package riskcontrol import ( "testing" "time" "github.com/stretchr/testify/assert" "git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint" indicatorv2 "git.qtrade.icu/lychiyu/bbgo/pkg/indicator/v2" "git.qtrade.icu/lychiyu/bbgo/pkg/types" ) func Test_IsHalted(t *testing.T) { var ( price = 30000.00 realizedPnL = fixedpoint.NewFromFloat(-100.0) breakCondition = fixedpoint.NewFromFloat(-500.00) ) window := types.IntervalWindow{Window: 30, Interval: types.Interval1m} priceEWMA := indicatorv2.EWMA2(nil, window.Window) priceEWMA.PushAndEmit(price) cases := []struct { name string position fixedpoint.Value averageCost fixedpoint.Value isHalted bool }{ { name: "PositivePositionReachBreakCondition", position: fixedpoint.NewFromFloat(10.0), averageCost: fixedpoint.NewFromFloat(30040.0), isHalted: true, }, { name: "PositivePositionOverBreakCondition", position: fixedpoint.NewFromFloat(10.0), averageCost: fixedpoint.NewFromFloat(30050.0), isHalted: true, }, { name: "PositivePositionUnderBreakCondition", position: fixedpoint.NewFromFloat(10.0), averageCost: fixedpoint.NewFromFloat(30030.0), isHalted: false, }, { name: "NegativePositionReachBreakCondition", position: fixedpoint.NewFromFloat(-10.0), averageCost: fixedpoint.NewFromFloat(29960.0), isHalted: true, }, { name: "NegativePositionOverBreakCondition", position: fixedpoint.NewFromFloat(-10.0), averageCost: fixedpoint.NewFromFloat(29950.0), isHalted: true, }, { name: "NegativePositionUnderBreakCondition", position: fixedpoint.NewFromFloat(-10.0), averageCost: fixedpoint.NewFromFloat(29970.0), isHalted: false, }, } for _, tc := range cases { t.Run(tc.name, func(t *testing.T) { var riskControl = NewCircuitBreakRiskControl( &types.Position{ Base: tc.position, AverageCost: tc.averageCost, }, priceEWMA, breakCondition, &types.ProfitStats{}, 24*time.Hour, ) now := time.Now() riskControl.profitStats.ResetToday(now) riskControl.profitStats.TodayPnL = realizedPnL assert.Equal(t, tc.isHalted, riskControl.IsHalted(now.Add(time.Hour))) }) } }