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Production hardening: kill switch, circuit breaker, trailing stops, log level, holiday calendar
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Mo Hussain
2026-02-24 15:00:41 -05:00
parent 0e36fe5d23
commit a87152effb
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tests/NT8.Integration.Tests/NT8IntegrationTests.cs Normal file
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using System;
using System.Collections.Generic;
using System.Threading;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using NT8.Adapters.NinjaTrader;
using NT8.Adapters.Wrappers;
using NT8.Core.Common.Models;
using NT8.Core.Logging;
using NT8.Core.Risk;
using NT8.Core.Sizing;
namespace NT8.Integration.Tests
{
/// <summary>
/// Integration tests for end-to-end SDK workflow coverage.
/// </summary>
[TestClass]
public class NT8IntegrationTests
{
private StrategyContext CreateTestContext(string symbol, int qty, double equity, double dailyPnl)
{
var now = new DateTime(2026, 2, 17, 10, 30, 0, DateTimeKind.Utc);
var position = new Position(symbol, qty, 4200.0, 0.0, dailyPnl, now);
var account = new AccountInfo(equity, equity * 2.5, dailyPnl, 0.0, now);
var session = new MarketSession(now.Date.AddHours(9).AddMinutes(30), now.Date.AddHours(16), true, "RTH");
return new StrategyContext(symbol, now, position, account, session, new Dictionary<string, object>());
}
private BarData CreateTestBar(string symbol)
{
return new BarData(
symbol,
new DateTime(2026, 2, 17, 10, 30, 0, DateTimeKind.Utc),
4200.0,
4210.0,
4195.0,
4208.0,
10000,
TimeSpan.FromMinutes(5));
}
[TestMethod]
public void CompleteWorkflow_StrategyToExecution_ShouldProcessIntent()
{
var wrapper = new SimpleORBNT8Wrapper();
var symbol = "ES";
var sessionStart = new DateTime(2026, 2, 17, 9, 30, 0, DateTimeKind.Utc);
var openingBar1 = new BarData(symbol, sessionStart.AddMinutes(5), 100, 101, 99, 100.5, 1000, TimeSpan.FromMinutes(5));
var openingBar2 = new BarData(symbol, sessionStart.AddMinutes(10), 100.5, 102, 100, 101.5, 1000, TimeSpan.FromMinutes(5));
var breakoutBar = new BarData(symbol, sessionStart.AddMinutes(35), 102, 104.5, 101.5, 104.2, 1200, TimeSpan.FromMinutes(5));
wrapper.ProcessBarUpdate(openingBar1, CreateTestContext(symbol, 0, 100000.0, 0.0));
wrapper.ProcessBarUpdate(openingBar2, CreateTestContext(symbol, 0, 100000.0, 0.0));
wrapper.ProcessBarUpdate(breakoutBar, CreateTestContext(symbol, 0, 100000.0, 0.0));
var records = wrapper.GetAdapterForTesting().GetExecutionHistory();
Assert.IsNotNull(records);
Assert.IsTrue(records.Count >= 1);
}
[TestMethod]
public void DataConversion_NT8ToSDK_ShouldPreserveData()
{
var time = new DateTime(2026, 2, 17, 10, 0, 0, DateTimeKind.Utc);
var bar = NT8DataConverter.ConvertBar("ES", time, 4200.0, 4215.0, 4192.0, 4210.0, 15000, 5);
Assert.AreEqual("ES", bar.Symbol);
Assert.AreEqual(time, bar.Time);
Assert.AreEqual(4200.0, bar.Open);
Assert.AreEqual(4215.0, bar.High);
Assert.AreEqual(4192.0, bar.Low);
Assert.AreEqual(4210.0, bar.Close);
Assert.AreEqual(15000L, bar.Volume);
Assert.AreEqual(TimeSpan.FromMinutes(5), bar.BarSize);
}
[TestMethod]
public void ExecutionAdapter_OrderLifecycle_ShouldTrackCorrectly()
{
var adapter = new NT8ExecutionAdapter();
var req = new NT8.Core.OMS.OrderRequest();
req.Symbol = "ES";
req.Side = NT8.Core.OMS.OrderSide.Buy;
req.Type = NT8.Core.OMS.OrderType.Market;
req.Quantity = 2;
var tracking = adapter.SubmitOrder(req, "TEST_001");
Assert.AreEqual(NT8.Core.OMS.OrderState.Pending, tracking.CurrentState);
adapter.ProcessOrderUpdate("NT8_1", "TEST_001", "WORKING", 0, 0.0, 0, null);
Assert.AreEqual(NT8.Core.OMS.OrderState.Working, adapter.GetOrderStatus("TEST_001").State);
adapter.ProcessOrderUpdate("NT8_1", "TEST_001", "PARTFILLED", 1, 4200.50, 0, null);
adapter.ProcessExecution("NT8_1", "EXEC_1", 4200.50, 1, DateTime.UtcNow);
Assert.AreEqual(NT8.Core.OMS.OrderState.PartiallyFilled, adapter.GetOrderStatus("TEST_001").State);
adapter.ProcessOrderUpdate("NT8_1", "TEST_001", "FILLED", 2, 4201.00, 0, null);
adapter.ProcessExecution("NT8_1", "EXEC_2", 4201.00, 1, DateTime.UtcNow);
Assert.AreEqual(NT8.Core.OMS.OrderState.Filled, adapter.GetOrderStatus("TEST_001").State);
}
[TestMethod]
public void RiskManager_DailyLossLimit_ShouldRejectOverRisk()
{
var logger = new BasicLogger("Risk");
var risk = new BasicRiskManager(logger);
risk.OnPnLUpdate(-950.0, -950.0);
var intent = new StrategyIntent(
"ES",
OrderSide.Buy,
OrderType.Market,
null,
10,
20,
0.9,
"Risk test",
new Dictionary<string, object>());
var context = CreateTestContext("ES", 0, 100000.0, -950.0);
var cfg = new RiskConfig(1000.0, 200.0, 3, true);
var decision = risk.ValidateOrder(intent, context, cfg);
Assert.IsFalse(decision.Allow);
}
[TestMethod]
public void PositionSizer_FixedDollarRisk_ShouldCalculateCorrectly()
{
var logger = new BasicLogger("Sizer");
var sizer = new BasicPositionSizer(logger);
var intent = new StrategyIntent(
"ES",
OrderSide.Buy,
OrderType.Market,
null,
8,
16,
0.8,
"Sizing test",
new Dictionary<string, object>());
var context = CreateTestContext("ES", 0, 100000.0, 0.0);
var cfg = new SizingConfig(SizingMethod.FixedDollarRisk, 1, 10, 100.0, new Dictionary<string, object>());
var result = sizer.CalculateSize(intent, context, cfg);
Assert.IsTrue(result.Contracts > 0);
Assert.IsTrue(result.Contracts <= 10);
Assert.AreEqual(SizingMethod.FixedDollarRisk, result.Method);
}
[TestMethod]
public void ExecutionAdapter_ConcurrentAccess_ShouldBeThreadSafe()
{
var adapter = new NT8ExecutionAdapter();
var exceptions = new List<Exception>();
var sync = new object();
var success = 0;
var threadList = new List<Thread>();
for (var t = 0; t < 10; t++)
{
var tn = t;
var thread = new Thread(delegate()
{
try
{
for (var i = 0; i < 10; i++)
{
var req = new NT8.Core.OMS.OrderRequest();
req.Symbol = "ES";
req.Side = NT8.Core.OMS.OrderSide.Buy;
req.Type = NT8.Core.OMS.OrderType.Market;
req.Quantity = 1;
var id = string.Format("TH_{0}_{1}", tn, i);
adapter.SubmitOrder(req, id);
adapter.ProcessOrderUpdate(id + "_NT8", id, "WORKING", 0, 0.0, 0, null);
lock (sync)
{
success++;
}
}
}
catch (Exception ex)
{
lock (sync)
{
exceptions.Add(ex);
}
}
});
threadList.Add(thread);
thread.Start();
}
foreach (var thread in threadList)
{
thread.Join();
}
Assert.AreEqual(0, exceptions.Count);
Assert.AreEqual(100, success);
}
[TestMethod]
public void PerformanceTest_OnBarUpdate_ShouldComplete200ms()
{
var wrapper = new SimpleORBNT8Wrapper();
var context = CreateTestContext("ES", 0, 100000.0, 0.0);
var bar = CreateTestBar("ES");
for (var i = 0; i < 10; i++)
wrapper.ProcessBarUpdate(bar, context);
var iterations = 100;
var started = DateTime.UtcNow;
for (var i = 0; i < iterations; i++)
{
wrapper.ProcessBarUpdate(bar, context);
}
var elapsed = (DateTime.UtcNow - started).TotalMilliseconds / iterations;
Assert.IsTrue(elapsed < 200.0, string.Format("Average processing time too high: {0:F2} ms", elapsed));
}
[TestMethod]
public void ExecutionAdapter_CancelUnknownOrder_ShouldReturnFalse()
{
var adapter = new NT8ExecutionAdapter();
var result = adapter.CancelOrder("missing");
Assert.IsFalse(result);
}
[TestMethod]
public void ExecutionAdapter_GetOrderStatus_EmptyId_ShouldReturnNull()
{
var adapter = new NT8ExecutionAdapter();
Assert.IsNull(adapter.GetOrderStatus(""));
}
[TestMethod]
public void DataConverter_ConvertContext_WithCustomData_ShouldCloneDictionary()
{
var custom = new Dictionary<string, object>();
custom.Add("k1", 1);
custom.Add("k2", "v2");
var ctx = NT8DataConverter.ConvertContext(
"ES",
DateTime.UtcNow,
new Position("ES", 0, 0, 0, 0, DateTime.UtcNow),
new AccountInfo(100000.0, 200000.0, 0.0, 0.0, DateTime.UtcNow),
new MarketSession(DateTime.Today.AddHours(9.5), DateTime.Today.AddHours(16), true, "RTH"),
custom);
custom.Add("k3", 3);
Assert.AreEqual(2, ctx.CustomData.Count);
}
[TestMethod]
public void DataConverter_ConvertSession_OvernightSession_ShouldWork()
{
var start = new DateTime(2026, 2, 17, 18, 0, 0, DateTimeKind.Utc);
var end = new DateTime(2026, 2, 18, 9, 30, 0, DateTimeKind.Utc);
var session = NT8DataConverter.ConvertSession(start, end, false, "ETH");
Assert.IsFalse(session.IsRth);
Assert.AreEqual("ETH", session.SessionName);
}
[TestMethod]
public void DataConverter_ConvertPosition_WithShortQuantity_ShouldPreserveNegative()
{
var pos = NT8DataConverter.ConvertPosition("ES", -2, 4200.0, -150.0, 25.0, DateTime.UtcNow);
Assert.AreEqual(-2, pos.Quantity);
Assert.AreEqual(-150.0, pos.UnrealizedPnL);
}
[TestMethod]
public void DataConverter_ConvertAccount_WithNegativePnL_ShouldPreserveValue()
{
var account = NT8DataConverter.ConvertAccount(100000.0, 180000.0, -1234.5, 5000.0, DateTime.UtcNow);
Assert.AreEqual(-1234.5, account.DailyPnL);
}
[TestMethod]
public void RiskManager_ValidIntentUnderLimits_ShouldAllow()
{
var logger = new BasicLogger("RiskAllow");
var risk = new BasicRiskManager(logger);
risk.OnPnLUpdate(0.0, 0.0);
var intent = new StrategyIntent(
"MES",
OrderSide.Buy,
OrderType.Market,
null,
8,
12,
0.7,
"allow",
new Dictionary<string, object>());
var decision = risk.ValidateOrder(
intent,
CreateTestContext("MES", 0, 50000.0, 0.0),
new RiskConfig(1000.0, 200.0, 3, true));
Assert.IsTrue(decision.Allow);
}
[TestMethod]
public void PositionSizer_InvalidIntent_ShouldReturnZeroContracts()
{
var logger = new BasicLogger("InvalidIntent");
var sizer = new BasicPositionSizer(logger);
var invalid = new StrategyIntent(
"",
OrderSide.Flat,
OrderType.Market,
null,
0,
null,
-1.0,
"",
new Dictionary<string, object>());
var result = sizer.CalculateSize(
invalid,
CreateTestContext("ES", 0, 100000.0, 0.0),
new SizingConfig(SizingMethod.FixedDollarRisk, 1, 10, 100.0, new Dictionary<string, object>()));
Assert.AreEqual(0, result.Contracts);
}
}
}