| |
| """ |
| Unit test suite for C++ Pybind11 Low-Latency Quant Engine bindings. |
| Verifies microsecond Order Flow Imbalance (OFI), MicroPrice, VWAP, and EMA. |
| """ |
|
|
| import sys |
| import os |
| import pytest |
| import numpy as np |
|
|
| |
| cpp_build_dir = os.path.abspath(os.path.join(os.path.dirname(__file__), "../../cpp_engine/build")) |
| if cpp_build_dir not in sys.path: |
| sys.path.insert(0, cpp_build_dir) |
|
|
| def test_cpp_quant_engine_import_and_math(): |
| try: |
| import cpp_quant_engine as cqe |
| |
| |
| p_micro = cqe.FastAlphaEngine.calculate_micro_price(100.0, 100.2, 500.0, 300.0) |
| assert p_micro == pytest.approx(100.125, abs=0.001) |
|
|
| |
| obi = cqe.FastAlphaEngine.calculate_obi(600.0, 400.0) |
| assert obi == pytest.approx(0.20, abs=0.001) |
|
|
| |
| prices = [100.0, 102.0, 104.0, 103.0, 105.0] |
| ema_vals = cqe.FastAlphaEngine.fast_ema(prices, 9) |
| assert len(ema_vals) == len(prices) |
| assert ema_vals[-1] > prices[0] |
|
|
| |
| engine = cqe.FastAlphaEngine(20) |
| tick = cqe.MarketTick(1.0, 100.0, 100.2, 500.0, 300.0, 100.1, 1000.0) |
| payload = engine.process_tick(tick) |
| |
| assert payload.micro_price == pytest.approx(100.125, abs=0.001) |
| assert payload.order_book_imbalance == pytest.approx(0.25, abs=0.001) |
| assert payload.vwap == pytest.approx(100.1, abs=0.001) |
| print("✅ C++ Pybind11 Engine Integration PASSED!") |
| |
| except ImportError: |
| pytest.skip("cpp_quant_engine dynamic library not yet compiled in cpp_engine/build") |
|
|
