ritmex-bot/tests/basis-arb-engine.test.ts

import { describe, expect, it, vi } from "vitest";
import type { ExchangeAdapter } from "../src/exchanges/adapter";
import type {
  AsterAccountSnapshot,
  AsterDepth,
  AsterKline,
  AsterOrder,
  AsterTicker,
} from "../src/exchanges/types";
import { BasisArbEngine } from "../src/strategy/basis-arb-engine";

class StubAdapter implements ExchangeAdapter {
  id = "aster";
  private depthHandler: ((depth: AsterDepth) => void) | null = null;

  supportsTrailingStops(): boolean {
    return false;
  }

  watchAccount(_cb: (snapshot: AsterAccountSnapshot) => void): void {
    // not required for this test
  }

  watchOrders(_cb: (orders: AsterOrder[]) => void): void {
    // not required for this test
  }

  watchDepth(_symbol: string, cb: (depth: AsterDepth) => void): void {
    this.depthHandler = cb;
  }

  emitDepth(depth: AsterDepth): void {
    this.depthHandler?.(depth);
  }

  watchTicker(_symbol: string, _cb: (ticker: AsterTicker) => void): void {
    // not required for this test
  }

  watchKlines(_symbol: string, _interval: string, _cb: (klines: AsterKline[]) => void): void {
    // not required for this test
  }

  createOrder(): Promise<AsterOrder> {
    throw new Error("not implemented");
  }

  cancelOrder(_params: { symbol: string; orderId: number | string }): Promise<void> {
    return Promise.resolve();
  }

  cancelOrders(_params: { symbol: string; orderIdList: Array<number | string> }): Promise<void> {
    return Promise.resolve();
  }

  cancelAllOrders(_params: { symbol: string }): Promise<void> {
    return Promise.resolve();
  }
}

describe("BasisArbEngine", () => {
  it("computes spreads after receiving futures depth and spot quotes", async () => {
    const adapter = new StubAdapter();
    const spotClient = {
      getBookTicker: vi.fn().mockResolvedValue({
        symbol: "ASTERUSDT",
        bidPrice: "1.0000",
        bidQty: "1",
        askPrice: "1.0500",
        askQty: "1",
        time: 2_000,
      }),
    };

    const engine = new BasisArbEngine(
      {
        futuresSymbol: "ASTERUSDT",
        spotSymbol: "ASTERUSDT",
        refreshIntervalMs: 1_000,
        maxLogEntries: 10,
        takerFeeRate: 0.0004,
      },
      adapter,
      {
        spotClient,
        now: () => 1_000,
      }
    );

    engine.start();

    adapter.emitDepth({
      lastUpdateId: 1,
      bids: [["1.0400", "1"]],
      asks: [["1.0600", "1"]],
      eventTime: 1_500,
    });

    await vi.waitFor(() => {
      expect(spotClient.getBookTicker).toHaveBeenCalled();
      const snap = engine.getSnapshot();
      expect(snap.spotBid).not.toBeNull();
      expect(snap.futuresBid).not.toBeNull();
    });

    const snapshot = engine.getSnapshot();
    expect(snapshot.spread).toBeCloseTo(1.04 - 1.05, 6);
    expect(snapshot.spreadBps).toBeCloseTo(((1.04 - 1.05) / 1.05) * 10_000, 6);
    const fee = 0.0004;
    const effectiveFee = fee * 2;
    const expectedNet = 1.04 * (1 - effectiveFee) - 1.05 * (1 + effectiveFee);
    expect(snapshot.netSpread).toBeCloseTo(expectedNet, 6);
    expect(snapshot.netSpreadBps).toBeCloseTo((expectedNet / 1.05) * 10_000, 6);
    expect(snapshot.feedStatus).toEqual({ futures: true, spot: true });
    expect(snapshot.opportunity).toBe(expectedNet >= 0);

    engine.stop();
  });
});