pacifica/tests/integration/test-risk-management.ts

/**
 * Integration tests for risk management
 * These tests MUST fail before implementation - TDD approach
 */

import request from 'supertest';
import { Express } from 'express';

// Mock Express app - this will fail until implementation
let app: Express;

describe('Risk Management Integration Tests', () => {
  beforeAll(() => {
    // This will fail until we implement the API
    // app = require('../../src/app').default;
  });

  describe('Risk Monitoring and Alerts', () => {
    it('should trigger position limit alerts', async () => {
      // Create account with low position limit
      const accountData = {
        name: 'Low Limit Account',
        apiKey: 'low-limit-api-key',
        privateKey: 'low-limit-private-key-32-characters-long',
        address: '0x1234567890123456789012345678901234567890'
      };

      const accountResponse = await request(app)
        .post('/api/v1/accounts')
        .send(accountData)
        .expect(201);

      const account = accountResponse.body.data;

      // Set very low position limit
      await request(app)
        .put(`/api/v1/accounts/${account.id}`)
        .send({
          riskLimits: {
            maxPositionSize: 0.01, // Very low limit
            stopLossThreshold: 0.05,
            maxSlippage: 0.02
          }
        })
        .expect(200);

      // Create session that will exceed limit
      const sessionData = {
        name: 'Position Limit Test',
        strategyId: 'equal-volume-btc',
        accountIds: [account.id],
        targetVolume: 0.05, // Exceeds limit
        duration: 30000
      };

      const sessionResponse = await request(app)
        .post('/api/v1/sessions')
        .send(sessionData)
        .expect(201);

      const session = sessionResponse.body.data;

      // Start session
      await request(app)
        .post(`/api/v1/sessions/${session.id}/start`)
        .expect(200);

      // Wait for risk alert
      await new Promise(resolve => setTimeout(resolve, 5000));

      // Check for risk alerts
      const riskResponse = await request(app)
        .get(`/api/v1/sessions/${session.id}/risk`)
        .expect(200);

      expect(riskResponse.body.data.riskMetrics).toHaveProperty('alerts');
      expect(riskResponse.body.data.riskMetrics.alerts.length).toBeGreaterThan(0);

      const positionLimitAlert = riskResponse.body.data.riskMetrics.alerts.find(
        alert => alert.type === 'position_limit'
      );
      expect(positionLimitAlert).toBeDefined();
      expect(positionLimitAlert.severity).toBe('high');
    });

    it('should trigger stop loss alerts', async () => {
      // Create account
      const accountData = {
        name: 'Stop Loss Account',
        apiKey: 'stop-loss-api-key',
        privateKey: 'stop-loss-private-key-32-characters-long',
        address: '0x2345678901234567890123456789012345678901'
      };

      const accountResponse = await request(app)
        .post('/api/v1/accounts')
        .send(accountData)
        .expect(201);

      const account = accountResponse.body.data;

      // Set low stop loss threshold
      await request(app)
        .put(`/api/v1/accounts/${account.id}`)
        .send({
          riskLimits: {
            maxPositionSize: 0.1,
            stopLossThreshold: 0.02, // Very low threshold
            maxSlippage: 0.02
          }
        })
        .expect(200);

      // Create session
      const sessionData = {
        name: 'Stop Loss Test',
        strategyId: 'equal-volume-btc',
        accountIds: [account.id],
        targetVolume: 0.1,
        duration: 30000
      };

      const sessionResponse = await request(app)
        .post('/api/v1/sessions')
        .send(sessionData)
        .expect(201);

      const session = sessionResponse.body.data;

      // Start session
      await request(app)
        .post(`/api/v1/sessions/${session.id}/start`)
        .expect(200);

      // Wait for potential stop loss trigger
      await new Promise(resolve => setTimeout(resolve, 10000));

      // Check for stop loss alerts
      const riskResponse = await request(app)
        .get(`/api/v1/sessions/${session.id}/risk`)
        .expect(200);

      const alerts = riskResponse.body.data.riskMetrics.alerts || [];
      const stopLossAlert = alerts.find(alert => alert.type === 'stop_loss');
      
      if (stopLossAlert) {
        expect(stopLossAlert.severity).toBe('critical');
        expect(stopLossAlert.isResolved).toBe(false);
      }
    });

    it('should trigger slippage alerts', async () => {
      // Create account with low slippage tolerance
      const accountData = {
        name: 'Slippage Account',
        apiKey: 'slippage-api-key',
        privateKey: 'slippage-private-key-32-characters-long',
        address: '0x3456789012345678901234567890123456789012'
      };

      const accountResponse = await request(app)
        .post('/api/v1/accounts')
        .send(accountData)
        .expect(201);

      const account = accountResponse.body.data;

      // Set very low slippage tolerance
      await request(app)
        .put(`/api/v1/accounts/${account.id}`)
        .send({
          riskLimits: {
            maxPositionSize: 0.1,
            stopLossThreshold: 0.05,
            maxSlippage: 0.005 // Very low slippage tolerance
          }
        })
        .expect(200);

      // Create session
      const sessionData = {
        name: 'Slippage Test',
        strategyId: 'equal-volume-btc',
        accountIds: [account.id],
        targetVolume: 0.1,
        duration: 30000
      };

      const sessionResponse = await request(app)
        .post('/api/v1/sessions')
        .send(sessionData)
        .expect(201);

      const session = sessionResponse.body.data;

      // Start session
      await request(app)
        .post(`/api/v1/sessions/${session.id}/start`)
        .expect(200);

      // Wait for potential slippage alert
      await new Promise(resolve => setTimeout(resolve, 10000));

      // Check for slippage alerts
      const riskResponse = await request(app)
        .get(`/api/v1/sessions/${session.id}/risk`)
        .expect(200);

      const alerts = riskResponse.body.data.riskMetrics.alerts || [];
      const slippageAlert = alerts.find(alert => alert.type === 'slippage');
      
      if (slippageAlert) {
        expect(slippageAlert.severity).toBe('medium');
        expect(slippageAlert.value).toBeGreaterThan(0.005);
      }
    });

    it('should trigger balance low alerts', async () => {
      // Create account with low balance
      const accountData = {
        name: 'Low Balance Account',
        apiKey: 'low-balance-api-key',
        privateKey: 'low-balance-private-key-32-characters-long',
        address: '0x4567890123456789012345678901234567890123'
      };

      const accountResponse = await request(app)
        .post('/api/v1/accounts')
        .send(accountData)
        .expect(201);

      const account = accountResponse.body.data;

      // Simulate low balance by setting low balance threshold
      await request(app)
        .put(`/api/v1/accounts/${account.id}`)
        .send({
          riskLimits: {
            maxPositionSize: 0.1,
            stopLossThreshold: 0.05,
            maxSlippage: 0.02,
            minBalance: 1000 // High minimum balance requirement
          }
        })
        .expect(200);

      // Create session
      const sessionData = {
        name: 'Balance Test',
        strategyId: 'equal-volume-btc',
        accountIds: [account.id],
        targetVolume: 0.1,
        duration: 30000
      };

      const sessionResponse = await request(app)
        .post('/api/v1/sessions')
        .send(sessionData)
        .expect(201);

      const session = sessionResponse.body.data;

      // Start session
      await request(app)
        .post(`/api/v1/sessions/${session.id}/start`)
        .expect(200);

      // Wait for balance check
      await new Promise(resolve => setTimeout(resolve, 5000));

      // Check for balance alerts
      const accountRiskResponse = await request(app)
        .get(`/api/v1/accounts/${account.id}/risk`)
        .expect(200);

      const alerts = accountRiskResponse.body.data.riskMetrics.alerts || [];
      const balanceAlert = alerts.find(alert => alert.type === 'balance_low');
      
      if (balanceAlert) {
        expect(balanceAlert.severity).toBe('high');
        expect(balanceAlert.value).toBeLessThan(1000);
      }
    });

    it('should auto-stop session on critical risk breach', async () => {
      // Create account with very strict limits
      const accountData = {
        name: 'Auto Stop Account',
        apiKey: 'auto-stop-api-key',
        privateKey: 'auto-stop-private-key-32-characters-long',
        address: '0x5678901234567890123456789012345678901234'
      };

      const accountResponse = await request(app)
        .post('/api/v1/accounts')
        .send(accountData)
        .expect(201);

      const account = accountResponse.body.data;

      // Set very strict limits
      await request(app)
        .put(`/api/v1/accounts/${account.id}`)
        .send({
          riskLimits: {
            maxPositionSize: 0.001, // Extremely low
            stopLossThreshold: 0.01, // Very low
            maxSlippage: 0.001 // Very low
          }
        })
        .expect(200);

      // Create session that will breach limits
      const sessionData = {
        name: 'Auto Stop Test',
        strategyId: 'equal-volume-btc',
        accountIds: [account.id],
        targetVolume: 0.1, // Will breach limits
        duration: 60000
      };

      const sessionResponse = await request(app)
        .post('/api/v1/sessions')
        .send(sessionData)
        .expect(201);

      const session = sessionResponse.body.data;

      // Start session
      await request(app)
        .post(`/api/v1/sessions/${session.id}/start`)
        .expect(200);

      // Wait for auto-stop
      await new Promise(resolve => setTimeout(resolve, 10000));

      // Check if session was auto-stopped
      const statusResponse = await request(app)
        .get(`/api/v1/sessions/${session.id}/status`)
        .expect(200);

      const status = statusResponse.body.data.status;
      expect(['failed', 'cancelled']).toContain(status);

      // Verify risk alerts show auto-stop reason
      const riskResponse = await request(app)
        .get(`/api/v1/sessions/${session.id}/risk`)
        .expect(200);

      const alerts = riskResponse.body.data.riskMetrics.alerts || [];
      const criticalAlerts = alerts.filter(alert => alert.severity === 'critical');
      expect(criticalAlerts.length).toBeGreaterThan(0);
    });

    it('should calculate risk metrics correctly', async () => {
      // Create multiple accounts
      const accounts = [];
      for (let i = 1; i <= 3; i++) {
        const accountData = {
          name: `Risk Metrics Account ${i}`,
          apiKey: `risk-metrics-api-key-${i}`,
          privateKey: `risk-metrics-private-key-${i}-32-characters-long`,
          address: `0x${i.toString().padStart(40, '0')}`
        };

        const response = await request(app)
          .post('/api/v1/accounts')
          .send(accountData)
          .expect(201);

        accounts.push(response.body.data);
      }

      // Create session
      const sessionData = {
        name: 'Risk Metrics Test',
        strategyId: 'equal-volume-btc',
        accountIds: accounts.map(acc => acc.id),
        targetVolume: 1.5,
        duration: 45000
      };

      const sessionResponse = await request(app)
        .post('/api/v1/sessions')
        .send(sessionData)
        .expect(201);

      const session = sessionResponse.body.data;

      // Start session
      await request(app)
        .post(`/api/v1/sessions/${session.id}/start`)
        .expect(200);

      // Wait for some activity
      await new Promise(resolve => setTimeout(resolve, 20000));

      // Check risk metrics
      const riskResponse = await request(app)
        .get(`/api/v1/sessions/${session.id}/risk`)
        .expect(200);

      const riskMetrics = riskResponse.body.data.riskMetrics;
      
      expect(riskMetrics).toHaveProperty('totalExposure');
      expect(riskMetrics).toHaveProperty('maxDrawdown');
      expect(riskMetrics).toHaveProperty('currentDrawdown');
      expect(riskMetrics).toHaveProperty('volatility');
      expect(riskMetrics).toHaveProperty('sharpeRatio');
      expect(riskMetrics).toHaveProperty('calculatedAt');

      // Verify metrics are reasonable
      expect(riskMetrics.totalExposure).toBeGreaterThanOrEqual(0);
      expect(riskMetrics.maxDrawdown).toBeGreaterThanOrEqual(0);
      expect(riskMetrics.currentDrawdown).toBeGreaterThanOrEqual(0);
      expect(riskMetrics.volatility).toBeGreaterThanOrEqual(0);
    });

    it('should maintain position neutrality under risk pressure', async () => {
      // Create accounts with different risk profiles
      const accounts = [];
      for (let i = 1; i <= 4; i++) {
        const accountData = {
          name: `Neutrality Risk Account ${i}`,
          apiKey: `neutrality-risk-api-key-${i}`,
          privateKey: `neutrality-risk-private-key-${i}-32-characters-long`,
          address: `0x${i.toString().padStart(40, '0')}`
        };

        const response = await request(app)
          .post('/api/v1/accounts')
          .send(accountData)
          .expect(201);

        // Set different risk limits
        await request(app)
          .put(`/api/v1/accounts/${response.body.data.id}`)
          .send({
            riskLimits: {
              maxPositionSize: 0.05 + (i * 0.01),
              stopLossThreshold: 0.03 + (i * 0.005),
              maxSlippage: 0.015 + (i * 0.002)
            }
          })
          .expect(200);

        accounts.push(response.body.data);
      }

      // Create session
      const sessionData = {
        name: 'Neutrality Risk Test',
        strategyId: 'equal-volume-btc',
        accountIds: accounts.map(acc => acc.id),
        targetVolume: 1.0,
        duration: 60000
      };

      const sessionResponse = await request(app)
        .post('/api/v1/sessions')
        .send(sessionData)
        .expect(201);

      const session = sessionResponse.body.data;

      // Start session
      await request(app)
        .post(`/api/v1/sessions/${session.id}/start`)
        .expect(200);

      // Wait for completion
      await new Promise(resolve => setTimeout(resolve, 65000));

      // Verify position neutrality maintained despite risk management
      const positionsResponse = await request(app)
        .get('/api/v1/hedging/positions')
        .expect(200);

      const positions = positionsResponse.body.data;
      expect(positions.isNeutral).toBe(true);
      expect(positions.totalExposure).toBe(0);
      expect(positions.netPositions).toEqual({});
    });
  });
});