package dca2 import ( "context" "math/rand" "testing" "time" "github.com/stretchr/testify/assert" "git.qtrade.icu/lychiyu/bbgo/pkg/bbgo" "git.qtrade.icu/lychiyu/bbgo/pkg/types" ) func generateTestOrder(side types.SideType, status types.OrderStatus, createdAt time.Time) types.Order { return types.Order{ OrderID: rand.Uint64(), SubmitOrder: types.SubmitOrder{ Side: side, }, Status: status, CreationTime: types.Time(createdAt), } } func Test_RecoverState(t *testing.T) { strategy := newTestStrategy() t.Run("new strategy", func(t *testing.T) { currentRound := Round{} position := types.NewPositionFromMarket(strategy.Market) orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position) state, err := recoverState(context.Background(), 5, currentRound, orderExecutor) assert.NoError(t, err) assert.Equal(t, WaitToOpenPosition, state) }) t.Run("at open position stage and no filled order", func(t *testing.T) { now := time.Now() currentRound := Round{ OpenPositionOrders: []types.Order{ generateTestOrder(types.SideTypeBuy, types.OrderStatusPartiallyFilled, now.Add(-1*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-2*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-3*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-4*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-5*time.Second)), }, } position := types.NewPositionFromMarket(strategy.Market) orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position) state, err := recoverState(context.Background(), 5, currentRound, orderExecutor) assert.NoError(t, err) assert.Equal(t, OpenPositionReady, state) }) t.Run("at open position stage and there at least one filled order", func(t *testing.T) { now := time.Now() currentRound := Round{ OpenPositionOrders: []types.Order{ generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-2*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-3*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-4*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-5*time.Second)), }, } position := types.NewPositionFromMarket(strategy.Market) orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position) state, err := recoverState(context.Background(), 5, currentRound, orderExecutor) assert.NoError(t, err) assert.Equal(t, OpenPositionOrderFilled, state) }) t.Run("open position stage finish, but stop at cancelling", func(t *testing.T) { now := time.Now() currentRound := Round{ OpenPositionOrders: []types.Order{ generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-2*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-3*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-4*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-5*time.Second)), }, } position := types.NewPositionFromMarket(strategy.Market) orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position) state, err := recoverState(context.Background(), 5, currentRound, orderExecutor) assert.NoError(t, err) assert.Equal(t, OpenPositionOrdersCancelling, state) }) t.Run("open-position orders are cancelled", func(t *testing.T) { now := time.Now() currentRound := Round{ OpenPositionOrders: []types.Order{ generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-2*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-3*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-4*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-5*time.Second)), }, } position := types.NewPositionFromMarket(strategy.Market) orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position) state, err := recoverState(context.Background(), 5, currentRound, orderExecutor) assert.NoError(t, err) assert.Equal(t, OpenPositionOrdersCancelling, state) }) t.Run("at take profit stage, and not filled yet", func(t *testing.T) { now := time.Now() currentRound := Round{ TakeProfitOrders: []types.Order{ generateTestOrder(types.SideTypeSell, types.OrderStatusNew, now), }, OpenPositionOrders: []types.Order{ generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-2*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-3*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-4*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-5*time.Second)), }, } position := types.NewPositionFromMarket(strategy.Market) orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position) state, err := recoverState(context.Background(), 5, currentRound, orderExecutor) assert.NoError(t, err) assert.Equal(t, TakeProfitReady, state) }) t.Run("at take profit stage, take-profit order filled", func(t *testing.T) { now := time.Now() currentRound := Round{ TakeProfitOrders: []types.Order{ generateTestOrder(types.SideTypeSell, types.OrderStatusFilled, now), }, OpenPositionOrders: []types.Order{ generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-2*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-3*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-4*time.Second)), generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-5*time.Second)), }, } position := types.NewPositionFromMarket(strategy.Market) orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position) state, err := recoverState(context.Background(), 5, currentRound, orderExecutor) assert.NoError(t, err) assert.Equal(t, WaitToOpenPosition, state) }) } func Test_classifyOrders(t *testing.T) { orders := []types.Order{ types.Order{Status: types.OrderStatusCanceled}, types.Order{Status: types.OrderStatusFilled}, types.Order{Status: types.OrderStatusCanceled}, types.Order{Status: types.OrderStatusFilled}, types.Order{Status: types.OrderStatusPartiallyFilled}, types.Order{Status: types.OrderStatusCanceled}, types.Order{Status: types.OrderStatusPartiallyFilled}, types.Order{Status: types.OrderStatusNew}, types.Order{Status: types.OrderStatusRejected}, types.Order{Status: types.OrderStatusCanceled}, } opened, cancelled, filled, unexpected := classifyOrders(orders) assert.Equal(t, 3, len(opened)) assert.Equal(t, 4, len(cancelled)) assert.Equal(t, 2, len(filled)) assert.Equal(t, 1, len(unexpected)) }