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bbgo/pkg/exchange/okex/exchange_test.go

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13 KiB
Go
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package okex
import (
"context"
"encoding/json"
"fmt"
"net/http"
"os"
"strconv"
"strings"
"testing"
"time"
"github.com/google/uuid"
"github.com/stretchr/testify/assert"
"git.qtrade.icu/lychiyu/bbgo/pkg/exchange/okex/okexapi"
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
"git.qtrade.icu/lychiyu/bbgo/pkg/testing/httptesting"
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
)
func Test_clientOrderIdRegex(t *testing.T) {
t.Run("empty client order id", func(t *testing.T) {
assert.True(t, clientOrderIdRegex.MatchString(""))
})
t.Run("mixed of digit and char", func(t *testing.T) {
assert.True(t, clientOrderIdRegex.MatchString("1s2f3g4h5j"))
})
t.Run("mixed of 16 chars and 16 digit", func(t *testing.T) {
assert.True(t, clientOrderIdRegex.MatchString(strings.Repeat("s", 16)+strings.Repeat("1", 16)))
})
t.Run("out of maximum length", func(t *testing.T) {
assert.False(t, clientOrderIdRegex.MatchString(strings.Repeat("s", 33)))
})
t.Run("invalid char: `-`", func(t *testing.T) {
assert.False(t, clientOrderIdRegex.MatchString(uuid.NewString()))
})
}
func TestExchange_QueryTrades(t *testing.T) {
var (
assert = assert.New(t)
ex = New("key", "secret", "passphrase")
expBtcSymbol = "BTCUSDT"
expLocalBtcSymbol = "BTC-USDT"
until = time.Now()
since = until.Add(-threeDaysHistoricalPeriod)
options = &types.TradeQueryOptions{
StartTime: &since,
EndTime: &until,
Limit: defaultQueryLimit,
LastTradeID: 0,
}
threeDayUrl = "/api/v5/trade/fills"
historyUrl = "/api/v5/trade/fills-history"
expOrder = []types.Trade{
{
ID: 749554213,
OrderID: 688362711456706560,
Exchange: types.ExchangeOKEx,
Price: fixedpoint.MustNewFromString("73397.8"),
Quantity: fixedpoint.MustNewFromString("0.001"),
QuoteQuantity: fixedpoint.MustNewFromString("73.3978"),
Symbol: expBtcSymbol,
Side: types.SideTypeBuy,
IsBuyer: true,
IsMaker: false,
Time: types.Time(types.NewMillisecondTimestampFromInt(1710390459574).Time()),
Fee: fixedpoint.MustNewFromString("0.000001"),
FeeCurrency: "BTC",
},
}
)
ex.timeNowFunc = func() time.Time { return until }
t.Run("3 days", func(t *testing.T) {
t.Run("succeeds with one record", func(t *testing.T) {
transport := &httptesting.MockTransport{}
ex.client.HttpClient.Transport = transport
// order history
historyOrderFile, err := os.ReadFile("okexapi/testdata/get_three_days_transaction_history_request.json")
assert.NoError(err)
transport.GET(threeDayUrl, func(req *http.Request) (*http.Response, error) {
query := req.URL.Query()
assert.Len(query, 6)
assert.Contains(query, "begin")
assert.Contains(query, "end")
assert.Contains(query, "limit")
assert.Contains(query, "instId")
assert.Contains(query, "instType")
assert.Contains(query, "before")
assert.Equal(query["begin"], []string{strconv.FormatInt(since.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["end"], []string{strconv.FormatInt(until.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["limit"], []string{strconv.FormatInt(defaultQueryLimit, 10)})
assert.Equal(query["instId"], []string{expLocalBtcSymbol})
assert.Equal(query["instType"], []string{string(okexapi.InstrumentTypeSpot)})
assert.Equal(query["before"], []string{"0"})
return httptesting.BuildResponseString(http.StatusOK, string(historyOrderFile)), nil
})
orders, err := ex.QueryTrades(context.Background(), expBtcSymbol, options)
assert.NoError(err)
assert.Equal(expOrder, orders)
})
t.Run("succeeds with exceeded max records", func(t *testing.T) {
transport := &httptesting.MockTransport{}
ex.client.HttpClient.Transport = transport
tradeId := 749554213
billId := 688362711465447466
dataTemplace := `
{
"side":"buy",
"fillSz":"0.001",
"fillPx":"73397.8",
"fillPxVol":"",
"fillFwdPx":"",
"fee":"-0.000001",
"fillPnl":"0",
"ordId":"688362711456706560",
"feeRate":"-0.001",
"instType":"SPOT",
"fillPxUsd":"",
"instId":"BTC-USDT",
"clOrdId":"1229606897",
"posSide":"net",
"billId":"%d",
"fillMarkVol":"",
"tag":"",
"fillTime":"1710390459571",
"execType":"T",
"fillIdxPx":"",
"tradeId":"%d",
"fillMarkPx":"",
"feeCcy":"BTC",
"ts":"1710390459574"
}`
tradesStr := make([]string, 0, defaultQueryLimit+1)
expTrades := make([]types.Trade, 0, defaultQueryLimit+1)
for i := 0; i < defaultQueryLimit+1; i++ {
dataStr := fmt.Sprintf(dataTemplace, billId+i, tradeId+i)
tradesStr = append(tradesStr, dataStr)
trade := &okexapi.Trade{}
err := json.Unmarshal([]byte(dataStr), &trade)
assert.NoError(err)
expTrades = append(expTrades, tradeToGlobal(*trade))
}
transport.GET(threeDayUrl, func(req *http.Request) (*http.Response, error) {
query := req.URL.Query()
assert.Contains(query, "begin")
assert.Contains(query, "end")
assert.Contains(query, "limit")
assert.Contains(query, "instId")
assert.Contains(query, "instType")
assert.Equal(query["begin"], []string{strconv.FormatInt(since.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["end"], []string{strconv.FormatInt(until.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["limit"], []string{strconv.FormatInt(defaultQueryLimit, 10)})
assert.Equal(query["instId"], []string{expLocalBtcSymbol})
assert.Equal(query["instType"], []string{string(okexapi.InstrumentTypeSpot)})
assert.Len(query, 6)
if query["before"][0] == "0" {
resp := &okexapi.APIResponse{
Code: "0",
Data: []byte("[" + strings.Join(tradesStr[0:defaultQueryLimit], ",") + "]"),
}
respRaw, err := json.Marshal(resp)
assert.NoError(err)
return httptesting.BuildResponseString(http.StatusOK, string(respRaw)), nil
}
// second time query
// last order id, so need to -1
assert.Equal(query["before"], []string{strconv.FormatInt(int64(billId+defaultQueryLimit-1), 10)})
resp := okexapi.APIResponse{
Code: "0",
Data: []byte("[" + strings.Join(tradesStr[defaultQueryLimit:defaultQueryLimit+1], ",") + "]"),
}
respRaw, err := json.Marshal(resp)
assert.NoError(err)
return httptesting.BuildResponseString(http.StatusOK, string(respRaw)), nil
})
trades, err := ex.QueryTrades(context.Background(), expBtcSymbol, options)
assert.NoError(err)
assert.Equal(expTrades, trades)
})
})
t.Run("3 days < x < Max days", func(t *testing.T) {
t.Run("succeeds with one record", func(t *testing.T) {
transport := &httptesting.MockTransport{}
ex.client.HttpClient.Transport = transport
newSince := until.Add(-maxHistoricalDataQueryPeriod)
options.StartTime = &newSince
// order history
historyOrderFile, err := os.ReadFile("okexapi/testdata/get_transaction_history_request.json")
assert.NoError(err)
transport.GET(historyUrl, func(req *http.Request) (*http.Response, error) {
query := req.URL.Query()
assert.Len(query, 6)
assert.Contains(query, "begin")
assert.Contains(query, "end")
assert.Contains(query, "limit")
assert.Contains(query, "instId")
assert.Contains(query, "instType")
assert.Contains(query, "before")
assert.Equal(query["begin"], []string{strconv.FormatInt(newSince.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["end"], []string{strconv.FormatInt(until.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["limit"], []string{strconv.FormatInt(defaultQueryLimit, 10)})
assert.Equal(query["instId"], []string{expLocalBtcSymbol})
assert.Equal(query["instType"], []string{string(okexapi.InstrumentTypeSpot)})
assert.Equal(query["before"], []string{"0"})
return httptesting.BuildResponseString(http.StatusOK, string(historyOrderFile)), nil
})
orders, err := ex.QueryTrades(context.Background(), expBtcSymbol, options)
assert.NoError(err)
assert.Equal(expOrder, orders)
})
t.Run("succeeds with exceeded max records", func(t *testing.T) {
transport := &httptesting.MockTransport{}
ex.client.HttpClient.Transport = transport
newSince := until.Add(-maxHistoricalDataQueryPeriod)
options.StartTime = &newSince
tradeId := 749554213
billId := 688362711465447466
dataTemplace := `
{
"side":"buy",
"fillSz":"0.001",
"fillPx":"73397.8",
"fillPxVol":"",
"fillFwdPx":"",
"fee":"-0.000001",
"fillPnl":"0",
"ordId":"688362711456706560",
"feeRate":"-0.001",
"instType":"SPOT",
"fillPxUsd":"",
"instId":"BTC-USDT",
"clOrdId":"1229606897",
"posSide":"net",
"billId":"%d",
"fillMarkVol":"",
"tag":"",
"fillTime":"1710390459571",
"execType":"T",
"fillIdxPx":"",
"tradeId":"%d",
"fillMarkPx":"",
"feeCcy":"BTC",
"ts":"1710390459574"
}`
tradesStr := make([]string, 0, defaultQueryLimit+1)
expTrades := make([]types.Trade, 0, defaultQueryLimit+1)
for i := 0; i < defaultQueryLimit+1; i++ {
dataStr := fmt.Sprintf(dataTemplace, billId+i, tradeId+i)
tradesStr = append(tradesStr, dataStr)
trade := &okexapi.Trade{}
err := json.Unmarshal([]byte(dataStr), &trade)
assert.NoError(err)
expTrades = append(expTrades, tradeToGlobal(*trade))
}
transport.GET(historyUrl, func(req *http.Request) (*http.Response, error) {
query := req.URL.Query()
assert.Contains(query, "begin")
assert.Contains(query, "end")
assert.Contains(query, "limit")
assert.Contains(query, "instId")
assert.Contains(query, "instType")
assert.Equal(query["begin"], []string{strconv.FormatInt(newSince.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["end"], []string{strconv.FormatInt(until.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["limit"], []string{strconv.FormatInt(defaultQueryLimit, 10)})
assert.Equal(query["instId"], []string{expLocalBtcSymbol})
assert.Equal(query["instType"], []string{string(okexapi.InstrumentTypeSpot)})
assert.Len(query, 6)
if query["before"][0] == "0" {
resp := &okexapi.APIResponse{
Code: "0",
Data: []byte("[" + strings.Join(tradesStr[0:defaultQueryLimit], ",") + "]"),
}
respRaw, err := json.Marshal(resp)
assert.NoError(err)
return httptesting.BuildResponseString(http.StatusOK, string(respRaw)), nil
}
// second time query
// last order id, so need to -1
assert.Equal(query["before"], []string{strconv.FormatInt(int64(billId+defaultQueryLimit-1), 10)})
resp := okexapi.APIResponse{
Code: "0",
Data: []byte("[" + strings.Join(tradesStr[defaultQueryLimit:defaultQueryLimit+1], ",") + "]"),
}
respRaw, err := json.Marshal(resp)
assert.NoError(err)
return httptesting.BuildResponseString(http.StatusOK, string(respRaw)), nil
})
trades, err := ex.QueryTrades(context.Background(), expBtcSymbol, options)
assert.NoError(err)
assert.Equal(expTrades, trades)
})
})
t.Run("start time exceeded 3 months", func(t *testing.T) {
transport := &httptesting.MockTransport{}
ex.client.HttpClient.Transport = transport
newSince := options.StartTime.Add(-365 * 24 * time.Hour)
newOpts := *options
newOpts.StartTime = &newSince
expSinceTime := until.Add(-maxHistoricalDataQueryPeriod)
// order history
historyOrderFile, err := os.ReadFile("okexapi/testdata/get_three_days_transaction_history_request.json")
assert.NoError(err)
transport.GET(historyUrl, func(req *http.Request) (*http.Response, error) {
query := req.URL.Query()
assert.Len(query, 6)
assert.Contains(query, "begin")
assert.Contains(query, "end")
assert.Contains(query, "limit")
assert.Contains(query, "instId")
assert.Contains(query, "instType")
assert.Contains(query, "before")
assert.Equal(query["begin"], []string{strconv.FormatInt(expSinceTime.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["end"], []string{strconv.FormatInt(until.UnixNano()/int64(time.Millisecond), 10)})
assert.Equal(query["limit"], []string{strconv.FormatInt(defaultQueryLimit, 10)})
assert.Equal(query["instId"], []string{expLocalBtcSymbol})
assert.Equal(query["instType"], []string{string(okexapi.InstrumentTypeSpot)})
assert.Equal(query["before"], []string{"0"})
return httptesting.BuildResponseString(http.StatusOK, string(historyOrderFile)), nil
})
orders, err := ex.QueryTrades(context.Background(), expBtcSymbol, &newOpts)
assert.NoError(err)
assert.Equal(expOrder, orders)
})
t.Run("start time after end day", func(t *testing.T) {
transport := &httptesting.MockTransport{}
ex.client.HttpClient.Transport = transport
newSince := options.StartTime.Add(365 * 24 * time.Hour)
newOpts := *options
newOpts.StartTime = &newSince
_, err := ex.QueryTrades(context.Background(), expBtcSymbol, &newOpts)
assert.ErrorContains(err, "before start")
})
t.Run("empty symbol", func(t *testing.T) {
transport := &httptesting.MockTransport{}
ex.client.HttpClient.Transport = transport
newSince := options.StartTime.Add(365 * 24 * time.Hour)
newOpts := *options
newOpts.StartTime = &newSince
_, err := ex.QueryTrades(context.Background(), "", &newOpts)
assert.ErrorContains(err, ErrSymbolRequired.Error())
})
}
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