S2-B3/S3-05: PortfolioRiskManager, connection loss recovery, long-only lock

2026-03-19 16:17:02 -04:00
parent 3282254572
commit 2f623dc2f8
4 changed files with 452 additions and 0 deletions
--- a/tests/NT8.Core.Tests/Risk/PortfolioRiskManagerTests.cs
+++ b/tests/NT8.Core.Tests/Risk/PortfolioRiskManagerTests.cs
@@ -0,0 +1,117 @@
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using NT8.Core.Common.Models;
+using NT8.Core.Risk;
+
+namespace NT8.Core.Tests.Risk
+{
+    [TestClass]
+    public class PortfolioRiskManagerTests
+    {
+        private PortfolioRiskManager _manager;
+
+        [TestInitialize]
+        public void TestInitialize()
+        {
+            _manager = PortfolioRiskManager.Instance;
+        }
+
+        [TestCleanup]
+        public void TestCleanup()
+        {
+            _manager.UnregisterStrategy("strat1");
+            _manager.UnregisterStrategy("strat2");
+            _manager.UnregisterStrategy("strat3");
+            _manager.UnregisterStrategy("strat4");
+            _manager.UnregisterStrategy("strat5");
+            _manager.PortfolioKillSwitch = false;
+            _manager.PortfolioDailyLossLimit = 2000.0;
+            _manager.MaxTotalOpenContracts = 6;
+            _manager.ResetDaily();
+        }
+
+        [TestMethod]
+        public void PortfolioDailyLossLimit_WhenBreached_BlocksNewOrder()
+        {
+            // Arrange
+            _manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
+            _manager.PortfolioDailyLossLimit = 500;
+            _manager.ReportPnL("strat1", -501);
+            var intent = TestDataBuilder.CreateValidIntent();
+
+            // Act
+            var decision = _manager.ValidatePortfolioRisk("strat1", intent);
+
+            // Assert
+            Assert.IsFalse(decision.Allow);
+        }
+
+        [TestMethod]
+        public void MaxTotalOpenContracts_WhenAtCap_BlocksNewOrder()
+        {
+            // Arrange
+            _manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
+            _manager.MaxTotalOpenContracts = 2;
+
+            var fill1 = new OrderFill("ord1", "ES", 1, 5000.0, System.DateTime.UtcNow, 0.0, "exec1");
+            var fill2 = new OrderFill("ord2", "ES", 1, 5001.0, System.DateTime.UtcNow, 0.0, "exec2");
+            _manager.ReportFill("strat1", fill1);
+            _manager.ReportFill("strat1", fill2);
+            var intent = TestDataBuilder.CreateValidIntent();
+
+            // Act
+            var decision = _manager.ValidatePortfolioRisk("strat1", intent);
+
+            // Assert
+            Assert.IsFalse(decision.Allow);
+        }
+
+        [TestMethod]
+        public void PortfolioKillSwitch_WhenTrue_BlocksAllOrders()
+        {
+            // Arrange
+            _manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
+            _manager.PortfolioKillSwitch = true;
+            var intent = TestDataBuilder.CreateValidIntent();
+
+            // Act
+            var decision = _manager.ValidatePortfolioRisk("strat1", intent);
+
+            // Assert
+            Assert.IsFalse(decision.Allow);
+            Assert.IsTrue(decision.RejectReason.ToLowerInvariant().Contains("kill switch"));
+        }
+
+        [TestMethod]
+        public void ValidatePortfolioRisk_WhenWithinLimits_Passes()
+        {
+            // Arrange
+            _manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
+            var intent = TestDataBuilder.CreateValidIntent();
+
+            // Act
+            var decision = _manager.ValidatePortfolioRisk("strat1", intent);
+
+            // Assert
+            Assert.IsTrue(decision.Allow);
+        }
+
+        [TestMethod]
+        public void ResetDaily_ClearsPnL_UnblocksTrading()
+        {
+            // Arrange
+            _manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
+            _manager.PortfolioDailyLossLimit = 500;
+            _manager.ReportPnL("strat1", -600);
+            var intent = TestDataBuilder.CreateValidIntent();
+
+            // Act
+            var blocked = _manager.ValidatePortfolioRisk("strat1", intent);
+            _manager.ResetDaily();
+            var unblocked = _manager.ValidatePortfolioRisk("strat1", intent);
+
+            // Assert
+            Assert.IsFalse(blocked.Allow);
+            Assert.IsTrue(unblocked.Allow);
+        }
+    }
+}