246 lines
9.1 KiB
Go
246 lines
9.1 KiB
Go
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package okex
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import (
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"encoding/json"
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"fmt"
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"testing"
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"github.com/stretchr/testify/assert"
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"git.qtrade.icu/lychiyu/bbgo/pkg/exchange/okex/okexapi"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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func Test_orderDetailToGlobal(t *testing.T) {
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var (
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assert = assert.New(t)
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orderId = 665576973905014786
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// {"accFillSz":"0","algoClOrdId":"","algoId":"","attachAlgoClOrdId":"","attachAlgoOrds":[],"avgPx":"","cTime":"1704957916401","cancelSource":"","cancelSourceReason":"","category":"normal","ccy":"","clOrdId":"","fee":"0","feeCcy":"USDT","fillPx":"","fillSz":"0","fillTime":"","instId":"BTC-USDT","instType":"SPOT","lever":"","ordId":"665576973905014786","ordType":"limit","pnl":"0","posSide":"net","px":"48174.5","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"BTC","reduceOnly":"false","side":"sell","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"live","stpId":"","stpMode":"","sz":"0.00001","tag":"","tdMode":"cash","tgtCcy":"","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"","uTime":"1704957916401"}
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openOrder = &okexapi.OrderDetail{
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AccumulatedFillSize: fixedpoint.NewFromFloat(0),
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AvgPrice: fixedpoint.NewFromFloat(0),
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CreatedTime: types.NewMillisecondTimestampFromInt(1704957916401),
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Category: "normal",
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Currency: "BTC",
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ClientOrderId: "",
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Fee: fixedpoint.Zero,
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FeeCurrency: "USDT",
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FillTime: types.NewMillisecondTimestampFromInt(0),
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InstrumentID: "BTC-USDT",
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InstrumentType: okexapi.InstrumentTypeSpot,
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OrderId: types.StrInt64(orderId),
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OrderType: okexapi.OrderTypeLimit,
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Price: fixedpoint.NewFromFloat(48174.5),
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Side: okexapi.SideTypeBuy,
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State: okexapi.OrderStateLive,
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Size: fixedpoint.NewFromFloat(0.00001),
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UpdatedTime: types.NewMillisecondTimestampFromInt(1704957916401),
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}
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expOrder = &types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: openOrder.ClientOrderId,
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Symbol: toGlobalSymbol(openOrder.InstrumentID),
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: fixedpoint.NewFromFloat(0.00001),
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Price: fixedpoint.NewFromFloat(48174.5),
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AveragePrice: fixedpoint.Zero,
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StopPrice: fixedpoint.Zero,
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TimeInForce: types.TimeInForceGTC,
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},
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Exchange: types.ExchangeOKEx,
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OrderID: uint64(orderId),
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UUID: fmt.Sprintf("%d", orderId),
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Status: types.OrderStatusNew,
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OriginalStatus: string(okexapi.OrderStateLive),
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ExecutedQuantity: fixedpoint.Zero,
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IsWorking: true,
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CreationTime: types.Time(types.NewMillisecondTimestampFromInt(1704957916401).Time()),
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UpdateTime: types.Time(types.NewMillisecondTimestampFromInt(1704957916401).Time()),
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}
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)
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t.Run("succeeds", func(t *testing.T) {
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order, err := orderDetailToGlobal(openOrder)
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assert.NoError(err)
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assert.Equal(expOrder, order)
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})
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t.Run("succeeds with market/buy/targetQuoteCurrency", func(t *testing.T) {
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newOrder := *openOrder
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newOrder.OrderType = okexapi.OrderTypeMarket
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newOrder.Side = okexapi.SideTypeBuy
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newOrder.TargetCurrency = okexapi.TargetCurrencyQuote
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newOrder.FillPrice = fixedpoint.NewFromFloat(100)
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newOrder.Size = fixedpoint.NewFromFloat(10000)
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newOrder.State = okexapi.OrderStatePartiallyFilled
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newExpOrder := *expOrder
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newExpOrder.Side = types.SideTypeBuy
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newExpOrder.Type = types.OrderTypeMarket
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newExpOrder.Quantity = fixedpoint.NewFromFloat(100)
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newExpOrder.Status = types.OrderStatusPartiallyFilled
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newExpOrder.OriginalStatus = string(okexapi.OrderStatePartiallyFilled)
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order, err := orderDetailToGlobal(&newOrder)
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assert.NoError(err)
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assert.Equal(&newExpOrder, order)
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})
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t.Run("unexpected order status", func(t *testing.T) {
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newOrder := *openOrder
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newOrder.State = "xxx"
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_, err := orderDetailToGlobal(&newOrder)
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assert.ErrorContains(err, "xxx")
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})
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t.Run("unexpected order type", func(t *testing.T) {
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newOrder := *openOrder
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newOrder.OrderType = "xxx"
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_, err := orderDetailToGlobal(&newOrder)
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assert.ErrorContains(err, "xxx")
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})
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}
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func Test_tradeToGlobal(t *testing.T) {
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var (
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assert = assert.New(t)
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raw = `{"side":"sell","fillSz":"1","fillPx":"46446.4","fillPxVol":"","fillFwdPx":"","fee":"-46","fillPnl":"0","ordId":"665951654130348158","feeRate":"-0.001","instType":"SPOT","fillPxUsd":"","instId":"BTC-USDT","clOrdId":"","posSide":"net","billId":"665951654138736652","fillMarkVol":"","tag":"","fillTime":"1705047247128","execType":"T","fillIdxPx":"","tradeId":"724072849","fillMarkPx":"","feeCcy":"USDT","ts":"1705047247130"}`
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)
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var res okexapi.Trade
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err := json.Unmarshal([]byte(raw), &res)
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assert.NoError(err)
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t.Run("succeeds with sell/taker", func(t *testing.T) {
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assert.Equal(tradeToGlobal(res), types.Trade{
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ID: uint64(724072849),
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OrderID: uint64(665951654130348158),
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Exchange: types.ExchangeOKEx,
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Price: fixedpoint.NewFromFloat(46446.4),
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Quantity: fixedpoint.One,
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QuoteQuantity: fixedpoint.NewFromFloat(46446.4),
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Symbol: "BTCUSDT",
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Side: types.SideTypeSell,
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IsBuyer: false,
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IsMaker: false,
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Time: types.Time(types.NewMillisecondTimestampFromInt(1705047247130).Time()),
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Fee: fixedpoint.NewFromFloat(46),
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FeeCurrency: "USDT",
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})
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})
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t.Run("succeeds with buy/taker", func(t *testing.T) {
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newRes := res
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newRes.Side = okexapi.SideTypeBuy
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assert.Equal(tradeToGlobal(newRes), types.Trade{
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ID: uint64(724072849),
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OrderID: uint64(665951654130348158),
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Exchange: types.ExchangeOKEx,
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Price: fixedpoint.NewFromFloat(46446.4),
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Quantity: fixedpoint.One,
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QuoteQuantity: fixedpoint.NewFromFloat(46446.4),
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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IsBuyer: true,
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IsMaker: false,
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Time: types.Time(types.NewMillisecondTimestampFromInt(1705047247130).Time()),
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Fee: fixedpoint.NewFromFloat(46),
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FeeCurrency: "USDT",
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})
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})
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t.Run("succeeds with sell/maker", func(t *testing.T) {
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newRes := res
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newRes.ExecutionType = okexapi.LiquidityTypeMaker
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assert.Equal(tradeToGlobal(newRes), types.Trade{
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ID: uint64(724072849),
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OrderID: uint64(665951654130348158),
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Exchange: types.ExchangeOKEx,
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Price: fixedpoint.NewFromFloat(46446.4),
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Quantity: fixedpoint.One,
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QuoteQuantity: fixedpoint.NewFromFloat(46446.4),
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Symbol: "BTCUSDT",
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Side: types.SideTypeSell,
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IsBuyer: false,
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IsMaker: true,
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Time: types.Time(types.NewMillisecondTimestampFromInt(1705047247130).Time()),
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Fee: fixedpoint.NewFromFloat(46),
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FeeCurrency: "USDT",
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})
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})
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t.Run("succeeds with buy/maker", func(t *testing.T) {
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newRes := res
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newRes.Side = okexapi.SideTypeBuy
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newRes.ExecutionType = okexapi.LiquidityTypeMaker
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assert.Equal(tradeToGlobal(newRes), types.Trade{
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ID: uint64(724072849),
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OrderID: uint64(665951654130348158),
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Exchange: types.ExchangeOKEx,
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Price: fixedpoint.NewFromFloat(46446.4),
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Quantity: fixedpoint.One,
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QuoteQuantity: fixedpoint.NewFromFloat(46446.4),
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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IsBuyer: true,
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IsMaker: true,
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Time: types.Time(types.NewMillisecondTimestampFromInt(1705047247130).Time()),
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Fee: fixedpoint.NewFromFloat(46),
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FeeCurrency: "USDT",
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})
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})
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}
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func Test_processMarketBuyQuantity(t *testing.T) {
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var (
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assert = assert.New(t)
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)
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t.Run("zero", func(t *testing.T) {
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size, err := processMarketBuySize(&okexapi.OrderDetail{State: okexapi.OrderStateLive})
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assert.NoError(err)
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assert.Equal(fixedpoint.Zero, size)
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size, err = processMarketBuySize(&okexapi.OrderDetail{State: okexapi.OrderStateCanceled})
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assert.NoError(err)
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assert.Equal(fixedpoint.Zero, size)
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})
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t.Run("estimated size", func(t *testing.T) {
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size, err := processMarketBuySize(&okexapi.OrderDetail{
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FillPrice: fixedpoint.NewFromFloat(2),
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Size: fixedpoint.NewFromFloat(4),
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State: okexapi.OrderStatePartiallyFilled,
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})
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assert.NoError(err)
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assert.Equal(fixedpoint.NewFromFloat(2), size)
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})
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t.Run("unexpected fill price", func(t *testing.T) {
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_, err := processMarketBuySize(&okexapi.OrderDetail{
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FillPrice: fixedpoint.Zero,
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Size: fixedpoint.NewFromFloat(4),
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State: okexapi.OrderStatePartiallyFilled,
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})
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assert.ErrorContains(err, "fillPrice")
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})
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t.Run("accumulatedFillsize", func(t *testing.T) {
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size, err := processMarketBuySize(&okexapi.OrderDetail{
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AccumulatedFillSize: fixedpoint.NewFromFloat(1000),
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State: okexapi.OrderStateFilled,
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})
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assert.NoError(err)
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assert.Equal(fixedpoint.NewFromFloat(1000), size)
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})
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t.Run("unexpected status", func(t *testing.T) {
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_, err := processMarketBuySize(&okexapi.OrderDetail{
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State: "XXXXXXX",
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})
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assert.ErrorContains(err, "unexpected")
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})
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}
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