1182 lines
31 KiB
Go
1182 lines
31 KiB
Go
package okex
|
|
|
|
import (
|
|
"testing"
|
|
"time"
|
|
|
|
"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/types"
|
|
)
|
|
|
|
func Test_parseWebSocketEvent_accountEvent(t *testing.T) {
|
|
t.Run("succeeds", func(t *testing.T) {
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "account",
|
|
"uid": "77982378738415879"
|
|
},
|
|
"data": [
|
|
{
|
|
"uTime": "1614846244194",
|
|
"totalEq": "91884",
|
|
"adjEq": "91884.8502560037982063",
|
|
"isoEq": "0",
|
|
"ordFroz": "0",
|
|
"imr": "0",
|
|
"mmr": "0",
|
|
"borrowFroz": "",
|
|
"notionalUsd": "",
|
|
"mgnRatio": "100000",
|
|
"details": [{
|
|
"availBal": "",
|
|
"availEq": "1",
|
|
"ccy": "BTC",
|
|
"cashBal": "1",
|
|
"uTime": "1617279471503",
|
|
"disEq": "50559.01",
|
|
"eq": "1",
|
|
"eqUsd": "45078",
|
|
"fixedBal": "0",
|
|
"frozenBal": "0",
|
|
"interest": "0",
|
|
"isoEq": "0",
|
|
"liab": "0",
|
|
"maxLoan": "",
|
|
"mgnRatio": "",
|
|
"notionalLever": "0",
|
|
"ordFrozen": "0",
|
|
"upl": "0",
|
|
"uplLiab": "0",
|
|
"crossLiab": "0",
|
|
"isoLiab": "0",
|
|
"coinUsdPrice": "60000",
|
|
"stgyEq":"0",
|
|
"spotInUseAmt":"",
|
|
"isoUpl":"",
|
|
"borrowFroz": ""
|
|
},
|
|
{
|
|
"availBal": "",
|
|
"availEq": "41307",
|
|
"ccy": "USDT",
|
|
"cashBal": "41307",
|
|
"uTime": "1617279471503",
|
|
"disEq": "41325",
|
|
"eq": "41307",
|
|
"eqUsd": "45078",
|
|
"fixedBal": "0",
|
|
"frozenBal": "0",
|
|
"interest": "0",
|
|
"isoEq": "0",
|
|
"liab": "0",
|
|
"maxLoan": "",
|
|
"mgnRatio": "",
|
|
"notionalLever": "0",
|
|
"ordFrozen": "0",
|
|
"upl": "0",
|
|
"uplLiab": "0",
|
|
"crossLiab": "0",
|
|
"isoLiab": "0",
|
|
"coinUsdPrice": "1.00007",
|
|
"stgyEq":"0",
|
|
"spotInUseAmt":"",
|
|
"isoUpl":"",
|
|
"borrowFroz": ""
|
|
}
|
|
]
|
|
}
|
|
]
|
|
}
|
|
`
|
|
|
|
exp := &okexapi.Account{
|
|
TotalEquityInUSD: fixedpoint.NewFromFloat(91884),
|
|
UpdateTime: types.NewMillisecondTimestampFromInt(1614846244194),
|
|
Details: []okexapi.BalanceDetail{
|
|
{
|
|
Currency: "BTC",
|
|
Available: fixedpoint.NewFromFloat(1),
|
|
CashBalance: fixedpoint.NewFromFloat(1),
|
|
OrderFrozen: fixedpoint.Zero,
|
|
Frozen: fixedpoint.Zero,
|
|
Equity: fixedpoint.One,
|
|
EquityInUSD: fixedpoint.NewFromFloat(45078),
|
|
UpdateTime: types.NewMillisecondTimestampFromInt(1617279471503),
|
|
UnrealizedProfitAndLoss: fixedpoint.Zero,
|
|
},
|
|
{
|
|
Currency: "USDT",
|
|
Available: fixedpoint.NewFromFloat(41307),
|
|
CashBalance: fixedpoint.NewFromFloat(41307),
|
|
OrderFrozen: fixedpoint.Zero,
|
|
Frozen: fixedpoint.Zero,
|
|
Equity: fixedpoint.NewFromFloat(41307),
|
|
EquityInUSD: fixedpoint.NewFromFloat(45078),
|
|
UpdateTime: types.NewMillisecondTimestampFromInt(1617279471503),
|
|
UnrealizedProfitAndLoss: fixedpoint.Zero,
|
|
},
|
|
},
|
|
}
|
|
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.(*okexapi.Account)
|
|
assert.True(t, ok)
|
|
assert.Equal(t, exp, event)
|
|
})
|
|
|
|
}
|
|
|
|
func TestParsePriceVolumeOrderSliceJSON(t *testing.T) {
|
|
t.Run("snapshot", func(t *testing.T) {
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "books",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"action": "snapshot",
|
|
"data": [
|
|
{
|
|
"asks": [
|
|
["8476.98", "415", "0", "13"],
|
|
["8477", "7", "0", "2"]
|
|
],
|
|
"bids": [
|
|
["8476", "256", "0", "12"]
|
|
],
|
|
"ts": "1597026383085",
|
|
"checksum": -855196043,
|
|
"prevSeqId": -1,
|
|
"seqId": 123456
|
|
}
|
|
]
|
|
}
|
|
`
|
|
|
|
asks := PriceVolumeOrderSlice{
|
|
{
|
|
PriceVolume: types.PriceVolume{
|
|
Price: fixedpoint.NewFromFloat(8476.98),
|
|
Volume: fixedpoint.NewFromFloat(415),
|
|
},
|
|
NumLiquidated: fixedpoint.Zero.Int(),
|
|
NumOrders: fixedpoint.NewFromFloat(13).Int(),
|
|
},
|
|
{
|
|
PriceVolume: types.PriceVolume{
|
|
Price: fixedpoint.NewFromFloat(8477),
|
|
Volume: fixedpoint.NewFromFloat(7),
|
|
},
|
|
NumLiquidated: fixedpoint.Zero.Int(),
|
|
NumOrders: fixedpoint.NewFromFloat(2).Int(),
|
|
},
|
|
}
|
|
bids := PriceVolumeOrderSlice{
|
|
{
|
|
PriceVolume: types.PriceVolume{
|
|
Price: fixedpoint.NewFromFloat(8476),
|
|
Volume: fixedpoint.NewFromFloat(256),
|
|
},
|
|
NumLiquidated: fixedpoint.Zero.Int(),
|
|
NumOrders: fixedpoint.NewFromFloat(12).Int(),
|
|
},
|
|
}
|
|
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.(*BookEvent)
|
|
assert.True(t, ok)
|
|
assert.Equal(t, "BTCUSDT", event.Symbol)
|
|
assert.Equal(t, ChannelBooks, event.channel)
|
|
assert.Equal(t, ActionTypeSnapshot, event.Action)
|
|
assert.Len(t, event.Data, 1)
|
|
assert.Len(t, event.Data[0].Asks, 2)
|
|
assert.Equal(t, asks, event.Data[0].Asks)
|
|
assert.Len(t, event.Data[0].Bids, 1)
|
|
assert.Equal(t, bids, event.Data[0].Bids)
|
|
})
|
|
|
|
t.Run("unexpected asks", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "books",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"action": "snapshot",
|
|
"data": [
|
|
{
|
|
"asks": [
|
|
["XYZ", "415", "0", "13"]
|
|
],
|
|
"bids": [
|
|
["8476", "256", "0", "12"]
|
|
],
|
|
"ts": "1597026383085",
|
|
"checksum": -855196043,
|
|
"prevSeqId": -1,
|
|
"seqId": 123456
|
|
}
|
|
]
|
|
}
|
|
`
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "price volume order")
|
|
})
|
|
}
|
|
|
|
func TestBookEvent_BookTicker(t *testing.T) {
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "books",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"action": "snapshot",
|
|
"data": [
|
|
{
|
|
"asks": [
|
|
["8476.98", "415", "0", "13"],
|
|
["8477", "7", "0", "2"]
|
|
],
|
|
"bids": [
|
|
["8476", "256", "0", "12"]
|
|
],
|
|
"ts": "1597026383085",
|
|
"checksum": -855196043,
|
|
"prevSeqId": -1,
|
|
"seqId": 123456
|
|
}
|
|
]
|
|
}
|
|
`
|
|
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.(*BookEvent)
|
|
assert.True(t, ok)
|
|
|
|
ticker := event.BookTicker()
|
|
assert.Equal(t, types.BookTicker{
|
|
Symbol: "BTCUSDT",
|
|
Buy: fixedpoint.NewFromFloat(8476),
|
|
BuySize: fixedpoint.NewFromFloat(256),
|
|
Sell: fixedpoint.NewFromFloat(8476.98),
|
|
SellSize: fixedpoint.NewFromFloat(415),
|
|
}, ticker)
|
|
}
|
|
|
|
func TestBookEvent_Book(t *testing.T) {
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "books",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"action": "snapshot",
|
|
"data": [
|
|
{
|
|
"asks": [
|
|
["8476.98", "415", "0", "13"],
|
|
["8477", "7", "0", "2"]
|
|
],
|
|
"bids": [
|
|
["8476", "256", "0", "12"]
|
|
],
|
|
"ts": "1597026383085",
|
|
"checksum": -855196043,
|
|
"prevSeqId": -1,
|
|
"seqId": 123456
|
|
}
|
|
]
|
|
}
|
|
`
|
|
bids := types.PriceVolumeSlice{
|
|
{
|
|
Price: fixedpoint.NewFromFloat(8476),
|
|
Volume: fixedpoint.NewFromFloat(256),
|
|
},
|
|
}
|
|
asks := types.PriceVolumeSlice{
|
|
{
|
|
Price: fixedpoint.NewFromFloat(8476.98),
|
|
Volume: fixedpoint.NewFromFloat(415),
|
|
},
|
|
{
|
|
Price: fixedpoint.NewFromFloat(8477),
|
|
Volume: fixedpoint.NewFromFloat(7),
|
|
},
|
|
}
|
|
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.(*BookEvent)
|
|
assert.True(t, ok)
|
|
|
|
book := event.Book()
|
|
assert.Equal(t, types.SliceOrderBook{
|
|
Symbol: "BTCUSDT",
|
|
Time: types.NewMillisecondTimestampFromInt(1597026383085).Time(),
|
|
Bids: bids,
|
|
Asks: asks,
|
|
}, book)
|
|
}
|
|
|
|
func Test_parseKLineSliceJSON(t *testing.T) {
|
|
t.Run("snapshot", func(t *testing.T) {
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"8553.74",
|
|
"8527.17",
|
|
"8548.26",
|
|
"45247",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
exp := &KLineEvent{
|
|
Events: okexapi.KLineSlice{
|
|
{
|
|
StartTime: types.NewMillisecondTimestampFromInt(1597026383085),
|
|
OpenPrice: fixedpoint.NewFromFloat(8533),
|
|
HighestPrice: fixedpoint.NewFromFloat(8553.74),
|
|
LowestPrice: fixedpoint.NewFromFloat(8527.17),
|
|
ClosePrice: fixedpoint.NewFromFloat(8548.26),
|
|
Volume: fixedpoint.NewFromFloat(45247),
|
|
VolumeInCurrency: fixedpoint.NewFromFloat(529.5858061),
|
|
//VolumeInCurrencyQuote: fixedpoint.NewFromFloat(529.5858061),
|
|
Confirm: fixedpoint.Zero,
|
|
},
|
|
},
|
|
InstrumentID: "BTC-USDT",
|
|
Symbol: "BTCUSDT",
|
|
Interval: "1d",
|
|
Channel: "candle1D",
|
|
}
|
|
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.(*KLineEvent)
|
|
assert.True(t, ok)
|
|
assert.Len(t, event.Events, 1)
|
|
assert.Equal(t, exp, event)
|
|
})
|
|
|
|
t.Run("failed to convert timestamp", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"x",
|
|
"8533",
|
|
"8553.74",
|
|
"8527.17",
|
|
"8548.26",
|
|
"45247",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "timestamp")
|
|
})
|
|
|
|
t.Run("failed to convert open price", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"x",
|
|
"8553.74",
|
|
"8527.17",
|
|
"8548.26",
|
|
"45247",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "open price")
|
|
})
|
|
|
|
t.Run("failed to convert highest price", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"x",
|
|
"8527.17",
|
|
"8548.26",
|
|
"45247",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "highest price")
|
|
})
|
|
t.Run("failed to convert lowest price", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"8553.74",
|
|
"x",
|
|
"8548.26",
|
|
"45247",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "lowest price")
|
|
})
|
|
t.Run("failed to convert close price", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"8553.74",
|
|
"8527.17",
|
|
"x",
|
|
"45247",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "close price")
|
|
})
|
|
t.Run("failed to convert volume", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"8553.74",
|
|
"8527.17",
|
|
"8548.26",
|
|
"x",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "volume")
|
|
})
|
|
t.Run("failed to convert volume currency", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"8553.74",
|
|
"8527.17",
|
|
"8548.26",
|
|
"45247",
|
|
"x",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "volume currency")
|
|
})
|
|
t.Run("failed to convert trading currency quote ", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"8553.74",
|
|
"8527.17",
|
|
"8548.26",
|
|
"45247",
|
|
"529.5858061",
|
|
"x",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "trading currency")
|
|
})
|
|
t.Run("failed to convert confirm", func(t *testing.T) {
|
|
t.Skip("this will cause panic, so i skip it")
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"8553.74",
|
|
"8527.17",
|
|
"8548.26",
|
|
"45247",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"g"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
|
|
_, err := parseWebSocketEvent([]byte(in))
|
|
assert.ErrorContains(t, err, "confirm")
|
|
})
|
|
|
|
}
|
|
|
|
func TestKLine_ToGlobal(t *testing.T) {
|
|
t.Run("snapshot", func(t *testing.T) {
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "candle1D",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
[
|
|
"1597026383085",
|
|
"8533",
|
|
"8553.74",
|
|
"8527.17",
|
|
"8548.26",
|
|
"45247",
|
|
"529.5858061",
|
|
"529.5858061",
|
|
"0"
|
|
]
|
|
]
|
|
}
|
|
`
|
|
exp := &KLineEvent{
|
|
Events: okexapi.KLineSlice{
|
|
{
|
|
StartTime: types.NewMillisecondTimestampFromInt(1597026383085),
|
|
OpenPrice: fixedpoint.NewFromFloat(8533),
|
|
HighestPrice: fixedpoint.NewFromFloat(8553.74),
|
|
LowestPrice: fixedpoint.NewFromFloat(8527.17),
|
|
ClosePrice: fixedpoint.NewFromFloat(8548.26),
|
|
Volume: fixedpoint.NewFromFloat(45247),
|
|
VolumeInCurrency: fixedpoint.NewFromFloat(529.5858061),
|
|
//VolumeInCurrencyQuote: fixedpoint.NewFromFloat(529.5858061),
|
|
Confirm: fixedpoint.Zero,
|
|
},
|
|
},
|
|
InstrumentID: "BTC-USDT",
|
|
Symbol: "BTCUSDT",
|
|
Interval: "1d",
|
|
Channel: "candle1D",
|
|
}
|
|
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.(*KLineEvent)
|
|
assert.True(t, ok)
|
|
|
|
assert.Equal(t, types.KLine{
|
|
Exchange: types.ExchangeOKEx,
|
|
Symbol: "BTCUSDT",
|
|
StartTime: types.Time(types.NewMillisecondTimestampFromInt(1597026383085)),
|
|
EndTime: types.Time(types.NewMillisecondTimestampFromInt(1597026383085).Time().Add(types.Interval(exp.Interval).Duration() - time.Millisecond)),
|
|
Interval: types.Interval(exp.Interval),
|
|
Open: exp.Events[0].OpenPrice,
|
|
Close: exp.Events[0].ClosePrice,
|
|
High: exp.Events[0].HighestPrice,
|
|
Low: exp.Events[0].LowestPrice,
|
|
Volume: exp.Events[0].Volume,
|
|
QuoteVolume: exp.Events[0].VolumeInCurrency,
|
|
TakerBuyBaseAssetVolume: fixedpoint.Zero,
|
|
TakerBuyQuoteAssetVolume: fixedpoint.Zero,
|
|
LastTradeID: 0,
|
|
NumberOfTrades: 0,
|
|
Closed: false,
|
|
}, kLineToGlobal(event.Events[0], types.Interval(event.Interval), event.Symbol))
|
|
})
|
|
|
|
}
|
|
|
|
func Test_parseWebSocketEvent(t *testing.T) {
|
|
in := `
|
|
{
|
|
"arg": {
|
|
"channel": "trades",
|
|
"instId": "BTC-USDT"
|
|
},
|
|
"data": [
|
|
{
|
|
"instId": "BTC-USDT",
|
|
"tradeId": "130639474",
|
|
"px": "42219.9",
|
|
"sz": "0.12060306",
|
|
"side": "buy",
|
|
"ts": "1630048897897",
|
|
"count": "3"
|
|
}
|
|
]
|
|
}
|
|
`
|
|
exp := []MarketTradeEvent{{
|
|
InstId: "BTC-USDT",
|
|
TradeId: 130639474,
|
|
Px: fixedpoint.NewFromFloat(42219.9),
|
|
Sz: fixedpoint.NewFromFloat(0.12060306),
|
|
Side: okexapi.SideTypeBuy,
|
|
Timestamp: types.NewMillisecondTimestampFromInt(1630048897897),
|
|
Count: 3,
|
|
}}
|
|
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.([]MarketTradeEvent)
|
|
assert.True(t, ok)
|
|
assert.Len(t, event, 1)
|
|
assert.Equal(t, exp, event)
|
|
|
|
}
|
|
|
|
func Test_toGlobalTrade(t *testing.T) {
|
|
// {
|
|
// "instId": "BTC-USDT",
|
|
// "tradeId": "130639474",
|
|
// "px": "42219.9",
|
|
// "sz": "0.12060306",
|
|
// "side": "buy",
|
|
// "ts": "1630048897897",
|
|
// "count": "3"
|
|
// }
|
|
marketTrade := MarketTradeEvent{
|
|
InstId: "BTC-USDT",
|
|
TradeId: 130639474,
|
|
Px: fixedpoint.NewFromFloat(42219.9),
|
|
Sz: fixedpoint.NewFromFloat(0.12060306),
|
|
Side: okexapi.SideTypeBuy,
|
|
Timestamp: types.NewMillisecondTimestampFromInt(1630048897897),
|
|
Count: 3,
|
|
}
|
|
t.Run("succeeds", func(t *testing.T) {
|
|
trade, err := marketTrade.toGlobalTrade()
|
|
assert.NoError(t, err)
|
|
assert.Equal(t, types.Trade{
|
|
ID: uint64(130639474),
|
|
OrderID: uint64(0),
|
|
Exchange: types.ExchangeOKEx,
|
|
Price: fixedpoint.NewFromFloat(42219.9),
|
|
Quantity: fixedpoint.NewFromFloat(0.12060306),
|
|
QuoteQuantity: marketTrade.Px.Mul(marketTrade.Sz),
|
|
Symbol: "BTCUSDT",
|
|
Side: types.SideTypeBuy,
|
|
IsBuyer: true,
|
|
IsMaker: false,
|
|
Time: types.Time(types.NewMillisecondTimestampFromInt(1630048897897)),
|
|
Fee: fixedpoint.Zero,
|
|
FeeCurrency: "",
|
|
FeeDiscounted: false,
|
|
}, trade)
|
|
})
|
|
t.Run("unexpected side", func(t *testing.T) {
|
|
newTrade := marketTrade
|
|
newTrade.Side = "both"
|
|
_, err := newTrade.toGlobalTrade()
|
|
assert.ErrorContains(t, err, "both")
|
|
})
|
|
t.Run("unexpected symbol", func(t *testing.T) {
|
|
newTrade := marketTrade
|
|
newTrade.InstId = ""
|
|
_, err := newTrade.toGlobalTrade()
|
|
assert.ErrorContains(t, err, "unexpected inst id")
|
|
})
|
|
}
|
|
|
|
func TestWebSocketEvent_IsValid(t *testing.T) {
|
|
t.Run("op login event", func(t *testing.T) {
|
|
input := `{
|
|
"event": "login",
|
|
"code": "0",
|
|
"msg": "",
|
|
"connId": "a4d3ae55"
|
|
}`
|
|
res, err := parseWebSocketEvent([]byte(input))
|
|
assert.NoError(t, err)
|
|
opEvent, ok := res.(*WebSocketEvent)
|
|
assert.True(t, ok)
|
|
assert.Equal(t, WebSocketEvent{
|
|
Event: WsEventTypeLogin,
|
|
Code: "0",
|
|
Message: "",
|
|
}, *opEvent)
|
|
|
|
assert.NoError(t, opEvent.IsValid())
|
|
})
|
|
|
|
t.Run("op error event", func(t *testing.T) {
|
|
input := `{
|
|
"event": "error",
|
|
"code": "60009",
|
|
"msg": "Login failed.",
|
|
"connId": "a4d3ae55"
|
|
}`
|
|
res, err := parseWebSocketEvent([]byte(input))
|
|
assert.NoError(t, err)
|
|
opEvent, ok := res.(*WebSocketEvent)
|
|
assert.True(t, ok)
|
|
assert.Equal(t, WebSocketEvent{
|
|
Event: WsEventTypeError,
|
|
Code: "60009",
|
|
Message: "Login failed.",
|
|
}, *opEvent)
|
|
|
|
assert.ErrorContains(t, opEvent.IsValid(), "request error")
|
|
})
|
|
|
|
t.Run("unexpected event", func(t *testing.T) {
|
|
input := `{
|
|
"event": "test gg",
|
|
"code": "60009",
|
|
"msg": "unexpected",
|
|
"connId": "a4d3ae55"
|
|
}`
|
|
res, err := parseWebSocketEvent([]byte(input))
|
|
assert.NoError(t, err)
|
|
opEvent, ok := res.(*WebSocketEvent)
|
|
assert.True(t, ok)
|
|
assert.Equal(t, WebSocketEvent{
|
|
Event: "test gg",
|
|
Code: "60009",
|
|
Message: "unexpected",
|
|
}, *opEvent)
|
|
|
|
assert.ErrorContains(t, opEvent.IsValid(), "unexpected event type")
|
|
})
|
|
|
|
t.Run("conn count info", func(t *testing.T) {
|
|
input := `{
|
|
"event":"channel-conn-count",
|
|
"channel":"orders",
|
|
"connCount": "2",
|
|
"connId":"abcd1234"
|
|
}`
|
|
res, err := parseWebSocketEvent([]byte(input))
|
|
assert.NoError(t, err)
|
|
opEvent, ok := res.(*WebSocketEvent)
|
|
assert.True(t, ok)
|
|
assert.Equal(t, WebSocketEvent{
|
|
Event: "channel-conn-count",
|
|
Channel: "orders",
|
|
ConnCount: "2",
|
|
}, *opEvent)
|
|
|
|
assert.NoError(t, opEvent.IsValid())
|
|
})
|
|
|
|
t.Run("conn count error", func(t *testing.T) {
|
|
input := `{
|
|
"event": "channel-conn-count-error",
|
|
"channel": "orders",
|
|
"connCount": "20",
|
|
"connId":"a4d3ae55"
|
|
}`
|
|
res, err := parseWebSocketEvent([]byte(input))
|
|
assert.NoError(t, err)
|
|
opEvent, ok := res.(*WebSocketEvent)
|
|
assert.True(t, ok)
|
|
assert.Equal(t, WebSocketEvent{
|
|
Event: "channel-conn-count-error",
|
|
Channel: "orders",
|
|
ConnCount: "20",
|
|
}, *opEvent)
|
|
|
|
assert.ErrorContains(t, opEvent.IsValid(), "rate limit")
|
|
})
|
|
}
|
|
|
|
func TestOrderTradeEvent(t *testing.T) {
|
|
//{"arg":{"channel":"orders","instType":"SPOT","uid":"530315546680502420"},"data":[{"accFillSz":"0","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","attachAlgoOrds":[],"avgPx":"0","cTime":"1705384184502","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"","fee":"0","feeCcy":"OKB","fillFee":"0","fillFeeCcy":"","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"","fillPnl":"0","fillPx":"","fillPxUsd":"","fillPxVol":"","fillSz":"0","fillTime":"","instId":"OKB-USDT","instType":"SPOT","lastPx":"54","lever":"0","msg":"","notionalUsd":"99.929","ordId":"667364871905857536","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"USDT","reduceOnly":"false","reqId":"","side":"buy","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"live","stpId":"","stpMode":"","sz":"100","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"","uTime":"1705384184502"}]}
|
|
//{"arg":{"channel":"orders","instType":"SPOT","uid":"530315546680502420"},"data":[{"accFillSz":"1.84","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","attachAlgoOrds":[],"avgPx":"54","cTime":"1705384184502","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"T","fee":"-0.001844337","feeCcy":"OKB","fillFee":"-0.001844337","fillFeeCcy":"OKB","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"99.9","fillPnl":"0","fillPx":"54","fillPxUsd":"","fillPxVol":"","fillSz":"1.844337","fillTime":"1705384184503","instId":"OKB-USDT","instType":"SPOT","lastPx":"54","lever":"0","msg":"","notionalUsd":"99.929","ordId":"667364871905857536","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"USDT","reduceOnly":"false","reqId":"","side":"buy","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"partially_filled","stpId":"","stpMode":"","sz":"100","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"590957341","uTime":"1705384184503"}]}
|
|
//{"arg":{"channel":"orders","instType":"SPOT","uid":"530315546680502420"},"data":[{"accFillSz":"1.84","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","attachAlgoOrds":[],"avgPx":"54","cTime":"1705384184502","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"","fee":"-0.001844337","feeCcy":"OKB","fillFee":"0","fillFeeCcy":"","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"99.9","fillPnl":"0","fillPx":"","fillPxUsd":"","fillPxVol":"","fillSz":"0","fillTime":"","instId":"OKB-USDT","instType":"SPOT","lastPx":"54","lever":"0","msg":"","notionalUsd":"99.929","ordId":"667364871905857536","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"USDT","reduceOnly":"false","reqId":"","side":"buy","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"filled","stpId":"","stpMode":"","sz":"100","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"","uTime":"1705384184504"}]}
|
|
t.Run("succeeds", func(t *testing.T) {
|
|
in := `
|
|
{
|
|
"arg":{
|
|
"channel":"orders",
|
|
"instType":"SPOT",
|
|
"uid":"530315546680502420"
|
|
},
|
|
"data":[
|
|
{
|
|
"accFillSz":"1.84",
|
|
"algoClOrdId":"",
|
|
"algoId":"",
|
|
"amendResult":"",
|
|
"amendSource":"",
|
|
"attachAlgoClOrdId":"",
|
|
"attachAlgoOrds":[
|
|
|
|
],
|
|
"avgPx":"54",
|
|
"cTime":"1705384184502",
|
|
"cancelSource":"",
|
|
"category":"normal",
|
|
"ccy":"",
|
|
"clOrdId":"",
|
|
"code":"0",
|
|
"execType":"T",
|
|
"fee":"-0.001844337",
|
|
"feeCcy":"OKB",
|
|
"fillFee":"-0.001844337",
|
|
"fillFeeCcy":"OKB",
|
|
"fillFwdPx":"",
|
|
"fillMarkPx":"",
|
|
"fillMarkVol":"",
|
|
"fillNotionalUsd":"99.9",
|
|
"fillPnl":"0",
|
|
"fillPx":"54",
|
|
"fillPxUsd":"",
|
|
"fillPxVol":"",
|
|
"fillSz":"1.84",
|
|
"fillTime":"1705384184503",
|
|
"instId":"OKB-USDT",
|
|
"instType":"SPOT",
|
|
"lastPx":"54",
|
|
"lever":"0",
|
|
"msg":"",
|
|
"notionalUsd":"99.929",
|
|
"ordId":"667364871905857536",
|
|
"ordType":"market",
|
|
"pnl":"0",
|
|
"posSide":"",
|
|
"px":"",
|
|
"pxType":"",
|
|
"pxUsd":"",
|
|
"pxVol":"",
|
|
"quickMgnType":"",
|
|
"rebate":"0",
|
|
"rebateCcy":"USDT",
|
|
"reduceOnly":"false",
|
|
"reqId":"",
|
|
"side":"buy",
|
|
"slOrdPx":"",
|
|
"slTriggerPx":"",
|
|
"slTriggerPxType":"",
|
|
"source":"",
|
|
"state":"partially_filled",
|
|
"stpId":"",
|
|
"stpMode":"",
|
|
"sz":"100",
|
|
"tag":"",
|
|
"tdMode":"cash",
|
|
"tgtCcy":"quote_ccy",
|
|
"tpOrdPx":"",
|
|
"tpTriggerPx":"",
|
|
"tpTriggerPxType":"",
|
|
"tradeId":"590957341",
|
|
"uTime":"1705384184503"
|
|
}
|
|
]
|
|
}
|
|
`
|
|
|
|
exp := []OrderTradeEvent{
|
|
{
|
|
OrderDetail: okexapi.OrderDetail{
|
|
AccumulatedFillSize: fixedpoint.NewFromFloat(1.84),
|
|
AvgPrice: fixedpoint.NewFromFloat(54),
|
|
CreatedTime: types.NewMillisecondTimestampFromInt(1705384184502),
|
|
Category: "normal",
|
|
ClientOrderId: "",
|
|
Fee: fixedpoint.NewFromFloat(-0.001844337),
|
|
FeeCurrency: "OKB",
|
|
FillTime: types.NewMillisecondTimestampFromInt(1705384184503),
|
|
InstrumentID: "OKB-USDT",
|
|
InstrumentType: okexapi.InstrumentTypeSpot,
|
|
OrderId: types.StrInt64(667364871905857536),
|
|
OrderType: okexapi.OrderTypeMarket,
|
|
Price: fixedpoint.Zero,
|
|
Side: okexapi.SideTypeBuy,
|
|
State: okexapi.OrderStatePartiallyFilled,
|
|
Size: fixedpoint.NewFromFloat(100),
|
|
TargetCurrency: okexapi.TargetCurrencyQuote,
|
|
UpdatedTime: types.NewMillisecondTimestampFromInt(1705384184503),
|
|
Currency: "",
|
|
TradeId: "590957341",
|
|
FillPrice: fixedpoint.NewFromFloat(54),
|
|
FillSize: fixedpoint.NewFromFloat(1.84),
|
|
Lever: "0",
|
|
Pnl: fixedpoint.Zero,
|
|
PositionSide: "",
|
|
PriceUsd: fixedpoint.Zero,
|
|
PriceVol: fixedpoint.Zero,
|
|
PriceType: "",
|
|
Rebate: fixedpoint.Zero,
|
|
RebateCcy: "USDT",
|
|
AttachAlgoClOrdId: "",
|
|
SlOrdPx: fixedpoint.Zero,
|
|
SlTriggerPx: fixedpoint.Zero,
|
|
SlTriggerPxType: "",
|
|
AttachAlgoOrds: []interface{}{},
|
|
Source: "",
|
|
StpId: "",
|
|
StpMode: "",
|
|
Tag: "",
|
|
TradeMode: okexapi.TradeModeCash,
|
|
TpOrdPx: fixedpoint.Zero,
|
|
TpTriggerPx: fixedpoint.Zero,
|
|
TpTriggerPxType: "",
|
|
ReduceOnly: "false",
|
|
AlgoClOrdId: "",
|
|
AlgoId: "",
|
|
},
|
|
Code: types.StrInt64(0),
|
|
Msg: "",
|
|
AmendResult: "",
|
|
ExecutionType: okexapi.LiquidityTypeTaker,
|
|
FillFee: fixedpoint.NewFromFloat(-0.001844337),
|
|
FillFeeCurrency: "OKB",
|
|
FillNotionalUsd: fixedpoint.NewFromFloat(99.9),
|
|
FillPnl: fixedpoint.Zero,
|
|
NotionalUsd: fixedpoint.NewFromFloat(99.929),
|
|
ReqId: "",
|
|
LastPrice: fixedpoint.NewFromFloat(54),
|
|
QuickMgnType: "",
|
|
AmendSource: "",
|
|
CancelSource: "",
|
|
FillPriceVolume: "",
|
|
FillPriceUsd: "",
|
|
FillMarkVolume: "",
|
|
FillFwdPrice: "",
|
|
FillMarkPrice: "",
|
|
},
|
|
}
|
|
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.([]OrderTradeEvent)
|
|
assert.True(t, ok)
|
|
assert.Equal(t, exp, event)
|
|
})
|
|
}
|
|
|
|
func TestOrderTradeEvent_toGlobalTrade1(t *testing.T) {
|
|
var (
|
|
in = `
|
|
{
|
|
"arg":{
|
|
"channel":"orders",
|
|
"instType":"SPOT",
|
|
"uid":"530315546680502420"
|
|
},
|
|
"data":[
|
|
{
|
|
"accFillSz":"1.84",
|
|
"algoClOrdId":"",
|
|
"algoId":"",
|
|
"amendResult":"",
|
|
"amendSource":"",
|
|
"attachAlgoClOrdId":"",
|
|
"attachAlgoOrds":[
|
|
|
|
],
|
|
"avgPx":"54",
|
|
"cTime":"1705384184502",
|
|
"cancelSource":"",
|
|
"category":"normal",
|
|
"ccy":"",
|
|
"clOrdId":"",
|
|
"code":"0",
|
|
"execType":"T",
|
|
"fee":"-0.001844337",
|
|
"feeCcy":"OKB",
|
|
"fillFee":"-0.001844337",
|
|
"fillFeeCcy":"OKB",
|
|
"fillFwdPx":"",
|
|
"fillMarkPx":"",
|
|
"fillMarkVol":"",
|
|
"fillNotionalUsd":"99.9",
|
|
"fillPnl":"0",
|
|
"fillPx":"54",
|
|
"fillPxUsd":"",
|
|
"fillPxVol":"",
|
|
"fillSz":"1.84",
|
|
"fillTime":"1705384184503",
|
|
"instId":"OKB-USDT",
|
|
"instType":"SPOT",
|
|
"lastPx":"54",
|
|
"lever":"0",
|
|
"msg":"",
|
|
"notionalUsd":"99.929",
|
|
"ordId":"667364871905857536",
|
|
"ordType":"market",
|
|
"pnl":"0",
|
|
"posSide":"",
|
|
"px":"",
|
|
"pxType":"",
|
|
"pxUsd":"",
|
|
"pxVol":"",
|
|
"quickMgnType":"",
|
|
"rebate":"0",
|
|
"rebateCcy":"USDT",
|
|
"reduceOnly":"false",
|
|
"reqId":"",
|
|
"side":"buy",
|
|
"slOrdPx":"",
|
|
"slTriggerPx":"",
|
|
"slTriggerPxType":"",
|
|
"source":"",
|
|
"state":"partially_filled",
|
|
"stpId":"",
|
|
"stpMode":"",
|
|
"sz":"100",
|
|
"tag":"",
|
|
"tdMode":"cash",
|
|
"tgtCcy":"quote_ccy",
|
|
"tpOrdPx":"",
|
|
"tpTriggerPx":"",
|
|
"tpTriggerPxType":"",
|
|
"tradeId":"590957341",
|
|
"uTime":"1705384184503"
|
|
}
|
|
]
|
|
}
|
|
`
|
|
expTrade = types.Trade{
|
|
ID: uint64(590957341),
|
|
OrderID: uint64(667364871905857536),
|
|
Exchange: types.ExchangeOKEx,
|
|
Price: fixedpoint.NewFromFloat(54),
|
|
Quantity: fixedpoint.NewFromFloat(1.84),
|
|
QuoteQuantity: fixedpoint.NewFromFloat(54).Mul(fixedpoint.NewFromFloat(1.84)),
|
|
Symbol: "OKBUSDT",
|
|
Side: types.SideTypeBuy,
|
|
IsBuyer: true,
|
|
IsMaker: false,
|
|
Time: types.Time(types.NewMillisecondTimestampFromInt(1705384184503).Time()),
|
|
Fee: fixedpoint.NewFromFloat(0.001844337),
|
|
FeeCurrency: "OKB",
|
|
}
|
|
)
|
|
|
|
t.Run("succeeds", func(t *testing.T) {
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.([]OrderTradeEvent)
|
|
assert.True(t, ok)
|
|
|
|
trade, err := event[0].toGlobalTrade()
|
|
assert.NoError(t, err)
|
|
assert.Equal(t, expTrade, trade)
|
|
})
|
|
|
|
t.Run("unexpected trade id", func(t *testing.T) {
|
|
res, err := parseWebSocketEvent([]byte(in))
|
|
assert.NoError(t, err)
|
|
event, ok := res.([]OrderTradeEvent)
|
|
assert.True(t, ok)
|
|
|
|
event[0].TradeId = "XXXX"
|
|
_, err = event[0].toGlobalTrade()
|
|
assert.ErrorContains(t, err, "trade id")
|
|
})
|
|
|
|
}
|