bbgo_origin/pkg/backtest/matching_test.go

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package backtest
import (
"testing"
"time"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
func newLimitOrder(symbol string, side types.SideType, price, quantity float64) types.SubmitOrder {
return types.SubmitOrder{
Symbol: symbol,
Side: side,
Type: types.OrderTypeLimit,
Quantity: fixedpoint.NewFromFloat(quantity),
Price: fixedpoint.NewFromFloat(price),
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TimeInForce: types.TimeInForceGTC,
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}
}
func TestSimplePriceMatching_processKLine(t *testing.T) {
account := &types.Account{
MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
}
account.UpdateBalances(types.BalanceMap{
"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(10000.0)},
})
market := types.Market{
Symbol: "BTCUSDT",
PricePrecision: 8,
VolumePrecision: 8,
QuoteCurrency: "USDT",
BaseCurrency: "BTC",
MinNotional: fixedpoint.MustNewFromString("0.001"),
MinAmount: fixedpoint.MustNewFromString("10.0"),
MinQuantity: fixedpoint.MustNewFromString("0.001"),
}
t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
engine := &SimplePriceMatching{
Account: account,
Market: market,
CurrentTime: t1,
}
for i := 0; i <= 5; i++ {
var p = 20000.0 + float64(i)*1000.0
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, p, 0.001))
assert.NoError(t, err)
}
t2 := t1.Add(time.Minute)
// should match 25000, 24000
k := newKLine("BTCUSDT", types.Interval1m, t2, 26000, 27000, 23000, 25000)
assert.Equal(t, t2.Add(time.Minute-time.Millisecond), k.EndTime.Time())
engine.processKLine(k)
assert.Equal(t, 3, len(engine.bidOrders))
assert.Len(t, engine.bidOrders, 3)
assert.Equal(t, 3, len(engine.closedOrders))
for _, o := range engine.closedOrders {
assert.Equal(t, k.EndTime.Time(), o.UpdateTime.Time())
}
}
func newKLine(symbol string, interval types.Interval, startTime time.Time, o, h, l, c float64) types.KLine {
return types.KLine{
Symbol: symbol,
StartTime: types.Time(startTime),
EndTime: types.Time(startTime.Add(interval.Duration() - time.Millisecond)),
Interval: interval,
Open: fixedpoint.NewFromFloat(o),
High: fixedpoint.NewFromFloat(h),
Low: fixedpoint.NewFromFloat(l),
Close: fixedpoint.NewFromFloat(c),
Closed: true,
}
}
func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
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account := &types.Account{
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MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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}
account.UpdateBalances(types.BalanceMap{
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"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(1000000.0)},
"BTC": {Currency: "BTC", Available: fixedpoint.NewFromFloat(100.0)},
})
market := types.Market{
Symbol: "BTCUSDT",
PricePrecision: 8,
VolumePrecision: 8,
QuoteCurrency: "USDT",
BaseCurrency: "BTC",
MinNotional: fixedpoint.MustNewFromString("0.001"),
MinAmount: fixedpoint.MustNewFromString("10.0"),
MinQuantity: fixedpoint.MustNewFromString("0.001"),
}
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engine := &SimplePriceMatching{
Account: account,
Market: market,
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}
for i := 0; i < 5; i++ {
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 8000.0-float64(i), 1.0))
assert.NoError(t, err)
}
assert.Len(t, engine.bidOrders, 5)
assert.Len(t, engine.askOrders, 0)
for i := 0; i < 5; i++ {
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeSell, 9000.0+float64(i), 1.0))
assert.NoError(t, err)
}
assert.Len(t, engine.bidOrders, 5)
assert.Len(t, engine.askOrders, 5)
closedOrders, trades := engine.SellToPrice(fixedpoint.NewFromFloat(8100.0))
assert.Len(t, closedOrders, 0)
assert.Len(t, trades, 0)
closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(8000.0))
assert.Len(t, closedOrders, 1)
assert.Len(t, trades, 1)
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for _, trade := range trades {
assert.True(t, trade.IsBuyer)
}
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for _, o := range closedOrders {
assert.Equal(t, types.SideTypeBuy, o.Side)
}
closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(7000.0))
assert.Len(t, closedOrders, 4)
assert.Len(t, trades, 4)
closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(8900.0))
assert.Len(t, closedOrders, 0)
assert.Len(t, trades, 0)
closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(9000.0))
assert.Len(t, closedOrders, 1)
assert.Len(t, trades, 1)
for _, o := range closedOrders {
assert.Equal(t, types.SideTypeSell, o.Side)
}
for _, trade := range trades {
assert.Equal(t, types.SideTypeSell, trade.Side)
}
closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(9500.0))
assert.Len(t, closedOrders, 4)
assert.Len(t, trades, 4)
}