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