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Phase 3: Trading-Kern (Risk, Execution, Portfolio) mit sicherem Broker-Default

- Core/Trading/TradingModels: Signal, Order(Request/Result), RiskContext/Decision,
  Account, Position, Quote, ExecutionResult, Enums (Side/OrderType/Mode)
- IBrokerClient + NullBrokerClient (sicherer Default, handelt NIE bis IBKR-Adapter verifiziert)
- RiskService (+IRiskService): Sizing nach MaxTrade%, Modul-Limit, Slippage; Buy/Sell
- PortfolioService (+IPortfolioService): core_position + core_trade_history + core_budget
- ExecutionService (+IExecutionService): Signal -> Kurs -> Konto -> Risiko -> Order -> Buchung
- TradingSettings in AppSettings (Paper/Live, TradingEnabled, Risikoparameter)
- CoreMigrations: core_position; DI-Registrierung der Trading-Services
- Tests: RiskService (11) + ExecutionService (6, NSubstitute) -> 38/38 gruen

Offen (bewusst gekapselt): echter IbkrBrokerClient gegen Client-Portal-Gateway (manuell verifizieren).

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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This commit is contained in:
Richard
2026-07-27 11:33:59 +02:00
parent d0bc833235
commit 2ad4b55db1
15 changed files with 833 additions and 8 deletions
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IBKRTrader.Tests/Trading/ExecutionServiceTests.cs
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using FluentAssertions;
using IBKRTrader.Core.Logging;
using IBKRTrader.Core.Settings;
using IBKRTrader.Core.Trading;
using NSubstitute;
namespace IBKRTrader.Tests.Trading;
[Trait("cat", "unit")]
public class ExecutionServiceTests
{
private readonly IBrokerClient _broker = Substitute.For<IBrokerClient>();
private readonly IRiskService _risk = Substitute.For<IRiskService>();
private readonly IPortfolioService _portfolio = Substitute.For<IPortfolioService>();
private readonly SettingsService _settings = new();
private ExecutionService CreateSut() =>
new(_broker, _risk, _portfolio, _settings, new LoggingService());
private static readonly TradeSignal BuySignal = new()
{
Symbol = "AAPL", Side = TradeSide.Buy, SourceModule = "CT"
};
private void EnableTrading() => _settings.Settings.Trading.TradingEnabled = true;
private void ArrangeHappyPath()
{
EnableTrading();
_broker.GetQuoteAsync(Arg.Any<string>(), Arg.Any<CancellationToken>())
.Returns(Task.FromResult<Quote?>(new Quote("AAPL", 100m, 99m, 101m)));
_broker.GetAccountStateAsync(Arg.Any<CancellationToken>())
.Returns(Task.FromResult(new AccountState(10_000m, 10_000m)));
_portfolio.GetModuleExposureAsync(Arg.Any<string>(), Arg.Any<CancellationToken>())
.Returns(Task.FromResult(0m));
_portfolio.GetPositionQuantityAsync(Arg.Any<string>(), Arg.Any<string>(), Arg.Any<CancellationToken>())
.Returns(Task.FromResult(0));
_risk.Evaluate(Arg.Any<TradeSignal>(), Arg.Any<RiskContext>(), Arg.Any<RiskParameters>())
.Returns(RiskDecision.Approve(5));
_broker.PlaceOrderAsync(Arg.Any<OrderRequest>(), Arg.Any<CancellationToken>())
.Returns(Task.FromResult(OrderResult.Filled("O1", 5, 100m)));
}
[Fact]
public async Task TradingDisabled_Skips_WithoutTouchingBroker()
{
// TradingEnabled ist standardmäßig false
var result = await CreateSut().ExecuteAsync(BuySignal);
result.Action.Should().Be("SKIP");
await _broker.DidNotReceive().PlaceOrderAsync(Arg.Any<OrderRequest>(), Arg.Any<CancellationToken>());
}
[Fact]
public async Task NoQuote_Skips()
{
EnableTrading();
_broker.GetQuoteAsync(Arg.Any<string>(), Arg.Any<CancellationToken>())
.Returns(Task.FromResult<Quote?>(null));
var result = await CreateSut().ExecuteAsync(BuySignal);
result.Action.Should().Be("SKIP");
await _broker.DidNotReceive().PlaceOrderAsync(Arg.Any<OrderRequest>(), Arg.Any<CancellationToken>());
}
[Fact]
public async Task RiskRejects_Skips_WithReason()
{
EnableTrading();
_broker.GetQuoteAsync(Arg.Any<string>(), Arg.Any<CancellationToken>())
.Returns(Task.FromResult<Quote?>(new Quote("AAPL", 100m, 99m, 101m)));
_broker.GetAccountStateAsync(Arg.Any<CancellationToken>())
.Returns(Task.FromResult(new AccountState(10_000m, 10_000m)));
_risk.Evaluate(Arg.Any<TradeSignal>(), Arg.Any<RiskContext>(), Arg.Any<RiskParameters>())
.Returns(RiskDecision.Reject("Modul-Limit überschritten."));
var result = await CreateSut().ExecuteAsync(BuySignal);
result.Action.Should().Be("SKIP");
result.Reason.Should().Contain("Modul-Limit");
await _broker.DidNotReceive().PlaceOrderAsync(Arg.Any<OrderRequest>(), Arg.Any<CancellationToken>());
}
[Fact]
public async Task HappyPath_PlacesOrder_AndBooksFill()
{
ArrangeHappyPath();
var result = await CreateSut().ExecuteAsync(BuySignal);
result.Executed.Should().BeTrue();
result.Order!.OrderId.Should().Be("O1");
await _portfolio.Received(1).RecordFillAsync(
"CT", "AAPL", TradeSide.Buy, 5, 100m, "O1", Arg.Any<CancellationToken>());
}
[Fact]
public async Task HappyPath_MarketOrder_WhenNoLimitPrice()
{
ArrangeHappyPath();
await CreateSut().ExecuteAsync(BuySignal);
await _broker.Received(1).PlaceOrderAsync(
Arg.Is<OrderRequest>(o => o.Type == OrderType.Market && o.Quantity == 5),
Arg.Any<CancellationToken>());
}
[Fact]
public async Task OrderFails_ReturnsError_AndDoesNotBook()
{
ArrangeHappyPath();
_broker.PlaceOrderAsync(Arg.Any<OrderRequest>(), Arg.Any<CancellationToken>())
.Returns(Task.FromResult(OrderResult.Fail("Broker abgelehnt")));
var result = await CreateSut().ExecuteAsync(BuySignal);
result.Action.Should().Be("ERROR");
result.Reason.Should().Contain("Broker abgelehnt");
await _portfolio.DidNotReceive().RecordFillAsync(
Arg.Any<string>(), Arg.Any<string>(), Arg.Any<TradeSide>(),
Arg.Any<int>(), Arg.Any<decimal>(), Arg.Any<string>(), Arg.Any<CancellationToken>());
}
}
IBKRTrader.Tests/Trading/RiskServiceTests.cs
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using FluentAssertions;
using IBKRTrader.Core.Trading;
namespace IBKRTrader.Tests.Trading;
[Trait("cat", "unit")]
public class RiskServiceTests
{
private readonly RiskService _risk = new();
// MaxTrade 5 %, MaxModul 20 %, MaxSlippage 5 %
private static readonly RiskParameters DefaultParams = new(5m, 20m, 5m);
private static TradeSignal Buy(decimal? limit = null, decimal? notional = null) => new()
{
Symbol = "AAPL", Side = TradeSide.Buy, SourceModule = "CT",
LimitPrice = limit, SuggestedNotional = notional
};
private static TradeSignal Sell() => new()
{
Symbol = "AAPL", Side = TradeSide.Sell, SourceModule = "CT"
};
[Fact]
public void Buy_SizesByMaxTradePercent()
{
// NetLiq 10.000 × 5 % = 500 max Nominal; Kurs 100 → 5 Stück
var ctx = new RiskContext { Price = 100m, NetLiquidation = 10_000m };
var d = _risk.Evaluate(Buy(), ctx, DefaultParams);
d.Approved.Should().BeTrue();
d.Quantity.Should().Be(5);
}
[Fact]
public void Buy_UsesSuggestedNotional_WhenSmallerThanMax()
{
// Wunsch 200 < Max 500; Kurs 100 → 2 Stück
var ctx = new RiskContext { Price = 100m, NetLiquidation = 10_000m };
var d = _risk.Evaluate(Buy(notional: 200m), ctx, DefaultParams);
d.Quantity.Should().Be(2);
}
[Fact]
public void Buy_InvalidPrice_Rejected()
{
var ctx = new RiskContext { Price = 0m, NetLiquidation = 10_000m };
_risk.Evaluate(Buy(), ctx, DefaultParams).Approved.Should().BeFalse();
}
[Fact]
public void Buy_ZeroAccount_Rejected()
{
var ctx = new RiskContext { Price = 100m, NetLiquidation = 0m };
_risk.Evaluate(Buy(), ctx, DefaultParams).Approved.Should().BeFalse();
}
[Fact]
public void Buy_QuantityBelowOne_Rejected()
{
// NetLiq 100 × 5 % = 5 max Nominal; Kurs 100 → 0 Stück
var ctx = new RiskContext { Price = 100m, NetLiquidation = 100m };
var d = _risk.Evaluate(Buy(), ctx, DefaultParams);
d.Approved.Should().BeFalse();
d.Reason.Should().Contain("< 1");
}
[Fact]
public void Buy_ExceedsModuleLimit_Rejected()
{
// MaxTrade 50 % → 5.000 Nominal, Kurs 100 → 50 Stück = 5.000
// Modul-Limit 20 % × 10.000 = 2.000 → abgelehnt
var ctx = new RiskContext { Price = 100m, NetLiquidation = 10_000m };
var pars = new RiskParameters(50m, 20m, 5m);
var d = _risk.Evaluate(Buy(), ctx, pars);
d.Approved.Should().BeFalse();
d.Reason.Should().Contain("Modul-Limit");
}
[Fact]
public void Buy_ExistingExposureCountsTowardModuleLimit()
{
// Kurs 100, Max 5 % → 5 Stück (500). Bereits 1.700 Exposure.
// Projektiert 2.200 > Limit 2.000 → abgelehnt.
var ctx = new RiskContext { Price = 100m, NetLiquidation = 10_000m, ModuleExposure = 1_700m };
_risk.Evaluate(Buy(), ctx, DefaultParams).Approved.Should().BeFalse();
}
[Fact]
public void Buy_LimitOrder_SlippageTooHigh_Rejected()
{
// Limit 100, Kurs 110 → 10 % > 5 %
var ctx = new RiskContext { Price = 110m, NetLiquidation = 10_000m };
var d = _risk.Evaluate(Buy(limit: 100m), ctx, DefaultParams);
d.Approved.Should().BeFalse();
d.Reason.Should().Contain("Slippage");
}
[Fact]
public void Buy_LimitOrder_SlippageWithinTolerance_Approved()
{
// Limit 100, Kurs 104 → 4 % < 5 %
var ctx = new RiskContext { Price = 104m, NetLiquidation = 10_000m };
_risk.Evaluate(Buy(limit: 100m), ctx, DefaultParams).Approved.Should().BeTrue();
}
[Fact]
public void Sell_WithPosition_ClosesQuantity()
{
var ctx = new RiskContext { Price = 100m, NetLiquidation = 10_000m, ExistingQuantity = 12 };
var d = _risk.Evaluate(Sell(), ctx, DefaultParams);
d.Approved.Should().BeTrue();
d.Quantity.Should().Be(12);
}
[Fact]
public void Sell_WithoutPosition_Rejected()
{
var ctx = new RiskContext { Price = 100m, NetLiquidation = 10_000m, ExistingQuantity = 0 };
var d = _risk.Evaluate(Sell(), ctx, DefaultParams);
d.Approved.Should().BeFalse();
d.Reason.Should().Contain("Keine Position");
}
}