feat: autonomous trading engine — full implementation
- Database migration 018 with 13 tables for trading engine state - Trading engine service (services/trading/) with 12 pure computation modules: position sizer, stop-loss manager, reserve pool, circuit breaker, risk tier controller, correlation matrix, tax lots, trading window, gradual entry, notifications, micro-trading, backtester - Core TradingEngine with pre-trade evaluation pipeline and integration wiring - FastAPI HTTP service with 14 endpoints (health, config, decisions, metrics, backtest) - Performance tracker with Sharpe ratio, drawdown, profit factor computation - 194 Python tests (165 property-based + 29 integration) - Frontend: 13 TanStack Query hooks, 7 dashboard panels, tabbed Trading Engine page - Helm chart entry, network policy, nginx proxy, ingress for trading-engine - Shared infrastructure: enums, Redis keys, TradingConfig in AppConfig
This commit is contained in:
Celes Renata
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"""Property-based tests for the Micro-Trading Module.
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Feature: autonomous-trading-engine
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Property 31: Micro-trade parameter constraints.
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Property 32: Micro-trade auto-close after max hold duration.
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Property 34: Micro-trades respect all existing constraints.
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"""
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from __future__ import annotations
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from hypothesis import given, settings
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from hypothesis import strategies as st
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from services.trading.micro_trading import MicroTradeConfig, MicroTradingModule
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# ---------------------------------------------------------------------------
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# Hypothesis strategies
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# ---------------------------------------------------------------------------
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def _micro_config_strategy() -> st.SearchStrategy[MicroTradeConfig]:
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"""Generate random MicroTradeConfig objects with valid ranges."""
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return st.builds(
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MicroTradeConfig,
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enabled=st.just(True),
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allocation_cap_pct=st.floats(
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min_value=0.01, max_value=0.10, allow_nan=False, allow_infinity=False,
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),
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max_daily=st.integers(min_value=1, max_value=50),
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max_hold_minutes=st.integers(min_value=10, max_value=480),
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stop_loss_atr_multiplier=st.just(1.0),
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reward_risk_ratio=st.just(1.5),
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)
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# ---------------------------------------------------------------------------
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# Property 31: Micro-trade parameter constraints
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# **Validates: Requirements 20.3, 20.4, 20.5**
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# ---------------------------------------------------------------------------
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class TestProperty31MicroTradeParameterConstraints:
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"""Property 31: Micro-trade parameter constraints.
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Verify allocation does not exceed micro_trading_allocation_cap_pct.
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Verify daily count does not exceed configured maximum.
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**Validates: Requirements 20.3, 20.4, 20.5**
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"""
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module = MicroTradingModule()
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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active_pool=st.floats(
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min_value=100.0, max_value=100_000.0,
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allow_nan=False, allow_infinity=False,
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),
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)
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def test_allocation_does_not_exceed_cap(
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self,
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config: MicroTradeConfig,
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active_pool: float,
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) -> None:
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"""Micro-trade allocation never exceeds allocation_cap_pct * active_pool."""
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cap = self.module.compute_allocation_cap(config, active_pool)
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expected = config.allocation_cap_pct * active_pool
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assert abs(cap - expected) < 1e-6
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assert cap <= config.allocation_cap_pct * active_pool + 1e-6
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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daily_count=st.integers(min_value=0, max_value=100),
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)
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def test_daily_count_enforced(
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self,
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config: MicroTradeConfig,
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daily_count: int,
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) -> None:
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"""should_evaluate returns False when daily count >= max_daily."""
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result = self.module.should_evaluate(config, daily_count)
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if daily_count >= config.max_daily:
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assert result is False
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else:
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assert result is True
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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)
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def test_stop_loss_at_1x_atr(
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self,
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config: MicroTradeConfig,
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) -> None:
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"""Micro-trade stop-loss uses 1.0x ATR multiplier."""
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assert config.stop_loss_atr_multiplier == 1.0
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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)
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def test_take_profit_at_1_5x_stop_distance(
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self,
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config: MicroTradeConfig,
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) -> None:
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"""Micro-trade take-profit uses 1.5x reward-risk ratio."""
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assert config.reward_risk_ratio == 1.5
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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active_pool=st.floats(
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min_value=100.0, max_value=100_000.0,
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allow_nan=False, allow_infinity=False,
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),
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)
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def test_allocation_cap_scales_with_active_pool(
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self,
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config: MicroTradeConfig,
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active_pool: float,
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) -> None:
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"""Allocation cap is proportional to active pool."""
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cap = self.module.compute_allocation_cap(config, active_pool)
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# Doubling active pool should double the cap
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cap_double = self.module.compute_allocation_cap(config, active_pool * 2)
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assert abs(cap_double - cap * 2) < 1e-4
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# ---------------------------------------------------------------------------
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# Property 32: Micro-trade auto-close after max hold duration
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# **Validates: Requirements 20.6**
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# ---------------------------------------------------------------------------
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class TestProperty32MicroTradeAutoClose:
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"""Property 32: Micro-trade auto-close after max hold duration.
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Verify positions closed when hold exceeds max duration.
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Verify positions not closed when hold is within duration.
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**Validates: Requirements 20.6**
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"""
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module = MicroTradingModule()
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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hold_minutes=st.floats(
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min_value=0.0, max_value=1000.0,
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allow_nan=False, allow_infinity=False,
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),
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)
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def test_auto_close_when_exceeds_max_hold(
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self,
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config: MicroTradeConfig,
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hold_minutes: float,
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) -> None:
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"""Position auto-closed when hold_minutes > max_hold_minutes."""
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result = self.module.should_auto_close(config, hold_minutes)
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if hold_minutes > config.max_hold_minutes:
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assert result is True
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else:
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assert result is False
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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)
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def test_not_closed_at_exact_max(
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self,
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config: MicroTradeConfig,
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) -> None:
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"""Position is NOT auto-closed at exactly max_hold_minutes."""
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result = self.module.should_auto_close(config, float(config.max_hold_minutes))
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assert result is False
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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)
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def test_closed_just_past_max(
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self,
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config: MicroTradeConfig,
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) -> None:
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"""Position IS auto-closed just past max_hold_minutes."""
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result = self.module.should_auto_close(
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config, float(config.max_hold_minutes) + 0.01,
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)
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assert result is True
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# ---------------------------------------------------------------------------
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# Property 34: Micro-trades respect all existing constraints
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# **Validates: Requirements 20.10**
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# ---------------------------------------------------------------------------
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class TestProperty34MicroTradesRespectConstraints:
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"""Property 34: Micro-trades respect all existing constraints.
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Verify trading window, circuit breakers, portfolio heat constraints
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all enforced for micro-trades.
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**Validates: Requirements 20.10**
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"""
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module = MicroTradingModule()
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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daily_count=st.integers(min_value=0, max_value=5),
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)
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def test_circuit_breaker_blocks_micro_trade(
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self,
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config: MicroTradeConfig,
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daily_count: int,
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) -> None:
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"""Micro-trades blocked when circuit breaker is active."""
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allowed, reason = self.module.check_constraints(
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config=config,
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daily_count=daily_count,
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is_within_window=True,
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circuit_breaker_active=True,
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portfolio_heat_pct=0.05,
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max_heat=0.20,
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)
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assert allowed is False
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assert reason == "circuit_breaker_active"
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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daily_count=st.integers(min_value=0, max_value=5),
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)
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def test_outside_trading_window_blocks_micro_trade(
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self,
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config: MicroTradeConfig,
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daily_count: int,
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) -> None:
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"""Micro-trades blocked outside trading window."""
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allowed, reason = self.module.check_constraints(
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config=config,
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daily_count=daily_count,
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is_within_window=False,
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circuit_breaker_active=False,
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portfolio_heat_pct=0.05,
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max_heat=0.20,
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)
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assert allowed is False
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assert reason == "outside_trading_window"
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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heat_pct=st.floats(
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min_value=0.20, max_value=1.0,
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allow_nan=False, allow_infinity=False,
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),
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)
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def test_portfolio_heat_blocks_micro_trade(
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self,
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config: MicroTradeConfig,
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heat_pct: float,
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) -> None:
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"""Micro-trades blocked when portfolio heat exceeds max."""
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max_heat = 0.20
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allowed, reason = self.module.check_constraints(
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config=config,
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daily_count=0,
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is_within_window=True,
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circuit_breaker_active=False,
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portfolio_heat_pct=heat_pct,
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max_heat=max_heat,
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)
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assert allowed is False
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assert reason == "portfolio_heat_exceeded"
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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)
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def test_daily_limit_blocks_micro_trade(
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self,
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config: MicroTradeConfig,
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) -> None:
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"""Micro-trades blocked when daily limit reached."""
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allowed, reason = self.module.check_constraints(
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config=config,
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daily_count=config.max_daily,
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is_within_window=True,
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circuit_breaker_active=False,
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portfolio_heat_pct=0.05,
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max_heat=0.20,
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)
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assert allowed is False
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assert reason == "daily_limit_reached"
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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daily_count=st.integers(min_value=0, max_value=5),
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)
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def test_disabled_blocks_micro_trade(
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self,
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config: MicroTradeConfig,
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daily_count: int,
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) -> None:
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"""Micro-trades blocked when module is disabled."""
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disabled_config = MicroTradeConfig(
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enabled=False,
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allocation_cap_pct=config.allocation_cap_pct,
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max_daily=config.max_daily,
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max_hold_minutes=config.max_hold_minutes,
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)
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allowed, reason = self.module.check_constraints(
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config=disabled_config,
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daily_count=daily_count,
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is_within_window=True,
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circuit_breaker_active=False,
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portfolio_heat_pct=0.05,
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max_heat=0.20,
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)
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assert allowed is False
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assert reason == "micro_trading_disabled"
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@settings(max_examples=100)
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@given(
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config=_micro_config_strategy(),
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daily_count=st.integers(min_value=0, max_value=5),
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heat_pct=st.floats(
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min_value=0.0, max_value=0.15,
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allow_nan=False, allow_infinity=False,
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),
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)
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def test_all_constraints_pass_allows_trade(
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self,
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config: MicroTradeConfig,
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daily_count: int,
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heat_pct: float,
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) -> None:
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"""Micro-trade allowed when all constraints pass."""
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# Ensure daily_count is under the limit
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safe_count = min(daily_count, config.max_daily - 1)
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allowed, reason = self.module.check_constraints(
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config=config,
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daily_count=safe_count,
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is_within_window=True,
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circuit_breaker_active=False,
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portfolio_heat_pct=heat_pct,
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max_heat=0.20,
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)
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assert allowed is True
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assert reason == "ok"
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