86 lines
2.7 KiB
Python
86 lines
2.7 KiB
Python
"""Tests for slippage model."""
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import pytest
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from decimal import Decimal
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from src.backtesting.slippage import SlippageModel, FeeModel
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class TestSlippageModel:
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"""Tests for SlippageModel."""
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@pytest.fixture
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def slippage_model(self):
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"""Create slippage model."""
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return SlippageModel(slippage_rate=0.001)
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def test_calculate_fill_price_market_buy(self, slippage_model):
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"""Test fill price calculation for market buy."""
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order_price = Decimal('50000.0')
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market_price = Decimal('50000.0')
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fill_price = slippage_model.calculate_fill_price(
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order_price, "buy", "market", market_price
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)
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assert fill_price > market_price # Buy orders pay more
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def test_calculate_fill_price_market_sell(self, slippage_model):
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"""Test fill price calculation for market sell."""
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order_price = Decimal('50000.0')
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market_price = Decimal('50000.0')
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fill_price = slippage_model.calculate_fill_price(
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order_price, "sell", "market", market_price
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)
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assert fill_price < market_price # Sell orders receive less
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def test_calculate_fill_price_limit(self, slippage_model):
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"""Test fill price for limit orders."""
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order_price = Decimal('49000.0')
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market_price = Decimal('50000.0')
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fill_price = slippage_model.calculate_fill_price(
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order_price, "buy", "limit", market_price
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)
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assert fill_price == order_price # Limit orders fill at order price
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class TestFeeModel:
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"""Tests for FeeModel."""
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@pytest.fixture
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def fee_model(self):
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"""Create fee model."""
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return FeeModel(maker_fee=0.001, taker_fee=0.002)
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def test_calculate_fee_maker(self, fee_model):
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"""Test maker fee calculation."""
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fee = fee_model.calculate_fee(
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quantity=Decimal('0.01'),
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price=Decimal('50000.0'),
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is_maker=True
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)
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assert fee > 0
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# Fee should be 0.1% of trade value
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expected = Decimal('0.01') * Decimal('50000.0') * Decimal('0.001')
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assert abs(float(fee - expected)) < 0.01
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def test_calculate_fee_taker(self, fee_model):
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"""Test taker fee calculation."""
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fee = fee_model.calculate_fee(
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quantity=Decimal('0.01'),
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price=Decimal('50000.0'),
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is_maker=False
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)
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assert fee > 0
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# Taker fee should be higher than maker
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maker_fee = fee_model.calculate_fee(
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Decimal('0.01'), Decimal('50000.0'), is_maker=True
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)
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assert fee > maker_fee
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