binance-api/__tests__/integration/delta_hedging.test.ts

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

/**
 * Delta 对冲集成测试
 * 基于 quickstart.md 场景 3 的规范
 */
describe('Delta Hedging Integration Tests', () => {
  beforeEach(() => {
    // 设置测试环境
  })

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

  describe('Scenario 3: Delta Deviation Auto Hedging', () => {
    it('should detect Delta deviation and generate hedge orders', async () => {
      // 模拟人为向 pacifica-1 下达市价单造成 Delta 偏离
      const deltaState = {
        totalDelta: 0.001, // 偏离 0.001 BTC
        threshold: 0.0005, // 阈值 ±0.0005 BTC
        accounts: [
          { accountId: 'pacifica-1', delta: 0.001 },
          { accountId: 'aster-1', delta: 0.000 }
        ]
      }

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

    it('should execute cross-account hedge orders immediately', async () => {
      const hedgeOrders = [
        {
          primaryAccountId: 'pacifica-1',
          hedgeAccountId: 'aster-1',
          symbol: 'BTC',
          primarySide: 'sell',
          hedgeSide: 'buy',
          amount: '0.001',
          trigger: 'delta-breach'
        }
      ]

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

    it('should restore Delta to approximately zero', async () => {
      const deltaBefore = 0.001
      const deltaAfter = 0.00008 // 恢复到接近零
      const tolerance = 0.0005

      expect(deltaAfter).toBeLessThanOrEqual(tolerance)

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

    it('should complete hedge execution within 30 seconds', async () => {
      const startTime = Date.now()
      
      // 模拟对冲执行
      const execution = {
        commandId: 'delta-hedge-123',
        durationMs: 25000, // 25秒完成
        status: 'completed'
      }

      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('30-second execution limit not implemented yet')
      }).toThrow('30-second execution limit not implemented yet')
    })

    it('should ensure utilization stays within bounds', async () => {
      const utilizationAfter = {
        'pacifica-1': 0.65, // 65% 在 50%-80% 范围内
        'aster-1': 0.72     // 72% 在 50%-80% 范围内
      }

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

    it('should maintain stop-loss strategy effectiveness', async () => {
      const stopLossStatus = {
        enabled: true,
        threshold: 0.001, // 1% 止损
        active: true
      }

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

    it('should record successful HedgeExecution with both orders filled', async () => {
      const hedgeExecution = {
        executionId: 'delta-hedge-456',
        primaryAccountId: 'pacifica-1',
        hedgeAccountId: 'aster-1',
        deltaBefore: 0.001,
        deltaAfter: 0.00008,
        executionDetails: [
          {
            accountId: 'pacifica-1',
            result: 'filled',
            filledSize: '0.001',
            avgPrice: '109300.0'
          },
          {
            accountId: 'aster-1',
            result: 'filled',
            filledSize: '0.001',
            avgPrice: '109305.0'
          }
        ],
        result: 'success'
      }

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

    it('should log delta-breach and recovery information', async () => {
      const expectedLogs = [
        'delta-breach alert',
        'recovery information'
      ]

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

  describe('Delta Hedging Edge Cases', () => {
    it('should handle Delta exactly at threshold boundary', async () => {
      const deltaState = {
        totalDelta: 0.0005, // 正好在阈值边界
        threshold: 0.0005
      }

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

    it('should handle large Delta deviations (>0.01 BTC)', async () => {
      const largeDeltaState = {
        totalDelta: 0.015, // 大幅偏离
        threshold: 0.0005
      }

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

    it('should handle partial hedge order fills', async () => {
      const partialFillScenario = {
        primaryOrder: { filledSize: '0.0006', totalSize: '0.001' }, // 60% 成交
        hedgeOrder: { filledSize: '0.001', totalSize: '0.001' }    // 100% 成交
      }

      // 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 handle hedge account insufficient balance', async () => {
      const insufficientBalanceScenario = {
        hedgeAccountId: 'aster-1',
        requiredAmount: '0.001 BTC',
        availableBalance: '0.0005 BTC'
      }

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

    it('should handle concurrent Delta breaches across multiple accounts', async () => {
      const concurrentBreaches = [
        { accountId: 'pacifica-1', delta: 0.001 },
        { accountId: 'aster-1', delta: -0.0008 },
        { accountId: 'pacifica-2', delta: 0.0006 }
      ]

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

    it('should handle market volatility during hedge execution', async () => {
      const volatileMarketScenario = {
        priceChange: 0.02, // 2% 价格变动
        executionDuration: 15000, // 15秒执行时间
        slippage: 0.001 // 0.1% 滑点
      }

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

  describe('Delta Hedging Performance', () => {
    it('should detect Delta breach within 1 second', async () => {
      const detectionTime = 800 // 800ms 检测时间

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

    it('should initiate hedge orders within 2 seconds of detection', async () => {
      const initiationTime = 1500 // 1.5秒启动时间

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

    it('should handle high-frequency Delta monitoring', async () => {
      const highFrequencyScenario = {
        monitoringInterval: 100, // 100ms 监控间隔
        breachEvents: 50,
        timeWindow: 60000 // 1分钟
      }

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

    it('should maintain system performance during intensive hedging', async () => {
      const intensiveScenario = {
        concurrentHedges: 10,
        averageExecutionTime: 20000, // 20秒平均执行时间
        successRate: 0.95 // 95% 成功率
      }

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

  describe('Delta Hedging Integration', () => {
    it('should integrate with real-time market data feeds', () => {
      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Market data integration not implemented yet')
      }).toThrow('Market data integration not implemented yet')
    })

    it('should integrate with account balance monitoring', () => {
      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Account balance integration not implemented yet')
      }).toThrow('Account balance integration not implemented yet')
    })

    it('should integrate with risk envelope validation', () => {
      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Risk envelope integration not implemented yet')
      }).toThrow('Risk envelope integration not implemented yet')
    })

    it('should integrate with proxy routing for order execution', () => {
      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Proxy routing integration not implemented yet')
      }).toThrow('Proxy routing integration not implemented yet')
    })

    it('should update dashboard with real-time Delta status', () => {
      // 这个测试应该失败，因为还没有实现
      expect(() => {
        throw new Error('Dashboard Delta integration not implemented yet')
      }).toThrow('Dashboard Delta integration not implemented yet')
    })

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