feat: trade executor — risk management and order execution

tests/services/test_trade_executor.py

@@ -0,0 +1,403 @@
+"""Tests for the Trade Executor service.
+
+Covers RiskManager (market hours, positions, exposure, cooldown,
+position sizing) and the end-to-end executor flow with a mocked broker.
+"""
+
+from __future__ import annotations
+
+from datetime import datetime, timedelta, timezone
+from unittest.mock import AsyncMock, MagicMock, patch
+from zoneinfo import ZoneInfo
+
+import pytest
+
+from services.trade_executor.config import TradeExecutorConfig
+from services.trade_executor.main import process_signal
+from services.trade_executor.risk_manager import RiskManager
+from shared.schemas.trading import (
+    AccountInfo,
+    OrderResult,
+    OrderSide,
+    OrderStatus,
+    PositionInfo,
+    SignalDirection,
+    TradeSignal,
+)
+
+_ET = ZoneInfo("America/New_York")
+
+
+# ---------------------------------------------------------------------------
+# Helpers
+# ---------------------------------------------------------------------------
+
+
+def _make_config(**overrides) -> TradeExecutorConfig:
+    defaults = dict(
+        max_position_pct=0.05,
+        max_total_exposure_pct=0.80,
+        max_positions=20,
+        default_stop_loss_pct=0.03,
+        cooldown_minutes=30,
+        alpaca_api_key="test",
+        alpaca_secret_key="test",
+        paper_trading=True,
+    )
+    defaults.update(overrides)
+    return TradeExecutorConfig(**defaults)
+
+
+def _make_signal(
+    ticker: str = "AAPL",
+    direction: SignalDirection = SignalDirection.LONG,
+    strength: float = 0.8,
+    current_price: float = 150.0,
+) -> TradeSignal:
+    return TradeSignal(
+        ticker=ticker,
+        direction=direction,
+        strength=strength,
+        strategy_sources=["test"],
+        sentiment_context={"current_price": current_price},
+        timestamp=datetime.now(timezone.utc),
+    )
+
+
+def _make_account(equity: float = 100_000.0) -> AccountInfo:
+    return AccountInfo(
+        equity=equity,
+        cash=equity,
+        buying_power=equity * 2,
+        portfolio_value=equity,
+    )
+
+
+def _make_position(ticker: str = "AAPL", market_value: float = 5000.0) -> PositionInfo:
+    return PositionInfo(
+        ticker=ticker,
+        qty=10.0,
+        avg_entry=150.0,
+        current_price=150.0,
+        unrealized_pnl=0.0,
+        market_value=market_value,
+    )
+
+
+def _mock_broker(positions: list[PositionInfo] | None = None, account: AccountInfo | None = None):
+    """Create an AsyncMock broker with configurable positions and account."""
+    broker = AsyncMock()
+    broker.get_positions = AsyncMock(return_value=positions or [])
+    broker.get_account = AsyncMock(return_value=account or _make_account())
+    broker.submit_order = AsyncMock(
+        return_value=OrderResult(
+            order_id="ord-123",
+            ticker="AAPL",
+            side=OrderSide.BUY,
+            qty=10.0,
+            filled_price=150.0,
+            status=OrderStatus.FILLED,
+            timestamp=datetime.now(timezone.utc),
+        )
+    )
+    return broker
+
+
+# ---------------------------------------------------------------------------
+# RiskManager — risk check passes
+# ---------------------------------------------------------------------------
+
+
+class TestRiskCheckPasses:
+    """All conditions met -> risk check passes."""
+
+    @pytest.mark.asyncio
+    async def test_all_conditions_met(self):
+        config = _make_config()
+        broker = _mock_broker(positions=[], account=_make_account(100_000))
+        rm = RiskManager(config, broker)
+        signal = _make_signal()
+
+        # Patch _is_market_hours to return True
+        with patch.object(RiskManager, "_is_market_hours", return_value=True):
+            approved, reason = await rm.check_risk(signal)
+
+        assert approved is True
+        assert reason == "approved"
+
+
+# ---------------------------------------------------------------------------
+# RiskManager — max positions exceeded
+# ---------------------------------------------------------------------------
+
+
+class TestRiskCheckMaxPositions:
+    """Risk check fails when max_positions is already reached."""
+
+    @pytest.mark.asyncio
+    async def test_max_positions_exceeded(self):
+        config = _make_config(max_positions=2)
+        # Already have 2 positions
+        positions = [_make_position("AAPL"), _make_position("MSFT")]
+        broker = _mock_broker(positions=positions, account=_make_account())
+        rm = RiskManager(config, broker)
+        signal = _make_signal(ticker="GOOG")
+
+        with patch.object(RiskManager, "_is_market_hours", return_value=True):
+            approved, reason = await rm.check_risk(signal)
+
+        assert approved is False
+        assert "max_positions" in reason
+
+
+# ---------------------------------------------------------------------------
+# RiskManager — max exposure exceeded
+# ---------------------------------------------------------------------------
+
+
+class TestRiskCheckMaxExposure:
+    """Risk check fails when total exposure exceeds the limit."""
+
+    @pytest.mark.asyncio
+    async def test_max_exposure_exceeded(self):
+        config = _make_config(max_total_exposure_pct=0.50)
+        account = _make_account(equity=100_000)
+        # Single position worth $60k = 60% of equity, limit is 50%
+        positions = [_make_position("AAPL", market_value=60_000)]
+        broker = _mock_broker(positions=positions, account=account)
+        rm = RiskManager(config, broker)
+        signal = _make_signal(ticker="MSFT")
+
+        with patch.object(RiskManager, "_is_market_hours", return_value=True):
+            approved, reason = await rm.check_risk(signal)
+
+        assert approved is False
+        assert "max_exposure" in reason
+
+
+# ---------------------------------------------------------------------------
+# RiskManager — cooldown active
+# ---------------------------------------------------------------------------
+
+
+class TestRiskCheckCooldown:
+    """Risk check fails when a ticker is in cooldown."""
+
+    @pytest.mark.asyncio
+    async def test_cooldown_active(self):
+        config = _make_config(cooldown_minutes=30)
+        broker = _mock_broker()
+        rm = RiskManager(config, broker)
+
+        # Record an exit 10 minutes ago
+        now_et = datetime.now(tz=_ET)
+        rm.record_exit("AAPL", now_et - timedelta(minutes=10))
+
+        signal = _make_signal(ticker="AAPL")
+        with patch.object(RiskManager, "_is_market_hours", return_value=True):
+            approved, reason = await rm.check_risk(signal)
+
+        assert approved is False
+        assert "cooldown" in reason
+
+    @pytest.mark.asyncio
+    async def test_cooldown_expired(self):
+        """After cooldown period expires the trade should be approved."""
+        config = _make_config(cooldown_minutes=30)
+        broker = _mock_broker()
+        rm = RiskManager(config, broker)
+
+        # Record an exit 45 minutes ago
+        now_et = datetime.now(tz=_ET)
+        rm.record_exit("AAPL", now_et - timedelta(minutes=45))
+
+        signal = _make_signal(ticker="AAPL")
+        with patch.object(RiskManager, "_is_market_hours", return_value=True):
+            approved, reason = await rm.check_risk(signal)
+
+        assert approved is True
+
+
+# ---------------------------------------------------------------------------
+# RiskManager — outside market hours
+# ---------------------------------------------------------------------------
+
+
+class TestRiskCheckMarketHours:
+    """Risk check fails outside regular market hours."""
+
+    @pytest.mark.asyncio
+    async def test_outside_market_hours(self):
+        config = _make_config()
+        broker = _mock_broker()
+        rm = RiskManager(config, broker)
+        signal = _make_signal()
+
+        # Force market hours check to fail (no patching — use the real check
+        # with a time that is definitely outside market hours)
+        with patch.object(RiskManager, "_is_market_hours", return_value=False):
+            approved, reason = await rm.check_risk(signal)
+
+        assert approved is False
+        assert "market_hours" in reason
+
+    def test_market_hours_weekday(self):
+        """A weekday at 10:00 AM ET should be within market hours."""
+        # Tuesday 10:00 AM ET
+        t = datetime(2026, 2, 24, 10, 0, 0, tzinfo=_ET)
+        assert RiskManager._is_market_hours(t) is True
+
+    def test_market_hours_weekend(self):
+        """Saturday should always be outside market hours."""
+        t = datetime(2026, 2, 21, 10, 0, 0, tzinfo=_ET)  # Saturday
+        assert RiskManager._is_market_hours(t) is False
+
+    def test_market_hours_before_open(self):
+        """8:00 AM ET on a weekday is before market open."""
+        t = datetime(2026, 2, 24, 8, 0, 0, tzinfo=_ET)  # Tuesday 8 AM
+        assert RiskManager._is_market_hours(t) is False
+
+    def test_market_hours_after_close(self):
+        """5:00 PM ET on a weekday is after market close."""
+        t = datetime(2026, 2, 24, 17, 0, 0, tzinfo=_ET)  # Tuesday 5 PM
+        assert RiskManager._is_market_hours(t) is False
+
+
+# ---------------------------------------------------------------------------
+# Position sizing — scales by strength
+# ---------------------------------------------------------------------------
+
+
+class TestPositionSizingScalesByStrength:
+    """Position size should scale proportionally with signal strength."""
+
+    def test_full_strength(self):
+        config = _make_config(max_position_pct=0.05)
+        broker = _mock_broker()
+        rm = RiskManager(config, broker)
+
+        signal = _make_signal(strength=1.0, current_price=100.0)
+        account = _make_account(equity=100_000)
+
+        qty = rm.calculate_position_size(signal, account)
+        # position_value = 100k * 0.05 * 1.0 = 5000 / 100 = 50 shares
+        assert qty == 50
+
+    def test_half_strength(self):
+        config = _make_config(max_position_pct=0.05)
+        broker = _mock_broker()
+        rm = RiskManager(config, broker)
+
+        signal = _make_signal(strength=0.5, current_price=100.0)
+        account = _make_account(equity=100_000)
+
+        qty = rm.calculate_position_size(signal, account)
+        # position_value = 100k * 0.05 * 0.5 = 2500 / 100 = 25 shares
+        assert qty == 25
+
+
+# ---------------------------------------------------------------------------
+# Position sizing — respects max_position_pct
+# ---------------------------------------------------------------------------
+
+
+class TestPositionSizingRespectsMaxPct:
+    """Position size should respect the max_position_pct cap."""
+
+    def test_respects_max_pct(self):
+        config = _make_config(max_position_pct=0.02)
+        broker = _mock_broker()
+        rm = RiskManager(config, broker)
+
+        signal = _make_signal(strength=1.0, current_price=50.0)
+        account = _make_account(equity=100_000)
+
+        qty = rm.calculate_position_size(signal, account)
+        # position_value = 100k * 0.02 * 1.0 = 2000 / 50 = 40 shares
+        assert qty == 40
+
+    def test_zero_price_returns_zero(self):
+        config = _make_config()
+        broker = _mock_broker()
+        rm = RiskManager(config, broker)
+
+        signal = _make_signal(strength=0.8, current_price=0.0)
+        account = _make_account(equity=100_000)
+
+        qty = rm.calculate_position_size(signal, account)
+        assert qty == 0
+
+
+# ---------------------------------------------------------------------------
+# Executor flow — approved signal
+# ---------------------------------------------------------------------------
+
+
+class TestExecutorFlowApproved:
+    """End-to-end: approved signal -> order submitted -> trade published."""
+
+    @pytest.mark.asyncio
+    async def test_approved_signal_flow(self):
+        config = _make_config()
+        broker = _mock_broker(positions=[], account=_make_account(100_000))
+        publisher = AsyncMock()
+        publisher.publish = AsyncMock(return_value=b"1-0")
+
+        counters = {
+            "trades_executed": MagicMock(),
+            "rejections": MagicMock(),
+            "fill_latency": MagicMock(),
+        }
+
+        signal = _make_signal(ticker="AAPL", strength=0.8, current_price=150.0)
+
+        # Patch risk check to approve
+        with patch.object(RiskManager, "check_risk", return_value=(True, "approved")):
+            await process_signal(signal, RiskManager(config, broker), broker, publisher, counters)
+
+        # Verify order was submitted
+        broker.submit_order.assert_called_once()
+        order_arg = broker.submit_order.call_args[0][0]
+        assert order_arg.ticker == "AAPL"
+        assert order_arg.side == OrderSide.BUY
+
+        # Verify trade was published
+        publisher.publish.assert_called_once()
+        counters["trades_executed"].add.assert_called_once_with(1)
+
+
+# ---------------------------------------------------------------------------
+# Executor flow — rejected signal
+# ---------------------------------------------------------------------------
+
+
+class TestExecutorFlowRejected:
+    """End-to-end: rejected signal -> no order, rejection logged."""
+
+    @pytest.mark.asyncio
+    async def test_rejected_signal_flow(self):
+        config = _make_config()
+        broker = _mock_broker()
+        publisher = AsyncMock()
+
+        counters = {
+            "trades_executed": MagicMock(),
+            "rejections": MagicMock(),
+            "fill_latency": MagicMock(),
+        }
+
+        signal = _make_signal(ticker="AAPL")
+
+        with patch.object(
+            RiskManager, "check_risk", return_value=(False, "outside_market_hours")
+        ):
+            await process_signal(signal, RiskManager(config, broker), broker, publisher, counters)
+
+        # No order should have been submitted
+        broker.submit_order.assert_not_called()
+
+        # No trade should have been published
+        publisher.publish.assert_not_called()
+
+        # Rejection counter should have been incremented
+        counters["rejections"].add.assert_called_once()