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

import { describe, it, expect, beforeEach, afterEach } from '@jest/globals'

/**
 * 策略模块沙箱集成测试
 * 基于 quickstart.md 场景 4：策略模块沙箱验证
 */
describe('Strategy Module Sandbox Integration Tests', () => {
  beforeEach(() => {
    // 设置测试环境
  })

  afterEach(() => {
    // 清理测试环境
  })

  describe('Dry-Run Mode Strategy Execution', () => {
    it('should initialize strategy module in sandbox mode', async () => {
      const strategyConfig = {
        moduleId: 'funding-arbitrage-v1',
        name: 'Funding Rate Arbitrage',
        type: 'funding-arbitrage',
        dryRunEnabled: true,
        maxConcurrentSignals: 3,
        profitAfterFeeTarget: 0.001, // 0.1%
        requiresSandbox: true
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Strategy module sandbox initialization not implemented yet')
      }).toThrow('Strategy module sandbox initialization not implemented yet')
    })

    it('should process real market data in virtual environment', async () => {
      const virtualEnvironment = {
        realMarketData: true,
        virtualOrderbook: true,
        simulatedMatching: true,
        realPrices: true,
        fakeExecutions: true
      }

      const mockFundingRateSignal = {
        symbol: 'BTC',
        currentFundingRate: 0.0008, // 0.08%
        predictedRate: 0.0012,      // 0.12%
        arbitrageOpportunity: 0.0004, // 0.04% profit
        confidence: 0.85
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Virtual environment market data processing not implemented yet')
      }).toThrow('Virtual environment market data processing not implemented yet')
    })

    it('should generate virtual multi-leg orders for arbitrage', async () => {
      const arbitrageStrategy = {
        longLeg: {
          exchange: 'pacifica',
          side: 'buy',
          amount: 0.001,
          expectedFundingReceived: 0.0008
        },
        shortLeg: {
          exchange: 'aster',
          side: 'sell',
          amount: 0.001,
          expectedFundingPaid: 0.0004
        },
        netProfitAfterFees: 0.0002 // 0.02%
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Virtual multi-leg order generation not implemented yet')
      }).toThrow('Virtual multi-leg order generation not implemented yet')
    })

    it('should simulate order matching without real execution', async () => {
      const virtualMatchingEngine = {
        orderType: 'limit',
        orderPrice: 109300,
        marketPrice: 109305,
        expectedFillPrice: 109300,
        fillProbability: 0.75,
        estimatedFillTime: 15000, // 15秒
        simulatedSlippage: 0.0001
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Virtual order matching simulation not implemented yet')
      }).toThrow('Virtual order matching simulation not implemented yet')
    })
  })

  describe('Strategy Signal Generation and Validation', () => {
    it('should generate funding rate arbitrage signals', async () => {
      const fundingRateInputs = {
        pacificaRate: 0.001,     // 0.1%
        asterRate: -0.0005,     // -0.05%
        binanceRate: 0.0008,     // 0.08%
        rateDifferential: 0.0015, // 0.15%
        minimumProfitThreshold: 0.0005 // 0.05%
      }

      const expectedSignal = {
        type: 'funding-arbitrage',
        longExchange: 'pacifica',
        shortExchange: 'aster',
        estimatedProfit: 0.001,
        confidence: 0.9,
        holdingPeriod: 28800000 // 8小时
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Funding rate arbitrage signal generation not implemented yet')
      }).toThrow('Funding rate arbitrage signal generation not implemented yet')
    })

    it('should validate signal profitability after fees', async () => {
      const profitabilityCalculation = {
        grossProfit: 0.001,        // 0.1%
        tradingFees: {
          pacifica: 0.0002,        // 0.02% maker
          aster: 0.0005            // 0.05% taker
        },
        fundingFees: 0.0001,       // 0.01%
        netProfit: 0.0002,         // 0.02%
        profitAfterFeeTarget: 0.001, // 0.1%
        signalRejected: true       // 不满足盈利要求
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Signal profitability validation not implemented yet')
      }).toThrow('Signal profitability validation not implemented yet')
    })

    it('should respect maximum concurrent signals limit', async () => {
      const concurrencyControl = {
        maxConcurrentSignals: 3,
        activeSignals: 2,
        newSignalReceived: true,
        canProcessNewSignal: true
      }

      const overLimitScenario = {
        maxConcurrentSignals: 3,
        activeSignals: 3,
        newSignalReceived: true,
        canProcessNewSignal: false,
        action: 'queue-or-reject'
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Concurrent signals limit enforcement not implemented yet')
      }).toThrow('Concurrent signals limit enforcement not implemented yet')
    })
  })

  describe('Virtual Portfolio and P&L Tracking', () => {
    it('should maintain virtual portfolio balances', async () => {
      const virtualPortfolio = {
        initialBalance: {
          pacifica: { USDT: 1000, BTC: 0 },
          aster: { USDT: 1000, BTC: 0 }
        },
        afterTrades: {
          pacifica: { USDT: 890.1, BTC: 0.001 },
          aster: { USDT: 1109.8, BTC: -0.001 }
        },
        netPosition: { BTC: 0.0, USDT: 1999.9 },
        unrealizedPnl: 5.2
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Virtual portfolio tracking not implemented yet')
      }).toThrow('Virtual portfolio tracking not implemented yet')
    })

    it('should calculate accurate profit/loss including all fees', async () => {
      const pnlCalculation = {
        tradingPnl: 10.5,
        fundingReceived: 8.0,
        fundingPaid: 4.0,
        tradingFees: 2.1,
        slippageCost: 0.3,
        netPnl: 12.1,
        returnOnCapital: 0.00121 // 0.121%
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Comprehensive P&L calculation not implemented yet')
      }).toThrow('Comprehensive P&L calculation not implemented yet')
    })

    it('should track strategy performance metrics', async () => {
      const performanceMetrics = {
        totalTrades: 25,
        winningTrades: 18,
        losingTrades: 7,
        winRate: 0.72,
        averageWin: 8.5,
        averageLoss: -3.2,
        profitFactor: 2.39,
        maxDrawdown: -15.2,
        sharpeRatio: 1.85
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Strategy performance metrics tracking not implemented yet')
      }).toThrow('Strategy performance metrics tracking not implemented yet')
    })
  })

  describe('Risk Controls in Sandbox Mode', () => {
    it('should enforce virtual position size limits', async () => {
      const virtualRiskLimits = {
        maxPositionValue: 500,   // $500 virtual
        currentPositionValue: 450,
        newOrderValue: 100,
        totalPositionValue: 550,
        wouldExceedLimit: true,
        action: 'reject-order'
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Virtual position size limits not implemented yet')
      }).toThrow('Virtual position size limits not implemented yet')
    })

    it('should simulate margin requirements and liquidation scenarios', async () => {
      const marginSimulation = {
        totalBalance: 1000,
        usedMargin: 800,
        freeMargin: 200,
        marginLevel: 1.25,
        liquidationThreshold: 1.1,
        marginCallTriggered: false,
        liquidationRisk: 'medium'
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Margin simulation not implemented yet')
      }).toThrow('Margin simulation not implemented yet')
    })

    it('should test emergency stop-loss scenarios virtually', async () => {
      const emergencyScenarios = [
        { trigger: 'max-drawdown-exceeded', threshold: 0.02, currentDrawdown: 0.025 },
        { trigger: 'position-size-exceeded', threshold: 1000, currentValue: 1200 },
        { trigger: 'correlation-breakdown', expectedCorr: 0.8, actualCorr: 0.3 }
      ]

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Virtual emergency scenarios not implemented yet')
      }).toThrow('Virtual emergency scenarios not implemented yet')
    })
  })

  describe('Strategy Module Interface Compliance', () => {
    it('should implement required strategy module methods', async () => {
      const requiredMethods = [
        'init(config)',
        'generateSignals(state)',
        'onFill(event)',
        'onRiskAlert(alert)',
        'getMetrics()',
        'shutdown()'
      ]

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Strategy module interface methods not implemented yet')
      }).toThrow('Strategy module interface methods not implemented yet')
    })

    it('should handle configuration validation', async () => {
      const configValidation = {
        requiredFields: ['profitTarget', 'maxConcurrent', 'riskLimits'],
        optionalFields: ['debugMode', 'customParams'],
        validationSchema: 'json-schema',
        strictMode: true
      }

      const invalidConfig = {
        profitTarget: -0.001, // 负数无效
        maxConcurrent: 0,      // 零值无效
        // 缺少 riskLimits
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Configuration validation not implemented yet')
      }).toThrow('Configuration validation not implemented yet')
    })

    it('should provide strategy state introspection', async () => {
      const stateIntrospection = {
        activeSignals: 'array',
        pendingOrders: 'array',
        currentPositions: 'object',
        performanceStats: 'object',
        lastUpdate: 'timestamp',
        healthStatus: 'enum'
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Strategy state introspection not implemented yet')
      }).toThrow('Strategy state introspection not implemented yet')
    })
  })

  describe('Sandbox Reporting and Validation', () => {
    it('should generate comprehensive dry-run report', async () => {
      const dryRunReport = {
        executionSummary: {
          duration: 3600000,        // 1小时
          signalsGenerated: 12,
          ordersPlaced: 24,
          virtualFills: 22,
          cancelledOrders: 2
        },
        profitabilityAnalysis: {
          totalProfit: 45.8,
          profitAfterFees: 38.2,
          averageProfitPerTrade: 1.91,
          bestTrade: 8.5,
          worstTrade: -2.1
        },
        riskAnalysis: {
          maxDrawdown: -12.3,
          valueAtRisk: 25.4,
          averageHoldingTime: 28800000,
          correlationStability: 0.87
        }
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Dry-run report generation not implemented yet')
      }).toThrow('Dry-run report generation not implemented yet')
    })

    it('should validate strategy readiness for production', async () => {
      const productionReadinessChecks = [
        { check: 'profitability-threshold', passed: true, value: 0.0012 },
        { check: 'risk-compliance', passed: true, maxDrawdown: 0.018 },
        { check: 'signal-quality', passed: false, accuracy: 0.68 },
        { check: 'execution-efficiency', passed: true, fillRate: 0.92 }
      ]

      const overallReadiness = {
        allChecksPassed: false,
        blockers: ['signal-quality'],
        recommendation: 'improve-signal-accuracy'
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Production readiness validation not implemented yet')
      }).toThrow('Production readiness validation not implemented yet')
    })

    it('should export strategy performance data for analysis', async () => {
      const exportableData = {
        format: 'json',
        fields: [
          'timestamp',
          'signal',
          'virtualOrder',
          'virtualFill',
          'pnl',
          'position',
          'riskMetrics'
        ],
        aggregations: ['daily', 'hourly'],
        compression: 'gzip'
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Strategy performance data export not implemented yet')
      }).toThrow('Strategy performance data export not implemented yet')
    })
  })

  describe('Integration with Control Plane', () => {
    it('should register strategy module with control plane', async () => {
      const registrationProcess = {
        moduleId: 'funding-arbitrage-v1',
        registrationStatus: 'pending',
        validationRequired: true,
        approvalWorkflow: 'manual',
        sandboxTestRequired: true
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Strategy module registration not implemented yet')
      }).toThrow('Strategy module registration not implemented yet')
    })

    it('should communicate with risk monitoring system', async () => {
      const riskCommunication = {
        riskAlerts: [
          { type: 'position-limit', severity: 'WARN', value: 0.95 },
          { type: 'correlation-change', severity: 'INFO', value: 0.75 }
        ],
        responseActions: [
          'reduce-position-size',
          'increase-monitoring-frequency'
        ]
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Risk monitoring communication not implemented yet')
      }).toThrow('Risk monitoring communication not implemented yet')
    })

    it('should integrate with monitoring and alerting system', async () => {
      const monitoringIntegration = {
        metrics: ['pnl', 'drawdown', 'fillRate', 'signalAccuracy'],
        alerts: ['strategy-stopped', 'performance-degraded', 'risk-exceeded'],
        dashboardWidgets: ['performance-chart', 'position-summary', 'alert-log']
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Monitoring system integration not implemented yet')
      }).toThrow('Monitoring system integration not implemented yet')
    })
  })

  describe('Multi-Strategy Coordination', () => {
    it('should handle resource conflicts between strategies', async () => {
      const resourceConflicts = {
        strategy1: { requiredCapital: 500, priority: 'high' },
        strategy2: { requiredCapital: 400, priority: 'medium' },
        availableCapital: 800,
        conflictResolution: 'priority-based-allocation'
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Strategy resource conflict handling not implemented yet')
      }).toThrow('Strategy resource conflict handling not implemented yet')
    })

    it('should coordinate delta neutrality across strategies', async () => {
      const multiStrategyDelta = {
        strategy1Delta: 0.0003,
        strategy2Delta: -0.0002,
        netDelta: 0.0001,
        withinThreshold: true,
        coordinationRequired: false
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Multi-strategy delta coordination not implemented yet')
      }).toThrow('Multi-strategy delta coordination not implemented yet')
    })
  })
})