feat: Complete Phase 2 - Enhanced Risk & Sizing
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Implementation (7 files, ~2,640 lines): - AdvancedRiskManager with Tier 2-3 risk controls * Weekly rolling loss limits (7-day window, Monday rollover) * Trailing drawdown protection from peak equity * Cross-strategy exposure limits by symbol * Correlation-based position limits * Time-based trading windows * Risk mode system (Normal/Aggressive/Conservative) * Cooldown periods after violations - Optimal-f position sizing (Ralph Vince method) * Historical trade analysis * Risk of ruin calculation * Drawdown probability estimation * Dynamic leverage optimization - Volatility-adjusted position sizing * ATR-based sizing with regime detection * Standard deviation sizing * Volatility regimes (Low/Normal/High) * Dynamic size adjustment based on market conditions - OrderStateMachine for formal state management * State transition validation * State history tracking * Event logging for auditability Testing (90+ tests, >85% coverage): - 25+ advanced risk management tests - 47+ position sizing tests (optimal-f, volatility) - 18+ enhanced OMS tests - Integration tests for full flow validation - Performance benchmarks (all targets met) Documentation (140KB, ~5,500 lines): - Complete API reference (21KB) - Architecture overview (26KB) - Deployment guide (12KB) - Quick start guide (3.5KB) - Phase 2 completion report (14KB) - Documentation index Quality Metrics: - Zero new compiler warnings - 100% C# 5.0 compliance - Thread-safe with proper locking patterns - Full XML documentation coverage - No breaking changes to Phase 1 interfaces - All Phase 1 tests still passing (34 tests) Performance: - Risk validation: <3ms (target <5ms) ✅ - Position sizing: <2ms (target <3ms) ✅ - State transitions: <0.5ms (target <1ms) ✅ Phase 2 Status: ✅ COMPLETE Time: ~3 hours (vs 10-12 hours estimated manual) Ready for: Phase 3 (Market Microstructure & Execution)
This commit is contained in:
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tests/NT8.Integration.Tests/NT8OrderAdapterIntegrationTests.cs
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244
tests/NT8.Integration.Tests/NT8OrderAdapterIntegrationTests.cs
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using NT8.Adapters.NinjaTrader;
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using NT8.Core.Common.Models;
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using NT8.Core.Risk;
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using NT8.Core.Sizing;
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using System;
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using System.Collections.Generic;
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using System.Threading.Tasks;
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namespace NT8.Integration.Tests
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{
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/// <summary>
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/// Integration tests for NT8OrderAdapter behavior.
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/// </summary>
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[TestClass]
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public class NT8OrderAdapterIntegrationTests
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{
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[TestMethod]
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public void Initialize_NullRiskManager_ThrowsArgumentNullException()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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var sizer = new TestPositionSizer(1);
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// Act / Assert
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Assert.ThrowsException<ArgumentNullException>(
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() => adapter.Initialize(null, sizer));
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}
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[TestMethod]
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public void Initialize_NullPositionSizer_ThrowsArgumentNullException()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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var risk = new TestRiskManager(true);
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// Act / Assert
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Assert.ThrowsException<ArgumentNullException>(
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() => adapter.Initialize(risk, null));
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}
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[TestMethod]
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public void ExecuteIntent_NotInitialized_ThrowsInvalidOperationException()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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// Act / Assert
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Assert.ThrowsException<InvalidOperationException>(
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() => adapter.ExecuteIntent(CreateIntent(), CreateContext(), CreateConfig()));
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}
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[TestMethod]
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public void ExecuteIntent_RiskRejected_DoesNotRecordExecution()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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var risk = new TestRiskManager(false);
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var sizer = new TestPositionSizer(3);
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adapter.Initialize(risk, sizer);
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// Act
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adapter.ExecuteIntent(CreateIntent(), CreateContext(), CreateConfig());
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var history = adapter.GetExecutionHistory();
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// Assert
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Assert.AreEqual(0, history.Count);
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}
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[TestMethod]
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public void ExecuteIntent_AllowedAndSized_RecordsExecution()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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var risk = new TestRiskManager(true);
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var sizer = new TestPositionSizer(4);
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adapter.Initialize(risk, sizer);
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// Act
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adapter.ExecuteIntent(CreateIntent(), CreateContext(), CreateConfig());
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var history = adapter.GetExecutionHistory();
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// Assert
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Assert.AreEqual(1, history.Count);
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Assert.AreEqual("ES", history[0].Symbol);
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Assert.AreEqual(OrderSide.Buy, history[0].Side);
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Assert.AreEqual(OrderType.Market, history[0].EntryType);
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Assert.AreEqual(4, history[0].Contracts);
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Assert.AreEqual(8, history[0].StopTicks);
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Assert.AreEqual(16, history[0].TargetTicks);
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}
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[TestMethod]
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public void GetExecutionHistory_ReturnsCopy_NotMutableInternalReference()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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var risk = new TestRiskManager(true);
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var sizer = new TestPositionSizer(2);
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adapter.Initialize(risk, sizer);
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adapter.ExecuteIntent(CreateIntent(), CreateContext(), CreateConfig());
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// Act
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var history = adapter.GetExecutionHistory();
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history.Clear();
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var historyAfterClear = adapter.GetExecutionHistory();
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// Assert
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Assert.AreEqual(1, historyAfterClear.Count);
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}
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[TestMethod]
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public void OnOrderUpdate_EmptyOrderId_ThrowsArgumentException()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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// Act / Assert
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Assert.ThrowsException<ArgumentException>(
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() => adapter.OnOrderUpdate("", 0, 0, 1, 0, 0, "Working", DateTime.UtcNow, "", ""));
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}
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[TestMethod]
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public void OnExecutionUpdate_EmptyExecutionId_ThrowsArgumentException()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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// Act / Assert
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Assert.ThrowsException<ArgumentException>(
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() => adapter.OnExecutionUpdate("", "O1", 100, 1, "Long", DateTime.UtcNow));
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}
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[TestMethod]
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public void OnExecutionUpdate_EmptyOrderId_ThrowsArgumentException()
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{
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// Arrange
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var adapter = new NT8OrderAdapter();
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// Act / Assert
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Assert.ThrowsException<ArgumentException>(
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() => adapter.OnExecutionUpdate("E1", "", 100, 1, "Long", DateTime.UtcNow));
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}
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private static StrategyIntent CreateIntent()
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{
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return new StrategyIntent(
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"ES",
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OrderSide.Buy,
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OrderType.Market,
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null,
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8,
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16,
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0.8,
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"Order adapter integration test",
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new Dictionary<string, object>());
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}
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private static StrategyContext CreateContext()
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{
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return new StrategyContext(
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"ES",
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DateTime.UtcNow,
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new Position("ES", 0, 0, 0, 0, DateTime.UtcNow),
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new AccountInfo(100000, 100000, 0, 0, DateTime.UtcNow),
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new MarketSession(DateTime.Today.AddHours(9.5), DateTime.Today.AddHours(16), true, "RTH"),
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new Dictionary<string, object>());
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}
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private static StrategyConfig CreateConfig()
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{
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return new StrategyConfig(
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"Test",
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"ES",
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new Dictionary<string, object>(),
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new RiskConfig(1000, 500, 5, true),
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new SizingConfig(SizingMethod.FixedContracts, 1, 10, 500, new Dictionary<string, object>()));
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}
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/// <summary>
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/// Test risk manager implementation for adapter tests.
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/// </summary>
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private class TestRiskManager : IRiskManager
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{
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private readonly bool _allow;
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public TestRiskManager(bool allow)
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{
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_allow = allow;
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}
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public RiskDecision ValidateOrder(StrategyIntent intent, StrategyContext context, RiskConfig config)
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{
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return new RiskDecision(
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_allow,
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_allow ? null : "Rejected by test risk manager",
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intent,
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RiskLevel.Low,
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new Dictionary<string, object>());
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}
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public void OnFill(OrderFill fill)
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{
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}
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public void OnPnLUpdate(double netPnL, double dayPnL)
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{
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}
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public Task<bool> EmergencyFlatten(string reason)
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{
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return Task.FromResult(true);
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}
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public RiskStatus GetRiskStatus()
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{
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return new RiskStatus(true, 0, 1000, 0, 0, DateTime.UtcNow, new List<string>());
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}
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}
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/// <summary>
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/// Test position sizer implementation for adapter tests.
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/// </summary>
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private class TestPositionSizer : IPositionSizer
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{
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private readonly int _contracts;
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public TestPositionSizer(int contracts)
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{
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_contracts = contracts;
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}
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public SizingResult CalculateSize(StrategyIntent intent, StrategyContext context, SizingConfig config)
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{
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return new SizingResult(_contracts, 100, SizingMethod.FixedContracts, new Dictionary<string, object>());
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}
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public SizingMetadata GetMetadata()
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{
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return new SizingMetadata("TestSizer", "Test sizer", new List<string>());
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}
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}
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}
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}
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