import { describe, it, expect, beforeEach, afterEach } from '@jest/globals' /** * Delta对冲集成测试 * 基于 quickstart.md 场景 3：Delta 偏离自动对冲 */ describe('Delta Hedging Integration Tests', () => { beforeEach(() => { // 设置测试环境 }) afterEach(() => { // 清理测试环境 }) describe('Delta Breach Detection and Auto-Hedging', () => { it('should detect delta deviation beyond ±0.0005 BTC threshold', async () => { const deltaScenarios = [ { accountId: 'pacifica-1', currentDelta: 0.0007, threshold: 0.0005, breach: true }, { accountId: 'pacifica-1', currentDelta: -0.0008, threshold: 0.0005, breach: true }, { accountId: 'pacifica-1', currentDelta: 0.0003, threshold: 0.0005, breach: false }, { accountId: 'pacifica-1', currentDelta: -0.0004, threshold: 0.0005, breach: false } ] // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Delta breach detection not implemented yet') }).toThrow('Delta breach detection not implemented yet') }) it('should calculate net delta across all accounts', async () => { const multiAccountDelta = { accounts: [ { id: 'pacifica-1', delta: 0.0008 }, { id: 'pacifica-2', delta: -0.0003 }, { id: 'aster-1', delta: -0.0002 } ], expectedNetDelta: 0.0003, // 0.0008 - 0.0003 - 0.0002 thresholdBreach: false // 0.0003 < 0.0005 } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Net delta calculation not implemented yet') }).toThrow('Net delta calculation not implemented yet') }) it('should generate cross-account hedge orders immediately upon breach', async () => { const hedgeScenario = { trigger: { netDelta: 0.001, // 超过±0.0005阈值 primaryAccount: 'pacifica-1', hedgeAccount: 'pacifica-2' }, expectedHedgeOrders: [ { accountId: 'pacifica-1', side: 'sell', amount: 0.0005, type: 'market' }, { accountId: 'pacifica-2', side: 'buy', amount: 0.0005, type: 'limit' } ] } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Cross-account hedge order generation not implemented yet') }).toThrow('Cross-account hedge order generation not implemented yet') }) it('should complete hedge execution within 30 seconds', async () => { const executionConstraints = { maxExecutionTime: 30000, // 30秒 targetDelta: 0.0, currentDelta: 0.001, requiredHedgeSize: 0.001 } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('30-second hedge execution not implemented yet') }).toThrow('30-second hedge execution not implemented yet') }) it('should bring delta back within acceptable range', async () => { const hedgeResult = { beforeHedge: { netDelta: 0.001 }, afterHedge: { netDelta: 0.0002 }, // 应该在±0.0005范围内 targetRange: { min: -0.0005, max: 0.0005 }, success: true } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Delta range restoration not implemented yet') }).toThrow('Delta range restoration not implemented yet') }) }) describe('Market Order vs Limit Order Strategy', () => { it('should use market orders for urgent delta corrections', async () => { const urgentHedging = { deltaBreach: 0.002, // 严重超标 urgencyLevel: 'high', primaryOrderType: 'market', maxSlippage: 0.001, executionPriority: 'speed' } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Urgent market order hedging not implemented yet') }).toThrow('Urgent market order hedging not implemented yet') }) it('should use limit orders for minor delta adjustments', async () => { const conservativeHedging = { deltaBreach: 0.0006, // 轻微超标 urgencyLevel: 'low', primaryOrderType: 'limit', priceTolerance: 0.0005, executionPriority: 'cost' } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Conservative limit order hedging not implemented yet') }).toThrow('Conservative limit order hedging not implemented yet') }) it('should fall back to market orders if limit orders fail', async () => { const fallbackStrategy = { primaryStrategy: 'limit-order', fallbackTrigger: 'unfilled-after-10s', fallbackStrategy: 'market-order', maxWaitTime: 10000 } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Market order fallback not implemented yet') }).toThrow('Market order fallback not implemented yet') }) }) describe('Cross-Exchange Delta Hedging', () => { it('should hedge between different exchanges', async () => { const crossExchangeHedge = { primaryAccount: { exchange: 'pacifica', accountId: 'pacifica-1', delta: 0.0008 }, hedgeAccount: { exchange: 'aster', accountId: 'aster-1', delta: -0.0002 }, requiredHedgeSize: 0.0005, considerExchangeRates: true } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Cross-exchange delta hedging not implemented yet') }).toThrow('Cross-exchange delta hedging not implemented yet') }) it('should account for exchange-specific fees in hedge calculations', async () => { const feeAdjustedHedging = { pacificaFee: 0.0002, // 0.02% asterFee: 0.0005, // 0.05% hedgeSize: 0.001, adjustedHedgeSize: 0.001 + 0.0002 + 0.0005, // 考虑费用 netEffectiveHedge: 0.001 } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Fee-adjusted hedge calculations not implemented yet') }).toThrow('Fee-adjusted hedge calculations not implemented yet') }) it('should handle exchange-specific order constraints', async () => { const exchangeConstraints = { pacifica: { minOrderSize: 0.0001, maxOrderSize: 10.0, tickSize: 0.01 }, aster: { minOrderSize: 0.0002, maxOrderSize: 5.0, tickSize: 0.1 }, binance: { minOrderSize: 0.00001, maxOrderSize: 100.0, tickSize: 0.01 } } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Exchange constraint handling not implemented yet') }).toThrow('Exchange constraint handling not implemented yet') }) }) describe('Delta Calculation Accuracy', () => { it('should calculate BTC equivalent delta for non-BTC pairs', async () => { const deltaConversions = [ { symbol: 'ETH', position: 1.5, btcPrice: 65000, ethPrice: 3000, btcEquivalent: 0.069 }, { symbol: 'SOL', position: 100, btcPrice: 65000, solPrice: 130, btcEquivalent: 0.2 }, { symbol: 'BTC', position: 0.5, btcPrice: 65000, btcEquivalent: 0.5 } ] // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('BTC equivalent delta calculation not implemented yet') }).toThrow('BTC equivalent delta calculation not implemented yet') }) it('should use real-time prices for delta calculations', async () => { const realTimePricing = { dataFreshness: 2000, // 最新2秒 priceSourcePriority: ['websocket', 'http', 'synthetic'], fallbackBehavior: 'use-cached-with-warning' } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Real-time price delta calculation not implemented yet') }).toThrow('Real-time price delta calculation not implemented yet') }) it('should maintain delta precision to 6 decimal places', async () => { const precisionRequirements = { calculationPrecision: 8, // 内部计算精度 displayPrecision: 6, // 显示精度 thresholdPrecision: 4, // 阈值比较精度 roundingMode: 'half-up' } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Delta precision handling not implemented yet') }).toThrow('Delta precision handling not implemented yet') }) }) describe('Risk Controls During Hedging', () => { it('should enforce maximum hedge size limits', async () => { const hedgeLimits = { maxSingleHedgeSize: 0.01, // 单次最大对冲0.01 BTC maxDailyHedgeVolume: 0.1, // 日总对冲量0.1 BTC maxAccountExposure: 0.02 // 单账户最大敞口0.02 BTC } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Hedge size limit enforcement not implemented yet') }).toThrow('Hedge size limit enforcement not implemented yet') }) it('should validate account balance before hedge execution', async () => { const balanceValidation = { requiredBalance: 1000, // $1000 availableBalance: 1200, // $1200 marginRequirement: 100, // $100 safetyBuffer: 50, // $50 canExecute: true } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Balance validation before hedging not implemented yet') }).toThrow('Balance validation before hedging not implemented yet') }) it('should abort hedge if risk limits would be exceeded', async () => { const abortConditions = [ 'insufficient-balance', 'leverage-limit-exceeded', 'position-size-exceeded', 'daily-volume-exceeded' ] // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Hedge abort conditions not implemented yet') }).toThrow('Hedge abort conditions not implemented yet') }) }) describe('Partial Hedge Handling', () => { it('should handle partial fills in hedge orders', async () => { const partialFillScenario = { orderedSize: 0.001, filledSize: 0.0007, remainingDelta: 0.0003, nextAction: 'place-additional-order' } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Partial fill handling not implemented yet') }).toThrow('Partial fill handling not implemented yet') }) it('should retry failed hedge orders with adjusted parameters', async () => { const retryStrategy = { maxRetries: 3, priceAdjustment: 0.0001, // 每次重试调整价格 sizeAdjustment: 0.9, // 每次重试减少10%数量 timeoutIncrease: 1.5 // 每次重试增加50%超时时间 } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Failed hedge order retry not implemented yet') }).toThrow('Failed hedge order retry not implemented yet') }) it('should escalate to emergency protocols if hedge repeatedly fails', async () => { const emergencyEscalation = { maxFailedAttempts: 5, escalationActions: [ 'switch-to-market-orders', 'increase-slippage-tolerance', 'notify-operators', 'halt-new-trading' ] } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Emergency hedge escalation not implemented yet') }).toThrow('Emergency hedge escalation not implemented yet') }) }) describe('Monitoring and Alerting', () => { it('should generate hedge execution records', async () => { const expectedHedgeRecord = { executionId: 'string', primaryAccountId: 'string', hedgeAccountId: 'string', deltaBefore: 'number', deltaAfter: 'number', orders: 'array', triggerReason: 'string', durationMs: 'number', result: 'string', createdAt: 'timestamp' } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Hedge execution record generation not implemented yet') }).toThrow('Hedge execution record generation not implemented yet') }) it('should send real-time delta alerts to monitoring dashboard', async () => { const deltaAlerts = [ { type: 'delta-breach', severity: 'WARN', threshold: 0.0005 }, { type: 'hedge-started', severity: 'INFO', estimatedDuration: 15000 }, { type: 'hedge-completed', severity: 'INFO', finalDelta: 0.0001 }, { type: 'hedge-failed', severity: 'CRITICAL', retryCount: 3 } ] // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Delta alert system not implemented yet') }).toThrow('Delta alert system not implemented yet') }) it('should track hedge performance metrics', async () => { const performanceMetrics = { averageExecutionTime: 'number', successRate: 'percentage', averageSlippage: 'number', totalFeesIncurred: 'number', deltaAccuracy: 'number' } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Hedge performance metrics tracking not implemented yet') }).toThrow('Hedge performance metrics tracking not implemented yet') }) }) describe('Manual Hedge Override', () => { it('should support manual hedge trigger regardless of delta threshold', async () => { const manualHedge = { trigger: 'manual', currentDelta: 0.0002, // 未超过自动阈值 targetDelta: 0.0, userInitiated: true, bypassAutomation: true } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Manual hedge override not implemented yet') }).toThrow('Manual hedge override not implemented yet') }) it('should allow operator intervention during automated hedge', async () => { const operatorIntervention = { hedgeInProgress: true, interventionType: 'abort', currentProgress: 0.6, allowedInterventions: ['abort', 'modify-parameters', 'switch-strategy'] } // 这个测试应该失败，因为还没有实现 expect(() => { throw new Error('Operator intervention during hedge not implemented yet') }).toThrow('Operator intervention during hedge not implemented yet') }) }) })