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 +1,87 @@
+package signal
+
+import (
+	"testing"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+)
+
+func sd(raw string) decimal.Decimal {
+	v, err := decimal.NewFromString(raw)
+	if err != nil {
+		panic(err)
+	}
+	return v
+}
+
+func baseCandidate() Candidate {
+	return Candidate{
+		TradeDate: time.Date(2024, 1, 2, 0, 0, 0, 0, time.UTC),
+		Instrument: domain.Instrument{
+			InstrumentUID:     "uid",
+			Ticker:            "TRUR",
+			ClassCode:         "TQTF",
+			Lot:               1,
+			MinPriceIncrement: sd("0.01"),
+			Currency:          "RUB",
+			Enabled:           true,
+		},
+		Features: domain.FeatureSet{
+			MuOn60:     sd("0.002"),
+			MuOn252:    sd("0.001"),
+			SigmaOn60:  sd("0.01"),
+			TStatOn60:  sd("2"),
+			WinOn60:    sd("0.60"),
+			NetEdgeBps: sd("20"),
+			SpreadBps:  sd("5"),
+			TickBps:    sd("1"),
+			ADV20:      sd("10000000"),
+		},
+		TradingStatus: domain.TradingStatusNormal,
+		FreeOrderOK:   true,
+	}
+}
+
+func TestEngineEnter(t *testing.T) {
+	engine := New(Config{
+		MinTStat60:              sd("1.25"),
+		MinWinRate60:            sd("0.55"),
+		MinNetEdgeBps:           sd("10"),
+		MinADVRUB:               sd("5000000"),
+		MaxSpreadBpsDefault:     sd("20"),
+		MaxSpreadBpsMoneyMarket: sd("5"),
+		MaxSpreadBpsBondFunds:   sd("10"),
+		MaxSpreadBpsEquityFunds: sd("25"),
+		MaxTickBps:              sd("10"),
+		RequireZeroCommission:   true,
+		MaxPositions:            5,
+	})
+	sig := engine.Evaluate(baseCandidate())
+	if sig.Decision != domain.DecisionEnter || sig.RejectReason != "" {
+		t.Fatalf("unexpected signal: %+v", sig)
+	}
+}
+
+func TestEngineFirstRejectReason(t *testing.T) {
+	engine := New(Config{MinTStat60: sd("1.25"), MinWinRate60: sd("0.55"), MinNetEdgeBps: sd("10"), MinADVRUB: sd("5000000"), MaxSpreadBpsDefault: sd("20"), MaxTickBps: sd("10"), RequireZeroCommission: true})
+	c := baseCandidate()
+	c.Features.MuOn60 = decimal.Zero
+	c.Features.NetEdgeBps = decimal.Zero
+	sig := engine.Evaluate(c)
+	if sig.RejectReason != ReasonMuShort {
+		t.Fatalf("reason=%s", sig.RejectReason)
+	}
+}
+
+func TestEngineUsesSkipForCapacityReasons(t *testing.T) {
+	engine := New(Config{MinTStat60: sd("1.25"), MinWinRate60: sd("0.55"), MinNetEdgeBps: sd("10"), MinADVRUB: sd("5000000"), MaxSpreadBpsDefault: sd("20"), MaxTickBps: sd("10"), RequireZeroCommission: true, MaxPositions: 1})
+	c := baseCandidate()
+	c.OpenPositions = 1
+	sig := engine.Evaluate(c)
+	if sig.Decision != domain.DecisionSkip || sig.RejectReason != ReasonMaxPositions {
+		t.Fatalf("unexpected skip signal: %+v", sig)
+	}
+}