70 lines
2.1 KiB
Go
70 lines
2.1 KiB
Go
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package common
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import (
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"testing"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"github.com/stretchr/testify/assert"
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)
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func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
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cases := []struct {
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quantity fixedpoint.Value
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price fixedpoint.Value
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baseBalance fixedpoint.Value
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quoteBalance fixedpoint.Value
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want *InventorySkewBidAskRatios
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}{
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{
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quantity: fixedpoint.NewFromFloat(1.0),
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price: fixedpoint.NewFromFloat(1000),
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baseBalance: fixedpoint.NewFromFloat(1.0),
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quoteBalance: fixedpoint.NewFromFloat(1000),
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want: &InventorySkewBidAskRatios{
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BidRatio: fixedpoint.NewFromFloat(1.0),
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AskRatio: fixedpoint.NewFromFloat(1.0),
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},
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},
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{
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quantity: fixedpoint.NewFromFloat(1.0),
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price: fixedpoint.NewFromFloat(1000),
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baseBalance: fixedpoint.NewFromFloat(1.0),
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quoteBalance: fixedpoint.NewFromFloat(1200),
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want: &InventorySkewBidAskRatios{
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BidRatio: fixedpoint.NewFromFloat(1.5),
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AskRatio: fixedpoint.NewFromFloat(0.5),
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},
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},
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{
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quantity: fixedpoint.NewFromFloat(1.0),
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price: fixedpoint.NewFromFloat(1000),
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baseBalance: fixedpoint.NewFromFloat(0.0),
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quoteBalance: fixedpoint.NewFromFloat(10000),
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want: &InventorySkewBidAskRatios{
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BidRatio: fixedpoint.NewFromFloat(2.0),
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AskRatio: fixedpoint.NewFromFloat(0.0),
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},
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},
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{
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quantity: fixedpoint.NewFromFloat(1.0),
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price: fixedpoint.NewFromFloat(1000),
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baseBalance: fixedpoint.NewFromFloat(2.0),
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quoteBalance: fixedpoint.NewFromFloat(0.0),
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want: &InventorySkewBidAskRatios{
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BidRatio: fixedpoint.NewFromFloat(0.0),
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AskRatio: fixedpoint.NewFromFloat(2.0),
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},
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},
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}
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for _, c := range cases {
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s := &InventorySkew{
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InventoryRangeMultiplier: fixedpoint.NewFromFloat(0.1),
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TargetBaseRatio: fixedpoint.NewFromFloat(0.5),
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}
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got := s.CalculateBidAskRatios(c.quantity, c.price, c.baseBalance, c.quoteBalance)
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assert.Equal(t, c.want.BidRatio.Float64(), got.BidRatio.Float64())
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assert.Equal(t, c.want.AskRatio.Float64(), got.AskRatio.Float64())
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}
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}
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