415 lines
11 KiB
Go
415 lines
11 KiB
Go
package binance
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import (
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"regexp"
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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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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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var jsCommentTrimmer = regexp.MustCompile("(?m)//.*$")
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func TestMarginResponseParsing(t *testing.T) {
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type testcase struct {
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input string
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}
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var testcases = []testcase{
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{
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input: `{
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"e": "executionReport",
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"E": 1608545107403,
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"s": "BNBUSDT",
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"c": "ios_0de017ca7ceb4102b3baa664feb46e65",
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"S": "BUY",
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"o": "MARKET",
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"f": "GTC",
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"q": "0.50000000",
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"p": "0.00000000",
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"P": "0.00000000",
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"F": "0.00000000",
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"g": -1,
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"C": "",
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"x": "NEW",
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"X": "NEW",
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"r": "NONE",
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"i": 1147335332,
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"l": "0.00000000",
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"z": "0.00000000",
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"L": "0.00000000",
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"n": "0",
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"N": null,
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"T": 1608545107401,
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"t": -1,
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"I": 2387303818,
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"w": true,
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"m": false,
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"M": false,
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"O": 1608545107401,
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"Z": "0.00000000",
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"Y": "0.00000000",
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"Q": "0.00000000"
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}`,
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},
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{
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input: `{
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"e": "executionReport",
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"E": 1608545107403,
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"s": "BNBUSDT",
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"c": "ios_0de017ca7ceb4102b3baa664feb46e65",
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"S": "BUY",
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"o": "MARKET",
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"f": "GTC",
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"q": "0.50000000",
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"p": "0.00000000",
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"P": "0.00000000",
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"F": "0.00000000",
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"g": -1,
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"C": "",
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"x": "TRADE",
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"X": "FILLED",
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"r": "NONE",
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"i": 1147335332,
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"l": "0.50000000",
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"z": "0.50000000",
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"L": "33.85710000",
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"n": "0.00037500",
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"N": "BNB",
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"T": 1608545107401,
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"t": 98414801,
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"I": 2387303819,
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"w": false,
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"m": false,
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"M": true,
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"O": 1608545107401,
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"Z": "16.92855000",
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"Y": "16.92855000",
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"Q": "0.00000000"
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}`,
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},
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{
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input: `{
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"e": "outboundAccountInfo",
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"E": 1608545107403,
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"m": 9,
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"t": 10,
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"b": 0,
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"s": 0,
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"T": true,
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"W": true,
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"D": true,
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"u": 1608545107401,
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"B": [
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{
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"a": "BNB",
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"f": "89.99345616",
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"l": "12.00000000"
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},
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{
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"a": "USDT",
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"f": "0.16410063",
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"l": "0.00000000"
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}
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],
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"P": []
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}`,
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},
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{
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input: `{
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"e":"outboundAccountPosition",
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"E":1608545107403,
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"u":1608545107401,
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"B":[{"a":"BNB","f":"89.99345616","l":"12.00000000"},{"a":"USDT","f":"0.16410063","l":"0.00000000"}]
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}`,
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},
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}
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for _, testcase := range testcases {
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payload := testcase.input
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payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
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event, err := parseWebSocketEvent([]byte(payload))
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assert.NoError(t, err)
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assert.NotNil(t, event)
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}
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}
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func TestParseOrderUpdate(t *testing.T) {
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payload := `{
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"e": "executionReport", // Event type
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"E": 1499405658658, // Event time
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"s": "ETHBTC", // Symbol
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"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
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"S": "BUY", // Side
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"o": "LIMIT", // Order type
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"f": "GTC", // Time in force
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"q": "1.00000000", // Order quantity
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"p": "0.10264410", // Order price
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"P": "0.222", // Stop price
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"F": "0.00000000", // Iceberg quantity
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"g": -1, // OrderListId
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"C": null, // Original client order ID; This is the ID of the order being canceled
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"x": "NEW", // Current execution type
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"X": "NEW", // Current order status
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"r": "NONE", // Order reject reason; will be an error code.
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"i": 4293153, // Order ID
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"l": "0.00000000", // Last executed quantity
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"z": "0.00000000", // Cumulative filled quantity
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"L": "0.00000001", // Last executed price
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"n": "0", // Commission amount
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"N": null, // Commission asset
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"T": 1499405658657, // Transaction time
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"t": -1, // Trade ID
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"I": 8641984, // Ignore
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"w": true, // Is the order on the book?
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"m": false, // Is this trade the maker side?
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"M": true, // Ignore
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"O": 1499405658657, // Order creation time
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"Z": "0.1", // Cumulative quote asset transacted quantity
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"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
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"Q": "2.0" // Quote Order Quantity
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}`
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payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
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event, err := parseWebSocketEvent([]byte(payload))
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assert.NoError(t, err)
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assert.NotNil(t, event)
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executionReport, ok := event.(*ExecutionReportEvent)
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assert.True(t, ok)
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assert.NotNil(t, executionReport)
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assert.Equal(t, executionReport.Symbol, "ETHBTC")
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assert.Equal(t, executionReport.Side, "BUY")
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assert.Equal(t, executionReport.ClientOrderID, "mUvoqJxFIILMdfAW5iGSOW")
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assert.Equal(t, executionReport.OriginalClientOrderID, "")
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assert.Equal(t, executionReport.OrderType, "LIMIT")
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assert.Equal(t, executionReport.OrderCreationTime, int64(1499405658657))
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assert.Equal(t, executionReport.TimeInForce, "GTC")
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assert.Equal(t, executionReport.IcebergQuantity, fixedpoint.MustNewFromString("0.00000000"))
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assert.Equal(t, executionReport.OrderQuantity, fixedpoint.MustNewFromString("1.00000000"))
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assert.Equal(t, executionReport.QuoteOrderQuantity, fixedpoint.MustNewFromString("2.0"))
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assert.Equal(t, executionReport.OrderPrice, fixedpoint.MustNewFromString("0.10264410"))
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assert.Equal(t, executionReport.StopPrice, fixedpoint.MustNewFromString("0.222"))
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assert.Equal(t, executionReport.IsOnBook, true)
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assert.Equal(t, executionReport.IsMaker, false)
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assert.Equal(t, executionReport.Ignore, true)
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assert.Equal(t, executionReport.CommissionAmount, fixedpoint.MustNewFromString("0"))
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assert.Equal(t, executionReport.CommissionAsset, "")
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assert.Equal(t, executionReport.CurrentExecutionType, "NEW")
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assert.Equal(t, executionReport.CurrentOrderStatus, "NEW")
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assert.Equal(t, executionReport.OrderID, int64(4293153))
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assert.Equal(t, executionReport.Ignored, int64(8641984))
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assert.Equal(t, executionReport.TradeID, int64(-1))
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assert.Equal(t, executionReport.TransactionTime, int64(1499405658657))
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assert.Equal(t, executionReport.LastExecutedQuantity, fixedpoint.MustNewFromString("0.00000000"))
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assert.Equal(t, executionReport.LastExecutedPrice, fixedpoint.MustNewFromString("0.00000001"))
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assert.Equal(t, executionReport.CumulativeFilledQuantity, fixedpoint.MustNewFromString("0.00000000"))
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assert.Equal(t, executionReport.CumulativeQuoteAssetTransactedQuantity, fixedpoint.MustNewFromString("0.1"))
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assert.Equal(t, executionReport.LastQuoteAssetTransactedQuantity, fixedpoint.MustNewFromString("0.00000000"))
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orderUpdate, err := executionReport.Order()
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assert.NoError(t, err)
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assert.NotNil(t, orderUpdate)
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}
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func TestFuturesResponseParsing(t *testing.T) {
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type testcase struct {
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input string
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}
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var testcases = []testcase{
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{
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input: `{
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"e": "ORDER_TRADE_UPDATE",
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"T": 1639933384755,
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"E": 1639933384763,
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"o": {
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"s": "BTCUSDT",
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"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
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"S": "SELL",
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"o": "MARKET",
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"f": "GTC",
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"q": "0.001",
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"p": "0",
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"ap": "0",
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"sp": "0",
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"x": "NEW",
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"X": "NEW",
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"i": 38541728873,
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"l": "0",
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"z": "0",
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"L": "0",
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"T": 1639933384755,
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"t": 0,
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"b": "0",
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"a": "0",
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"m": false,
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"R": false,
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"wt": "CONTRACT_PRICE",
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"ot": "MARKET",
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"ps": "BOTH",
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"cp": false,
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"rp": "0",
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"pP": false,
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"si": 0,
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"ss": 0
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}
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}`,
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},
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{
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input: `{
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"e": "ACCOUNT_UPDATE",
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"T": 1639933384755,
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"E": 1639933384763,
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"a": {
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"B": [
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{
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"a": "USDT",
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"wb": "86.94966888",
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"cw": "86.94966888",
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"bc": "0"
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}
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],
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"P": [
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{
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"s": "BTCUSDT",
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"pa": "-0.001",
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"ep": "47202.40000",
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"cr": "7.78107001",
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"up": "-0.00233523",
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"mt": "cross",
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"iw": "0",
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"ps": "BOTH",
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"ma": "USDT"
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}
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],
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"m": "ORDER"
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}
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}`,
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},
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{
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input: `{
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"e": "ORDER_TRADE_UPDATE",
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"T": 1639933384755,
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"E": 1639933384763,
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"o": {
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"s": "BTCUSDT",
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"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
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"S": "SELL",
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"o": "MARKET",
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"f": "GTC",
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"q": "0.001",
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"p": "0",
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"ap": "47202.40000",
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"sp": "0",
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"x": "TRADE",
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"X": "FILLED",
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"i": 38541728873,
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"l": "0.001",
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"z": "0.001",
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"L": "47202.40",
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"n": "0.01888095",
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"N": "USDT",
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"T": 1639933384755,
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"t": 1741505949,
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"b": "0",
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"a": "0",
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"m": false,
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"R": false,
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"wt": "CONTRACT_PRICE",
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"ot": "MARKET",
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"ps": "BOTH",
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"cp": false,
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"rp": "0",
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"pP": false,
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"si": 0,
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"ss": 0
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}
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}`,
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},
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}
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for _, testcase := range testcases {
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payload := testcase.input
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payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
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event, err := parseWebSocketEvent([]byte(payload))
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assert.NoError(t, err)
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assert.NotNil(t, event)
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}
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}
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func TestParseOrderFuturesUpdate(t *testing.T) {
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payload := `{
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"e": "ORDER_TRADE_UPDATE",
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"T": 1639933384755,
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"E": 1639933384763,
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"o": {
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"s": "BTCUSDT",
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"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
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"S": "SELL",
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"o": "MARKET",
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"f": "GTC",
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"q": "0.001",
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"p": "0",
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"ap": "47202.40000",
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"sp": "0",
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"x": "TRADE",
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"X": "FILLED",
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"i": 38541728873,
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"l": "0.001",
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"z": "0.001",
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"L": "47202.40",
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"n": "0.01888095",
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"N": "USDT",
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"T": 1639933384755,
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"t": 1741505949,
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"b": "0",
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"a": "0",
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"m": false,
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"R": false,
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"wt": "CONTRACT_PRICE",
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"ot": "MARKET",
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"ps": "BOTH",
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"cp": false,
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"rp": "0",
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"pP": false,
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"si": 0,
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"ss": 0
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}
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}`
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payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
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event, err := parseWebSocketEvent([]byte(payload))
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assert.NoError(t, err)
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assert.NotNil(t, event)
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orderTradeEvent, ok := event.(*OrderTradeUpdateEvent)
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assert.True(t, ok)
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assert.NotNil(t, orderTradeEvent)
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assert.Equal(t, "BTCUSDT", orderTradeEvent.OrderTrade.Symbol)
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assert.Equal(t, "SELL", orderTradeEvent.OrderTrade.Side)
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assert.Equal(t, "x-NSUYEBKMe60cf610-f5c7-49a4-9c1", orderTradeEvent.OrderTrade.ClientOrderID)
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assert.Equal(t, "MARKET", orderTradeEvent.OrderTrade.OrderType)
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assert.Equal(t, types.NewMillisecondTimestampFromInt(1639933384763), orderTradeEvent.Time)
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assert.Equal(t, types.MillisecondTimestamp(time.UnixMilli(1639933384755)), orderTradeEvent.OrderTrade.OrderTradeTime)
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assert.Equal(t, fixedpoint.MustNewFromString("0.001"), orderTradeEvent.OrderTrade.OriginalQuantity)
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assert.Equal(t, fixedpoint.MustNewFromString("0.001"), orderTradeEvent.OrderTrade.OrderLastFilledQuantity)
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assert.Equal(t, fixedpoint.MustNewFromString("0.001"), orderTradeEvent.OrderTrade.OrderFilledAccumulatedQuantity)
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assert.Equal(t, "TRADE", orderTradeEvent.OrderTrade.CurrentExecutionType)
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assert.Equal(t, "FILLED", orderTradeEvent.OrderTrade.CurrentOrderStatus)
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assert.Equal(t, fixedpoint.MustNewFromString("47202.40"), orderTradeEvent.OrderTrade.LastFilledPrice)
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assert.Equal(t, int64(38541728873), orderTradeEvent.OrderTrade.OrderId)
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assert.Equal(t, int64(1741505949), orderTradeEvent.OrderTrade.TradeId)
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orderUpdate, err := orderTradeEvent.OrderFutures()
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assert.NoError(t, err)
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assert.NotNil(t, orderUpdate)
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}
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