package grid2 import ( "context" "strconv" "testing" "time" "git.qtrade.icu/lychiyu/bbgo/pkg/bbgo" "git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint" "git.qtrade.icu/lychiyu/bbgo/pkg/types" "git.qtrade.icu/lychiyu/bbgo/pkg/types/mocks" "github.com/stretchr/testify/assert" "go.uber.org/mock/gomock" ) func newStrategy(t *TestData) *Strategy { s := t.Strategy s.Debug = true s.Initialize() s.Market = t.Market s.Position = types.NewPositionFromMarket(t.Market) s.orderExecutor = bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, t.Market.Symbol, ID, s.InstanceID(), s.Position) return &s } func TestBuildTwinOrderBook(t *testing.T) { assert := assert.New(t) pins := []Pin{ Pin(fixedpoint.NewFromInt(200)), Pin(fixedpoint.NewFromInt(300)), Pin(fixedpoint.NewFromInt(500)), Pin(fixedpoint.NewFromInt(400)), Pin(fixedpoint.NewFromInt(100)), } t.Run("build twin orderbook with no order", func(t *testing.T) { b, err := buildTwinOrderBook(pins, nil) if !assert.NoError(err) { return } assert.Equal(0, b.Size()) assert.Nil(b.GetTwinOrder(fixedpoint.NewFromInt(100))) assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(200)).Exist()) assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(300)).Exist()) assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(400)).Exist()) assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(500)).Exist()) }) t.Run("build twin orderbook with some valid orders", func(t *testing.T) { orders := []types.Order{ { OrderID: 1, SubmitOrder: types.SubmitOrder{ Side: types.SideTypeBuy, Price: fixedpoint.NewFromInt(100), }, }, { OrderID: 5, SubmitOrder: types.SubmitOrder{ Side: types.SideTypeSell, Price: fixedpoint.NewFromInt(500), }, }, } b, err := buildTwinOrderBook(pins, orders) if !assert.NoError(err) { return } assert.Equal(2, b.Size()) assert.Equal(2, b.EmptyTwinOrderSize()) assert.Nil(b.GetTwinOrder(fixedpoint.NewFromInt(100))) assert.True(b.GetTwinOrder(fixedpoint.NewFromInt(200)).Exist()) assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(300)).Exist()) assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(400)).Exist()) assert.True(b.GetTwinOrder(fixedpoint.NewFromInt(500)).Exist()) }) t.Run("build twin orderbook with invalid orders", func(t *testing.T) {}) } func TestSyncActiveOrder(t *testing.T) { assert := assert.New(t) mockCtrl := gomock.NewController(t) defer mockCtrl.Finish() ctx, cancel := context.WithCancel(context.Background()) defer cancel() symbol := "ETHUSDT" t.Run("sync filled order in active orderbook, active orderbook should remove this order", func(t *testing.T) { mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl) activeOrderbook := bbgo.NewActiveOrderBook(symbol) order := types.Order{ OrderID: 1, Status: types.OrderStatusNew, SubmitOrder: types.SubmitOrder{ Symbol: symbol, }, } activeOrderbook.Add(order) updatedOrder := order updatedOrder.Status = types.OrderStatusFilled mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{ Symbol: symbol, OrderID: strconv.FormatUint(order.OrderID, 10), }).Return(&updatedOrder, nil) _, err := syncActiveOrder(ctx, activeOrderbook, mockOrderQueryService, order.OrderID, time.Now()) if !assert.NoError(err) { return } // verify active orderbook activeOrders := activeOrderbook.Orders() assert.Equal(0, len(activeOrders)) }) t.Run("sync partial-filled order in active orderbook, active orderbook should still keep this order", func(t *testing.T) { mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl) activeOrderbook := bbgo.NewActiveOrderBook(symbol) order := types.Order{ OrderID: 1, Status: types.OrderStatusNew, SubmitOrder: types.SubmitOrder{ Symbol: symbol, }, } activeOrderbook.Add(order) updatedOrder := order updatedOrder.Status = types.OrderStatusPartiallyFilled mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{ Symbol: symbol, OrderID: strconv.FormatUint(order.OrderID, 10), }).Return(&updatedOrder, nil) _, err := syncActiveOrder(ctx, activeOrderbook, mockOrderQueryService, order.OrderID, time.Now()) if !assert.NoError(err) { return } // verify active orderbook activeOrders := activeOrderbook.Orders() assert.Equal(1, len(activeOrders)) assert.Equal(order.OrderID, activeOrders[0].OrderID) assert.Equal(updatedOrder.Status, activeOrders[0].Status) }) } func TestQueryTradesToUpdateTwinOrderBook(t *testing.T) { assert := assert.New(t) mockCtrl := gomock.NewController(t) defer mockCtrl.Finish() ctx, cancel := context.WithCancel(context.Background()) defer cancel() symbol := "ETHUSDT" pins := []Pin{ Pin(fixedpoint.NewFromInt(100)), Pin(fixedpoint.NewFromInt(200)), Pin(fixedpoint.NewFromInt(300)), Pin(fixedpoint.NewFromInt(400)), Pin(fixedpoint.NewFromInt(500)), } t.Run("query trades and update twin orderbook successfully in one page", func(t *testing.T) { book := newTwinOrderBook(pins) mockTradeHistoryService := mocks.NewMockExchangeTradeHistoryService(mockCtrl) mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl) trades := []types.Trade{ { ID: 1, OrderID: 1, Symbol: symbol, Time: types.Time(time.Now().Add(-2 * time.Hour)), }, { ID: 2, OrderID: 2, Symbol: symbol, Time: types.Time(time.Now().Add(-1 * time.Hour)), }, } orders := []types.Order{ { OrderID: 1, Status: types.OrderStatusNew, SubmitOrder: types.SubmitOrder{ Symbol: symbol, Side: types.SideTypeBuy, Price: fixedpoint.NewFromInt(100), }, }, { OrderID: 2, Status: types.OrderStatusFilled, SubmitOrder: types.SubmitOrder{ Symbol: symbol, Side: types.SideTypeSell, Price: fixedpoint.NewFromInt(500), }, }, } mockTradeHistoryService.EXPECT().QueryTrades(gomock.Any(), gomock.Any(), gomock.Any()).Return(trades, nil).Times(1) mockOrderQueryService.EXPECT().QueryOrder(gomock.Any(), types.OrderQuery{ Symbol: symbol, OrderID: "1", }).Return(&orders[0], nil) mockOrderQueryService.EXPECT().QueryOrder(gomock.Any(), types.OrderQuery{ Symbol: symbol, OrderID: "2", }).Return(&orders[1], nil) assert.Equal(0, book.Size()) if !assert.NoError(queryTradesToUpdateTwinOrderBook(ctx, symbol, book, mockTradeHistoryService, mockOrderQueryService, book.SyncOrderMap(), time.Now().Add(-24*time.Hour), time.Now(), nil)) { return } assert.Equal(2, book.Size()) assert.True(book.GetTwinOrder(fixedpoint.NewFromInt(200)).Exist()) assert.Equal(orders[0].OrderID, book.GetTwinOrder(fixedpoint.NewFromInt(200)).GetOrder().OrderID) assert.True(book.GetTwinOrder(fixedpoint.NewFromInt(500)).Exist()) assert.Equal(orders[1].OrderID, book.GetTwinOrder(fixedpoint.NewFromInt(500)).GetOrder().OrderID) }) }