75 lines
2.5 KiB
Go
75 lines
2.5 KiB
Go
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//go:build !dnum
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package xdepthmaker
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import (
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"testing"
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"time"
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"github.com/stretchr/testify/assert"
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"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
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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 newTestBTCUSDTMarket() types.Market {
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return types.Market{
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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TickSize: Number(0.01),
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StepSize: Number(0.000001),
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PricePrecision: 2,
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VolumePrecision: 8,
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MinNotional: Number(8.0),
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MinQuantity: Number(0.0003),
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}
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}
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func TestStrategy_generateMakerOrders(t *testing.T) {
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s := &Strategy{
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Symbol: "BTCUSDT",
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NumLayers: 3,
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DepthScale: &bbgo.LayerScale{
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LayerRule: &bbgo.SlideRule{
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LinearScale: &bbgo.LinearScale{
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Domain: [2]float64{1.0, 3.0},
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Range: [2]float64{1000.0, 15000.0},
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},
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},
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},
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CrossExchangeMarketMakingStrategy: &CrossExchangeMarketMakingStrategy{
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makerMarket: newTestBTCUSDTMarket(),
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},
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}
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pricingBook := types.NewStreamBook("BTCUSDT", types.ExchangeBinance)
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pricingBook.Load(types.SliceOrderBook{
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Symbol: "BTCUSDT",
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Bids: types.PriceVolumeSlice{
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{Price: Number("25000.00"), Volume: Number("0.1")},
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{Price: Number("24900.00"), Volume: Number("0.2")},
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{Price: Number("24800.00"), Volume: Number("0.3")},
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{Price: Number("24700.00"), Volume: Number("0.4")},
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},
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Asks: types.PriceVolumeSlice{
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{Price: Number("25100.00"), Volume: Number("0.1")},
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{Price: Number("25200.00"), Volume: Number("0.2")},
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{Price: Number("25300.00"), Volume: Number("0.3")},
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{Price: Number("25400.00"), Volume: Number("0.4")},
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},
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Time: time.Now(),
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})
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orders, err := s.generateMakerOrders(pricingBook, 0, fixedpoint.PosInf, fixedpoint.PosInf)
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assert.NoError(t, err)
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeBuy, Price: Number("25000"), Quantity: Number("0.04")}, // =~ $1000.00
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{Side: types.SideTypeBuy, Price: Number("24866.66"), Quantity: Number("0.281715")}, // =~ $7005.3111219, accumulated amount =~ $1000.00 + $7005.3111219 = $8005.3111219
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{Side: types.SideTypeBuy, Price: Number("24800"), Quantity: Number("0.283123")}, // =~ $7021.4504, accumulated amount =~ $1000.00 + $7005.3111219 + $7021.4504 = $8005.3111219 + $7021.4504 =~ $15026.7615219
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{Side: types.SideTypeSell, Price: Number("25100"), Quantity: Number("0.03984")},
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{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.2772")},
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{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.277411")},
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}, orders)
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}
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