Phase 0 completion: NT8 SDK core framework with risk management and position sizing

2025-09-09 17:06:37 -04:00
parent 97e5050d3e
commit 92f3732b3d
109 changed files with 38593 additions and 380 deletions
--- a/tests/NT8.Core.Tests/Risk/BasicRiskManagerTests.cs
+++ b/tests/NT8.Core.Tests/Risk/BasicRiskManagerTests.cs
@@ -0,0 +1,111 @@
+using NT8.Core.Risk;
+using NT8.Core.Common.Models;
+using NT8.Core.Logging;
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using System;
+
+namespace NT8.Core.Tests.Risk
+{
+    [TestClass]
+    public class BasicRiskManagerTests
+    {
+        private ILogger _logger;
+        private BasicRiskManager _riskManager;
+
+        [TestInitialize]
+        public void TestInitialize()
+        {
+            _logger = new BasicLogger("BasicRiskManagerTests");
+            _riskManager = new BasicRiskManager(_logger);
+        }
+
+        [TestMethod]
+        public void ValidateOrder_WithinLimits_ShouldAllow()
+        {
+            // Arrange
+            var intent = TestDataBuilder.CreateValidIntent(stopTicks: 8);
+            var context = TestDataBuilder.CreateTestContext();
+            var config = TestDataBuilder.CreateTestRiskConfig();
+
+            // Act
+            var result = _riskManager.ValidateOrder(intent, context, config);
+
+            // Assert
+            Assert.IsTrue(result.Allow);
+            Assert.IsNull(result.RejectReason);
+            Assert.AreEqual(RiskLevel.Low, result.RiskLevel);
+            Assert.IsTrue(result.RiskMetrics.ContainsKey("trade_risk"));
+            Assert.IsTrue(result.RiskMetrics.ContainsKey("daily_pnl"));
+        }
+
+        [TestMethod]
+        public void ValidateOrder_ExceedsDailyLimit_ShouldReject()
+        {
+            // Arrange
+            var intent = TestDataBuilder.CreateValidIntent();
+            var context = TestDataBuilder.CreateTestContext();
+            var config = new RiskConfig(
+                dailyLossLimit: 1000,
+                maxTradeRisk: 500,
+                maxOpenPositions: 5,
+                emergencyFlattenEnabled: true
+            );
+
+            // Simulate daily loss exceeding limit
+            _riskManager.OnPnLUpdate(0, -1001);
+
+            // Act
+            var result = _riskManager.ValidateOrder(intent, context, config);
+
+            // Assert
+            Assert.IsFalse(result.Allow);
+            // Accept either "Trading halted" or "Daily loss limit" as valid rejection reasons
+            Assert.IsTrue(result.RejectReason.Contains("Trading halted") || result.RejectReason.Contains("Daily loss limit breached"),
+                "Expected reject reason to contain either 'Trading halted' or 'Daily loss limit breached', but got: " + result.RejectReason);
+            Assert.AreEqual(RiskLevel.Critical, result.RiskLevel);
+            Assert.AreEqual(-1001.0, result.RiskMetrics["daily_pnl"]);
+        }
+
+        [TestMethod]
+        public void ValidateOrder_ExceedsTradeRisk_ShouldReject()
+        {
+            // Arrange
+            var intent = TestDataBuilder.CreateValidIntent(stopTicks: 100); // High risk trade
+            var context = TestDataBuilder.CreateTestContext();
+            var config = new RiskConfig(
+                dailyLossLimit: 10000,
+                maxTradeRisk: 500, // Lower than calculated trade risk
+                maxOpenPositions: 5,
+                emergencyFlattenEnabled: true
+            );
+
+            // Act
+            var result = _riskManager.ValidateOrder(intent, context, config);
+
+            // Assert
+            Assert.IsFalse(result.Allow);
+            // Accept either "Trading halted" or "Trade risk too high" as valid rejection reasons
+            Assert.IsTrue(result.RejectReason.Contains("Trading halted") || result.RejectReason.Contains("Trade risk too high"),
+                "Expected reject reason to contain either 'Trading halted' or 'Trade risk too high', but got: " + result.RejectReason);
+            Assert.AreEqual(RiskLevel.High, result.RiskLevel);
+
+            // Verify risk calculation
+            var expectedRisk = 100 * 12.50; // 100 ticks * ES tick value
+            Assert.AreEqual(expectedRisk, result.RiskMetrics["trade_risk"]);
+        }
+
+        [TestMethod]
+        public void ValidateOrder_WithNullParameters_ShouldThrow()
+        {
+            // Arrange
+            var intent = TestDataBuilder.CreateValidIntent();
+            var context = TestDataBuilder.CreateTestContext();
+            var config = TestDataBuilder.CreateTestRiskConfig();
+
+            // Act & Assert
+            Assert.ThrowsException<ArgumentNullException>(() => _riskManager.ValidateOrder(null, context, config));
+            Assert.ThrowsException<ArgumentNullException>(() => _riskManager.ValidateOrder(intent, null, config));
+            Assert.ThrowsException<ArgumentNullException>(() => _riskManager.ValidateOrder(intent, context, null));
+        }
+    }
+}