mirror of
https://github.com/c9s/bbgo.git
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238 lines
6.7 KiB
Go
238 lines
6.7 KiB
Go
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package grid2
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import (
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"context"
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"strconv"
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"testing"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types/mocks"
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"github.com/golang/mock/gomock"
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"github.com/stretchr/testify/assert"
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)
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func newStrategy(t *TestData) *Strategy {
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s := t.Strategy
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s.Debug = true
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s.Initialize()
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s.Market = t.Market
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s.Position = types.NewPositionFromMarket(t.Market)
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, t.Market.Symbol, ID, s.InstanceID(), s.Position)
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return &s
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}
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func TestBuildTwinOrderBook(t *testing.T) {
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assert := assert.New(t)
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pins := []Pin{
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Pin(fixedpoint.NewFromInt(200)),
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Pin(fixedpoint.NewFromInt(300)),
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Pin(fixedpoint.NewFromInt(500)),
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Pin(fixedpoint.NewFromInt(400)),
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Pin(fixedpoint.NewFromInt(100)),
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}
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t.Run("build twin orderbook with no order", func(t *testing.T) {
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b, err := buildTwinOrderBook(pins, nil)
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if !assert.NoError(err) {
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return
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}
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assert.Equal(0, b.Size())
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assert.Nil(b.GetTwinOrder(fixedpoint.NewFromInt(100)))
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assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(200)).Exist())
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assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(300)).Exist())
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assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(400)).Exist())
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assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(500)).Exist())
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})
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t.Run("build twin orderbook with some valid orders", func(t *testing.T) {
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orders := []types.Order{
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{
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OrderID: 1,
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SubmitOrder: types.SubmitOrder{
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Side: types.SideTypeBuy,
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Price: fixedpoint.NewFromInt(100),
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},
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},
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{
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OrderID: 5,
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SubmitOrder: types.SubmitOrder{
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Side: types.SideTypeSell,
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Price: fixedpoint.NewFromInt(500),
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},
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},
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}
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b, err := buildTwinOrderBook(pins, orders)
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if !assert.NoError(err) {
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return
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}
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assert.Equal(2, b.Size())
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assert.Equal(2, b.EmptyTwinOrderSize())
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assert.Nil(b.GetTwinOrder(fixedpoint.NewFromInt(100)))
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assert.True(b.GetTwinOrder(fixedpoint.NewFromInt(200)).Exist())
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assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(300)).Exist())
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assert.False(b.GetTwinOrder(fixedpoint.NewFromInt(400)).Exist())
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assert.True(b.GetTwinOrder(fixedpoint.NewFromInt(500)).Exist())
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})
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t.Run("build twin orderbook with invalid orders", func(t *testing.T) {})
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}
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func TestSyncActiveOrder(t *testing.T) {
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assert := assert.New(t)
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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symbol := "ETHUSDT"
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t.Run("sync filled order in active orderbook, active orderbook should remove this order", func(t *testing.T) {
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mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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activeOrderbook := bbgo.NewActiveOrderBook(symbol)
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order := types.Order{
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OrderID: 1,
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Status: types.OrderStatusNew,
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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},
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}
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activeOrderbook.Add(order)
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updatedOrder := order
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updatedOrder.Status = types.OrderStatusFilled
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mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{
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Symbol: symbol,
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OrderID: strconv.FormatUint(order.OrderID, 10),
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}).Return(&updatedOrder, nil)
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if !assert.NoError(syncActiveOrder(ctx, activeOrderbook, mockOrderQueryService, order.OrderID)) {
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return
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}
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// verify active orderbook
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activeOrders := activeOrderbook.Orders()
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assert.Equal(0, len(activeOrders))
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})
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t.Run("sync partial-filled order in active orderbook, active orderbook should still keep this order", func(t *testing.T) {
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mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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activeOrderbook := bbgo.NewActiveOrderBook(symbol)
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order := types.Order{
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OrderID: 1,
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Status: types.OrderStatusNew,
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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},
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}
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activeOrderbook.Add(order)
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updatedOrder := order
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updatedOrder.Status = types.OrderStatusPartiallyFilled
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mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{
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Symbol: symbol,
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OrderID: strconv.FormatUint(order.OrderID, 10),
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}).Return(&updatedOrder, nil)
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if !assert.NoError(syncActiveOrder(ctx, activeOrderbook, mockOrderQueryService, order.OrderID)) {
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return
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}
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// verify active orderbook
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activeOrders := activeOrderbook.Orders()
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assert.Equal(1, len(activeOrders))
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assert.Equal(order.OrderID, activeOrders[0].OrderID)
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assert.Equal(updatedOrder.Status, activeOrders[0].Status)
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})
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}
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func TestQueryTradesToUpdateTwinOrderBook(t *testing.T) {
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assert := assert.New(t)
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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symbol := "ETHUSDT"
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pins := []Pin{
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Pin(fixedpoint.NewFromInt(100)),
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Pin(fixedpoint.NewFromInt(200)),
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Pin(fixedpoint.NewFromInt(300)),
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Pin(fixedpoint.NewFromInt(400)),
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Pin(fixedpoint.NewFromInt(500)),
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}
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t.Run("query trades and update twin orderbook successfully in one page", func(t *testing.T) {
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book := newTwinOrderBook(pins)
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mockTradeHistoryService := mocks.NewMockExchangeTradeHistoryService(mockCtrl)
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mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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trades := []types.Trade{
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{
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ID: 1,
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OrderID: 1,
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Symbol: symbol,
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Time: types.Time(time.Now().Add(-2 * time.Hour)),
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},
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{
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ID: 2,
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OrderID: 2,
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Symbol: symbol,
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Time: types.Time(time.Now().Add(-1 * time.Hour)),
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},
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}
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orders := []types.Order{
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{
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OrderID: 1,
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Status: types.OrderStatusNew,
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Price: fixedpoint.NewFromInt(100),
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},
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},
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{
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OrderID: 2,
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Status: types.OrderStatusFilled,
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Price: fixedpoint.NewFromInt(500),
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},
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},
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}
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mockTradeHistoryService.EXPECT().QueryTrades(gomock.Any(), gomock.Any(), gomock.Any()).Return(trades, nil).Times(1)
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mockOrderQueryService.EXPECT().QueryOrder(gomock.Any(), types.OrderQuery{
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Symbol: symbol,
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OrderID: "1",
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}).Return(&orders[0], nil)
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mockOrderQueryService.EXPECT().QueryOrder(gomock.Any(), types.OrderQuery{
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Symbol: symbol,
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OrderID: "2",
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}).Return(&orders[1], nil)
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assert.Equal(0, book.Size())
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if !assert.NoError(queryTradesToUpdateTwinOrderBook(ctx, symbol, book, mockTradeHistoryService, mockOrderQueryService, book.SyncOrderMap(), time.Now().Add(-24*time.Hour), time.Now(), nil)) {
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return
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}
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assert.Equal(2, book.Size())
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assert.True(book.GetTwinOrder(fixedpoint.NewFromInt(200)).Exist())
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assert.Equal(orders[0].OrderID, book.GetTwinOrder(fixedpoint.NewFromInt(200)).GetOrder().OrderID)
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assert.True(book.GetTwinOrder(fixedpoint.NewFromInt(500)).Exist())
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assert.Equal(orders[1].OrderID, book.GetTwinOrder(fixedpoint.NewFromInt(500)).GetOrder().OrderID)
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})
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}
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