415 lines
11 KiB
Go
415 lines
11 KiB
Go
|
package binance
|
||
|
|
|
||
|
|
import (
|
||
|
|
"regexp"
|
||
|
|
"testing"
|
||
|
|
"time"
|
||
|
|
|
||
|
|
"github.com/stretchr/testify/assert"
|
||
|
|
|
||
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
|
||
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
|
||
|
|
)
|
||
|
|
|
||
|
|
var jsCommentTrimmer = regexp.MustCompile("(?m)//.*$")
|
||
|
|
|
||
|
|
func TestMarginResponseParsing(t *testing.T) {
|
||
|
|
type testcase struct {
|
||
|
|
input string
|
||
|
|
}
|
||
|
|
|
||
|
|
var testcases = []testcase{
|
||
|
|
{
|
||
|
|
input: `{
|
||
|
|
"e": "executionReport",
|
||
|
|
"E": 1608545107403,
|
||
|
|
"s": "BNBUSDT",
|
||
|
|
"c": "ios_0de017ca7ceb4102b3baa664feb46e65",
|
||
|
|
"S": "BUY",
|
||
|
|
"o": "MARKET",
|
||
|
|
"f": "GTC",
|
||
|
|
"q": "0.50000000",
|
||
|
|
"p": "0.00000000",
|
||
|
|
"P": "0.00000000",
|
||
|
|
"F": "0.00000000",
|
||
|
|
"g": -1,
|
||
|
|
"C": "",
|
||
|
|
"x": "NEW",
|
||
|
|
"X": "NEW",
|
||
|
|
"r": "NONE",
|
||
|
|
"i": 1147335332,
|
||
|
|
"l": "0.00000000",
|
||
|
|
"z": "0.00000000",
|
||
|
|
"L": "0.00000000",
|
||
|
|
"n": "0",
|
||
|
|
"N": null,
|
||
|
|
"T": 1608545107401,
|
||
|
|
"t": -1,
|
||
|
|
"I": 2387303818,
|
||
|
|
"w": true,
|
||
|
|
"m": false,
|
||
|
|
"M": false,
|
||
|
|
"O": 1608545107401,
|
||
|
|
"Z": "0.00000000",
|
||
|
|
"Y": "0.00000000",
|
||
|
|
"Q": "0.00000000"
|
||
|
|
}`,
|
||
|
|
},
|
||
|
|
{
|
||
|
|
input: `{
|
||
|
|
"e": "executionReport",
|
||
|
|
"E": 1608545107403,
|
||
|
|
"s": "BNBUSDT",
|
||
|
|
"c": "ios_0de017ca7ceb4102b3baa664feb46e65",
|
||
|
|
"S": "BUY",
|
||
|
|
"o": "MARKET",
|
||
|
|
"f": "GTC",
|
||
|
|
"q": "0.50000000",
|
||
|
|
"p": "0.00000000",
|
||
|
|
"P": "0.00000000",
|
||
|
|
"F": "0.00000000",
|
||
|
|
"g": -1,
|
||
|
|
"C": "",
|
||
|
|
"x": "TRADE",
|
||
|
|
"X": "FILLED",
|
||
|
|
"r": "NONE",
|
||
|
|
"i": 1147335332,
|
||
|
|
"l": "0.50000000",
|
||
|
|
"z": "0.50000000",
|
||
|
|
"L": "33.85710000",
|
||
|
|
"n": "0.00037500",
|
||
|
|
"N": "BNB",
|
||
|
|
"T": 1608545107401,
|
||
|
|
"t": 98414801,
|
||
|
|
"I": 2387303819,
|
||
|
|
"w": false,
|
||
|
|
"m": false,
|
||
|
|
"M": true,
|
||
|
|
"O": 1608545107401,
|
||
|
|
"Z": "16.92855000",
|
||
|
|
"Y": "16.92855000",
|
||
|
|
"Q": "0.00000000"
|
||
|
|
}`,
|
||
|
|
},
|
||
|
|
{
|
||
|
|
input: `{
|
||
|
|
"e": "outboundAccountInfo",
|
||
|
|
"E": 1608545107403,
|
||
|
|
"m": 9,
|
||
|
|
"t": 10,
|
||
|
|
"b": 0,
|
||
|
|
"s": 0,
|
||
|
|
"T": true,
|
||
|
|
"W": true,
|
||
|
|
"D": true,
|
||
|
|
"u": 1608545107401,
|
||
|
|
"B": [
|
||
|
|
{
|
||
|
|
"a": "BNB",
|
||
|
|
"f": "89.99345616",
|
||
|
|
"l": "12.00000000"
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"a": "USDT",
|
||
|
|
"f": "0.16410063",
|
||
|
|
"l": "0.00000000"
|
||
|
|
}
|
||
|
|
],
|
||
|
|
"P": []
|
||
|
|
}`,
|
||
|
|
},
|
||
|
|
{
|
||
|
|
input: `{
|
||
|
|
"e":"outboundAccountPosition",
|
||
|
|
"E":1608545107403,
|
||
|
|
"u":1608545107401,
|
||
|
|
"B":[{"a":"BNB","f":"89.99345616","l":"12.00000000"},{"a":"USDT","f":"0.16410063","l":"0.00000000"}]
|
||
|
|
}`,
|
||
|
|
},
|
||
|
|
}
|
||
|
|
|
||
|
|
for _, testcase := range testcases {
|
||
|
|
payload := testcase.input
|
||
|
|
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
|
||
|
|
event, err := parseWebSocketEvent([]byte(payload))
|
||
|
|
assert.NoError(t, err)
|
||
|
|
assert.NotNil(t, event)
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
func TestParseOrderUpdate(t *testing.T) {
|
||
|
|
payload := `{
|
||
|
|
"e": "executionReport", // Event type
|
||
|
|
"E": 1499405658658, // Event time
|
||
|
|
"s": "ETHBTC", // Symbol
|
||
|
|
"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
|
||
|
|
"S": "BUY", // Side
|
||
|
|
"o": "LIMIT", // Order type
|
||
|
|
"f": "GTC", // Time in force
|
||
|
|
"q": "1.00000000", // Order quantity
|
||
|
|
"p": "0.10264410", // Order price
|
||
|
|
"P": "0.222", // Stop price
|
||
|
|
"F": "0.00000000", // Iceberg quantity
|
||
|
|
"g": -1, // OrderListId
|
||
|
|
"C": null, // Original client order ID; This is the ID of the order being canceled
|
||
|
|
"x": "NEW", // Current execution type
|
||
|
|
"X": "NEW", // Current order status
|
||
|
|
"r": "NONE", // Order reject reason; will be an error code.
|
||
|
|
"i": 4293153, // Order ID
|
||
|
|
"l": "0.00000000", // Last executed quantity
|
||
|
|
"z": "0.00000000", // Cumulative filled quantity
|
||
|
|
"L": "0.00000001", // Last executed price
|
||
|
|
"n": "0", // Commission amount
|
||
|
|
"N": null, // Commission asset
|
||
|
|
"T": 1499405658657, // Transaction time
|
||
|
|
"t": -1, // Trade ID
|
||
|
|
"I": 8641984, // Ignore
|
||
|
|
"w": true, // Is the order on the book?
|
||
|
|
"m": false, // Is this trade the maker side?
|
||
|
|
"M": true, // Ignore
|
||
|
|
"O": 1499405658657, // Order creation time
|
||
|
|
"Z": "0.1", // Cumulative quote asset transacted quantity
|
||
|
|
"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
|
||
|
|
"Q": "2.0" // Quote Order Quantity
|
||
|
|
}`
|
||
|
|
|
||
|
|
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
|
||
|
|
|
||
|
|
event, err := parseWebSocketEvent([]byte(payload))
|
||
|
|
assert.NoError(t, err)
|
||
|
|
assert.NotNil(t, event)
|
||
|
|
|
||
|
|
executionReport, ok := event.(*ExecutionReportEvent)
|
||
|
|
assert.True(t, ok)
|
||
|
|
assert.NotNil(t, executionReport)
|
||
|
|
|
||
|
|
assert.Equal(t, executionReport.Symbol, "ETHBTC")
|
||
|
|
assert.Equal(t, executionReport.Side, "BUY")
|
||
|
|
assert.Equal(t, executionReport.ClientOrderID, "mUvoqJxFIILMdfAW5iGSOW")
|
||
|
|
assert.Equal(t, executionReport.OriginalClientOrderID, "")
|
||
|
|
assert.Equal(t, executionReport.OrderType, "LIMIT")
|
||
|
|
assert.Equal(t, executionReport.OrderCreationTime, int64(1499405658657))
|
||
|
|
assert.Equal(t, executionReport.TimeInForce, "GTC")
|
||
|
|
assert.Equal(t, executionReport.IcebergQuantity, fixedpoint.MustNewFromString("0.00000000"))
|
||
|
|
assert.Equal(t, executionReport.OrderQuantity, fixedpoint.MustNewFromString("1.00000000"))
|
||
|
|
assert.Equal(t, executionReport.QuoteOrderQuantity, fixedpoint.MustNewFromString("2.0"))
|
||
|
|
assert.Equal(t, executionReport.OrderPrice, fixedpoint.MustNewFromString("0.10264410"))
|
||
|
|
assert.Equal(t, executionReport.StopPrice, fixedpoint.MustNewFromString("0.222"))
|
||
|
|
assert.Equal(t, executionReport.IsOnBook, true)
|
||
|
|
assert.Equal(t, executionReport.IsMaker, false)
|
||
|
|
assert.Equal(t, executionReport.Ignore, true)
|
||
|
|
assert.Equal(t, executionReport.CommissionAmount, fixedpoint.MustNewFromString("0"))
|
||
|
|
assert.Equal(t, executionReport.CommissionAsset, "")
|
||
|
|
assert.Equal(t, executionReport.CurrentExecutionType, "NEW")
|
||
|
|
assert.Equal(t, executionReport.CurrentOrderStatus, "NEW")
|
||
|
|
assert.Equal(t, executionReport.OrderID, int64(4293153))
|
||
|
|
assert.Equal(t, executionReport.Ignored, int64(8641984))
|
||
|
|
assert.Equal(t, executionReport.TradeID, int64(-1))
|
||
|
|
assert.Equal(t, executionReport.TransactionTime, int64(1499405658657))
|
||
|
|
assert.Equal(t, executionReport.LastExecutedQuantity, fixedpoint.MustNewFromString("0.00000000"))
|
||
|
|
assert.Equal(t, executionReport.LastExecutedPrice, fixedpoint.MustNewFromString("0.00000001"))
|
||
|
|
assert.Equal(t, executionReport.CumulativeFilledQuantity, fixedpoint.MustNewFromString("0.00000000"))
|
||
|
|
assert.Equal(t, executionReport.CumulativeQuoteAssetTransactedQuantity, fixedpoint.MustNewFromString("0.1"))
|
||
|
|
assert.Equal(t, executionReport.LastQuoteAssetTransactedQuantity, fixedpoint.MustNewFromString("0.00000000"))
|
||
|
|
|
||
|
|
orderUpdate, err := executionReport.Order()
|
||
|
|
assert.NoError(t, err)
|
||
|
|
assert.NotNil(t, orderUpdate)
|
||
|
|
}
|
||
|
|
|
||
|
|
func TestFuturesResponseParsing(t *testing.T) {
|
||
|
|
type testcase struct {
|
||
|
|
input string
|
||
|
|
}
|
||
|
|
|
||
|
|
var testcases = []testcase{
|
||
|
|
{
|
||
|
|
input: `{
|
||
|
|
"e": "ORDER_TRADE_UPDATE",
|
||
|
|
"T": 1639933384755,
|
||
|
|
"E": 1639933384763,
|
||
|
|
"o": {
|
||
|
|
"s": "BTCUSDT",
|
||
|
|
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
|
||
|
|
"S": "SELL",
|
||
|
|
"o": "MARKET",
|
||
|
|
"f": "GTC",
|
||
|
|
"q": "0.001",
|
||
|
|
"p": "0",
|
||
|
|
"ap": "0",
|
||
|
|
"sp": "0",
|
||
|
|
"x": "NEW",
|
||
|
|
"X": "NEW",
|
||
|
|
"i": 38541728873,
|
||
|
|
"l": "0",
|
||
|
|
"z": "0",
|
||
|
|
"L": "0",
|
||
|
|
"T": 1639933384755,
|
||
|
|
"t": 0,
|
||
|
|
"b": "0",
|
||
|
|
"a": "0",
|
||
|
|
"m": false,
|
||
|
|
"R": false,
|
||
|
|
"wt": "CONTRACT_PRICE",
|
||
|
|
"ot": "MARKET",
|
||
|
|
"ps": "BOTH",
|
||
|
|
"cp": false,
|
||
|
|
"rp": "0",
|
||
|
|
"pP": false,
|
||
|
|
"si": 0,
|
||
|
|
"ss": 0
|
||
|
|
}
|
||
|
|
}`,
|
||
|
|
},
|
||
|
|
{
|
||
|
|
input: `{
|
||
|
|
"e": "ACCOUNT_UPDATE",
|
||
|
|
"T": 1639933384755,
|
||
|
|
"E": 1639933384763,
|
||
|
|
"a": {
|
||
|
|
"B": [
|
||
|
|
{
|
||
|
|
"a": "USDT",
|
||
|
|
"wb": "86.94966888",
|
||
|
|
"cw": "86.94966888",
|
||
|
|
"bc": "0"
|
||
|
|
}
|
||
|
|
],
|
||
|
|
"P": [
|
||
|
|
{
|
||
|
|
"s": "BTCUSDT",
|
||
|
|
"pa": "-0.001",
|
||
|
|
"ep": "47202.40000",
|
||
|
|
"cr": "7.78107001",
|
||
|
|
"up": "-0.00233523",
|
||
|
|
"mt": "cross",
|
||
|
|
"iw": "0",
|
||
|
|
"ps": "BOTH",
|
||
|
|
"ma": "USDT"
|
||
|
|
}
|
||
|
|
],
|
||
|
|
"m": "ORDER"
|
||
|
|
}
|
||
|
|
}`,
|
||
|
|
},
|
||
|
|
{
|
||
|
|
input: `{
|
||
|
|
"e": "ORDER_TRADE_UPDATE",
|
||
|
|
"T": 1639933384755,
|
||
|
|
"E": 1639933384763,
|
||
|
|
"o": {
|
||
|
|
"s": "BTCUSDT",
|
||
|
|
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
|
||
|
|
"S": "SELL",
|
||
|
|
"o": "MARKET",
|
||
|
|
"f": "GTC",
|
||
|
|
"q": "0.001",
|
||
|
|
"p": "0",
|
||
|
|
"ap": "47202.40000",
|
||
|
|
"sp": "0",
|
||
|
|
"x": "TRADE",
|
||
|
|
"X": "FILLED",
|
||
|
|
"i": 38541728873,
|
||
|
|
"l": "0.001",
|
||
|
|
"z": "0.001",
|
||
|
|
"L": "47202.40",
|
||
|
|
"n": "0.01888095",
|
||
|
|
"N": "USDT",
|
||
|
|
"T": 1639933384755,
|
||
|
|
"t": 1741505949,
|
||
|
|
"b": "0",
|
||
|
|
"a": "0",
|
||
|
|
"m": false,
|
||
|
|
"R": false,
|
||
|
|
"wt": "CONTRACT_PRICE",
|
||
|
|
"ot": "MARKET",
|
||
|
|
"ps": "BOTH",
|
||
|
|
"cp": false,
|
||
|
|
"rp": "0",
|
||
|
|
"pP": false,
|
||
|
|
"si": 0,
|
||
|
|
"ss": 0
|
||
|
|
}
|
||
|
|
}`,
|
||
|
|
},
|
||
|
|
}
|
||
|
|
|
||
|
|
for _, testcase := range testcases {
|
||
|
|
payload := testcase.input
|
||
|
|
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
|
||
|
|
event, err := parseWebSocketEvent([]byte(payload))
|
||
|
|
assert.NoError(t, err)
|
||
|
|
assert.NotNil(t, event)
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
func TestParseOrderFuturesUpdate(t *testing.T) {
|
||
|
|
payload := `{
|
||
|
|
"e": "ORDER_TRADE_UPDATE",
|
||
|
|
"T": 1639933384755,
|
||
|
|
"E": 1639933384763,
|
||
|
|
"o": {
|
||
|
|
"s": "BTCUSDT",
|
||
|
|
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
|
||
|
|
"S": "SELL",
|
||
|
|
"o": "MARKET",
|
||
|
|
"f": "GTC",
|
||
|
|
"q": "0.001",
|
||
|
|
"p": "0",
|
||
|
|
"ap": "47202.40000",
|
||
|
|
"sp": "0",
|
||
|
|
"x": "TRADE",
|
||
|
|
"X": "FILLED",
|
||
|
|
"i": 38541728873,
|
||
|
|
"l": "0.001",
|
||
|
|
"z": "0.001",
|
||
|
|
"L": "47202.40",
|
||
|
|
"n": "0.01888095",
|
||
|
|
"N": "USDT",
|
||
|
|
"T": 1639933384755,
|
||
|
|
"t": 1741505949,
|
||
|
|
"b": "0",
|
||
|
|
"a": "0",
|
||
|
|
"m": false,
|
||
|
|
"R": false,
|
||
|
|
"wt": "CONTRACT_PRICE",
|
||
|
|
"ot": "MARKET",
|
||
|
|
"ps": "BOTH",
|
||
|
|
"cp": false,
|
||
|
|
"rp": "0",
|
||
|
|
"pP": false,
|
||
|
|
"si": 0,
|
||
|
|
"ss": 0
|
||
|
|
}
|
||
|
|
}`
|
||
|
|
|
||
|
|
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
|
||
|
|
|
||
|
|
event, err := parseWebSocketEvent([]byte(payload))
|
||
|
|
assert.NoError(t, err)
|
||
|
|
assert.NotNil(t, event)
|
||
|
|
|
||
|
|
orderTradeEvent, ok := event.(*OrderTradeUpdateEvent)
|
||
|
|
assert.True(t, ok)
|
||
|
|
assert.NotNil(t, orderTradeEvent)
|
||
|
|
|
||
|
|
assert.Equal(t, "BTCUSDT", orderTradeEvent.OrderTrade.Symbol)
|
||
|
|
assert.Equal(t, "SELL", orderTradeEvent.OrderTrade.Side)
|
||
|
|
assert.Equal(t, "x-NSUYEBKMe60cf610-f5c7-49a4-9c1", orderTradeEvent.OrderTrade.ClientOrderID)
|
||
|
|
assert.Equal(t, "MARKET", orderTradeEvent.OrderTrade.OrderType)
|
||
|
|
assert.Equal(t, types.NewMillisecondTimestampFromInt(1639933384763), orderTradeEvent.Time)
|
||
|
|
assert.Equal(t, types.MillisecondTimestamp(time.UnixMilli(1639933384755)), orderTradeEvent.OrderTrade.OrderTradeTime)
|
||
|
|
assert.Equal(t, fixedpoint.MustNewFromString("0.001"), orderTradeEvent.OrderTrade.OriginalQuantity)
|
||
|
|
assert.Equal(t, fixedpoint.MustNewFromString("0.001"), orderTradeEvent.OrderTrade.OrderLastFilledQuantity)
|
||
|
|
assert.Equal(t, fixedpoint.MustNewFromString("0.001"), orderTradeEvent.OrderTrade.OrderFilledAccumulatedQuantity)
|
||
|
|
assert.Equal(t, "TRADE", orderTradeEvent.OrderTrade.CurrentExecutionType)
|
||
|
|
assert.Equal(t, "FILLED", orderTradeEvent.OrderTrade.CurrentOrderStatus)
|
||
|
|
assert.Equal(t, fixedpoint.MustNewFromString("47202.40"), orderTradeEvent.OrderTrade.LastFilledPrice)
|
||
|
|
assert.Equal(t, int64(38541728873), orderTradeEvent.OrderTrade.OrderId)
|
||
|
|
assert.Equal(t, int64(1741505949), orderTradeEvent.OrderTrade.TradeId)
|
||
|
|
|
||
|
|
orderUpdate, err := orderTradeEvent.OrderFutures()
|
||
|
|
assert.NoError(t, err)
|
||
|
|
assert.NotNil(t, orderUpdate)
|
||
|
|
}
|