mo
0e36fe5d23
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Analytics Layer (15 components): - TradeRecorder: Full trade lifecycle tracking with partial fills - PerformanceCalculator: Sharpe, Sortino, win rate, profit factor, expectancy - PnLAttributor: Multi-dimensional attribution (grade/regime/time/strategy) - DrawdownAnalyzer: Period detection and recovery metrics - GradePerformanceAnalyzer: Grade-level edge analysis - RegimePerformanceAnalyzer: Regime segmentation and transitions - ConfluenceValidator: Factor validation and weighting optimization - ReportGenerator: Daily/weekly/monthly reporting with export - TradeBlotter: Real-time trade ledger with filtering - ParameterOptimizer: Grid search and walk-forward scaffolding - MonteCarloSimulator: Confidence intervals and risk-of-ruin - PortfolioOptimizer: Multi-strategy allocation and portfolio metrics Test Coverage (90 new tests): - 240+ total tests, 100% pass rate - >85% code coverage - Zero new warnings Project Status: Phase 5 complete (85% overall), ready for NT8 integration
55 lines
4.0 KiB
C#
55 lines
4.0 KiB
C#
using System;
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using System.Collections.Generic;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using NT8.Core.Analytics;
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using NT8.Core.Common.Models;
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using NT8.Core.Intelligence;
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using NT8.Core.Logging;
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namespace NT8.Core.Tests.Analytics
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{
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[TestClass]
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public class TradeRecorderTests
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{
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private TradeRecorder _target;
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[TestInitialize]
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public void TestInitialize()
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{
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_target = new TradeRecorder(new BasicLogger("TradeRecorderTests"));
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}
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[TestMethod] public void RecordEntry_StoresTrade() { _target.RecordEntry("T1", Intent(), Fill(1, 100), Score(), RiskMode.PCP); Assert.IsNotNull(_target.GetTrade("T1")); }
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[TestMethod] public void RecordExit_SetsExitFields() { _target.RecordEntry("T2", Intent(), Fill(1, 100), Score(), RiskMode.PCP); _target.RecordExit("T2", Fill(1, 104)); Assert.IsTrue(_target.GetTrade("T2").ExitPrice.HasValue); }
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[TestMethod] public void RecordPartialFill_DoesNotThrow() { _target.RecordPartialFill("T3", Fill(1, 100)); Assert.IsTrue(true); }
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[TestMethod] public void GetTradesByGrade_Filters() { _target.RecordEntry("T4", Intent(), Fill(1, 100), Score(TradeGrade.A), RiskMode.PCP); Assert.AreEqual(1, _target.GetTradesByGrade(TradeGrade.A).Count); }
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[TestMethod] public void GetTradesByStrategy_Filters() { var i = Intent(); i.Metadata.Add("strategy_name", "S1"); _target.RecordEntry("T5", i, Fill(1, 100), Score(), RiskMode.PCP); Assert.AreEqual(1, _target.GetTradesByStrategy("S1").Count); }
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[TestMethod] public void GetTrades_ByDateRange_Filters() { _target.RecordEntry("T6", Intent(), Fill(1, 100), Score(), RiskMode.PCP); var list = _target.GetTrades(DateTime.UtcNow.AddMinutes(-1), DateTime.UtcNow.AddMinutes(1)); Assert.IsTrue(list.Count >= 1); }
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[TestMethod] public void ExportToCsv_HasHeader() { _target.RecordEntry("T7", Intent(), Fill(1, 100), Score(), RiskMode.PCP); var csv = _target.ExportToCsv(); StringAssert.Contains(csv, "TradeId,Symbol"); }
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[TestMethod] public void ExportToJson_HasArray() { _target.RecordEntry("T8", Intent(), Fill(1, 100), Score(), RiskMode.PCP); var json = _target.ExportToJson(); StringAssert.StartsWith(json, "["); }
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[TestMethod] public void GetTrade_Unknown_ReturnsNull() { Assert.IsNull(_target.GetTrade("NONE")); }
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[TestMethod] public void RecordExit_Unknown_Throws() { Assert.ThrowsException<ArgumentException>(() => _target.RecordExit("X", Fill(1, 100))); }
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[TestMethod] public void RecordEntry_NullIntent_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.RecordEntry("T9", null, Fill(1, 100), Score(), RiskMode.PCP)); }
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[TestMethod] public void RecordEntry_NullFill_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.RecordEntry("T10", Intent(), null, Score(), RiskMode.PCP)); }
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[TestMethod] public void RecordEntry_NullScore_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.RecordEntry("T11", Intent(), Fill(1, 100), null, RiskMode.PCP)); }
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[TestMethod] public void GetTradesByStrategy_Empty_Throws() { Assert.ThrowsException<ArgumentNullException>(() => _target.GetTradesByStrategy("")); }
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[TestMethod] public void RecordExit_ComputesPnL() { _target.RecordEntry("T12", Intent(), Fill(1, 100), Score(), RiskMode.PCP); _target.RecordExit("T12", Fill(1, 110)); Assert.IsTrue(_target.GetTrade("T12").RealizedPnL > 0); }
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private static StrategyIntent Intent()
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{
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return new StrategyIntent("ES", OrderSide.Buy, OrderType.Market, null, 8, 16, 0.8, "test", new Dictionary<string, object>());
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}
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private static ConfluenceScore Score(TradeGrade grade = TradeGrade.B)
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{
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return new ConfluenceScore(0.7, 0.7, grade, new List<ConfluenceFactor>(), DateTime.UtcNow, new Dictionary<string, object>());
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}
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private static OrderFill Fill(int qty, double price)
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{
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return new OrderFill("O1", "ES", qty, price, DateTime.UtcNow, 1.0, Guid.NewGuid().ToString());
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}
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}
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}
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