64 lines
1.6 KiB
Go
64 lines
1.6 KiB
Go
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package riskcontrol
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import (
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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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indicatorv2 "git.qtrade.icu/lychiyu/bbgo/pkg/indicator/v2"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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func Test_OrderPriceRiskControl_IsSafe(t *testing.T) {
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refPrice := 30000.00
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lossThreshold := fixedpoint.NewFromFloat(-100)
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window := types.IntervalWindow{Window: 30, Interval: types.Interval1m}
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refPriceEWMA := indicatorv2.EWMA2(nil, window.Window)
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refPriceEWMA.PushAndEmit(refPrice)
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cases := []struct {
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name string
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side types.SideType
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price fixedpoint.Value
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quantity fixedpoint.Value
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isSafe bool
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}{
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{
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name: "BuyingHighSafe",
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side: types.SideTypeBuy,
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price: fixedpoint.NewFromFloat(30040.0),
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quantity: fixedpoint.NewFromFloat(1.0),
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isSafe: true,
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},
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{
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name: "SellingLowSafe",
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side: types.SideTypeSell,
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price: fixedpoint.NewFromFloat(29960.0),
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quantity: fixedpoint.NewFromFloat(1.0),
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isSafe: true,
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},
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{
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name: "BuyingHighLoss",
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side: types.SideTypeBuy,
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price: fixedpoint.NewFromFloat(30040.0),
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quantity: fixedpoint.NewFromFloat(10.0),
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isSafe: false,
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},
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{
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name: "SellingLowLoss",
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side: types.SideTypeSell,
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price: fixedpoint.NewFromFloat(29960.0),
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quantity: fixedpoint.NewFromFloat(10.0),
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isSafe: false,
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},
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}
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for _, tc := range cases {
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t.Run(tc.name, func(t *testing.T) {
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var riskControl = NewOrderPriceRiskControl(refPriceEWMA, lossThreshold)
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assert.Equal(t, tc.isSafe, riskControl.IsSafe(tc.side, tc.price, tc.quantity))
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})
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}
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}
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