cob integration (wip)
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Dobromir Popov
201
test_enhanced_cob_integration.py
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201
test_enhanced_cob_integration.py
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#!/usr/bin/env python3
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"""
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Test Enhanced COB Integration with RL and CNN Models
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This script tests the integration of Consolidated Order Book (COB) data
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with the real-time RL and CNN training pipeline.
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"""
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import asyncio
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import logging
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import sys
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from pathlib import Path
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import numpy as np
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import time
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from datetime import datetime
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# Add project root to path
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project_root = Path(__file__).parent
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sys.path.insert(0, str(project_root))
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from core.config import setup_logging
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from core.data_provider import DataProvider
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from core.enhanced_orchestrator import EnhancedTradingOrchestrator
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from core.cob_integration import COBIntegration
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# Setup logging
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setup_logging()
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logger = logging.getLogger(__name__)
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class COBMLIntegrationTester:
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"""Test COB integration with ML models"""
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def __init__(self):
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self.symbols = ['BTC/USDT', 'ETH/USDT']
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self.data_provider = DataProvider()
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self.test_results = {}
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async def test_cob_ml_integration(self):
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"""Test full COB integration with ML pipeline"""
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logger.info("=" * 60)
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logger.info("TESTING COB INTEGRATION WITH RL AND CNN MODELS")
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logger.info("=" * 60)
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try:
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# Initialize enhanced orchestrator with COB integration
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logger.info("1. Initializing Enhanced Trading Orchestrator with COB...")
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orchestrator = EnhancedTradingOrchestrator(
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data_provider=self.data_provider,
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symbols=self.symbols,
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enhanced_rl_training=True,
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model_registry={}
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)
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# Start COB integration
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logger.info("2. Starting COB Integration...")
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await orchestrator.start_cob_integration()
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await asyncio.sleep(5) # Allow startup and data collection
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# Test COB feature generation
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logger.info("3. Testing COB feature generation...")
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await self._test_cob_features(orchestrator)
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# Test market state with COB data
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logger.info("4. Testing market state with COB data...")
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await self._test_market_state_cob(orchestrator)
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# Test real-time COB callbacks
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logger.info("5. Testing real-time COB callbacks...")
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await self._test_realtime_callbacks(orchestrator)
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# Stop COB integration
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await orchestrator.stop_cob_integration()
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# Print results
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self._print_test_results()
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except Exception as e:
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logger.error(f"Error in COB ML integration test: {e}")
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import traceback
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logger.error(traceback.format_exc())
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async def _test_cob_features(self, orchestrator):
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"""Test COB feature availability"""
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try:
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for symbol in self.symbols:
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# Check if COB features are available
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cob_features = orchestrator.latest_cob_features.get(symbol)
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cob_state = orchestrator.latest_cob_state.get(symbol)
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if cob_features is not None:
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logger.info(f"✅ {symbol}: COB CNN features available - shape: {cob_features.shape}")
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self.test_results[f'{symbol}_cob_cnn_features'] = True
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else:
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logger.warning(f"⚠️ {symbol}: COB CNN features not available")
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self.test_results[f'{symbol}_cob_cnn_features'] = False
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if cob_state is not None:
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logger.info(f"✅ {symbol}: COB DQN state available - shape: {cob_state.shape}")
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self.test_results[f'{symbol}_cob_dqn_state'] = True
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else:
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logger.warning(f"⚠️ {symbol}: COB DQN state not available")
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self.test_results[f'{symbol}_cob_dqn_state'] = False
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except Exception as e:
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logger.error(f"Error testing COB features: {e}")
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async def _test_market_state_cob(self, orchestrator):
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"""Test market state includes COB data"""
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try:
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# Generate market states with COB data
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from core.universal_data_adapter import UniversalDataAdapter
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adapter = UniversalDataAdapter(self.data_provider)
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universal_stream = await adapter.get_universal_stream(['BTC/USDT', 'ETH/USDT'])
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market_states = await orchestrator._get_all_market_states_universal(universal_stream)
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for symbol in self.symbols:
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if symbol in market_states:
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state = market_states[symbol]
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# Check COB integration in market state
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tests = [
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('cob_features', state.cob_features is not None),
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('cob_state', state.cob_state is not None),
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('order_book_imbalance', hasattr(state, 'order_book_imbalance')),
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('liquidity_depth', hasattr(state, 'liquidity_depth')),
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('exchange_diversity', hasattr(state, 'exchange_diversity')),
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('market_impact_estimate', hasattr(state, 'market_impact_estimate'))
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]
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for test_name, passed in tests:
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status = "✅" if passed else "❌"
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logger.info(f"{status} {symbol}: {test_name} - {passed}")
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self.test_results[f'{symbol}_market_state_{test_name}'] = passed
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# Log COB metrics if available
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if hasattr(state, 'order_book_imbalance'):
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logger.info(f"📊 {symbol} COB Metrics:")
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logger.info(f" Order Book Imbalance: {state.order_book_imbalance:.4f}")
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logger.info(f" Liquidity Depth: ${state.liquidity_depth:,.0f}")
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logger.info(f" Exchange Diversity: {state.exchange_diversity}")
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logger.info(f" Market Impact (10k): {state.market_impact_estimate:.4f}%")
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except Exception as e:
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logger.error(f"Error testing market state COB: {e}")
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async def _test_realtime_callbacks(self, orchestrator):
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"""Test real-time COB callbacks"""
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try:
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# Monitor COB callbacks for 10 seconds
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initial_features = {s: len(orchestrator.cob_feature_history[s]) for s in self.symbols}
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logger.info("Monitoring COB callbacks for 10 seconds...")
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await asyncio.sleep(10)
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final_features = {s: len(orchestrator.cob_feature_history[s]) for s in self.symbols}
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for symbol in self.symbols:
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updates = final_features[symbol] - initial_features[symbol]
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if updates > 0:
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logger.info(f"✅ {symbol}: Received {updates} COB feature updates")
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self.test_results[f'{symbol}_realtime_callbacks'] = True
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else:
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logger.warning(f"⚠️ {symbol}: No COB feature updates received")
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self.test_results[f'{symbol}_realtime_callbacks'] = False
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except Exception as e:
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logger.error(f"Error testing realtime callbacks: {e}")
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def _print_test_results(self):
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"""Print comprehensive test results"""
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logger.info("=" * 60)
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logger.info("COB ML INTEGRATION TEST RESULTS")
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logger.info("=" * 60)
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passed = sum(1 for result in self.test_results.values() if result)
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total = len(self.test_results)
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logger.info(f"Overall: {passed}/{total} tests passed ({passed/total*100:.1f}%)")
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logger.info("")
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for test_name, result in self.test_results.items():
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status = "✅ PASS" if result else "❌ FAIL"
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logger.info(f"{status}: {test_name}")
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logger.info("=" * 60)
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if passed == total:
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logger.info("🎉 ALL TESTS PASSED - COB ML INTEGRATION WORKING!")
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elif passed > total * 0.8:
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logger.info("⚠️ MOSTLY WORKING - Some minor issues detected")
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else:
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logger.warning("🚨 INTEGRATION ISSUES - Significant problems detected")
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async def main():
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"""Run COB ML integration tests"""
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tester = COBMLIntegrationTester()
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await tester.test_cob_ml_integration()
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if __name__ == "__main__":
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asyncio.run(main())
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