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

"use strict";
/**
 * Integration tests for risk management
 * These tests MUST fail before implementation - TDD approach
 */
var __importDefault = (this && this.__importDefault) || function (mod) {
    return (mod && mod.__esModule) ? mod : { "default": mod };
};
Object.defineProperty(exports, "__esModule", { value: true });
const supertest_1 = __importDefault(require("supertest"));
// Mock Express app - this will fail until implementation
let app;
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 (0, supertest_1.default)(app)
                .post('/api/v1/accounts')
                .send(accountData)
                .expect(201);
            const account = accountResponse.body.data;
            // Set very low position limit
            await (0, supertest_1.default)(app)
                .put(`/api/v1/accounts/${account.id}`)
                .send({
                riskLimits: {
                    maxPositionSize: 0.01, // Very low limit
                    stopLossThreshold: 0.05,
                    maxSlippage: 0.02
                }
            })
                .expect(200);
            // Create session that will exceed limit
            const sessionData = {
                name: 'Position Limit Test',
                strategyId: 'equal-volume-btc',
                accountIds: [account.id],
                targetVolume: 0.05, // Exceeds limit
                duration: 30000
            };
            const sessionResponse = await (0, supertest_1.default)(app)
                .post('/api/v1/sessions')
                .send(sessionData)
                .expect(201);
            const session = sessionResponse.body.data;
            // Start session
            await (0, supertest_1.default)(app)
                .post(`/api/v1/sessions/${session.id}/start`)
                .expect(200);
            // Wait for risk alert
            await new Promise(resolve => setTimeout(resolve, 5000));
            // Check for risk alerts
            const riskResponse = await (0, supertest_1.default)(app)
                .get(`/api/v1/sessions/${session.id}/risk`)
                .expect(200);
            expect(riskResponse.body.data.riskMetrics).toHaveProperty('alerts');
            expect(riskResponse.body.data.riskMetrics.alerts.length).toBeGreaterThan(0);
            const positionLimitAlert = riskResponse.body.data.riskMetrics.alerts.find(alert => alert.type === 'position_limit');
            expect(positionLimitAlert).toBeDefined();
            expect(positionLimitAlert.severity).toBe('high');
        });
        it('should trigger stop loss alerts', async () => {
            // Create account
            const accountData = {
                name: 'Stop Loss Account',
                apiKey: 'stop-loss-api-key',
                privateKey: 'stop-loss-private-key-32-characters-long',
                address: '0x2345678901234567890123456789012345678901'
            };
            const accountResponse = await (0, supertest_1.default)(app)
                .post('/api/v1/accounts')
                .send(accountData)
                .expect(201);
            const account = accountResponse.body.data;
            // Set low stop loss threshold
            await (0, supertest_1.default)(app)
                .put(`/api/v1/accounts/${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 (0, supertest_1.default)(app)
                .post('/api/v1/sessions')
                .send(sessionData)
                .expect(201);
            const session = sessionResponse.body.data;
            // Start session
            await (0, supertest_1.default)(app)
                .post(`/api/v1/sessions/${session.id}/start`)
                .expect(200);
            // Wait for potential stop loss trigger
            await new Promise(resolve => setTimeout(resolve, 10000));
            // Check for stop loss alerts
            const riskResponse = await (0, supertest_1.default)(app)
                .get(`/api/v1/sessions/${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 (0, supertest_1.default)(app)
                .post('/api/v1/accounts')
                .send(accountData)
                .expect(201);
            const account = accountResponse.body.data;
            // Set very low slippage tolerance
            await (0, supertest_1.default)(app)
                .put(`/api/v1/accounts/${account.id}`)
                .send({
                riskLimits: {
                    maxPositionSize: 0.1,
                    stopLossThreshold: 0.05,
                    maxSlippage: 0.005 // Very low slippage tolerance
                }
            })
                .expect(200);
            // Create session
            const sessionData = {
                name: 'Slippage Test',
                strategyId: 'equal-volume-btc',
                accountIds: [account.id],
                targetVolume: 0.1,
                duration: 30000
            };
            const sessionResponse = await (0, supertest_1.default)(app)
                .post('/api/v1/sessions')
                .send(sessionData)
                .expect(201);
            const session = sessionResponse.body.data;
            // Start session
            await (0, supertest_1.default)(app)
                .post(`/api/v1/sessions/${session.id}/start`)
                .expect(200);
            // Wait for potential slippage alert
            await new Promise(resolve => setTimeout(resolve, 10000));
            // Check for slippage alerts
            const riskResponse = await (0, supertest_1.default)(app)
                .get(`/api/v1/sessions/${session.id}/risk`)
                .expect(200);
            const alerts = riskResponse.body.data.riskMetrics.alerts || [];
            const slippageAlert = alerts.find(alert => alert.type === 'slippage');
            if (slippageAlert) {
                expect(slippageAlert.severity).toBe('medium');
                expect(slippageAlert.value).toBeGreaterThan(0.005);
            }
        });
        it('should trigger balance low alerts', async () => {
            // Create account with low balance
            const accountData = {
                name: 'Low Balance Account',
                apiKey: 'low-balance-api-key',
                privateKey: 'low-balance-private-key-32-characters-long',
                address: '0x4567890123456789012345678901234567890123'
            };
            const accountResponse = await (0, supertest_1.default)(app)
                .post('/api/v1/accounts')
                .send(accountData)
                .expect(201);
            const account = accountResponse.body.data;
            // Simulate low balance by setting low balance threshold
            await (0, supertest_1.default)(app)
                .put(`/api/v1/accounts/${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 (0, supertest_1.default)(app)
                .post('/api/v1/sessions')
                .send(sessionData)
                .expect(201);
            const session = sessionResponse.body.data;
            // Start session
            await (0, supertest_1.default)(app)
                .post(`/api/v1/sessions/${session.id}/start`)
                .expect(200);
            // Wait for balance check
            await new Promise(resolve => setTimeout(resolve, 5000));
            // Check for balance alerts
            const accountRiskResponse = await (0, supertest_1.default)(app)
                .get(`/api/v1/accounts/${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 (0, supertest_1.default)(app)
                .post('/api/v1/accounts')
                .send(accountData)
                .expect(201);
            const account = accountResponse.body.data;
            // Set very strict limits
            await (0, supertest_1.default)(app)
                .put(`/api/v1/accounts/${account.id}`)
                .send({
                riskLimits: {
                    maxPositionSize: 0.001, // Extremely low
                    stopLossThreshold: 0.01, // Very low
                    maxSlippage: 0.001 // Very low
                }
            })
                .expect(200);
            // Create session that will breach limits
            const sessionData = {
                name: 'Auto Stop Test',
                strategyId: 'equal-volume-btc',
                accountIds: [account.id],
                targetVolume: 0.1, // Will breach limits
                duration: 60000
            };
            const sessionResponse = await (0, supertest_1.default)(app)
                .post('/api/v1/sessions')
                .send(sessionData)
                .expect(201);
            const session = sessionResponse.body.data;
            // Start session
            await (0, supertest_1.default)(app)
                .post(`/api/v1/sessions/${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 (0, supertest_1.default)(app)
                .get(`/api/v1/sessions/${session.id}/status`)
                .expect(200);
            const status = statusResponse.body.data.status;
            expect(['failed', 'cancelled']).toContain(status);
            // Verify risk alerts show auto-stop reason
            const riskResponse = await (0, supertest_1.default)(app)
                .get(`/api/v1/sessions/${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 (0, supertest_1.default)(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 (0, supertest_1.default)(app)
                .post('/api/v1/sessions')
                .send(sessionData)
                .expect(201);
            const session = sessionResponse.body.data;
            // Start session
            await (0, supertest_1.default)(app)
                .post(`/api/v1/sessions/${session.id}/start`)
                .expect(200);
            // Wait for some activity
            await new Promise(resolve => setTimeout(resolve, 20000));
            // Check risk metrics
            const riskResponse = await (0, supertest_1.default)(app)
                .get(`/api/v1/sessions/${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 (0, supertest_1.default)(app)
                    .post('/api/v1/accounts')
                    .send(accountData)
                    .expect(201);
                // Set different risk limits
                await (0, supertest_1.default)(app)
                    .put(`/api/v1/accounts/${response.body.data.id}`)
                    .send({
                    riskLimits: {
                        maxPositionSize: 0.05 + (i * 0.01),
                        stopLossThreshold: 0.03 + (i * 0.005),
                        maxSlippage: 0.015 + (i * 0.002)
                    }
                })
                    .expect(200);
                accounts.push(response.body.data);
            }
            // Create session
            const sessionData = {
                name: 'Neutrality Risk Test',
                strategyId: 'equal-volume-btc',
                accountIds: accounts.map(acc => acc.id),
                targetVolume: 1.0,
                duration: 60000
            };
            const sessionResponse = await (0, supertest_1.default)(app)
                .post('/api/v1/sessions')
                .send(sessionData)
                .expect(201);
            const session = sessionResponse.body.data;
            // Start session
            await (0, supertest_1.default)(app)
                .post(`/api/v1/sessions/${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 (0, supertest_1.default)(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({});
        });
    });
});
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