| # SPDX-License-Identifier: LicenseRef-PolyForm-Noncommercial-1.0.0 (see LICENSE)
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| """Property test of the sizing rules, on random symbols and setups (no terminal needed).
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| python3 tests/check_sizing.py [cases] default 200000, fixed seed
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| For every random case it checks: the money lost at the stop never exceeds the risk asked; it is within one lot step
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| of it (when a lot can be given); the lot is a whole number of lot steps, never below the minimum and never above the
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| maximum; a risk too small for the minimum lot gives 0 plus a note instead of a rounded-up lot."""
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| import random
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| import sys
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| from pathlib import Path
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|
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| sys.path.insert(0, str(Path(__file__).parent))
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| from reference import Symbol, size, loss_per_lot, tick_price # noqa: E402
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|
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| # (name, tick size, tick value per lot, price level, typical stop in ticks)
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| KINDS = [("fx5", 0.00001, 1.0, 1.1, 150), ("jpy3", 0.001, 0.65, 150.0, 150), ("gold2", 0.01, 1.0, 3000.0, 800),
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| ("index1", 0.1, 0.1, 20000.0, 400), ("crypto2", 0.01, 0.01, 90000.0, 200000), ("fx3", 0.001, 1.0, 1.5, 100)]
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| STEPS = [(0.01, 0.01), (0.01, 0.1), (0.001, 0.001), (1.0, 1.0), (0.1, 0.1)] # (vol_step, vol_min)
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| def main(n):
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| rng = random.Random(20261021)
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| bad = []
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| stats = dict(sized=0, below_min=0, capped=0)
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| worst_gap = 0.0
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| for i in range(n):
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| name, ts, tv, lvl, stop_ticks = rng.choice(KINDS)
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| step, vmin = rng.choice(STEPS)
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| vmax = rng.choice([50.0, 100.0, 500.0])
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| sym = Symbol(ts, tv * rng.uniform(0.5, 1.5), step, vmin, vmax)
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| entry = lvl * rng.uniform(0.9, 1.1)
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| d = ts * max(2, rng.uniform(0.3, 3.0) * stop_ticks)
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| sl = entry - d if rng.random() < 0.5 else entry + d
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| risk = rng.choice([10, 25, 50, 100, 250, 1000, 5000]) * rng.uniform(0.2, 2.0)
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| lots, real, note = size(sym, entry, sl, risk)
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| lpl = loss_per_lot(sym, tick_price(sym, entry), tick_price(sym, sl))
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| if lots > 0:
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| stats["sized"] += 1
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| if lots * lpl > risk * (1 + 1e-9) and lots < vmax:
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| bad.append((i, "risk exceeded", name, lots, lots * lpl, risk))
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| if lots >= vmax - 1e-9:
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| stats["capped"] += 1
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| elif risk - lots * lpl >= step * lpl * (1 + 1e-9):
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| bad.append((i, "more than one lot step under the risk", name, lots, lots * lpl, risk))
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| else:
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| worst_gap = max(worst_gap, (risk - lots * lpl) / (step * lpl))
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| k = lots / step
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| if abs(k - round(k)) > 1e-6:
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| bad.append((i, "not a whole number of steps", name, lots, step))
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| if lots < vmin - 1e-12 or lots > vmax + 1e-12:
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| bad.append((i, "outside min/max", name, lots, vmin, vmax))
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| else:
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| stats["below_min"] += 1
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| if note != "min lot" or risk / lpl >= vmin + 1e-9:
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| bad.append((i, "zero lot without a good reason", name, lots, note, risk, lpl))
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| print(f"cases: {n}")
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| print(f"sized: {stats['sized']} (capped at the maximum lot: {stats['capped']})")
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| print(f"below the minimum lot (answered 0 + note): {stats['below_min']}")
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| print(f"largest shortfall under the risk, in lot steps: {worst_gap:.6f} (must stay under 1)")
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| print(f"violations: {len(bad)}")
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| for b in bad[:10]:
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| print(" ", b)
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| print("RESULT:", "PASS" if not bad else "FAIL")
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| return 0 if not bad else 1
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| if __name__ == "__main__":
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| sys.exit(main(int(sys.argv[1]) if len(sys.argv) > 1 else 200000))
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