223 lines
6.1 KiB
Go
223 lines
6.1 KiB
Go
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//go:build !dnum
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package tri
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import (
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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/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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"git.qtrade.icu/lychiyu/bbgo/pkg/util"
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)
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var markets = make(types.MarketMap)
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func init() {
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if err := util.ReadJsonFile("../../../testdata/binance-markets.json", &markets); err != nil {
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panic(err)
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}
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}
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func loadMarket(symbol string) types.Market {
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if market, ok := markets[symbol]; ok {
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return market
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}
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panic(fmt.Errorf("market %s not found", symbol))
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}
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func newArbMarket(symbol, base, quote string, askPrice, askVolume, bidPrice, bidVolume float64) *ArbMarket {
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market := loadMarket(symbol)
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return &ArbMarket{
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Symbol: symbol,
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BaseCurrency: base,
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QuoteCurrency: quote,
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market: market,
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book: nil,
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bestBid: types.PriceVolume{
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Price: fixedpoint.NewFromFloat(bidPrice),
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Volume: fixedpoint.NewFromFloat(bidVolume),
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},
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bestAsk: types.PriceVolume{
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Price: fixedpoint.NewFromFloat(askPrice),
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Volume: fixedpoint.NewFromFloat(askVolume),
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},
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buyRate: 1.0 / askPrice,
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sellRate: bidPrice,
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truncateBaseQuantity: createBaseQuantityTruncator(market),
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truncateQuoteQuantity: createPricePrecisionBasedQuoteQuantityTruncator(market),
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}
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}
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func TestPath_calculateBackwardRatio(t *testing.T) {
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// BTCUSDT 22800.0 22700.0
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// ETHBTC 0.074, 0.073
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// ETHUSDT 1630.0 1620.0
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// sell BTCUSDT @ 22700 ( 0.1 BTC => 2270 USDT)
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// buy ETHUSDT @ 1630 ( 2270 USDT => 1.3926380368 ETH)
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// sell ETHBTC @ 0.073 (1.3926380368 ETH => 0.1016625767 BTC)
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marketA := newArbMarket("BTCUSDT", "BTC", "USDT", 22800.0, 1.0, 22700.0, 1.0)
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marketB := newArbMarket("ETHBTC", "ETH", "BTC", 0.074, 2.0, 0.073, 2.0)
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marketC := newArbMarket("ETHUSDT", "ETH", "USDT", 1630.0, 2.0, 1620.0, 2.0)
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path := &Path{
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marketA: marketA,
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marketB: marketB,
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marketC: marketC,
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dirA: -1,
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dirB: -1,
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dirC: 1,
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}
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ratio := calculateForwardRatio(path)
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assert.Equal(t, 0.9601706970128022, ratio)
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ratio = calculateBackwardRate(path)
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assert.Equal(t, 1.0166257668711656, ratio)
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}
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func TestPath_CalculateForwardRatio(t *testing.T) {
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// BTCUSDT 22800.0 22700.0
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// ETHBTC 0.070, 0.069
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// ETHUSDT 1630.0 1620.0
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// buy BTCUSDT @ 22800 ( 2280 usdt => 0.1 BTC)
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// buy ETHBTC @ 0.070 ( 0.1 BTC => 1.4285714286 ETH)
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// sell ETHUSDT @ 1620 ( 1.4285714286 ETH => 2,314.285714332 USDT)
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marketA := newArbMarket("BTCUSDT", "BTC", "USDT", 22800.0, 1.0, 22700.0, 1.0)
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marketB := newArbMarket("ETHBTC", "ETH", "BTC", 0.070, 2.0, 0.069, 2.0)
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marketC := newArbMarket("ETHUSDT", "ETH", "USDT", 1630.0, 2.0, 1620.0, 2.0)
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path := &Path{
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marketA: marketA,
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marketB: marketB,
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marketC: marketC,
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dirA: -1,
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dirB: -1,
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dirC: 1,
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}
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ratio := calculateForwardRatio(path)
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assert.Equal(t, 1.015037593984962, ratio)
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ratio = calculateBackwardRate(path)
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assert.Equal(t, 0.9609202453987732, ratio)
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}
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func TestPath_newForwardOrders(t *testing.T) {
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// BTCUSDT 22800.0 22700.0
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// ETHBTC 0.070, 0.069
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// ETHUSDT 1630.0 1620.0
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// buy BTCUSDT @ 22800 ( 2280 usdt => 0.1 BTC)
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// buy ETHBTC @ 0.070 ( 0.1 BTC => 1.4285714286 ETH)
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// sell ETHUSDT @ 1620 ( 1.4285714286 ETH => 2,314.285714332 USDT)
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marketA := newArbMarket("BTCUSDT", "BTC", "USDT", 22800.0, 1.0, 22700.0, 1.0)
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marketB := newArbMarket("ETHBTC", "ETH", "BTC", 0.070, 2.0, 0.069, 2.0)
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marketC := newArbMarket("ETHUSDT", "ETH", "USDT", 1630.0, 2.0, 1620.0, 2.0)
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path := &Path{
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marketA: marketA,
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marketB: marketB,
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marketC: marketC,
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dirA: -1,
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dirB: -1,
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dirC: 1,
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}
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orders := path.newOrders(types.BalanceMap{
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"USDT": {
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Currency: "USDT",
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Available: fixedpoint.NewFromFloat(2280.0),
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Locked: fixedpoint.Zero,
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Borrowed: fixedpoint.Zero,
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Interest: fixedpoint.Zero,
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NetAsset: fixedpoint.Zero,
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},
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}, 1)
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for i, order := range orders {
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t.Logf("order #%d: %+v", i, order.String())
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}
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assert.InDelta(t, 2314.17, orders[2].Price.Mul(orders[2].Quantity).Float64(), 0.01)
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}
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func TestPath_newForwardOrdersWithAdjustRate(t *testing.T) {
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// BTCUSDT 22800.0 22700.0
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// ETHBTC 0.070, 0.069
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// ETHUSDT 1630.0 1620.0
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// buy BTCUSDT @ 22800 (2280 usdt => 0.1 BTC)
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// buy ETHBTC @ 0.070 (0.1 BTC => 1.4285714286 ETH)
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// APPLY ADJUST RATE B: 0.7 = 1 ETH / 1.4285714286 ETH
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// buy BTCUSDT @ 22800 ( 1596 usdt => 0.07 BTC)
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// buy ETHBTC @ 0.070 (0.07 BTC => 1 ETH)
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// sell ETHUSDT @ 1620.0 (1 ETH => 1620 USDT)
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// APPLY ADJUST RATE C: 0.5 = 0.5 ETH / 1 ETH
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// buy BTCUSDT @ 22800 ( 798 usdt => 0.0035 BTC)
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// buy ETHBTC @ 0.070 (0.035 BTC => 0.5 ETH)
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// sell ETHUSDT @ 1620.0 (0.5 ETH => 1620 USDT)
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// sell ETHUSDT @ 1620 ( 1.4285714286 ETH => 2,314.285714332 USDT)
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marketA := newArbMarket("BTCUSDT", "BTC", "USDT", 22800.0, 1.0, 22700.0, 1.0)
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marketB := newArbMarket("ETHBTC", "ETH", "BTC", 0.070, 1.0, 0.069, 2.0)
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marketC := newArbMarket("ETHUSDT", "ETH", "USDT", 1630.0, 0.5, 1620.0, 0.5)
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path := &Path{
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marketA: marketA,
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marketB: marketB,
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marketC: marketC,
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dirA: -1,
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dirB: -1,
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dirC: 1,
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}
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orders := path.newOrders(types.BalanceMap{
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"USDT": {
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Currency: "USDT",
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Available: fixedpoint.NewFromFloat(2280.0),
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Locked: fixedpoint.Zero,
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Borrowed: fixedpoint.Zero,
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Interest: fixedpoint.Zero,
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NetAsset: fixedpoint.Zero,
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},
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}, 1)
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for i, order := range orders {
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t.Logf("order #%d: %+v", i, order.String())
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}
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assert.Equal(t, "0.03499", orders[0].Quantity.String())
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assert.Equal(t, "0.5", orders[1].Quantity.String())
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assert.Equal(t, "0.5", orders[2].Quantity.String())
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}
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func Test_fitQuantityByQuote(t *testing.T) {
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type args struct {
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price float64
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quantity float64
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quoteBalance float64
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}
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tests := []struct {
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name string
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args args
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want float64
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}{
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{
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name: "simple",
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args: args{
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price: 1630.0,
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quantity: 2.0,
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quoteBalance: 1000,
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},
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want: 0.6134969325153374,
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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got, _ := fitQuantityByQuote(tt.args.price, tt.args.quantity, tt.args.quoteBalance)
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if !assert.Equal(t, got, tt.want) {
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t.Errorf("fitQuantityByQuote() got = %v, want %v", got, tt.want)
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}
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})
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}
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}
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