365acf7b7f
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deploy / deploy (push) Successful in 46s
Proof: quote-to-relay maker timing now propagates through ingest, normalized quotes, strategy decisions, commands, executor results, quote outcomes, lifecycle rows, dashboard summaries, and runtime alerts; relay failures preserve original text while classifying quote_not_found_or_finished; targeted tests, full npm test, and operator dashboard build passed before commit. Assumptions: response-age policy stays disabled by default and is only activated through DB-backed pair strategy config after operators review timing evidence; unrelated pre-existing dirty worktree files were left unstaged. Still fake: relay acceptance is not settlement or realized PnL; live policy thresholds still require post-deploy evidence before enabling skips for production pairs.
488 lines
15 KiB
JavaScript
488 lines
15 KiB
JavaScript
import test from 'node:test';
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import assert from 'node:assert/strict';
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import { evaluateTradeOpportunity } from '../src/core/strategy.mjs';
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function makeConfig() {
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const tradingBtc = {
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assetId: 'nep141:btc.omft.near',
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symbol: 'BTC',
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decimals: 8,
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chain: 'btc:mainnet',
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};
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const tradingEure = {
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assetId: 'nep141:eure.omft.near',
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symbol: 'EURe',
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decimals: 18,
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chain: 'eth:100',
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};
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return {
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tradingBtc,
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tradingEure,
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activePair: `${tradingBtc.assetId}->${tradingEure.assetId}`,
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assetRegistry: new Map([
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[tradingBtc.assetId, tradingBtc],
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[tradingEure.assetId, tradingEure],
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]),
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strategyGrossThresholdPct: 2,
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strategyMaxNotionalEure: 5,
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strategyPriceMaxAgeMs: 30_000,
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strategyInventoryMaxAgeMs: 30_000,
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};
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}
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function makePriceEvent(overrides = {}) {
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return {
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ingested_at: new Date('2026-04-02T10:00:00.000Z').toISOString(),
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payload: {
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price_id: 'price-1',
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pair: 'nep141:btc.omft.near->nep141:eure.omft.near',
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eur_per_btc: '100000.00000000',
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eure_per_btc: '100000.00000000',
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btc_per_eur: '0.000010000000',
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btc_per_eure: '0.000010000000',
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...overrides,
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},
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};
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}
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function makeInventoryEvent(overrides = {}) {
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return {
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ingested_at: new Date('2026-04-02T10:00:00.000Z').toISOString(),
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payload: {
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inventory_id: 'inventory-1',
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spendable: {
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'nep141:btc.omft.near': '1000000',
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'nep141:eure.omft.near': '10000000000000000000',
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},
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pending_inbound: {
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'nep141:btc.omft.near': '0',
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'nep141:eure.omft.near': '0',
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},
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...overrides,
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},
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};
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}
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test('strategy emits actionable exact-in BTC -> EURe command when armed and inventory is fresh', () => {
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const config = makeConfig();
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-1',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingEure.assetId,
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request_kind: 'exact_in',
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amount_in: '5000',
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min_deadline_ms: '60000',
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},
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},
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priceEvent: makePriceEvent(),
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inventoryEvent: makeInventoryEvent(),
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config,
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armed: true,
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now: Date.parse('2026-04-02T10:00:05.000Z'),
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});
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assert.equal(result.decision.decision, 'actionable');
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assert.equal(result.decision.decision_at, '2026-04-02T10:00:05.000Z');
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assert.equal(result.decision.decision_reason, 'actionable');
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assert.ok(result.command);
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assert.equal(result.command.decision_at, '2026-04-02T10:00:05.000Z');
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assert.equal(result.command.direction, 'btc_to_eure');
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assert.equal(result.command.quote_output.amount_out, '4900000000000000000');
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});
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test('strategy blocks when pending deposit exists but credited inventory is insufficient', () => {
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const config = makeConfig();
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-2',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingEure.assetId,
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request_kind: 'exact_in',
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amount_in: '5000',
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min_deadline_ms: '60000',
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},
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},
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priceEvent: makePriceEvent(),
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inventoryEvent: makeInventoryEvent({
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spendable: {
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'nep141:btc.omft.near': '1000000',
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'nep141:eure.omft.near': '1000000000000000000',
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},
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pending_inbound: {
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'nep141:btc.omft.near': '0',
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'nep141:eure.omft.near': '5000000000000000000',
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},
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}),
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config,
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armed: true,
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now: Date.parse('2026-04-02T10:00:05.000Z'),
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});
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assert.equal(result.decision.decision, 'rejected');
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assert.equal(result.decision.decision_reason, 'pending_deposit_not_credited');
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assert.equal(result.command, undefined);
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});
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test('strategy blocks stale prices before command emission', () => {
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const config = makeConfig();
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-3',
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pair: config.activePair,
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asset_in: config.tradingEure.assetId,
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asset_out: config.tradingBtc.assetId,
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request_kind: 'exact_out',
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amount_out: '10000',
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min_deadline_ms: '60000',
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},
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},
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priceEvent: makePriceEvent(),
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inventoryEvent: makeInventoryEvent(),
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config,
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armed: true,
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now: Date.parse('2026-04-02T10:00:45.000Z'),
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});
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assert.equal(result.decision.decision_reason, 'stale_reference_price');
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assert.equal(result.command, undefined);
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});
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test('strategy emits actionable exact-in BTC -> USDC command from DB price route', () => {
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const config = makeBtcUsdcDbConfig();
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-usdc-1',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingUsdc.assetId,
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request_kind: 'exact_in',
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amount_in: '10000',
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min_deadline_ms: '60000',
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},
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},
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priceEvent: makeBtcUsdcPriceEvent(),
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inventoryEvent: makeBtcUsdcInventoryEvent(),
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config,
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armed: true,
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now: Date.parse('2026-04-02T10:00:05.000Z'),
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});
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assert.equal(result.decision.decision, 'actionable');
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assert.equal(result.decision.direction, 'base_to_quote');
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assert.equal(result.decision.edge_bps, '49');
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assert.equal(result.decision.price_route_id, 'btc-usdc:v1');
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assert.equal(result.decision.notional, '8.000000');
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assert.equal(result.decision.notional_symbol, 'USDC');
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assert.equal(result.decision.eure_notional, null);
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assert.equal(result.command.direction, 'base_to_quote');
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assert.equal(result.command.decision_at, '2026-04-02T10:00:05.000Z');
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assert.equal(result.command.max_notional_eure, null);
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assert.equal(result.command.quote_output.amount_out, '7960800');
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assert.equal(result.command.notional_symbol, 'USDC');
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assert.equal(result.command.expected_inventory_delta_units[config.tradingBtc.assetId], '10000');
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assert.equal(result.command.expected_inventory_delta_units[config.tradingUsdc.assetId], '-7960800');
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assert.equal(result.command.asset_out_decimals, 6);
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});
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test('strategy blocks BTC -> USDC when route-specific reference price is stale', () => {
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const config = makeBtcUsdcDbConfig();
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-usdc-stale',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingUsdc.assetId,
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request_kind: 'exact_in',
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amount_in: '10000',
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},
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},
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priceEvent: makeBtcUsdcPriceEvent(),
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inventoryEvent: makeBtcUsdcInventoryEvent(),
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config,
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armed: true,
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now: Date.parse('2026-04-02T10:00:45.000Z'),
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});
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assert.equal(result.decision.decision_reason, 'stale_reference_price');
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assert.equal(result.command, undefined);
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});
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test('strategy blocks BTC -> USDC when price event lacks USDC route fields', () => {
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const config = makeBtcUsdcDbConfig();
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-usdc-missing-price',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingUsdc.assetId,
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request_kind: 'exact_in',
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amount_in: '10000',
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},
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},
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priceEvent: makePriceEvent(),
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inventoryEvent: makeBtcUsdcInventoryEvent(),
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config,
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armed: true,
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now: Date.parse('2026-04-02T10:00:05.000Z'),
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});
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assert.equal(result.decision.decision_reason, 'reference_price_missing');
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assert.equal(result.command, undefined);
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});
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test('maker response age policy skips stale BTC -> USDC quotes without emitting a relay command', () => {
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const config = makeBtcUsdcDbConfig({
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strategyConfigOverrides: {
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makerMaxQuoteAgeEnabled: true,
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makerMaxQuoteAgeMs: 100,
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makerLatencyPolicyReason: 'test stale response protection',
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},
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});
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-usdc-too-old',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingUsdc.assetId,
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request_kind: 'exact_in',
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amount_in: '10000',
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maker_timing: {
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quote_received_at: '2026-04-02T10:00:04.800Z',
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},
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},
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},
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priceEvent: makeBtcUsdcPriceEvent(),
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inventoryEvent: makeBtcUsdcInventoryEvent(),
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config,
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armed: true,
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strategyReceivedAt: '2026-04-02T10:00:05.000Z',
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now: Date.parse('2026-04-02T10:00:05.000Z'),
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});
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assert.equal(result.decision.decision, 'blocked');
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assert.equal(result.decision.decision_reason, 'maker_quote_too_old');
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assert.equal(result.decision.quote_age_at_decision_ms, 200);
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assert.equal(result.decision.response_policy.enabled, true);
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assert.equal(result.decision.response_policy.max_quote_age_ms, 100);
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assert.equal(result.command, undefined);
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});
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test('maker response age policy skips when quote timing prerequisites are missing', () => {
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const config = makeBtcUsdcDbConfig({
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strategyConfigOverrides: {
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makerMaxQuoteAgeEnabled: true,
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makerMaxQuoteAgeMs: 100,
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},
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});
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-usdc-no-timing',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingUsdc.assetId,
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request_kind: 'exact_in',
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amount_in: '10000',
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},
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},
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priceEvent: makeBtcUsdcPriceEvent(),
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inventoryEvent: makeBtcUsdcInventoryEvent(),
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config,
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armed: true,
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strategyReceivedAt: '2026-04-02T10:00:05.000Z',
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now: Date.parse('2026-04-02T10:00:05.000Z'),
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});
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assert.equal(result.decision.decision, 'blocked');
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assert.equal(result.decision.decision_reason, 'maker_quote_age_unavailable');
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assert.equal(result.decision.response_policy.valid, true);
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assert.equal(result.command, undefined);
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});
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test('maker response age policy skips invalid enabled config', () => {
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const config = makeBtcUsdcDbConfig({
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strategyConfigOverrides: {
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makerMaxQuoteAgeEnabled: true,
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makerMaxQuoteAgeMs: null,
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},
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});
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-usdc-invalid-policy',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingUsdc.assetId,
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request_kind: 'exact_in',
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amount_in: '10000',
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maker_timing: {
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quote_received_at: '2026-04-02T10:00:04.950Z',
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},
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},
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},
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priceEvent: makeBtcUsdcPriceEvent(),
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inventoryEvent: makeBtcUsdcInventoryEvent(),
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config,
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armed: true,
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strategyReceivedAt: '2026-04-02T10:00:05.000Z',
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now: Date.parse('2026-04-02T10:00:05.000Z'),
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});
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assert.equal(result.decision.decision, 'blocked');
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assert.equal(result.decision.decision_reason, 'maker_quote_response_policy_invalid');
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assert.equal(result.decision.response_policy.valid, false);
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assert.equal(result.command, undefined);
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});
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test('disabled maker response age policy preserves current BTC -> USDC actionability', () => {
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const config = makeBtcUsdcDbConfig({
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strategyConfigOverrides: {
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makerMaxQuoteAgeEnabled: false,
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makerMaxQuoteAgeMs: null,
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},
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});
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const result = evaluateTradeOpportunity({
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demandEvent: {
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payload: {
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quote_id: 'quote-usdc-policy-disabled',
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pair: config.activePair,
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asset_in: config.tradingBtc.assetId,
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asset_out: config.tradingUsdc.assetId,
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request_kind: 'exact_in',
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amount_in: '10000',
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maker_timing: {
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quote_received_at: '2026-04-02T09:59:59.000Z',
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},
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},
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},
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priceEvent: makeBtcUsdcPriceEvent(),
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inventoryEvent: makeBtcUsdcInventoryEvent(),
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config,
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armed: true,
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strategyReceivedAt: '2026-04-02T10:00:05.000Z',
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now: Date.parse('2026-04-02T10:00:05.000Z'),
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});
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assert.equal(result.decision.decision, 'actionable');
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assert.equal(result.decision.response_policy.enabled, false);
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assert.ok(result.command);
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});
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function makeBtcUsdcDbConfig({ strategyConfigOverrides = {} } = {}) {
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const tradingBtc = {
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assetId: 'nep141:nbtc.bridge.near',
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symbol: 'BTC',
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decimals: 8,
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chain: 'btc:mainnet',
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};
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const tradingUsdc = {
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assetId: 'nep141:gnosis-0x2a22f9c3b484c3629090feed35f17ff8f88f76f0.omft.near',
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symbol: 'USDC',
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decimals: 6,
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chain: 'gnosis',
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};
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const activePair = `${tradingBtc.assetId}->${tradingUsdc.assetId}`;
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const strategyConfig = {
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configId: `${activePair}:v1`,
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version: 1,
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edgeBps: 49,
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maxNotional: '150',
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priceMaxAgeMs: 30_000,
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inventoryMaxAgeMs: 30_000,
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minNotional: '0',
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makerMaxQuoteAgeEnabled: false,
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makerMaxQuoteAgeMs: null,
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makerLatencyPolicyReason: null,
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...strategyConfigOverrides,
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};
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const priceRoute = {
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routeId: 'btc-usdc:v1',
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source: 'btc_usdc_reference',
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baseAssetId: tradingBtc.assetId,
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quoteAssetId: tradingUsdc.assetId,
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};
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const pair = {
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pairId: activePair,
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key: activePair,
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assetIn: tradingBtc,
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assetOut: tradingUsdc,
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asset_in: tradingBtc.assetId,
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asset_out: tradingUsdc.assetId,
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enabled: true,
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observeEnabled: true,
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makerEnabled: true,
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takerEnabled: false,
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canTrade: true,
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blockReason: null,
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strategyConfig,
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priceRoute,
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};
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return {
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tradingBtc,
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tradingUsdc,
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activePair,
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ok: true,
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tradingConfigLoaded: true,
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requireDbTradingConfig: true,
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assetRegistry: new Map([
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[tradingBtc.assetId, tradingBtc],
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[tradingUsdc.assetId, tradingUsdc],
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]),
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pairByKey: new Map([[activePair, pair]]),
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strategyGrossThresholdPct: 0.49,
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strategyMaxNotionalEure: 150,
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strategyPriceMaxAgeMs: 30_000,
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strategyInventoryMaxAgeMs: 30_000,
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};
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}
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function makeBtcUsdcPriceEvent(overrides = {}) {
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return {
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ingested_at: new Date('2026-04-02T10:00:00.000Z').toISOString(),
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payload: {
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price_id: 'price-usdc-1',
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pair: 'nep141:nbtc.bridge.near->nep141:gnosis-0x2a22f9c3b484c3629090feed35f17ff8f88f76f0.omft.near',
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price_route_id: 'btc-usdc:v1',
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eur_per_btc: '75000.00000000',
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eure_per_btc: '75000.00000000',
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btc_per_eur: '0.000013333333',
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btc_per_eure: '0.000013333333',
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usd_per_btc: '80000.00000000',
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usdc_per_btc: '80000.00000000',
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btc_per_usd: '0.000012500000',
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btc_per_usdc: '0.000012500000',
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...overrides,
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},
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};
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}
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function makeBtcUsdcInventoryEvent(overrides = {}) {
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return {
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ingested_at: new Date('2026-04-02T10:00:00.000Z').toISOString(),
|
|
payload: {
|
|
inventory_id: 'inventory-usdc-1',
|
|
spendable: {
|
|
'nep141:nbtc.bridge.near': '1000000',
|
|
'nep141:gnosis-0x2a22f9c3b484c3629090feed35f17ff8f88f76f0.omft.near': '1000000000',
|
|
},
|
|
pending_inbound: {
|
|
'nep141:nbtc.bridge.near': '0',
|
|
'nep141:gnosis-0x2a22f9c3b484c3629090feed35f17ff8f88f76f0.omft.near': '0',
|
|
},
|
|
...overrides,
|
|
},
|
|
};
|
|
}
|