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fb2b0b6cf3
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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)
89 lines
3.0 KiB
C#
89 lines
3.0 KiB
C#
using Microsoft.VisualStudio.TestTools.UnitTesting;
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using NT8.Core.OMS;
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namespace NT8.Core.Tests.OMS
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{
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[TestClass]
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public class OrderStateMachineTests
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{
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private OrderStateMachine _stateMachine;
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[TestInitialize]
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public void TestInitialize()
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{
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_stateMachine = new OrderStateMachine();
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}
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[TestMethod]
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public void ValidateTransition_PendingToSubmitted_ShouldBeValid()
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{
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var result = _stateMachine.ValidateTransition("ORD-1", OrderState.Pending, OrderState.Submitted);
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Assert.IsTrue(result.IsValid);
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}
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[TestMethod]
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public void ValidateTransition_SubmittedToFilled_ShouldBeInvalid()
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{
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var result = _stateMachine.ValidateTransition("ORD-1", OrderState.Submitted, OrderState.Filled);
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Assert.IsFalse(result.IsValid);
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}
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[TestMethod]
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public void ValidateTransition_SameState_ShouldBeValidIdempotent()
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{
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var result = _stateMachine.ValidateTransition("ORD-1", OrderState.Working, OrderState.Working);
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Assert.IsTrue(result.IsValid);
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}
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[TestMethod]
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public void IsTerminalState_Filled_ShouldReturnTrue()
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{
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Assert.IsTrue(_stateMachine.IsTerminalState(OrderState.Filled));
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Assert.IsTrue(_stateMachine.IsTerminalState(OrderState.Cancelled));
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Assert.IsTrue(_stateMachine.IsTerminalState(OrderState.Rejected));
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Assert.IsTrue(_stateMachine.IsTerminalState(OrderState.Expired));
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}
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[TestMethod]
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public void IsTerminalState_Working_ShouldReturnFalse()
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{
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Assert.IsFalse(_stateMachine.IsTerminalState(OrderState.Working));
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}
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[TestMethod]
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public void RecordTransition_ThenGetHistory_ShouldContainEntry()
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{
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_stateMachine.RecordTransition("ORD-ABC", OrderState.Pending, OrderState.Submitted, "Submitted to broker");
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var history = _stateMachine.GetOrderHistory("ORD-ABC");
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Assert.AreEqual(1, history.Count);
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Assert.AreEqual(OrderState.Pending, history[0].FromState);
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Assert.AreEqual(OrderState.Submitted, history[0].ToState);
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}
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[TestMethod]
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public void GetAllowedNextStates_Working_ShouldContainExpectedStates()
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{
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var next = _stateMachine.GetAllowedNextStates(OrderState.Working);
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Assert.IsTrue(next.Contains(OrderState.PartiallyFilled));
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Assert.IsTrue(next.Contains(OrderState.Filled));
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Assert.IsTrue(next.Contains(OrderState.Cancelled));
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Assert.IsTrue(next.Contains(OrderState.Expired));
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}
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[TestMethod]
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public void ClearHistory_AfterRecording_ShouldRemoveEntries()
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{
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_stateMachine.RecordTransition("ORD-XYZ", OrderState.Pending, OrderState.Submitted, "test");
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_stateMachine.ClearHistory();
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var history = _stateMachine.GetOrderHistory("ORD-XYZ");
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Assert.AreEqual(0, history.Count);
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}
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}
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}
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