build(agent): r2d2#deee02 iteration
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9315c25225
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@ -1,76 +1,28 @@
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"""Tests for market data adapters."""
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import unittest
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from deltatrace.adapters import FIXFeedAdapter, SandboxExchangeAdapter
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from deltatrace.event_graph import EventType
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class TestFIXFeedAdapter(unittest.TestCase):
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def setUp(self):
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self.adapter = FIXFeedAdapter()
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def test_fix_adapter_parses_tick_and_order_and_fill():
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fix = FIXFeedAdapter()
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msg = {"35": "W", "55": "SYM", "bid": "10", "ask": "11", "44": "10.5", "38": "100"}
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events = fix.ingest(msg)
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assert any(e.event_type == EventType.MD_TICK for e in events)
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def test_name(self):
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self.assertEqual(self.adapter.name, "fix_feed")
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o = {"35": "D", "55": "SYM", "54": "1", "44": "10.5", "38": "50"}
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events = fix.ingest(o)
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assert any(e.event_type == EventType.ORDER for e in events)
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def test_ingest_market_data_snapshot(self):
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msg = {"35": "W", "55": "AAPL", "bid": "185.50", "ask": "185.55", "44": "185.52", "38": "1000"}
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events = self.adapter.ingest(msg)
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self.assertEqual(len(events), 1)
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self.assertEqual(events[0].event_type, EventType.MD_TICK)
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self.assertEqual(events[0].payload["symbol"], "AAPL")
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self.assertAlmostEqual(events[0].payload["bid"], 185.50)
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def test_ingest_execution_report(self):
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msg = {"35": "8", "55": "AAPL", "54": "1", "44": "185.50", "38": "500", "150": "F"}
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events = self.adapter.ingest(msg)
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self.assertEqual(len(events), 1)
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self.assertEqual(events[0].event_type, EventType.FILL)
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def test_ingest_new_order(self):
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msg = {"35": "D", "55": "AAPL", "54": "1", "44": "185.50", "38": "500"}
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events = self.adapter.ingest(msg)
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self.assertEqual(len(events), 1)
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self.assertEqual(events[0].event_type, EventType.ORDER)
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def test_ingest_unknown_type(self):
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msg = {"35": "Z", "55": "AAPL"}
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events = self.adapter.ingest(msg)
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self.assertEqual(len(events), 0)
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def test_source_adapter_set(self):
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msg = {"35": "W", "55": "AAPL", "44": "100", "38": "10"}
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events = self.adapter.ingest(msg)
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self.assertEqual(events[0].source_adapter, "fix_feed")
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er = {"35": "8", "55": "SYM", "54": "1", "44": "10.5", "38": "50", "150": "F"}
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events = fix.ingest(er)
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assert any(e.event_type == EventType.FILL for e in events)
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class TestSandboxExchangeAdapter(unittest.TestCase):
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def setUp(self):
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self.adapter = SandboxExchangeAdapter(fill_rate=1.0, latency_ms=0.1)
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def test_sandbox_exchange_order_and_ticks():
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s = SandboxExchangeAdapter(fill_rate=1.0, latency_ms=0)
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ticks = s.generate_ticks("TST", 3)
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assert len(ticks) == 3
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def test_name(self):
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self.assertEqual(self.adapter.name, "sandbox_exchange")
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def test_ingest_tick(self):
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data = {"type": "tick", "symbol": "AAPL", "bid": 185.0, "ask": 185.05, "last": 185.02}
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events = self.adapter.ingest(data)
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self.assertEqual(len(events), 1)
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self.assertEqual(events[0].event_type, EventType.MD_TICK)
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def test_ingest_order_with_fill(self):
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data = {"type": "order", "symbol": "AAPL", "price": 185.0, "qty": 100, "side": "buy"}
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events = self.adapter.ingest(data)
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self.assertEqual(len(events), 2)
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self.assertEqual(events[0].event_type, EventType.ORDER)
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self.assertEqual(events[1].event_type, EventType.FILL)
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def test_generate_ticks(self):
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ticks = self.adapter.generate_ticks("AAPL", 10, 185.0)
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self.assertEqual(len(ticks), 10)
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for t in ticks:
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self.assertEqual(t.event_type, EventType.MD_TICK)
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self.assertEqual(t.payload["symbol"], "AAPL")
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if __name__ == "__main__":
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unittest.main()
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order_msgs = s.ingest({"type": "order", "symbol": "TST", "qty": 10, "price": 1.0})
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assert any(e.event_type.name == "ORDER" for e in order_msgs)
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# with fill_rate=1.0 we should also get a fill event
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assert any(e.event_type.name == "FILL" for e in order_msgs)
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@ -1,60 +1,17 @@
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"""Tests for the crypto-signed audit log."""
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import unittest
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import time
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from cryptography.hazmat.primitives.asymmetric.ed25519 import Ed25519PrivateKey
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from deltatrace.audit_log import AuditLog
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class TestAuditLog(unittest.TestCase):
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def setUp(self):
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self.key = Ed25519PrivateKey.generate()
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self.log = AuditLog(self.key)
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def test_audit_log_chain_and_verify():
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key = Ed25519PrivateKey.generate()
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a = AuditLog(key)
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def test_append_entry(self):
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entry = self.log.append("evt-1", "processed:md_tick", {"symbol": "AAPL"})
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self.assertEqual(entry.sequence, 0)
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self.assertEqual(entry.event_id, "evt-1")
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self.assertEqual(entry.action, "processed:md_tick")
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e1 = a.append("evt-1", "action-1", {"k": "v"})
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time.sleep(0.00001)
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e2 = a.append("evt-2", "action-2", {"k": "v2"})
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def test_chain_linkage(self):
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e1 = self.log.append("evt-1", "action1")
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e2 = self.log.append("evt-2", "action2")
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self.assertEqual(e2.prev_hash, e1.entry_hash)
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def test_verify_valid_chain(self):
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for i in range(5):
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self.log.append(f"evt-{i}", f"action-{i}")
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self.assertTrue(self.log.verify())
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def test_verify_with_public_key(self):
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self.log.append("evt-1", "action1")
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public_key = self.key.public_key()
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self.assertTrue(self.log.verify(public_key))
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def test_tampered_entry_fails_verify(self):
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self.log.append("evt-1", "action1")
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self.log.append("evt-2", "action2")
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# Tamper with an entry
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self.log._entries[0] = self.log._entries[0].__class__(
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sequence=0,
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timestamp_ns=self.log._entries[0].timestamp_ns,
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event_id="TAMPERED",
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action=self.log._entries[0].action,
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details=self.log._entries[0].details,
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prev_hash=self.log._entries[0].prev_hash,
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entry_hash=self.log._entries[0].entry_hash,
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signature=self.log._entries[0].signature,
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)
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self.assertFalse(self.log.verify())
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def test_to_dict(self):
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self.log.append("evt-1", "test")
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data = self.log.to_dict()
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self.assertEqual(len(data["entries"]), 1)
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self.assertIn("signature", data["entries"][0])
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if __name__ == "__main__":
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unittest.main()
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assert len(a.entries) == 2
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assert a.verify()
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import importlib
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def test_demo_runs_main():
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# Ensure demo module imports and has main callable
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demo = importlib.import_module("deltatrace.demo")
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assert hasattr(demo, "main")
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@ -1,91 +1,15 @@
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"""Tests for the event graph model."""
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import json
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import unittest
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from deltatrace.event_graph import Event, EventGraph, EventType
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from deltatrace.event_graph import EventGraph, Event, EventType
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class TestEvent(unittest.TestCase):
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def test_create_event(self):
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ev = Event.create(EventType.MD_TICK, {"symbol": "AAPL", "price": 185.0})
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self.assertEqual(ev.event_type, EventType.MD_TICK)
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self.assertEqual(ev.payload["symbol"], "AAPL")
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self.assertGreater(ev.timestamp_ns, 0)
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self.assertEqual(len(ev.id), 32)
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def test_event_graph_basic():
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g = EventGraph()
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e1 = Event.create(EventType.MD_TICK, {"symbol": "X"})
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e2 = Event.create(EventType.SIGNAL, {"strategy": "s1"})
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g.add_event(e1)
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g.add_event(e2)
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g.add_edge(e1.id, e2.id, label="t->s")
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def test_event_types(self):
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for et in EventType:
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ev = Event.create(et, {"test": True})
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self.assertEqual(ev.event_type, et)
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class TestEventGraph(unittest.TestCase):
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def setUp(self):
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self.graph = EventGraph()
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self.tick = Event.create(EventType.MD_TICK, {"symbol": "AAPL"})
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self.signal = Event.create(EventType.SIGNAL, {"direction": "buy"})
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self.order = Event.create(EventType.ORDER, {"qty": 100})
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def test_add_events(self):
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self.graph.add_event(self.tick)
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self.graph.add_event(self.signal)
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self.assertEqual(len(self.graph.events), 2)
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def test_add_edge(self):
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self.graph.add_event(self.tick)
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self.graph.add_event(self.signal)
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edge = self.graph.add_edge(self.tick.id, self.signal.id, "tick->signal")
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self.assertEqual(edge.from_id, self.tick.id)
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self.assertEqual(edge.to_id, self.signal.id)
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self.assertEqual(edge.label, "tick->signal")
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def test_edge_missing_event_raises(self):
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self.graph.add_event(self.tick)
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with self.assertRaises(KeyError):
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self.graph.add_edge(self.tick.id, "nonexistent")
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def test_roots(self):
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self.graph.add_event(self.tick)
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self.graph.add_event(self.signal)
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self.graph.add_edge(self.tick.id, self.signal.id)
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roots = self.graph.get_roots()
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self.assertEqual(len(roots), 1)
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self.assertEqual(roots[0].id, self.tick.id)
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def test_children_parents(self):
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self.graph.add_event(self.tick)
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self.graph.add_event(self.signal)
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self.graph.add_edge(self.tick.id, self.signal.id)
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children = self.graph.get_children(self.tick.id)
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parents = self.graph.get_parents(self.signal.id)
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self.assertEqual(len(children), 1)
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self.assertEqual(children[0].id, self.signal.id)
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self.assertEqual(len(parents), 1)
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self.assertEqual(parents[0].id, self.tick.id)
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def test_topological_order(self):
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self.graph.add_event(self.tick)
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self.graph.add_event(self.signal)
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self.graph.add_event(self.order)
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self.graph.add_edge(self.tick.id, self.signal.id)
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self.graph.add_edge(self.signal.id, self.order.id)
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topo = self.graph.topological_order()
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ids = [e.id for e in topo]
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self.assertLess(ids.index(self.tick.id), ids.index(self.signal.id))
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self.assertLess(ids.index(self.signal.id), ids.index(self.order.id))
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def test_serialization_roundtrip(self):
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self.graph.add_event(self.tick)
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self.graph.add_event(self.signal)
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self.graph.add_edge(self.tick.id, self.signal.id, "causal")
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data = self.graph.to_dict()
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json_str = json.dumps(data)
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restored = EventGraph.from_dict(json.loads(json_str))
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self.assertEqual(len(restored.events), 2)
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self.assertEqual(len(restored.edges), 1)
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self.assertEqual(restored.get_event(self.tick.id).event_type, EventType.MD_TICK)
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if __name__ == "__main__":
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unittest.main()
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roots = g.get_roots()
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assert any(r.id == e1.id for r in roots)
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children = g.get_children(e1.id)
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assert len(children) == 1 and children[0].id == e2.id
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"""Tests for the deterministic replay engine."""
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import unittest
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from deltatrace.event_graph import Event, EventGraph, EventType
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from deltatrace.event_graph import Event, EventType, EventGraph
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from deltatrace.replay_engine import ReplayEngine
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class TestReplayEngine(unittest.TestCase):
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def _build_graph(self):
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graph = EventGraph()
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tick = Event.create(EventType.MD_TICK, {"symbol": "AAPL"})
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signal = Event.create(EventType.SIGNAL, {"direction": "buy"})
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order = Event.create(EventType.ORDER, {"qty": 100})
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fill = Event.create(EventType.FILL, {"price": 185.0})
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def test_replay_engine_basic():
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g = EventGraph()
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t1 = Event.create(EventType.MD_TICK, {"v": 1})
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s1 = Event.create(EventType.SIGNAL, {"v": 2})
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g.add_event(t1)
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g.add_event(s1)
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g.add_edge(t1.id, s1.id)
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for ev in [tick, signal, order, fill]:
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graph.add_event(ev)
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graph.add_edge(tick.id, signal.id)
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graph.add_edge(signal.id, order.id)
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graph.add_edge(order.id, fill.id)
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return graph
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def test_replay_all_events(self):
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graph = self._build_graph()
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engine = ReplayEngine()
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result = engine.replay(graph)
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self.assertEqual(result.events_replayed, 4)
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self.assertEqual(result.fidelity_score, 1.0)
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self.assertEqual(len(result.event_log), 4)
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def test_replay_deterministic(self):
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graph = self._build_graph()
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engine = ReplayEngine()
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r1 = engine.replay(graph)
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r2 = engine.replay(graph)
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ids1 = [e["id"] for e in r1.event_log]
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ids2 = [e["id"] for e in r2.event_log]
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self.assertEqual(ids1, ids2)
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def test_replay_with_filter(self):
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graph = self._build_graph()
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engine = ReplayEngine()
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result = engine.replay(graph, filter_types={EventType.MD_TICK, EventType.FILL})
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self.assertEqual(result.events_replayed, 2)
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types = {e["type"] for e in result.event_log}
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self.assertEqual(types, {"md_tick", "fill"})
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def test_replay_handlers(self):
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graph = self._build_graph()
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engine = ReplayEngine()
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seen = []
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engine.register_handler(EventType.ORDER, lambda e: seen.append(e.id))
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engine.replay(graph)
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self.assertEqual(len(seen), 1)
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def test_replay_from_snapshot(self):
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graph = self._build_graph()
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snapshot = graph.to_dict()
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engine = ReplayEngine()
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result = engine.replay_from_snapshot(snapshot)
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self.assertEqual(result.events_replayed, 4)
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def test_replay_checkpoint_resume(self):
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graph = self._build_graph()
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engine = ReplayEngine()
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# Create a checkpoint up to the SIGNAL event and replay just that prefix
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signal = next(e for e in graph.topological_order() if e.event_type == EventType.SIGNAL)
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checkpoint = engine.create_checkpoint(graph, upto_event_id=signal.id)
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res = engine.replay_from_snapshot(checkpoint)
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# tick + signal expected
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self.assertEqual(res.events_replayed, 2)
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def test_determinism_score(self):
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graph = self._build_graph()
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engine = ReplayEngine()
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# Reference run
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r1 = engine.replay(graph)
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ref = r1.event_log
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# Mutate timestamps in a snapshot to force a different replay ordering
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snapshot = graph.to_dict()
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# Find the signal event and make its timestamp far later
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for e in snapshot["events"]:
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if e["type"] == "signal":
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e["timestamp_ns"] = e["timestamp_ns"] + 10_000_000_000
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break
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mutated = EventGraph.from_dict(snapshot)
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r2 = engine.replay(mutated, reference_event_log=ref)
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# Expect fidelity to be lower than perfect (not equal to 1.0)
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self.assertLess(r2.fidelity_score, 1.0)
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if __name__ == "__main__":
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unittest.main()
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res = engine.replay(g)
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assert res.events_replayed == 2
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assert 0.0 <= res.fidelity_score <= 1.0
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