135 lines
4.4 KiB
C#
135 lines
4.4 KiB
C#
using Microsoft.VisualStudio.TestTools.UnitTesting;
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using NT8.Core.Common.Models;
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using NT8.Core.Risk;
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namespace NT8.Core.Tests.Risk
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{
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[TestClass]
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public class PortfolioRiskManagerTests
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{
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private PortfolioRiskManager _manager;
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[TestInitialize]
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public void TestInitialize()
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{
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_manager = PortfolioRiskManager.Instance;
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}
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[TestCleanup]
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public void TestCleanup()
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{
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_manager.UnregisterStrategy("strat1");
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_manager.UnregisterStrategy("strat2");
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_manager.UnregisterStrategy("strat3");
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_manager.UnregisterStrategy("strat4");
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_manager.UnregisterStrategy("strat5");
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_manager.PortfolioKillSwitch = false;
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_manager.PortfolioDailyLossLimit = 2000.0;
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_manager.MaxTotalOpenContracts = 6;
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_manager.ResetDaily();
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}
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[TestMethod]
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public void PortfolioDailyLossLimit_WhenBreached_BlocksNewOrder()
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{
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// Arrange
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_manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
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_manager.PortfolioDailyLossLimit = 500;
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_manager.ReportPnL("strat1", -501);
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var intent = TestDataBuilder.CreateValidIntent();
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// Act
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var decision = _manager.ValidatePortfolioRisk("strat1", intent);
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// Assert
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Assert.IsFalse(decision.Allow);
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}
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[TestMethod]
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public void MaxTotalOpenContracts_WhenAtCap_BlocksNewOrder()
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{
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// Arrange
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_manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
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_manager.MaxTotalOpenContracts = 2;
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_manager.UpdateOpenContracts("strat1", 2);
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var intent = TestDataBuilder.CreateValidIntent();
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// Act
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var decision = _manager.ValidatePortfolioRisk("strat1", intent);
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// Assert
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Assert.IsFalse(decision.Allow);
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}
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[TestMethod]
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public void UpdateOpenContracts_WhenPositionCloses_UnblocksTrading()
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{
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// Arrange
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_manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
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_manager.MaxTotalOpenContracts = 6;
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var intent = TestDataBuilder.CreateValidIntent();
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// Act
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_manager.UpdateOpenContracts("strat1", 6);
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var blocked = _manager.ValidatePortfolioRisk("strat1", intent);
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_manager.UpdateOpenContracts("strat1", 0);
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var unblocked = _manager.ValidatePortfolioRisk("strat1", intent);
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// Assert
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Assert.IsFalse(blocked.Allow);
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Assert.IsTrue(unblocked.Allow);
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}
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[TestMethod]
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public void PortfolioKillSwitch_WhenTrue_BlocksAllOrders()
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{
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// Arrange
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_manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
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_manager.PortfolioKillSwitch = true;
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var intent = TestDataBuilder.CreateValidIntent();
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// Act
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var decision = _manager.ValidatePortfolioRisk("strat1", intent);
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// Assert
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Assert.IsFalse(decision.Allow);
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Assert.IsTrue(decision.RejectReason.ToLowerInvariant().Contains("kill switch"));
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}
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[TestMethod]
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public void ValidatePortfolioRisk_WhenWithinLimits_Passes()
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{
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// Arrange
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_manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
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var intent = TestDataBuilder.CreateValidIntent();
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// Act
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var decision = _manager.ValidatePortfolioRisk("strat1", intent);
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// Assert
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Assert.IsTrue(decision.Allow);
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}
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[TestMethod]
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public void ResetDaily_ClearsPnL_UnblocksTrading()
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{
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// Arrange
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_manager.RegisterStrategy("strat1", TestDataBuilder.CreateTestRiskConfig());
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_manager.PortfolioDailyLossLimit = 500;
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_manager.ReportPnL("strat1", -600);
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var intent = TestDataBuilder.CreateValidIntent();
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// Act
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var blocked = _manager.ValidatePortfolioRisk("strat1", intent);
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_manager.ResetDaily();
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var unblocked = _manager.ValidatePortfolioRisk("strat1", intent);
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// Assert
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Assert.IsFalse(blocked.Allow);
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Assert.IsTrue(unblocked.Allow);
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}
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}
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}
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