grid_skeleton/tests/riskEngine.test.ts

import { describe, expect, it } from 'vitest';

import { RiskEngine } from '../packages/risk/src/riskEngine';
import type { Order, PositionSnapshot } from '../packages/domain/src/types';

const baseOrder: Order = {
  clientId: 'risk-1',
  symbol: 'BTC',
  side: 'buy',
  px: 100,
  sz: 0.5,
  tif: 'GTC'
};

const position: PositionSnapshot = {
  symbol: 'BTC',
  base: 0,
  quote: 1000,
  ts: Date.now()
};

describe('RiskEngine', () => {
  it('blocks orders that exceed size or limits', () => {
    const engine = new RiskEngine({
      maxBaseAbs: 1,
      maxNotionalAbs: 150,
      maxOrderSz: 0.6
    });

    expect(() => engine.preCheck(baseOrder, position, 100)).not.toThrow();

    expect(() =>
      engine.preCheck({ ...baseOrder, sz: 0.7 }, position, 100)
    ).toThrow(/order size/);

    expect(() =>
      engine.preCheck({ ...baseOrder, sz: 0.5 }, { ...position, base: 0.7 }, 100)
    ).toThrow(/inventory/);
  });

  it('triggers kill switch on drawdown and resets when requested', () => {
    const engine = new RiskEngine(
      {
        maxBaseAbs: 2,
        maxNotionalAbs: 1_000,
        maxOrderSz: 1
      },
      {
        drawdownPct: 0.5,
        triggers: [
          { type: 'delta_abs', threshold: 1.6 },
          { type: 'hedge_failure_count', threshold: 3 }
        ]
      }
    );

    engine.updateEquity(100);
    engine.updateEquity(45); // 55% drawdown
    expect(engine.shouldHalt()).toBe(true);
    engine.resetKillSwitch();
    expect(engine.shouldHalt()).toBe(false);

    engine.updateDeltaAbs(2);
    expect(engine.shouldHalt()).toBe(true);
    engine.resetKillSwitch();

    engine.recordHedgeFailure();
    engine.recordHedgeFailure();
    engine.recordHedgeFailure();
    expect(engine.shouldHalt()).toBe(true);
  });
});