96 lines
2.5 KiB
Go
96 lines
2.5 KiB
Go
package xmaker
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import (
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"testing"
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"time"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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. "git.qtrade.icu/lychiyu/bbgo/pkg/testing/testhelper"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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"github.com/stretchr/testify/assert"
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)
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func TestStrategy_getLayerPrice(t *testing.T) {
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symbol := "BTCUSDT"
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market := Market(symbol)
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s := &Strategy{
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UseDepthPrice: true,
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DepthQuantity: Number(3.0),
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makerMarket: market,
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}
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sourceBook := types.NewStreamBook(symbol, types.ExchangeBinance)
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sourceBook.Load(types.SliceOrderBook{
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Symbol: symbol,
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Bids: PriceVolumeSlice(
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Number(1300.0), Number(1.0),
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Number(1200.0), Number(2.0),
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Number(1100.0), Number(3.0),
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),
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Asks: PriceVolumeSlice(
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Number(1301.0), Number(1.0),
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Number(1400.0), Number(2.0),
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Number(1500.0), Number(3.0),
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),
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Time: time.Time{},
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LastUpdateId: 1,
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})
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quote := &Quote{
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BestBidPrice: Number(1300.0),
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BestAskPrice: Number(1301.0),
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BidMargin: Number(0.001),
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AskMargin: Number(0.001),
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BidLayerPips: Number(100.0),
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AskLayerPips: Number(100.0),
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}
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t.Run("depthPrice bid price at 0", func(t *testing.T) {
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price := s.getLayerPrice(0, types.SideTypeBuy, sourceBook, quote, s.DepthQuantity)
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// (1300 + 1200*2)/3 * (1 - 0.001)
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assert.InDelta(t, 1232.10, price.Float64(), 0.01)
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})
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t.Run("depthPrice bid price at 1", func(t *testing.T) {
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price := s.getLayerPrice(1, types.SideTypeBuy, sourceBook, quote, s.DepthQuantity)
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// (1300 + 1200*2)/3 * (1 - 0.001) - 100 * 0.01
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assert.InDelta(t, 1231.10, price.Float64(), 0.01)
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})
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t.Run("depthPrice ask price at 0", func(t *testing.T) {
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price := s.getLayerPrice(0, types.SideTypeSell, sourceBook, quote, s.DepthQuantity)
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// (1301 + 1400*2)/3 * (1 + 0.001)
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assert.InDelta(t, 1368.367, price.Float64(), 0.01)
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})
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t.Run("depthPrice ask price at 1", func(t *testing.T) {
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price := s.getLayerPrice(1, types.SideTypeSell, sourceBook, quote, s.DepthQuantity)
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// (1301 + 1400*2)/3 * (1 + 0.001) + 100 * 0.01
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assert.InDelta(t, 1369.367, price.Float64(), 0.01)
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})
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}
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func Test_aggregatePrice(t *testing.T) {
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bids := PriceVolumeSliceFromText(`
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1000.0, 1.0
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1200.0, 1.0
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1400.0, 1.0
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`)
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aggregatedPrice1 := aggregatePrice(bids, fixedpoint.NewFromFloat(0.5))
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assert.Equal(t, fixedpoint.NewFromFloat(1000.0), aggregatedPrice1)
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aggregatedPrice2 := aggregatePrice(bids, fixedpoint.NewFromInt(1))
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assert.Equal(t, fixedpoint.NewFromFloat(1000.0), aggregatedPrice2)
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aggregatedPrice3 := aggregatePrice(bids, fixedpoint.NewFromInt(2))
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assert.Equal(t, fixedpoint.NewFromFloat(1100.0), aggregatedPrice3)
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}
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