146 lines
3.7 KiB
Go
146 lines
3.7 KiB
Go
package risk
|
|
|
|
import (
|
|
"testing"
|
|
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
|
|
)
|
|
|
|
func TestCalculateMarginCost(t *testing.T) {
|
|
type args struct {
|
|
price fixedpoint.Value
|
|
quantity fixedpoint.Value
|
|
leverage fixedpoint.Value
|
|
}
|
|
tests := []struct {
|
|
name string
|
|
args args
|
|
want fixedpoint.Value
|
|
}{
|
|
{
|
|
name: "simple",
|
|
args: args{
|
|
price: fixedpoint.NewFromFloat(9000.0),
|
|
quantity: fixedpoint.NewFromFloat(2.0),
|
|
leverage: fixedpoint.NewFromFloat(3.0),
|
|
},
|
|
want: fixedpoint.NewFromFloat(9000.0 * 2.0 / 3.0),
|
|
},
|
|
}
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
if got := CalculateMarginCost(tt.args.price, tt.args.quantity, tt.args.leverage); got.String() != tt.want.String() {
|
|
t.Errorf("CalculateMarginCost() = %v, want %v", got, tt.want)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
func TestCalculatePositionCost(t *testing.T) {
|
|
type args struct {
|
|
markPrice fixedpoint.Value
|
|
orderPrice fixedpoint.Value
|
|
quantity fixedpoint.Value
|
|
leverage fixedpoint.Value
|
|
side types.SideType
|
|
}
|
|
tests := []struct {
|
|
name string
|
|
args args
|
|
want fixedpoint.Value
|
|
}{
|
|
{
|
|
// long position does not have openLoss
|
|
name: "long",
|
|
args: args{
|
|
markPrice: fixedpoint.NewFromFloat(9050.0),
|
|
orderPrice: fixedpoint.NewFromFloat(9000.0),
|
|
quantity: fixedpoint.NewFromFloat(2.0),
|
|
leverage: fixedpoint.NewFromFloat(3.0),
|
|
side: types.SideTypeBuy,
|
|
},
|
|
want: fixedpoint.NewFromFloat(6000.0),
|
|
},
|
|
{
|
|
// long position does not have openLoss
|
|
name: "short",
|
|
args: args{
|
|
markPrice: fixedpoint.NewFromFloat(9050.0),
|
|
orderPrice: fixedpoint.NewFromFloat(9000.0),
|
|
quantity: fixedpoint.NewFromFloat(2.0),
|
|
leverage: fixedpoint.NewFromFloat(3.0),
|
|
side: types.SideTypeSell,
|
|
},
|
|
want: fixedpoint.NewFromFloat(6100.0),
|
|
},
|
|
}
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
if got := CalculatePositionCost(tt.args.markPrice, tt.args.orderPrice, tt.args.quantity, tt.args.leverage, tt.args.side); got.String() != tt.want.String() {
|
|
t.Errorf("CalculatePositionCost() = %v, want %v", got, tt.want)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
func TestCalculateMaxPosition(t *testing.T) {
|
|
type args struct {
|
|
price fixedpoint.Value
|
|
availableMargin fixedpoint.Value
|
|
leverage fixedpoint.Value
|
|
}
|
|
tests := []struct {
|
|
name string
|
|
args args
|
|
want fixedpoint.Value
|
|
}{
|
|
{
|
|
name: "3x",
|
|
args: args{
|
|
price: fixedpoint.NewFromFloat(9000.0),
|
|
availableMargin: fixedpoint.NewFromFloat(300.0),
|
|
leverage: fixedpoint.NewFromFloat(3.0),
|
|
},
|
|
want: fixedpoint.NewFromFloat(0.1),
|
|
},
|
|
}
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
if got := CalculateMaxPosition(tt.args.price, tt.args.availableMargin, tt.args.leverage); got.String() != tt.want.String() {
|
|
t.Errorf("CalculateMaxPosition() = %v, want %v", got, tt.want)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
func TestCalculateMinRequiredLeverage(t *testing.T) {
|
|
type args struct {
|
|
price fixedpoint.Value
|
|
quantity fixedpoint.Value
|
|
availableMargin fixedpoint.Value
|
|
}
|
|
tests := []struct {
|
|
name string
|
|
args args
|
|
want fixedpoint.Value
|
|
}{
|
|
{
|
|
name: "30x",
|
|
args: args{
|
|
price: fixedpoint.NewFromFloat(9000.0),
|
|
quantity: fixedpoint.NewFromFloat(10.0),
|
|
availableMargin: fixedpoint.NewFromFloat(3000.0),
|
|
},
|
|
want: fixedpoint.NewFromFloat(30.0),
|
|
},
|
|
}
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
if got := CalculateMinRequiredLeverage(tt.args.price, tt.args.quantity, tt.args.availableMargin); got.String() != tt.want.String() {
|
|
t.Errorf("CalculateMinRequiredLeverage() = %v, want %v", got, tt.want)
|
|
}
|
|
})
|
|
}
|
|
}
|