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81146df | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 | import pytest
from src.strategies.arbitrage import CrossPlatformArbitrage, IntraMarketArbitrage
def test_cross_platform_arbitrage_profitable():
scanner = CrossPlatformArbitrage(min_profit_threshold=0.01)
# State where Arb exists (Polymarket cheaper than Kalshi)
scanner.update_state('polymarket', '0x217...', bid=0.50, bid_size=1000, ask=0.52, ask_size=1000)
scanner.update_state('kalshi', 'KXUS2024', bid=0.55, bid_size=1500, ask=0.57, ask_size=500)
opps = scanner.scan_opportunities()
assert len(opps) == 1
opp = opps[0]
assert opp.buy_platform == 'polymarket'
assert opp.sell_platform == 'kalshi'
assert opp.buy_price == 0.52
assert opp.sell_price == 0.55
assert opp.buy_size == 1000 # min of 1000 and 1500
assert opp.expected_profit_margin > 0.01 # Expect profit > min threshold
def test_cross_platform_arbitrage_no_opportunity():
scanner = CrossPlatformArbitrage(min_profit_threshold=0.01)
# Efficient market state
scanner.update_state('polymarket', '0x217...', bid=0.53, bid_size=1000, ask=0.54, ask_size=1000)
scanner.update_state('kalshi', 'KXUS2024', bid=0.53, bid_size=1500, ask=0.54, ask_size=500)
opps = scanner.scan_opportunities()
assert len(opps) == 0
def test_intra_market_arbitrage():
scanner = IntraMarketArbitrage(min_profit_threshold=0.01)
# Parity violation: P(Yes) + P(No) = 0.45 + 0.45 = 0.90 < 1.0 (Margin = 0.10)
margin = scanner.check_parity_violation(ask_yes=0.45, ask_no=0.45)
assert margin is not None
assert round(margin, 2) == 0.10
# Efficient market: P(Yes) + P(No) = 0.52 + 0.52 = 1.04 > 1.0 (No Arb)
margin_eff = scanner.check_parity_violation(ask_yes=0.52, ask_no=0.52)
assert margin_eff is None
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