bbgo/pkg/risk/riskcontrol/order_price_risk_test.go

64 lines
1.6 KiB
Go

package riskcontrol
import (
"testing"
"github.com/stretchr/testify/assert"
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
indicatorv2 "git.qtrade.icu/lychiyu/bbgo/pkg/indicator/v2"
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
)
func Test_OrderPriceRiskControl_IsSafe(t *testing.T) {
refPrice := 30000.00
lossThreshold := fixedpoint.NewFromFloat(-100)
window := types.IntervalWindow{Window: 30, Interval: types.Interval1m}
refPriceEWMA := indicatorv2.EWMA2(nil, window.Window)
refPriceEWMA.PushAndEmit(refPrice)
cases := []struct {
name string
side types.SideType
price fixedpoint.Value
quantity fixedpoint.Value
isSafe bool
}{
{
name: "BuyingHighSafe",
side: types.SideTypeBuy,
price: fixedpoint.NewFromFloat(30040.0),
quantity: fixedpoint.NewFromFloat(1.0),
isSafe: true,
},
{
name: "SellingLowSafe",
side: types.SideTypeSell,
price: fixedpoint.NewFromFloat(29960.0),
quantity: fixedpoint.NewFromFloat(1.0),
isSafe: true,
},
{
name: "BuyingHighLoss",
side: types.SideTypeBuy,
price: fixedpoint.NewFromFloat(30040.0),
quantity: fixedpoint.NewFromFloat(10.0),
isSafe: false,
},
{
name: "SellingLowLoss",
side: types.SideTypeSell,
price: fixedpoint.NewFromFloat(29960.0),
quantity: fixedpoint.NewFromFloat(10.0),
isSafe: false,
},
}
for _, tc := range cases {
t.Run(tc.name, func(t *testing.T) {
var riskControl = NewOrderPriceRiskControl(refPriceEWMA, lossThreshold)
assert.Equal(t, tc.isSafe, riskControl.IsSafe(tc.side, tc.price, tc.quantity))
})
}
}