File size: 2,239 Bytes
f86fb3b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 | #include <gtest/gtest.h>
#include "../include/risk/risk_engine.hpp"
using namespace quant::core;
using namespace quant::risk;
TEST(RiskEngineTest, MaxNotionalRejection) {
RiskLimits limits;
limits.max_order_notional = 100'000 * Price::SCALE; // $100k max
RiskEngine risk(limits);
// $100 * 500 = $50k -> Pass
auto r1 = risk.check_order(1, Side::BUY, Price::from_double(100.0), 500, 100.0);
EXPECT_EQ(r1, RejectReason::NONE);
// $100 * 2000 = $200k -> Reject
auto r2 = risk.check_order(1, Side::BUY, Price::from_double(100.0), 2000, 100.0);
EXPECT_EQ(r2, RejectReason::RISK_NOTIONAL_EXCEEDED);
}
TEST(RiskEngineTest, FatFingerCollarRejection) {
RiskLimits limits;
limits.price_collar_pct = 0.05; // 5% max deviation
RiskEngine risk(limits);
double mid = 200.0;
// $205 is 2.5% deviation -> Pass
auto r1 = risk.check_order(1, Side::BUY, Price::from_double(205.0), 10, mid);
EXPECT_EQ(r1, RejectReason::NONE);
// $220 is 10% deviation -> Reject
auto r2 = risk.check_order(1, Side::BUY, Price::from_double(220.0), 10, mid);
EXPECT_EQ(r2, RejectReason::RISK_PRICE_COLLAR_VIOLATED);
}
TEST(RiskEngineTest, RateLimiterRejection) {
RiskLimits limits;
limits.max_orders_per_sec = 10;
RiskEngine risk(limits);
uint64_t now = 1000000000ULL;
// Consume 10 tokens
for (int i = 0; i < 10; ++i) {
EXPECT_EQ(risk.check_order(1, Side::BUY, Price::from_double(100.0), 1, 100.0, now), RejectReason::NONE);
}
// 11th order in same second -> Rate limited!
EXPECT_EQ(risk.check_order(1, Side::BUY, Price::from_double(100.0), 1, 100.0, now),
RejectReason::RISK_RATE_LIMIT_EXCEEDED);
}
TEST(RiskEngineTest, PositionLimitRejection) {
RiskLimits limits;
limits.max_net_position = 500;
RiskEngine risk(limits);
risk.on_fill(1, Side::BUY, 400);
// Another buy 200 exceeds 500 position limit
EXPECT_EQ(risk.check_order(1, Side::BUY, Price::from_double(100.0), 200, 100.0),
RejectReason::RISK_POSITION_LIMIT_EXCEEDED);
// Sell 200 reduces position -> Pass
EXPECT_EQ(risk.check_order(1, Side::SELL, Price::from_double(100.0), 200, 100.0),
RejectReason::NONE);
}
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