181f82d3c0
- fix(bot): prevent PnL double recording in _close_and_reenter using asyncio.Event - fix(bot): prevent SYNC detection PnL duplication with _close_handled_by_sync flag - fix(notifier): move sync HTTP call to background thread via run_in_executor - fix(risk_manager): make is_trading_allowed async with lock for thread safety - fix(exchange): cache exchange info at class level (1 API call for all symbols) - fix(exchange): use `is not None` instead of truthy check for price/stop_price - refactor(backtester): extract _calc_trade_stats to eliminate code duplication - fix(ml_features): apply rolling z-score to OI/funding rate in serving (train-serve skew) - fix(bot): use config.correlation_symbols instead of hardcoded BTCUSDT/ETHUSDT - fix(bot): expand OI/funding history deque to 96 for z-score window - cleanup(config): remove unused stop_loss_pct, take_profit_pct, trailing_stop_pct fields Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
140 lines
4.1 KiB
Python
140 lines
4.1 KiB
Python
import pytest
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import os
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from src.risk_manager import RiskManager
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from src.config import Config
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@pytest.fixture
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def config():
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os.environ.update({
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"BINANCE_API_KEY": "k",
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"BINANCE_API_SECRET": "s",
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"SYMBOL": "XRPUSDT",
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"LEVERAGE": "10",
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})
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return Config()
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@pytest.mark.asyncio
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async def test_max_drawdown_check(config):
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rm = RiskManager(config, max_daily_loss_pct=0.05)
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rm.daily_pnl = -60.0
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rm.initial_balance = 1000.0
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assert await rm.is_trading_allowed() is False
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@pytest.mark.asyncio
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async def test_trading_allowed_normal(config):
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rm = RiskManager(config, max_daily_loss_pct=0.05)
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rm.daily_pnl = -10.0
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rm.initial_balance = 1000.0
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assert await rm.is_trading_allowed() is True
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@pytest.mark.asyncio
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async def test_position_size_capped(config):
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rm = RiskManager(config, max_daily_loss_pct=0.05)
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await rm.register_position("XRPUSDT", "LONG")
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await rm.register_position("TRXUSDT", "SHORT")
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await rm.register_position("DOGEUSDT", "LONG")
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assert await rm.can_open_new_position("SOLUSDT", "SHORT") is False
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# --- 동적 증거금 비율 테스트 ---
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@pytest.fixture
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def dynamic_config():
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c = Config()
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c.margin_max_ratio = 0.50
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c.margin_min_ratio = 0.20
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c.margin_decay_rate = 0.0006
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return c
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@pytest.fixture
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def risk(dynamic_config):
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r = RiskManager(dynamic_config)
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r.set_base_balance(22.0)
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return r
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def test_set_base_balance(risk):
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assert risk.initial_balance == 22.0
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def test_ratio_at_base_balance(risk):
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"""기준 잔고에서 최대 비율(50%) 반환"""
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ratio = risk.get_dynamic_margin_ratio(22.0)
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assert ratio == pytest.approx(0.50, abs=1e-6)
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def test_ratio_decreases_as_balance_grows(risk):
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"""잔고가 늘수록 비율 감소"""
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ratio_100 = risk.get_dynamic_margin_ratio(100.0)
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ratio_300 = risk.get_dynamic_margin_ratio(300.0)
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assert ratio_100 < 0.50
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assert ratio_300 < ratio_100
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def test_ratio_clamped_at_min(risk):
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"""잔고가 매우 커도 최소 비율(20%) 이하로 내려가지 않음"""
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ratio = risk.get_dynamic_margin_ratio(10000.0)
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assert ratio == pytest.approx(0.20, abs=1e-6)
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def test_ratio_clamped_at_max(risk):
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"""잔고가 기준보다 작아도 최대 비율(50%) 초과하지 않음"""
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ratio = risk.get_dynamic_margin_ratio(5.0)
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assert ratio == pytest.approx(0.50, abs=1e-6)
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# --- 멀티심볼 공유 RiskManager 테스트 ---
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@pytest.fixture
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def shared_risk(config):
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config.max_same_direction = 2
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return RiskManager(config)
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@pytest.mark.asyncio
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async def test_can_open_new_position_async(shared_risk):
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"""비동기 포지션 오픈 허용 체크."""
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assert await shared_risk.can_open_new_position("XRPUSDT", "LONG") is True
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@pytest.mark.asyncio
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async def test_register_and_close_position(shared_risk):
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"""포지션 등록 후 닫기."""
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await shared_risk.register_position("XRPUSDT", "LONG")
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assert "XRPUSDT" in shared_risk.open_positions
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await shared_risk.close_position("XRPUSDT", pnl=1.5)
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assert "XRPUSDT" not in shared_risk.open_positions
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assert shared_risk.daily_pnl == 1.5
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@pytest.mark.asyncio
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async def test_same_symbol_blocked(shared_risk):
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"""같은 심볼 중복 진입 차단."""
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await shared_risk.register_position("XRPUSDT", "LONG")
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assert await shared_risk.can_open_new_position("XRPUSDT", "SHORT") is False
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@pytest.mark.asyncio
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async def test_max_same_direction_limit(shared_risk):
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"""같은 방향 2개 초과 차단."""
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await shared_risk.register_position("XRPUSDT", "LONG")
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await shared_risk.register_position("TRXUSDT", "LONG")
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# 3번째 LONG 차단
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assert await shared_risk.can_open_new_position("DOGEUSDT", "LONG") is False
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# SHORT은 허용
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assert await shared_risk.can_open_new_position("DOGEUSDT", "SHORT") is True
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@pytest.mark.asyncio
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async def test_max_positions_global_limit(shared_risk):
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"""전체 포지션 수 한도 초과 차단."""
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shared_risk.config.max_positions = 2
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await shared_risk.register_position("XRPUSDT", "LONG")
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await shared_risk.register_position("TRXUSDT", "SHORT")
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assert await shared_risk.can_open_new_position("DOGEUSDT", "LONG") is False
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