ParallelLLC/algorithmic_trading

1import pytest2import pandas as pd3import numpy as np4import tempfile5import os6from unittest.mock import patch, MagicMock7from agentic_ai_system.orchestrator import run, run_backtest, run_live_trading8from agentic_ai_system.main import load_config9 10class TestIntegration:11    """Integration tests for the entire trading system"""12    13    @pytest.fixture14    def config(self):15        """Sample configuration for integration testing"""16        return {17            'data_source': {18                'type': 'synthetic',19                'path': 'data/synthetic_market_data_test.csv'20            },21            'trading': {22                'symbol': 'AAPL',23                'timeframe': '1min',24                'capital': 10000025            },26            'risk': {27                'max_position': 100,28                'max_drawdown': 0.0529            },30            'execution': {31                'broker_api': 'paper',32                'order_size': 10,33                'delay_ms': 10,  # Fast for testing34                'success_rate': 1.0  # Always succeed for testing35            },36            'synthetic_data': {37                'base_price': 150.0,38                'volatility': 0.02,39                'trend': 0.001,40                'noise_level': 0.005,41                'data_path': 'data/synthetic_market_data_test.csv'42            },43            'logging': {44                'log_level': 'INFO',45                'log_dir': 'logs',46                'enable_console': True,47                'enable_file': True48            }49        }50    51    def test_full_workflow(self, config):52        """Test the complete trading workflow"""53        result = run(config)54        55        # Check result structure56        assert isinstance(result, dict)57        assert 'success' in result58        assert 'data_loaded' in result59        assert 'signal_generated' in result60        assert 'order_executed' in result61        assert 'execution_time' in result62        assert 'errors' in result63        64        # Check that data was loaded65        assert result['data_loaded'] == True66        67        # Check that signal was generated68        assert result['signal_generated'] == True69        70        # Check execution time is reasonable71        assert result['execution_time'] > 072        assert result['execution_time'] < 60  # Should complete within 60 seconds73    74    def test_backtest_workflow(self, config):75        """Test the backtest workflow"""76        result = run_backtest(config, '2024-01-01', '2024-01-02')77        78        # Check result structure79        assert isinstance(result, dict)80        assert 'success' in result81        82        if result['success']:83            assert 'start_date' in result84            assert 'end_date' in result85            assert 'initial_capital' in result86            assert 'final_value' in result87            assert 'total_return' in result88            assert 'total_trades' in result89            assert 'trades' in result90            assert 'positions' in result91            92            # Check that backtest completed93            assert result['initial_capital'] == config['trading']['capital']94            assert result['final_value'] >= 095            assert isinstance(result['total_return'], float)96            assert result['total_trades'] >= 097            assert isinstance(result['trades'], list)98            assert isinstance(result['positions'], dict)99    100    def test_live_trading_workflow(self, config):101        """Test the live trading workflow (short duration)"""102        # Test with very short duration to avoid long test times103        result = run_live_trading(config, duration_minutes=1)104        105        # Check result structure106        assert isinstance(result, dict)107        assert 'success' in result108        109        if result['success']:110            assert 'duration_minutes' in result111            assert 'total_trades' in result112            assert 'trades' in result113            assert 'start_time' in result114            assert 'end_time' in result115            116            # Check that live trading completed117            assert result['duration_minutes'] == 1118            assert result['total_trades'] >= 0119            assert isinstance(result['trades'], list)120    121    def test_workflow_with_csv_data(self, config):122        """Test workflow with CSV data source"""123        # Create temporary CSV file124        with tempfile.NamedTemporaryFile(mode='w', suffix='.csv', delete=False) as tmp_file:125            # Generate sample data with correct column names126            dates = pd.date_range(start='2024-01-01', periods=100, freq='1min')127            data = []128            for i, date in enumerate(dates):129                base_price = 150.0 + (i * 0.1)130                data.append({131                    'date': date,132                    'open': base_price + np.random.normal(0, 1),133                    'high': base_price + abs(np.random.normal(0, 2)),134                    'low': base_price - abs(np.random.normal(0, 2)),135                    'close': base_price + np.random.normal(0, 1),136                    'volume': np.random.randint(1000, 100000)137                })138            139            df = pd.DataFrame(data)140            df.to_csv(tmp_file.name, index=False)141            config['data_source']['type'] = 'csv'142            config['data_source']['path'] = tmp_file.name143            144            try:145                result = run(config)146                147                assert result['success'] == True148                assert result['data_loaded'] == True149                assert result['signal_generated'] == True150                151            finally:152                os.unlink(tmp_file.name)153    154    def test_workflow_error_handling(self, config):155        """Test workflow error handling"""156        # Test with invalid configuration157        invalid_config = config.copy()158        invalid_config['data_source']['type'] = 'invalid_type'159        160        result = run(invalid_config)161        162        assert result['success'] == False163        assert len(result['errors']) > 0164    165    def test_backtest_with_different_periods(self, config):166        """Test backtest with different time periods"""167        # Test short period168        short_result = run_backtest(config, '2024-01-01', '2024-01-01')169        assert isinstance(short_result, dict)170        171        # Test longer period172        long_result = run_backtest(config, '2024-01-01', '2024-01-07')173        assert isinstance(long_result, dict)174        175        # Both should be valid results (success or failure)176        assert 'success' in short_result177        assert 'success' in long_result178    179    def test_system_with_different_symbols(self, config):180        """Test system with different trading symbols"""181        symbols = ['AAPL', 'GOOGL', 'MSFT', 'TSLA']182        183        for symbol in symbols:184            test_config = config.copy()185            test_config['trading']['symbol'] = symbol186            187            result = run(test_config)188            189            assert result['success'] == True190            assert result['data_loaded'] == True191            assert result['signal_generated'] == True192    193    def test_system_with_different_capital_amounts(self, config):194        """Test system with different capital amounts"""195        capital_amounts = [10000, 50000, 100000, 500000]196        197        for capital in capital_amounts:198            test_config = config.copy()199            test_config['trading']['capital'] = capital200            201            result = run(test_config)202            203            assert result['success'] == True204            assert result['data_loaded'] == True205            assert result['signal_generated'] == True206    207    def test_execution_failure_simulation(self, config):208        """Test system behavior with execution failures"""209        # Set success rate to 0 to simulate all failures210        test_config = config.copy()211        test_config['execution']['success_rate'] = 0.0212        213        result = run(test_config)214        215        # System should still complete workflow216        assert result['success'] == True217        assert result['data_loaded'] == True218        assert result['signal_generated'] == True219        220        # If a non-hold order was executed, it should fail with success_rate = 0.0221        # But if only hold signals were generated, no orders would be executed222        if result['order_executed'] and result.get('execution_result', {}).get('action') != 'hold':223            assert result['execution_result']['success'] == False224    225    def test_data_validation_integration(self, config):226        """Test data validation integration"""227        # Create invalid data228        with tempfile.NamedTemporaryFile(mode='w', suffix='.csv', delete=False) as tmp_file:229            invalid_data = pd.DataFrame({230                'date': pd.date_range('2024-01-01', periods=10, freq='1min'),231                'open': [150] * 10,232                'high': [145] * 10,  # Invalid: high < open233                'low': [145] * 10,234                'close': [152] * 10,235                'volume': [1000] * 10236            })237            invalid_data.to_csv(tmp_file.name, index=False)238            config['data_source']['type'] = 'csv'239            config['data_source']['path'] = tmp_file.name240            241            try:242                result = run(config)243                244                # System should still work (fallback to synthetic data)245                assert result['success'] == True246                247            finally:248                os.unlink(tmp_file.name)249    250    def test_performance_metrics(self, config):251        """Test that performance metrics are calculated correctly"""252        result = run_backtest(config, '2024-01-01', '2024-01-03')253        254        if result['success']:255            # Check that return is calculated correctly256            initial_capital = result['initial_capital']257            final_value = result['final_value']258            calculated_return = (final_value - initial_capital) / initial_capital259            260            assert abs(result['total_return'] - calculated_return) < 0.001261            262            # Check that trade count is reasonable263            assert result['total_trades'] >= 0264    265    def test_config_loading(self):266        """Test configuration loading functionality"""267        # Test with valid config268        with tempfile.NamedTemporaryFile(mode='w', suffix='.yaml', delete=False) as tmp_file:269            config_content = """270data_source:271  type: 'synthetic'272  path: 'data/market_data.csv'273 274trading:275  symbol: 'AAPL'276  timeframe: '1min'277  capital: 100000278 279risk:280  max_position: 100281  max_drawdown: 0.05282 283execution:284  broker_api: 'paper'285  order_size: 10286"""287            tmp_file.write(config_content)288            tmp_file.flush()289            290            try:291                config = load_config(tmp_file.name)292                293                assert config['data_source']['type'] == 'synthetic'294                assert config['trading']['symbol'] == 'AAPL'295                assert config['trading']['capital'] == 100000296                297            finally:298                os.unlink(tmp_file.name)299    300    def test_system_scalability(self, config):301        """Test system scalability with larger datasets"""302        # Test with larger synthetic dataset303        test_config = config.copy()304        test_config['synthetic_data']['base_price'] = 200.0305        test_config['synthetic_data']['volatility'] = 0.03306        307        result = run(test_config)308        309        assert result['success'] == True310        assert result['data_loaded'] == True311        assert result['signal_generated'] == True312        313        # Check execution time is reasonable314        assert result['execution_time'] < 30  # Should complete within 30 seconds