first version

2026-06-07 21:01:40 +00:00
parent ee7167accf
commit f19bab1100
79 changed files with 10355 additions and 145 deletions
@@ -0,0 +1,141 @@
+package position
+
+import (
+	"context"
+	"testing"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/testutil"
+)
+
+func TestOnEntryFillKeepsBuyCommission(t *testing.T) {
+	ctx := context.Background()
+	manager := NewManager(testutil.NewMemoryRepository())
+	pos, err := manager.OnEntryFill(ctx, "hash", domain.Instrument{Lot: 1}, domain.Order{
+		InstrumentUID: "uid",
+		TradeDate:     time.Now().UTC(),
+		QuantityLots:  10,
+		FilledLots:    10,
+		AvgFillPrice:  decimal.NewFromInt(100),
+		Commission:    decimal.NewFromInt(3),
+	})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !pos.CommissionTotal.Equal(decimal.NewFromInt(3)) {
+		t.Fatalf("commission=%s, want 3", pos.CommissionTotal)
+	}
+}
+
+func TestOnExitFillPartialUsesExecutedLots(t *testing.T) {
+	ctx := context.Background()
+	manager := NewManager(testutil.NewMemoryRepository())
+	openAt := time.Now().UTC()
+	pos := domain.Position{
+		AccountIDHash:   "hash",
+		InstrumentUID:   "uid",
+		OpenTradeDate:   openAt,
+		Lots:            10,
+		Lot:             1,
+		AvgBuyPrice:     decimal.NewFromInt(100),
+		Status:          domain.PositionHoldingOvernight,
+		CommissionTotal: decimal.NewFromInt(2),
+		OpenedAt:        &openAt,
+	}
+	updated, err := manager.OnExitFill(ctx, pos, domain.Order{
+		InstrumentUID: "uid",
+		FilledLots:    4,
+		AvgFillPrice:  decimal.NewFromInt(110),
+		Commission:    decimal.NewFromInt(1),
+	})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if updated.Status != domain.PositionExitPartiallyFilled || updated.ClosedAt != nil {
+		t.Fatalf("unexpected partial status/closed_at: %+v", updated)
+	}
+	if updated.Lots != 6 {
+		t.Fatalf("remaining lots=%d, want 6", updated.Lots)
+	}
+	if !updated.GrossPnL.Equal(decimal.NewFromInt(40)) {
+		t.Fatalf("gross pnl=%s, want 40", updated.GrossPnL)
+	}
+	if updated.ExitFilledLots != 4 || !updated.AvgSellPrice.Equal(decimal.NewFromInt(110)) {
+		t.Fatalf("exit aggregation lots=%d avg=%s", updated.ExitFilledLots, updated.AvgSellPrice)
+	}
+	second, err := manager.OnExitFill(ctx, updated, domain.Order{
+		InstrumentUID: "uid",
+		FilledLots:    3,
+		AvgFillPrice:  decimal.NewFromInt(120),
+	})
+	if err != nil {
+		t.Fatal(err)
+	}
+	wantAvg := decimal.NewFromInt(800).Div(decimal.NewFromInt(7))
+	if second.ExitFilledLots != 7 || !second.AvgSellPrice.Equal(wantAvg) {
+		t.Fatalf("weighted avg sell=%s lots=%d, want %s/7", second.AvgSellPrice, second.ExitFilledLots, wantAvg)
+	}
+}
+
+func TestOnExitFillUsesInstrumentLotForAbsolutePnL(t *testing.T) {
+	ctx := context.Background()
+	manager := NewManager(testutil.NewMemoryRepository())
+	openAt := time.Now().UTC()
+	pos := domain.Position{
+		AccountIDHash:   "hash",
+		InstrumentUID:   "uid",
+		OpenTradeDate:   openAt,
+		Lots:            4,
+		Lot:             10,
+		AvgBuyPrice:     decimal.NewFromInt(100),
+		Status:          domain.PositionHoldingOvernight,
+		CommissionTotal: decimal.NewFromInt(2),
+		OpenedAt:        &openAt,
+	}
+	updated, err := manager.OnExitFill(ctx, pos, domain.Order{
+		InstrumentUID: "uid",
+		FilledLots:    4,
+		AvgFillPrice:  decimal.NewFromInt(105),
+		Commission:    decimal.NewFromInt(3),
+	})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !updated.GrossPnL.Equal(decimal.NewFromInt(200)) {
+		t.Fatalf("gross pnl=%s, want 200", updated.GrossPnL)
+	}
+	if !updated.NetPnL.Equal(decimal.NewFromInt(195)) {
+		t.Fatalf("net pnl=%s, want 195", updated.NetPnL)
+	}
+}
+
+func TestOnExitFillUsesLotInRealizedEdgeCommissionBase(t *testing.T) {
+	ctx := context.Background()
+	manager := NewManager(testutil.NewMemoryRepository())
+	openAt := time.Now().UTC()
+	pos := domain.Position{
+		AccountIDHash: "hash",
+		InstrumentUID: "uid",
+		OpenTradeDate: openAt,
+		Lots:          1,
+		Lot:           100,
+		AvgBuyPrice:   decimal.NewFromInt(100),
+		Status:        domain.PositionHoldingOvernight,
+		OpenedAt:      &openAt,
+	}
+	updated, err := manager.OnExitFill(ctx, pos, domain.Order{
+		InstrumentUID: "uid",
+		FilledLots:    1,
+		AvgFillPrice:  decimal.NewFromInt(100),
+		Commission:    decimal.NewFromInt(10),
+	})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !updated.RealizedEdgeBps.Equal(decimal.NewFromInt(-10)) {
+		t.Fatalf("realized edge=%s, want -10 bps", updated.RealizedEdgeBps)
+	}
+}