Add synthApi (#27)
* Add synthApi * Put confidence for Synth proba * Update the code * Update readme * Fix bootstraping * fix github build * Update the endpoints for scenario * Add scenario and update backtest modal * Update bot modal * Update interfaces for synth * add synth to backtest * Add Kelly criterion and better signal * Update signal confidence * update doc * save leaderboard and prediction * Update nswag to generate ApiClient in the correct path * Unify the trading modal * Save miner and prediction * Update messaging and block new signal until position not close when flipping off * Rename strategies to indicators * Update doc * Update chart + add signal name * Fix signal direction * Update docker webui * remove crypto npm * Clean
This commit is contained in:
Oda
540
src/Managing.Infrastructure.Tests/SynthPredictionTests.cs
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540
src/Managing.Infrastructure.Tests/SynthPredictionTests.cs
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using Managing.Application.Abstractions.Repositories;
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using Managing.Application.Synth;
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using Managing.Domain.Bots;
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using Managing.Domain.Candles;
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using Managing.Domain.MoneyManagements;
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using Managing.Domain.Risk;
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using Managing.Domain.Strategies;
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using Managing.Domain.Synth.Models;
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using Managing.Domain.Users;
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using Microsoft.Extensions.Logging;
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using Moq;
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using Xunit;
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using Xunit.Abstractions;
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using static Managing.Common.Enums;
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namespace Managing.Infrastructure.Tests;
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public class SynthPredictionTests
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{
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private readonly ITestOutputHelper _testOutputHelper;
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public SynthPredictionTests(ITestOutputHelper testOutputHelper)
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{
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_testOutputHelper = testOutputHelper;
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}
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/// <summary>
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/// Helper method to create a test signal with realistic candle data
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/// </summary>
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private static Signal CreateTestSignal(Ticker ticker, TradeDirection direction, decimal price,
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DateTime? date = null)
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{
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var signalDate = date ?? DateTime.UtcNow;
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var candle = new Candle
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{
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Date = signalDate,
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Open = price * 0.999m,
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High = price * 1.001m,
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Low = price * 0.998m,
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Close = price,
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BaseVolume = 1000m,
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QuoteVolume = price * 1000m
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};
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return new Signal(
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ticker: ticker,
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direction: direction,
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confidence: Confidence.Medium, // Will be updated by validation
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candle: candle,
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date: signalDate,
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exchange: TradingExchanges.GmxV2,
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indicatorType: IndicatorType.Stc,
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signalType: SignalType.Signal,
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indicatorName: "TestIndicator",
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user: new User { Name = "TestUser" }
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);
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}
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[Fact]
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public async Task GetProbabilityOfTargetPriceAsync_ShouldReturnValidProbability_ForBTC_RealAPI()
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{
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// Arrange - Static values for testing
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const decimal currentBtcPrice = 102000m; // Current BTC price at $102k
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const decimal takeProfitPrice = currentBtcPrice * 1.02m; // 2% TP = $104,040
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const decimal stopLossPrice = currentBtcPrice * 0.99m; // 1% SL = $100,980
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const int timeHorizonHours = 24; // 24 hour forecast
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Console.WriteLine($"🚀 Starting Synth API Test for BTC at ${currentBtcPrice:N0}");
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// Create real API client and service
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var httpClient = new HttpClient();
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var logger = new TestLogger<SynthPredictionService>();
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var synthApiClient = new SynthApiClient(httpClient, new TestLogger<SynthApiClient>());
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var mockSynthRepository = new Mock<ISynthRepository>();
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var synthPredictionService = new SynthPredictionService(synthApiClient, mockSynthRepository.Object, logger);
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// Create configuration for enabled Synth API
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var config = new SynthConfiguration
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{
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IsEnabled = true,
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TopMinersCount = 5, // Use fewer miners for faster testing
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TimeIncrement = 300, // 5 minutes (supported by Synth API)
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DefaultTimeLength = timeHorizonHours * 3600, // 24 hours in seconds
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MaxLiquidationProbability = 0.10m,
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PredictionCacheDurationMinutes = 1 // Short cache for testing
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};
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// Act & Assert - Test Take Profit probability (upward movement for LONG)
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try
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{
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Console.WriteLine("🔍 Fetching Take Profit probability from Synth API...");
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var takeProfitProbability = await synthPredictionService.GetProbabilityOfTargetPriceAsync(
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asset: "BTC",
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currentPrice: currentBtcPrice,
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targetPrice: takeProfitPrice,
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timeHorizonSeconds: timeHorizonHours * 3600,
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isLongPosition: false, // For TP, we want upward movement (opposite of liquidation direction)
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config: config);
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Console.WriteLine($"🎯 Take Profit Analysis (2% gain):");
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Console.WriteLine($"Current Price: ${currentBtcPrice:N0}");
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Console.WriteLine($"Target Price: ${takeProfitPrice:N0}");
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Console.WriteLine($"Probability: {takeProfitProbability:P2}");
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Assert.True(takeProfitProbability >= 0m && takeProfitProbability <= 1m,
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"Take profit probability should be between 0 and 1");
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}
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catch (Exception ex)
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{
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Console.WriteLine($"❌ Take Profit test failed: {ex.Message}");
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Console.WriteLine("⚠️ Skipping Take Profit test due to API issue");
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}
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// Act & Assert - Test Stop Loss probability (downward movement for LONG)
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try
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{
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Console.WriteLine("\n🔍 Fetching Stop Loss probability from Synth API...");
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var stopLossProbability = await synthPredictionService.GetProbabilityOfTargetPriceAsync(
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asset: "BTC",
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currentPrice: currentBtcPrice,
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targetPrice: stopLossPrice,
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timeHorizonSeconds: timeHorizonHours * 3600,
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isLongPosition: true, // For SL in long position, we check downward movement
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config: config);
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Console.WriteLine($"🛑 Stop Loss Analysis (1% loss):");
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Console.WriteLine($"Current Price: ${currentBtcPrice:N0}");
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Console.WriteLine($"Stop Loss Price: ${stopLossPrice:N0}");
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Console.WriteLine($"Liquidation Risk: {stopLossProbability:P2}");
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Assert.True(stopLossProbability >= 0m && stopLossProbability <= 1m,
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"Stop loss probability should be between 0 and 1");
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// Risk assessment - typical risk thresholds
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if (stopLossProbability > 0.20m)
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{
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Console.WriteLine("⚠️ HIGH RISK: Liquidation probability exceeds 20%");
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}
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else if (stopLossProbability > 0.10m)
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{
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Console.WriteLine("⚡ MODERATE RISK: Liquidation probability between 10-20%");
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}
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else
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{
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Console.WriteLine("✅ LOW RISK: Liquidation probability below 10%");
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}
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}
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catch (Exception ex)
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{
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Console.WriteLine($"❌ Stop Loss test failed: {ex.Message}");
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Console.WriteLine("⚠️ Skipping Stop Loss test due to API issue");
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}
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Console.WriteLine($"\n📊 Money Management Summary:");
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Console.WriteLine($"Position: LONG BTC");
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Console.WriteLine($"Entry: ${currentBtcPrice:N0}");
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Console.WriteLine($"Take Profit: ${takeProfitPrice:N0} (+2.00%)");
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Console.WriteLine($"Stop Loss: ${stopLossPrice:N0} (-1.00%)");
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Console.WriteLine($"Risk/Reward Ratio: 1:2");
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Console.WriteLine($"Time Horizon: {timeHorizonHours} hours");
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Console.WriteLine("🏁 Test completed!");
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}
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[Fact]
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public async Task ValidateSignalAsync_ShouldUseCustomThresholds_ForSignalFiltering_RealAPI()
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{
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// Arrange - Static values for custom threshold testing
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const decimal currentBtcPrice = 107300m; // Current BTC price at $105,700
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Console.WriteLine($"🔧 Starting RiskManagement Configuration Test for BTC at ${currentBtcPrice:N0}");
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// Create real API client and service
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var httpClient = new HttpClient();
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var logger = new TestLogger<SynthPredictionService>();
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var synthApiClient = new SynthApiClient(httpClient, new TestLogger<SynthApiClient>());
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var mockSynthRepository = new Mock<ISynthRepository>();
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var synthPredictionService = new SynthPredictionService(synthApiClient, mockSynthRepository.Object, logger);
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// Define test scenarios for both LONG and SHORT signals
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var signalDirections = new[]
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{
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new { Direction = TradeDirection.Long, Name = "LONG" },
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new { Direction = TradeDirection.Short, Name = "SHORT" }
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};
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// Define RiskManagement configurations to test
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var riskConfigs = new[]
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{
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new
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{
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Name = "Default (Moderate)",
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RiskConfig = new RiskManagement
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{
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AdverseProbabilityThreshold = 0.25m, // 25% - balanced threshold
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FavorableProbabilityThreshold = 0.30m, // 30% - reasonable expectation
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RiskAversion = 1.5m, // Moderate risk aversion
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KellyMinimumThreshold = 0.02m, // 2% - practical minimum
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KellyMaximumCap = 0.20m, // 20% - reasonable maximum
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KellyFractionalMultiplier = 0.75m, // 75% of Kelly (conservative)
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RiskTolerance = RiskToleranceLevel.Moderate
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}
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},
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new
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{
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Name = "Conservative",
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RiskConfig = new RiskManagement
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{
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AdverseProbabilityThreshold = 0.20m, // 20% - stricter threshold
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FavorableProbabilityThreshold = 0.40m, // 40% - higher TP expectation
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RiskAversion = 2.0m, // Higher risk aversion
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KellyMinimumThreshold = 0.03m, // 3% - higher minimum
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KellyMaximumCap = 0.15m, // 15% - lower maximum
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KellyFractionalMultiplier = 0.50m, // 50% of Kelly (very conservative)
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RiskTolerance = RiskToleranceLevel.Conservative
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}
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},
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new
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{
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Name = "Aggressive",
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RiskConfig = new RiskManagement
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{
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AdverseProbabilityThreshold = 0.35m, // 35% - more permissive
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FavorableProbabilityThreshold = 0.25m, // 25% - lower TP barrier
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RiskAversion = 1.0m, // Lower risk aversion
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KellyMinimumThreshold = 0.01m, // 1% - lower minimum
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KellyMaximumCap = 0.30m, // 30% - higher maximum
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KellyFractionalMultiplier = 1.0m, // 100% of Kelly (full Kelly)
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RiskTolerance = RiskToleranceLevel.Aggressive
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}
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},
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new
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{
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Name = "Moderate-Plus",
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RiskConfig = new RiskManagement
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{
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AdverseProbabilityThreshold = 0.30m, // 30% - slightly more permissive
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FavorableProbabilityThreshold = 0.35m, // 35% - balanced expectation
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RiskAversion = 1.2m, // Slightly less risk-averse
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KellyMinimumThreshold = 0.015m, // 1.5% - practical minimum
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KellyMaximumCap = 0.25m, // 25% - reasonable maximum
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KellyFractionalMultiplier = 0.85m, // 85% of Kelly
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RiskTolerance = RiskToleranceLevel.Moderate
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}
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},
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new
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{
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Name = "Risk-Focused",
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RiskConfig = new RiskManagement
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{
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AdverseProbabilityThreshold = 0.18m, // 18% - tight risk control
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FavorableProbabilityThreshold = 0.45m, // 45% - high TP requirement
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RiskAversion = 2.5m, // High risk aversion
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KellyMinimumThreshold = 0.025m, // 2.5% - higher minimum
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KellyMaximumCap = 0.12m, // 12% - very conservative maximum
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KellyFractionalMultiplier = 0.40m, // 40% of Kelly (very conservative)
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RiskTolerance = RiskToleranceLevel.Conservative
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}
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},
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new
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{
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Name = "Ultra-Conservative",
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RiskConfig = new RiskManagement
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{
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AdverseProbabilityThreshold = 0.16m, // 16% - very strict threshold (should trigger some LOWs)
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FavorableProbabilityThreshold = 0.60m, // 60% - very high TP requirement
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RiskAversion = 3.5m, // Very high risk aversion
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KellyMinimumThreshold = 0.04m, // 4% - high minimum barrier
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KellyMaximumCap = 0.08m, // 8% - very low maximum (forces heavy capping)
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KellyFractionalMultiplier = 0.25m, // 25% of Kelly (ultra conservative)
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RiskTolerance = RiskToleranceLevel.Conservative
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}
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},
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new
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{
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Name =
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"Paranoid-Blocking",
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RiskConfig = new RiskManagement
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{
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AdverseProbabilityThreshold = 0.12m, // 12% - very strict (should block 22-25% SL signals)
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FavorableProbabilityThreshold = 0.60m, // 60% - very high TP requirement
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RiskAversion = 4.0m, // Extremely high risk aversion
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KellyMinimumThreshold = 0.05m, // 5% - very high minimum
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KellyMaximumCap = 0.06m, // 6% - extremely conservative maximum
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KellyFractionalMultiplier = 0.15m, // 15% of Kelly (extremely conservative)
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RiskTolerance = RiskToleranceLevel.Conservative,
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SignalValidationTimeHorizonHours = 24
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}
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},
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new
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{
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Name = "Extreme-Blocking",
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RiskConfig = new RiskManagement
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{
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AdverseProbabilityThreshold = 0.08m, // 8% - extremely strict (will block 22-25% SL signals)
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FavorableProbabilityThreshold = 0.70m, // 70% - extremely high TP requirement
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RiskAversion = 5.0m, // Maximum risk aversion
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KellyMinimumThreshold = 0.08m, // 8% - very high minimum
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KellyMaximumCap = 0.05m, // 5% - extremely small maximum
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KellyFractionalMultiplier = 0.10m, // 10% of Kelly (ultra-conservative)
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RiskTolerance = RiskToleranceLevel.Conservative,
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SignalValidationTimeHorizonHours = 24
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}
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}
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};
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// Store results for summary
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var testResults =
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new Dictionary<string, Dictionary<string, SignalValidationResult>>();
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// Test each RiskManagement configuration with both LONG and SHORT signals
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foreach (var configTest in riskConfigs)
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{
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Console.WriteLine($"\n📊 Testing {configTest.Name})");
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testResults[configTest.Name] =
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new Dictionary<string, SignalValidationResult>();
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// Create bot configuration with the specific RiskManagement
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var botConfig = new TradingBotConfig
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{
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BotTradingBalance = 50000m, // $50k trading balance for realistic utility calculations
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Timeframe = Timeframe.FifteenMinutes,
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UseSynthApi = true,
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UseForSignalFiltering = true,
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UseForPositionSizing = true,
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UseForDynamicStopLoss = false,
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RiskManagement = configTest.RiskConfig, // Use the specific risk configuration
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MoneyManagement = new MoneyManagement
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{
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Name = "Test Money Management",
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StopLoss = 0.02m, // 2% stop loss
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TakeProfit = 0.022m, // 4% take profit (1:2 risk/reward ratio)
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Leverage = 10m,
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Timeframe = Timeframe.FifteenMinutes
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}
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};
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foreach (var signal in signalDirections)
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{
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try
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{
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Console.WriteLine($" 🎯 {signal.Name} Signal Test");
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// Create a test signal for this direction
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var testSignal = CreateTestSignal(Ticker.BTC, signal.Direction, currentBtcPrice);
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var result = await synthPredictionService.ValidateSignalAsync(
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signal: testSignal,
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currentPrice: currentBtcPrice,
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botConfig: botConfig,
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isBacktest: false,
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customThresholds: null); // No custom thresholds - use RiskManagement config
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testResults[configTest.Name][signal.Name] = result;
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Console.WriteLine($" 🎯 Confidence: {result.Confidence}");
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Console.WriteLine(
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$" 📊 SL Risk: {result.StopLossProbability:P2} | TP Prob: {result.TakeProfitProbability:P2}");
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Console.WriteLine(
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$" 🎲 TP/SL Ratio: {result.TpSlRatio:F2}x | Win/Loss: {result.WinLossRatio:F2}:1");
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Console.WriteLine($" 💰 Expected Value: ${result.ExpectedMonetaryValue:F2}");
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Console.WriteLine($" 🧮 Expected Utility: {result.ExpectedUtility:F4}");
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Console.WriteLine(
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$" 🎯 Kelly: {result.KellyFraction:P2} (Capped: {result.KellyCappedFraction:P2})");
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Console.WriteLine($" 📊 Kelly Assessment: {result.KellyAssessment}");
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Console.WriteLine($" ✅ Kelly Favorable: {result.IsKellyFavorable(configTest.RiskConfig)}");
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Console.WriteLine($" 🚫 Blocked: {result.IsBlocked}");
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// Debug: Show actual probability values and threshold comparison
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var adverseThreshold = configTest.RiskConfig.AdverseProbabilityThreshold;
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Console.WriteLine(
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$" 🔍 DEBUG - SL: {result.StopLossProbability:F4} | TP: {result.TakeProfitProbability:F4} | Threshold: {adverseThreshold:F4}");
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Console.WriteLine(
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$" 🔍 DEBUG - SL > Threshold: {result.StopLossProbability > adverseThreshold} | TP > SL: {result.TakeProfitProbability > result.StopLossProbability}");
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// Assert that the method works with RiskManagement configuration
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Assert.True(Enum.IsDefined(typeof(Confidence), result.Confidence),
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$"{configTest.Name} - {signal.Name} signal should return a valid Confidence level");
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// Assert that Kelly calculations were performed
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Assert.True(result.KellyFraction >= 0, "Kelly fraction should be non-negative");
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Assert.True(result.KellyCappedFraction >= 0, "Capped Kelly fraction should be non-negative");
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// Assert that Expected Utility calculations were performed
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Assert.True(result.TradingBalance > 0, "Trading balance should be set from bot config");
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Assert.Equal(botConfig.BotTradingBalance, result.TradingBalance);
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}
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catch (Exception ex)
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{
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Console.WriteLine($" ❌ {signal.Name} signal test failed: {ex.Message}");
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// Create a fallback result for error cases
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testResults[configTest.Name][signal.Name] = new SignalValidationResult
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{
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Confidence = Confidence.High, // Default to high confidence on error
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ValidationContext = $"Error: {ex.Message}"
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};
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||||
}
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}
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}
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// Display comprehensive results summary
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Console.WriteLine($"\n📈 Comprehensive RiskManagement Configuration Test Summary:");
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Console.WriteLine($"Asset: BTC | Price: ${currentBtcPrice:N0} | Trading Balance: ${50000:N0}");
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Console.WriteLine($"Stop Loss: 2.0% | Take Profit: 4.0% | Risk/Reward Ratio: 1:2.0");
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_testOutputHelper.WriteLine($"\n🎯 Results Matrix:");
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_testOutputHelper.WriteLine(
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$"{"Configuration",-20} {"LONG Confidence",-15} {"LONG Kelly",-12} {"SHORT Confidence",-16} {"SHORT Kelly",-12}");
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_testOutputHelper.WriteLine(new string('-', 85));
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foreach (var configTest in riskConfigs)
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{
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var longResult = testResults[configTest.Name].GetValueOrDefault("LONG");
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var shortResult = testResults[configTest.Name].GetValueOrDefault("SHORT");
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var longConf = longResult?.Confidence ?? Confidence.None;
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var shortConf = shortResult?.Confidence ?? Confidence.None;
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var longKelly = longResult?.KellyCappedFraction ?? 0m;
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var shortKelly = shortResult?.KellyCappedFraction ?? 0m;
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_testOutputHelper.WriteLine(
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$"{configTest.Name,-20} {GetConfidenceDisplay(longConf),-15} {longKelly,-12:P1} {GetConfidenceDisplay(shortConf),-16} {shortKelly,-12:P1}");
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||||
}
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||||
|
||||
// Display detailed ValidationContext for each configuration and direction
|
||||
Console.WriteLine($"\n📊 Detailed Analysis Results:");
|
||||
Console.WriteLine(new string('=', 120));
|
||||
|
||||
foreach (var configTest in riskConfigs)
|
||||
{
|
||||
Console.WriteLine($"\n🔧 {configTest.Name}");
|
||||
Console.WriteLine(new string('-', 80));
|
||||
|
||||
var longResult = testResults[configTest.Name].GetValueOrDefault("LONG");
|
||||
var shortResult = testResults[configTest.Name].GetValueOrDefault("SHORT");
|
||||
|
||||
if (longResult != null)
|
||||
{
|
||||
Console.WriteLine($"📈 LONG Signal Analysis:");
|
||||
Console.WriteLine($" Context: {longResult.ValidationContext ?? "N/A"}");
|
||||
Console.WriteLine(
|
||||
$" Confidence: {GetConfidenceDisplay(longResult.Confidence)} | Blocked: {longResult.IsBlocked}");
|
||||
Console.WriteLine(
|
||||
$" Kelly Assessment: {longResult.KellyAssessment} | Kelly Favorable: {longResult.IsKellyFavorable(configTest.RiskConfig)}");
|
||||
if (longResult.TradingBalance > 0)
|
||||
{
|
||||
Console.WriteLine(
|
||||
$" Trading Balance: ${longResult.TradingBalance:N0} | Risk Assessment: {longResult.GetUtilityRiskAssessment()}");
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
Console.WriteLine($"📈 LONG Signal Analysis: ERROR - No result available");
|
||||
}
|
||||
|
||||
Console.WriteLine(); // Empty line for separation
|
||||
|
||||
if (shortResult != null)
|
||||
{
|
||||
Console.WriteLine($"📉 SHORT Signal Analysis:");
|
||||
Console.WriteLine($" Context: {shortResult.ValidationContext ?? "N/A"}");
|
||||
Console.WriteLine(
|
||||
$" Confidence: {GetConfidenceDisplay(shortResult.Confidence)} | Blocked: {shortResult.IsBlocked}");
|
||||
Console.WriteLine(
|
||||
$" Kelly Assessment: {shortResult.KellyAssessment} | Kelly Favorable: {shortResult.IsKellyFavorable(configTest.RiskConfig)}");
|
||||
if (shortResult.TradingBalance > 0)
|
||||
{
|
||||
Console.WriteLine(
|
||||
$" Trading Balance: ${shortResult.TradingBalance:N0} | Risk Assessment: {shortResult.GetUtilityRiskAssessment()}");
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
Console.WriteLine($"📉 SHORT Signal Analysis: ERROR - No result available");
|
||||
}
|
||||
}
|
||||
|
||||
Console.WriteLine($"\n📊 Risk Configuration Analysis:");
|
||||
Console.WriteLine($"• Default: Balanced 20% adverse threshold, 1% Kelly minimum");
|
||||
Console.WriteLine($"• Conservative: Strict 15% adverse, 2% Kelly min, half-Kelly multiplier");
|
||||
Console.WriteLine($"• Aggressive: Permissive 30% adverse, 0.5% Kelly min, full Kelly");
|
||||
Console.WriteLine($"• Custom Permissive: Very permissive 35% adverse, low barriers");
|
||||
Console.WriteLine($"• Custom Strict: Very strict 10% adverse, high barriers, conservative sizing");
|
||||
|
||||
Console.WriteLine($"\n💡 Key Insights:");
|
||||
Console.WriteLine($"• Conservative configs should block more signals (lower confidence)");
|
||||
Console.WriteLine($"• Aggressive configs should allow more signals (higher confidence)");
|
||||
Console.WriteLine($"• Kelly fractions should vary based on risk tolerance settings");
|
||||
Console.WriteLine($"• Expected Utility should reflect trading balance and risk aversion");
|
||||
|
||||
// Verify that we have results for all configurations and directions
|
||||
foreach (var configTest in riskConfigs)
|
||||
{
|
||||
foreach (var signal in signalDirections)
|
||||
{
|
||||
Assert.True(testResults.ContainsKey(configTest.Name) &&
|
||||
testResults[configTest.Name].ContainsKey(signal.Name),
|
||||
$"Should have test result for {configTest.Name} - {signal.Name}");
|
||||
|
||||
var result = testResults[configTest.Name][signal.Name];
|
||||
Assert.NotNull(result);
|
||||
Assert.True(result.TradingBalance > 0, "Trading balance should be populated from bot config");
|
||||
}
|
||||
}
|
||||
|
||||
Console.WriteLine("🏁 Comprehensive RiskManagement Configuration Test completed!");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Helper method to display confidence levels with emojis
|
||||
/// </summary>
|
||||
/// <param name="confidence">Confidence level</param>
|
||||
/// <returns>Formatted confidence display</returns>
|
||||
private static string GetConfidenceDisplay(Confidence confidence)
|
||||
{
|
||||
return confidence switch
|
||||
{
|
||||
Confidence.High => "🟢 HIGH",
|
||||
Confidence.Medium => "🟡 MEDIUM",
|
||||
Confidence.Low => "🟠 LOW",
|
||||
Confidence.None => "🔴 NONE",
|
||||
_ => "❓ UNKNOWN"
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
// Simple test logger implementation
|
||||
public class TestLogger<T> : ILogger<T>
|
||||
{
|
||||
public IDisposable BeginScope<TState>(TState state) => null;
|
||||
public bool IsEnabled(LogLevel logLevel) => true;
|
||||
|
||||
public void Log<TState>(LogLevel logLevel, EventId eventId, TState state, Exception exception,
|
||||
Func<TState, Exception, string> formatter)
|
||||
{
|
||||
// Silent logger for tests - output goes to Console.WriteLine
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user