package twap import ( "context" "fmt" "testing" "time" "github.com/stretchr/testify/assert" "go.uber.org/mock/gomock" "git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint" "git.qtrade.icu/lychiyu/bbgo/pkg/types" "git.qtrade.icu/lychiyu/bbgo/pkg/types/mocks" ) func getTestMarket() types.Market { market := types.Market{ Symbol: "BTCUSDT", PricePrecision: 8, VolumePrecision: 8, QuoteCurrency: "USDT", BaseCurrency: "BTC", MinNotional: fixedpoint.MustNewFromString("0.001"), MinAmount: fixedpoint.MustNewFromString("10.0"), MinQuantity: fixedpoint.MustNewFromString("0.001"), } return market } type OrderMatcher struct { Order types.Order } func MatchOrder(o types.Order) *OrderMatcher { return &OrderMatcher{ Order: o, } } func (m *OrderMatcher) Matches(x interface{}) bool { order, ok := x.(types.Order) if !ok { return false } return m.Order.OrderID == order.OrderID && m.Order.Price.Compare(m.Order.Price) == 0 } func (m *OrderMatcher) String() string { return fmt.Sprintf("OrderMatcher expects %+v", m.Order) } type CatchMatcher struct { f func(x any) } func Catch(f func(x any)) *CatchMatcher { return &CatchMatcher{ f: f, } } func (m *CatchMatcher) Matches(x interface{}) bool { m.f(x) return true } func (m *CatchMatcher) String() string { return "CatchMatcher" } func bindMockMarketDataStream(mockStream *mocks.MockStream, stream *types.StandardStream) { mockStream.EXPECT().OnBookSnapshot(Catch(func(x any) { stream.OnBookSnapshot(x.(func(book types.SliceOrderBook))) })).AnyTimes() mockStream.EXPECT().OnBookUpdate(Catch(func(x any) { stream.OnBookUpdate(x.(func(book types.SliceOrderBook))) })).AnyTimes() mockStream.EXPECT().OnConnect(Catch(func(x any) { stream.OnConnect(x.(func())) })).AnyTimes() } func bindMockUserDataStream(mockStream *mocks.MockStream, stream *types.StandardStream) { mockStream.EXPECT().OnOrderUpdate(Catch(func(x any) { stream.OnOrderUpdate(x.(func(order types.Order))) })).AnyTimes() mockStream.EXPECT().OnTradeUpdate(Catch(func(x any) { stream.OnTradeUpdate(x.(func(order types.Trade))) })).AnyTimes() mockStream.EXPECT().OnBalanceUpdate(Catch(func(x any) { stream.OnBalanceUpdate(x.(func(m types.BalanceMap))) })).AnyTimes() mockStream.EXPECT().OnConnect(Catch(func(x any) { stream.OnConnect(x.(func())) })).AnyTimes() mockStream.EXPECT().OnAuth(Catch(func(x any) { stream.OnAuth(x.(func())) })) } func TestNewStreamExecutor(t *testing.T) { exchangeName := types.ExchangeBinance symbol := "BTCUSDT" market := getTestMarket() targetQuantity := Number(100) sliceQuantity := Number(1) ctx, cancel := context.WithCancel(context.Background()) defer cancel() mockCtrl := gomock.NewController(t) defer mockCtrl.Finish() mockEx := mocks.NewMockExchange(mockCtrl) marketDataStream := &types.StandardStream{} userDataStream := &types.StandardStream{} mockMarketDataStream := mocks.NewMockStream(mockCtrl) mockMarketDataStream.EXPECT().SetPublicOnly() mockMarketDataStream.EXPECT().Subscribe(types.BookChannel, symbol, types.SubscribeOptions{ Depth: types.DepthLevelMedium, }) bindMockMarketDataStream(mockMarketDataStream, marketDataStream) mockMarketDataStream.EXPECT().Connect(gomock.AssignableToTypeOf(ctx)) mockUserDataStream := mocks.NewMockStream(mockCtrl) bindMockUserDataStream(mockUserDataStream, userDataStream) mockUserDataStream.EXPECT().Connect(gomock.AssignableToTypeOf(ctx)) initialBalances := types.BalanceMap{ "BTC": types.Balance{ Available: Number(2), }, "USDT": types.Balance{ Available: Number(20_000), }, } mockEx.EXPECT().Name().Return(exchangeName) mockEx.EXPECT().NewStream().Return(mockMarketDataStream) mockEx.EXPECT().NewStream().Return(mockUserDataStream) mockEx.EXPECT().QueryAccountBalances(gomock.AssignableToTypeOf(ctx)).Return(initialBalances, nil) // first order firstSubmitOrder := types.SubmitOrder{ Symbol: symbol, Side: types.SideTypeBuy, Type: types.OrderTypeLimitMaker, Quantity: Number(1), Price: Number(19400), Market: market, TimeInForce: types.TimeInForceGTC, } firstSubmitOrderTime := time.Date(2021, 1, 1, 0, 0, 0, 0, time.UTC) firstOrder := types.Order{ SubmitOrder: firstSubmitOrder, Exchange: exchangeName, OrderID: 1, Status: types.OrderStatusNew, ExecutedQuantity: Number(0.0), IsWorking: true, CreationTime: types.Time(firstSubmitOrderTime), UpdateTime: types.Time(firstSubmitOrderTime), } mockEx.EXPECT().SubmitOrder(gomock.AssignableToTypeOf(ctx), firstSubmitOrder).Return(&firstOrder, nil) executor := NewFixedQuantityExecutor(mockEx, symbol, market, types.SideTypeBuy, targetQuantity, sliceQuantity) executor.SetUpdateInterval(200 * time.Millisecond) go func() { err := executor.Start(ctx) assert.NoError(t, err) }() go func() { time.Sleep(500 * time.Millisecond) marketDataStream.EmitConnect() userDataStream.EmitConnect() userDataStream.EmitAuth() }() err := executor.WaitForConnection(ctx) assert.NoError(t, err) t.Logf("sending book snapshot...") snapshotTime := time.Date(2021, 1, 1, 0, 0, 0, 0, time.UTC) marketDataStream.EmitBookSnapshot(types.SliceOrderBook{ Symbol: symbol, Bids: types.PriceVolumeSlice{ {Price: Number(19400), Volume: Number(1)}, {Price: Number(19300), Volume: Number(2)}, {Price: Number(19200), Volume: Number(3)}, }, Asks: types.PriceVolumeSlice{ {Price: Number(19450), Volume: Number(1)}, {Price: Number(19550), Volume: Number(2)}, {Price: Number(19650), Volume: Number(3)}, }, Time: snapshotTime, LastUpdateId: 101, }) time.Sleep(500 * time.Millisecond) t.Logf("sending book update...") // we expect the second order will be placed when the order update is received secondSubmitOrder := types.SubmitOrder{ Symbol: symbol, Side: types.SideTypeBuy, Type: types.OrderTypeLimitMaker, Quantity: Number(1), Price: Number(19420), Market: market, TimeInForce: types.TimeInForceGTC, } secondSubmitOrderTime := time.Date(2021, 1, 1, 0, 1, 0, 0, time.UTC) secondOrder := types.Order{ SubmitOrder: secondSubmitOrder, Exchange: exchangeName, OrderID: 2, Status: types.OrderStatusNew, ExecutedQuantity: Number(0.0), IsWorking: true, CreationTime: types.Time(secondSubmitOrderTime), UpdateTime: types.Time(secondSubmitOrderTime), } mockEx.EXPECT().CancelOrders(context.Background(), MatchOrder(firstOrder)).DoAndReturn(func( ctx context.Context, orders ...types.Order, ) error { orderUpdate := firstOrder orderUpdate.Status = types.OrderStatusCanceled userDataStream.EmitOrderUpdate(orderUpdate) t.Logf("emit order update: %+v", orderUpdate) return nil }) mockEx.EXPECT().QueryAccountBalances(gomock.AssignableToTypeOf(ctx)).Return(initialBalances, nil) mockEx.EXPECT().SubmitOrder(gomock.AssignableToTypeOf(ctx), secondSubmitOrder).Return(&secondOrder, nil) t.Logf("waiting for the order update...") time.Sleep(500 * time.Millisecond) { orders := executor.orderStore.Orders() assert.Len(t, orders, 1, "should have 1 order in the order store") } marketDataStream.EmitBookUpdate(types.SliceOrderBook{ Symbol: symbol, Bids: types.PriceVolumeSlice{ {Price: Number(19420), Volume: Number(1)}, {Price: Number(19300), Volume: Number(2)}, {Price: Number(19200), Volume: Number(3)}, }, Asks: types.PriceVolumeSlice{ {Price: Number(19450), Volume: Number(1)}, {Price: Number(19550), Volume: Number(2)}, {Price: Number(19650), Volume: Number(3)}, }, Time: snapshotTime, LastUpdateId: 101, }) t.Logf("waiting for the next order update...") time.Sleep(500 * time.Millisecond) { orders := executor.orderStore.Orders() assert.Len(t, orders, 1, "should have 1 order in the order store") } t.Logf("emitting trade update...") userDataStream.EmitTradeUpdate(types.Trade{ ID: 1, OrderID: 2, Exchange: exchangeName, Price: Number(19420.0), Quantity: Number(100.0), QuoteQuantity: Number(100.0 * 19420.0), Symbol: symbol, Side: types.SideTypeBuy, IsBuyer: true, IsMaker: true, Time: types.Time(secondSubmitOrderTime), }) t.Logf("waiting for the trade callbacks...") time.Sleep(500 * time.Millisecond) executor.tradeCollector.Process() assert.Equal(t, Number(100), executor.position.GetBase()) mockEx.EXPECT().CancelOrders(context.Background(), MatchOrder(secondOrder)).DoAndReturn(func( ctx context.Context, orders ...types.Order, ) error { orderUpdate := secondOrder orderUpdate.Status = types.OrderStatusCanceled userDataStream.EmitOrderUpdate(orderUpdate) t.Logf("emit order #2 update: %+v", orderUpdate) return nil }) assert.True(t, executor.cancelContextIfTargetQuantityFilled(), "target quantity should be filled") // finalizing and stop the executor select { case <-ctx.Done(): case <-time.After(10 * time.Second): case <-executor.Done(): } t.Logf("executor done") }