violations
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def test_max_position_size(self, risk_manager: RiskManager, valid_signal: TradeSignal):
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"""Should reject when position would exceed limit."""
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# Existing position: 180 * 0.60 = $108, already over $100 limit
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# Adding 10 * 0.50 = $5 would make it even worse
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existing_position = Position(
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market_id="test_market_123",
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token_id="test_token_456",
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outcome="YES",
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size=Decimal("180"),
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avg_entry_price=Decimal("0.60"),
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current_price=Decimal("0.60"),
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unrealized_pnl=Decimal("0"),
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)
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check = risk_manager.check_signal(
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valid_signal,
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balance=Decimal("100"),
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positions=[existing_position],
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)
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assert check.passed is False
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assert RiskViolation.MAX_POSITION_SIZE in check.violations
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def test_max_open_positions(self, risk_manager: RiskManager, valid_signal: TradeSignal):
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"""Should reject when at max positions."""
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positions = [
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Position(
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market_id=f"market_{i}",
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token_id=f"token_{i}",
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outcome="YES",
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size=Decimal("10"),
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avg_entry_price=Decimal("0.50"),
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current_price=Decimal("0.50"),
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unrealized_pnl=Decimal("0"),
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)
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for i in range(3) # At max (3)
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]
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check = risk_manager.check_signal(
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valid_signal,
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balance=Decimal("100"),
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positions=positions,
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)
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assert check.passed is False
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assert RiskViolation.MAX_OPEN_POSITIONS in check.violations
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def test_low_confidence_rejected(self, risk_manager: RiskManager):
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"""Should reject low confidence signals."""
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low_conf_signal = TradeSignal(
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market_id="test",
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token_id="test",
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signal_type=SignalType.ENTER_LONG,
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side=OrderSide.BUY,
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size=Decimal("10"),
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price=Decimal("0.50"),
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confidence=Decimal("0.40"), # Below 0.6 threshold
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expected_edge=Decimal("0.08"),
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)
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check = risk_manager.check_signal(
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low_conf_signal,
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balance=Decimal("100"),
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positions=[],
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)
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assert check.passed is False
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assert RiskViolation.LOW_CONFIDENCE in check.violations
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def test_low_edge_rejected(self, risk_manager: RiskManager):
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"""Should reject low edge signals."""
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low_edge_signal = TradeSignal(
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market_id="test",
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token_id="test",
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signal_type=SignalType.ENTER_LONG,
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side=OrderSide.BUY,
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size=Decimal("10"),
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price=Decimal("0.50"),
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confidence=Decimal("0.75"),
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expected_edge=Decimal("0.02"), # Below 0.05 threshold
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)
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check = risk_manager.check_signal(
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low_edge_signal,
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balance=Decimal("100"),
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positions=[],
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)
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assert check.passed is False
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assert RiskViolation.LOW_CONFIDENCE in check.violations
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def test_hold_signal_always_passes(self, risk_manager: RiskManager):
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"""HOLD signals should always pass."""
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risk_manager.activate_kill_switch()
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hold_signal = TradeSignal(
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market_id="test",
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token_id="test",
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signal_type=SignalType.HOLD,
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confidence=Decimal("0"),
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)
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check = risk_manager.check_signal(
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hold_signal,
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balance=Decimal("0"),
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positions=[],
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)
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# HOLD passes even with kill switch active (after the check)
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# Actually kill switch is checked first, but HOLD bypasses other checks
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# Let me verify the implementation - kill switch is checked first
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# So this should fail with kill switch
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assert check.passed is False # Kill switch blocks everything
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class TestDailyLossLimit:
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"""Test daily loss limit tracking."""
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def test_daily_pnl_tracking(self, risk_manager: RiskManager):
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"""Should track daily PnL."""
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risk_manager.record_pnl(Decimal("-10"))
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risk_manager.record_pnl(Decimal("-15"))
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status = risk_manager.get_status()
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assert Decimal(status["daily_pnl"]) == Decimal("-25")
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def test_daily_loss_limit_triggered(self, risk_manager: RiskManager, valid_signal: TradeSignal):
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"""Should block trades when daily loss limit hit."""
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# Record losses up to limit
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risk_manager.record_pnl(Decimal("-50"))
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check = risk_manager.check_signal(
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valid_signal,
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balance=Decimal("100"),
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positions=[],
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)
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assert check.passed is False
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assert RiskViolation.DAILY_LOSS_LIMIT in check.violations
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class TestRateLimiting:
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"""Test order rate limiting."""
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def test_rate_limit_enforcement(self, risk_manager: RiskManager, valid_signal: TradeSignal):
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"""Should block when rate limit exceeded."""
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from src.broker.base import Order, OrderStatus
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# Record orders up to limit
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for i in range(5):
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order = Order(
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id=f"order_{i}",
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market_id="test",
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token_id="test",
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side=OrderSide.BUY,
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size=Decimal("1"),
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price=Decimal("0.50"),
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status=OrderStatus.OPEN,
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)
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risk_manager.record_order(order)
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check = risk_manager.check_signal(
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valid_signal,
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balance=Decimal("100"),
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positions=[],
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)
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assert check.passed is False
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assert RiskViolation.RATE_LIMIT in check.violations
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class TestSignalAdjustment:
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"""Test signal adjustment for risk compliance."""
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def test_size_reduced_for_balance(self, risk_manager: RiskManager):
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"""Should reduce size to fit balance."""
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signal = TradeSignal(
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market_id="test",
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token_id="test",
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signal_type=SignalType.ENTER_LONG,
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side=OrderSide.BUY,
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size=Decimal("50"),
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price=Decimal("0.50"), # Would cost $25
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confidence=Decimal("0.75"),
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expected_edge=Decimal("0.08"),
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)
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adjusted = risk_manager.adjust_signal_for_risk(
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signal,
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balance=Decimal("10"), # Only $10 available
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positions=[],
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)
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assert adjusted is not None
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assert adjusted.size < signal.size
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assert adjusted.size * adjusted.price <= Decimal("10")
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def test_no_adjustment_for_blocking_violations(self, risk_manager: RiskManager, valid_signal: TradeSignal):
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"""Should return None when can't adjust for violations."""
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risk_manager.activate_kill_switch()
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adjusted = risk_manager.adjust_signal_for_risk(
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valid_signal,
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balance=Decimal("100"),
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positions=[],
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)
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assert adjusted is None
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class TestKillSwitch:
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"""Test kill switch functionality."""
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def test_activate_kill_switch(self, risk_manager: RiskManager):
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"""Should activate kill switch."""
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risk_manager.activate_kill_switch("test reason")
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assert risk_manager.config.kill_switch is True
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def test_deactivate_kill_switch(self, risk_manager: RiskManager):
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"""Should deactivate kill switch."""
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risk_manager.activate_kill_switch()
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risk_manager.deactivate_kill_switch()
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assert risk_manager.config.kill_switch is False
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def test_status_shows_kill_switch(self, risk_manager: RiskManager):
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"""Status should show kill switch state."""
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risk_manager.activate_kill_switch()
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status = risk_manager.get_status()
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assert status["kill_switch"] is True
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