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: quantity,
Price: price,
TimeInForce: "GTC",
}
}
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func TestSimplePriceMatching_LimitOrder(t *testing.T) {
account := &types.Account{
MakerCommission: 15,
TakerCommission: 15,
}
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: 0.001,
MinAmount: 10.0,
MinQuantity: 0.001,
}
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engine := &SimplePriceMatching{
CurrentTime: time.Now(),
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)
}