binance-api/tests/integration/test_delta_hedging.test.ts

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')
    })
  })
})