mirror of
https://github.com/c9s/bbgo.git
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Fix account value tests with price solver
Signed-off-by: c9s <yoanlin93@gmail.com>
This commit is contained in:
c9s
parent
c3bf0ed7e7
commit
14fa561f6e
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@ -9,6 +9,7 @@ import (
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/pricesolver"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -20,6 +21,8 @@ var maxIsolatedMarginLeverage = fixedpoint.NewFromInt(10)
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var maxCrossMarginLeverage = fixedpoint.NewFromInt(3)
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type AccountValueCalculator struct {
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priceSolver *pricesolver.SimplePriceSolver
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session *ExchangeSession
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quoteCurrency string
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prices map[string]fixedpoint.Value
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@ -27,8 +30,13 @@ type AccountValueCalculator struct {
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updateTime time.Time
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}
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func NewAccountValueCalculator(session *ExchangeSession, quoteCurrency string) *AccountValueCalculator {
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func NewAccountValueCalculator(
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session *ExchangeSession,
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priceSolver *pricesolver.SimplePriceSolver,
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quoteCurrency string,
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) *AccountValueCalculator {
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return &AccountValueCalculator{
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priceSolver: priceSolver,
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session: session,
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quoteCurrency: quoteCurrency,
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prices: make(map[string]fixedpoint.Value),
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@ -39,6 +47,8 @@ func NewAccountValueCalculator(session *ExchangeSession, quoteCurrency string) *
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func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
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balances := c.session.Account.Balances()
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currencies := balances.Currencies()
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// TODO: improve this part
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var symbols []string
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for _, currency := range currencies {
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if currency == c.quoteCurrency {
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@ -49,19 +59,7 @@ func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
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symbols = append(symbols, symbol)
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}
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tickers, err := c.session.Exchange.QueryTickers(ctx, symbols...)
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if err != nil {
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return err
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}
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c.tickers = tickers
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for symbol, ticker := range tickers {
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c.prices[symbol] = ticker.Last
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if ticker.Time.After(c.updateTime) {
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c.updateTime = ticker.Time
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}
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}
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return nil
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return c.priceSolver.UpdateFromTickers(ctx, c.session.Exchange, symbols...)
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}
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func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Value, error) {
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@ -103,14 +101,17 @@ func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Va
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continue
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}
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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if c.priceSolver != nil {
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if price, ok := c.priceSolver.ResolvePrice(b.Currency, c.quoteCurrency); ok {
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marketValue = marketValue.Add(b.Total().Mul(price))
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}
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} else {
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symbol := b.Currency + c.quoteCurrency
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if price, ok := c.prices[symbol]; ok {
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marketValue = marketValue.Add(b.Total().Mul(price))
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}
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}
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}
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return marketValue, nil
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}
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@ -123,25 +124,22 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
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}
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balances := c.session.Account.Balances()
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accountValue := calculateNetValueInQuote(balances, c.prices, c.quoteCurrency)
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accountValue := calculateNetValueInQuote(balances, c.priceSolver, c.quoteCurrency)
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return accountValue, nil
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}
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func calculateNetValueInQuote(balances types.BalanceMap, prices types.PriceMap, quoteCurrency string) (accountValue fixedpoint.Value) {
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func calculateNetValueInQuote(
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balances types.BalanceMap, priceSolver *pricesolver.SimplePriceSolver, quoteCurrency string,
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) (accountValue fixedpoint.Value) {
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accountValue = fixedpoint.Zero
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for _, b := range balances {
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if b.Currency == quoteCurrency {
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accountValue = accountValue.Add(b.Net())
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continue
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}
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symbol := b.Currency + quoteCurrency // for BTC/USDT, ETH/USDT pairs
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symbolReverse := quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
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if price, ok := prices[symbol]; ok {
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if price, ok := priceSolver.ResolvePrice(b.Currency, quoteCurrency); ok {
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accountValue = accountValue.Add(b.Net().Mul(price))
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} else if priceReverse, ok2 := prices[symbolReverse]; ok2 {
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accountValue = accountValue.Add(b.Net().Div(priceReverse))
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}
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}
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@ -220,7 +218,9 @@ func usdFiatBalances(balances types.BalanceMap) (fiats types.BalanceMap, rest ty
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return fiats, rest
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}
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func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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func CalculateBaseQuantity(
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session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value,
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) (fixedpoint.Value, error) {
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// default leverage guard
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if leverage.IsZero() {
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leverage = defaultLeverage
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@ -254,7 +254,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
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if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
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totalUsdValue = aggregateUsdNetValue(balances)
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} else if len(restBalances) > 1 {
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accountValue := NewAccountValueCalculator(session, "USDT")
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accountValue := NewAccountValueCalculator(session, nil, "USDT")
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netValue, err := accountValue.NetValue(context.Background())
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if err != nil {
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return quantity, err
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@ -329,7 +329,9 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
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errors.New("quantity is zero, can not submit sell order, please check your settings"))
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}
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func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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func CalculateQuoteQuantity(
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ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value,
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) (fixedpoint.Value, error) {
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// default leverage guard
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if leverage.IsZero() {
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leverage = defaultLeverage
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@ -359,7 +361,7 @@ func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quote
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}
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// using leverage -- starts from here
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accountValue := NewAccountValueCalculator(session, quoteCurrency)
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accountValue := NewAccountValueCalculator(session, nil, quoteCurrency)
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availableQuote, err := accountValue.AvailableQuote(ctx)
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if err != nil {
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log.WithError(err).Errorf("can not update available quote")
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@ -9,6 +9,8 @@ import (
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"go.uber.org/mock/gomock"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/pricesolver"
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. "github.com/c9s/bbgo/pkg/testing/testhelper"
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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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)
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@ -27,6 +29,8 @@ func newTestTicker() types.Ticker {
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}
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func TestAccountValueCalculator_NetValue(t *testing.T) {
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symbol := "BTCUSDT"
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markets := AllMarkets()
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t.Run("borrow and available", func(t *testing.T) {
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mockCtrl := gomock.NewController(t)
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@ -35,8 +39,8 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
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mockEx := mocks.NewMockExchange(mockCtrl)
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// for market data stream and user data stream
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mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
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mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
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"BTCUSDT": newTestTicker(),
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mockEx.EXPECT().QueryTickers(gomock.Any(), []string{symbol}).Return(map[string]types.Ticker{
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"BTCUSDT": Ticker(symbol),
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}, nil)
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session := NewExchangeSession("test", mockEx)
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@ -60,10 +64,12 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
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})
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assert.NotNil(t, session)
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cal := NewAccountValueCalculator(session, "USDT")
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ctx := context.Background()
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priceSolver := pricesolver.NewSimplePriceResolver(markets)
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cal := NewAccountValueCalculator(session, priceSolver, "USDT")
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assert.NotNil(t, cal)
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ctx := context.Background()
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netValue, err := cal.NetValue(ctx)
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assert.NoError(t, err)
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assert.Equal(t, "20000", netValue.String())
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@ -76,8 +82,8 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
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mockEx := mocks.NewMockExchange(mockCtrl)
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// for market data stream and user data stream
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mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
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mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
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"BTCUSDT": newTestTicker(),
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mockEx.EXPECT().QueryTickers(gomock.Any(), []string{symbol}).Return(map[string]types.Ticker{
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symbol: Ticker(symbol),
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}, nil)
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session := NewExchangeSession("test", mockEx)
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@ -101,10 +107,12 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
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})
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assert.NotNil(t, session)
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cal := NewAccountValueCalculator(session, "USDT")
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ctx := context.Background()
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priceSolver := pricesolver.NewSimplePriceResolver(markets)
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cal := NewAccountValueCalculator(session, priceSolver, "USDT")
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assert.NotNil(t, cal)
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ctx := context.Background()
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netValue, err := cal.NetValue(ctx)
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assert.NoError(t, err)
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assert.Equal(t, "2000", netValue.String()) // 21000-19000
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@ -115,11 +123,13 @@ func TestNewAccountValueCalculator_MarginLevel(t *testing.T) {
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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ticker := newTestTicker()
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mockEx := mocks.NewMockExchange(mockCtrl)
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// for market data stream and user data stream
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mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
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mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
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"BTCUSDT": newTestTicker(),
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"BTCUSDT": ticker,
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}, nil)
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session := NewExchangeSession("test", mockEx)
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@ -143,10 +153,15 @@ func TestNewAccountValueCalculator_MarginLevel(t *testing.T) {
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})
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assert.NotNil(t, session)
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cal := NewAccountValueCalculator(session, "USDT")
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ctx := context.Background()
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markets := AllMarkets()
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priceSolver := pricesolver.NewSimplePriceResolver(markets)
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err := priceSolver.UpdateFromTickers(ctx, mockEx, "BTCUSDT")
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assert.NoError(t, err)
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cal := NewAccountValueCalculator(session, priceSolver, "USDT")
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assert.NotNil(t, cal)
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ctx := context.Background()
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marginLevel, err := cal.MarginLevel(ctx)
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assert.NoError(t, err)
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@ -173,10 +188,9 @@ func Test_aggregateUsdValue(t *testing.T) {
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name: "mixed",
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args: args{
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balances: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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"USDC": types.Balance{Currency: "USDC", Available: Number(70.0 + 80.0)},
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"USDT": types.Balance{Currency: "USDT", Available: Number(100.0)},
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"BTC": types.Balance{Currency: "BTC", Available: Number(0.01)},
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},
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},
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want: number(250.0),
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@ -202,19 +216,17 @@ func Test_usdFiatBalances(t *testing.T) {
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{
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args: args{
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balances: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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"USDC": types.Balance{Currency: "USDC", Available: Number(70.0 + 80.0)},
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"USDT": types.Balance{Currency: "USDT", Available: Number(100.0)},
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"BTC": types.Balance{Currency: "BTC", Available: Number(0.01)},
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},
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},
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wantFiats: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"USDC": types.Balance{Currency: "USDC", Available: Number(70.0 + 80.0)},
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"USDT": types.Balance{Currency: "USDT", Available: Number(100.0)},
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},
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wantRest: types.BalanceMap{
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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"BTC": types.Balance{Currency: "BTC", Available: Number(0.01)},
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},
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},
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}
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@ -242,52 +254,46 @@ func Test_calculateNetValueInQuote(t *testing.T) {
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name: "positive asset",
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args: args{
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balances: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0 + 80.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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},
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prices: types.PriceMap{
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"USDCUSDT": number(1.0),
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"BUSDUSDT": number(1.0),
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"BTCUSDT": number(19000.0),
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"USDCUSDT": Number(1.0),
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"BTCUSDT": Number(19000.0),
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},
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quoteCurrency: "USDT",
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},
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wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
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wantAccountValue: Number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
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},
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{
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name: "reversed usdt price",
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args: args{
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balances: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"TWD": types.Balance{Currency: "TWD", Available: number(3000.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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"USDC": types.Balance{Currency: "USDC", Available: Number(70.0 + 80.0)},
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"TWD": types.Balance{Currency: "TWD", Available: Number(3000.0)},
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"USDT": types.Balance{Currency: "USDT", Available: Number(100.0)},
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"BTC": types.Balance{Currency: "BTC", Available: Number(0.01)},
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},
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prices: types.PriceMap{
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"USDTTWD": number(30.0),
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"USDCUSDT": number(1.0),
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"BUSDUSDT": number(1.0),
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"BTCUSDT": number(19000.0),
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"USDTTWD": Number(30.0),
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"USDCUSDT": Number(1.0),
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"BTCUSDT": Number(19000.0),
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},
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quoteCurrency: "USDT",
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},
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wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0 + (3000.0 / 30.0)),
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wantAccountValue: Number(19000.0*0.01 + 100.0 + 80.0 + 70.0 + (3000.0 / 30.0)),
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},
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{
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name: "borrow base asset",
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args: args{
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balances: types.BalanceMap{
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"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
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"USDT": types.Balance{Currency: "USDT", Available: Number(20000.0*2 + 80.0)},
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"USDC": types.Balance{Currency: "USDC", Available: Number(70.0)},
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"BTC": types.Balance{Currency: "BTC", Available: Number(0), Borrowed: Number(2.0)},
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},
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prices: types.PriceMap{
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"USDCUSDT": number(1.0),
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"BUSDUSDT": number(1.0),
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"BTCUSDT": number(19000.0),
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},
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quoteCurrency: "USDT",
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@ -298,26 +304,35 @@ func Test_calculateNetValueInQuote(t *testing.T) {
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name: "multi base asset",
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args: args{
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balances: types.BalanceMap{
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"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"ETH": types.Balance{Currency: "ETH", Available: number(10.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
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"USDT": types.Balance{Currency: "USDT", Available: Number(20000.0*2 + 80.0)},
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"USDC": types.Balance{Currency: "USDC", Available: Number(70.0)},
|
||||
"ETH": types.Balance{Currency: "ETH", Available: Number(10.0)},
|
||||
"BTC": types.Balance{Currency: "BTC", Available: Number(0), Borrowed: Number(2.0)},
|
||||
},
|
||||
prices: types.PriceMap{
|
||||
"USDCUSDT": number(1.0),
|
||||
"BUSDUSDT": number(1.0),
|
||||
"ETHUSDT": number(1700.0),
|
||||
"BTCUSDT": number(19000.0),
|
||||
"USDCUSDT": Number(1.0),
|
||||
"BTCUSDT": Number(19000.0),
|
||||
"ETHUSDT": Number(1700.0),
|
||||
},
|
||||
quoteCurrency: "USDT",
|
||||
},
|
||||
wantAccountValue: number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
|
||||
wantAccountValue: Number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
|
||||
},
|
||||
}
|
||||
for _, tt := range tests {
|
||||
t.Run(tt.name, func(t *testing.T) {
|
||||
assert.Equalf(t, tt.wantAccountValue, calculateNetValueInQuote(tt.args.balances, tt.args.prices, tt.args.quoteCurrency), "calculateNetValueInQuote(%v, %v, %v)", tt.args.balances, tt.args.prices, tt.args.quoteCurrency)
|
||||
markets := AllMarkets()
|
||||
priceSolver := pricesolver.NewSimplePriceResolver(markets)
|
||||
|
||||
for symbol, price := range tt.args.prices {
|
||||
priceSolver.Update(symbol, price)
|
||||
}
|
||||
|
||||
assert.InDeltaf(t,
|
||||
tt.wantAccountValue.Float64(),
|
||||
calculateNetValueInQuote(tt.args.balances, priceSolver, tt.args.quoteCurrency).Float64(),
|
||||
0.01,
|
||||
"calculateNetValueInQuote(%v, %v, %v)", tt.args.balances, tt.args.prices, tt.args.quoteCurrency)
|
||||
})
|
||||
}
|
||||
}
|
||||
|
|
@ -7,36 +7,64 @@ import (
|
|||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
var markets = map[string]types.Market{
|
||||
var _markets = types.MarketMap{
|
||||
"BTCUSDT": {
|
||||
Symbol: "BTCUSDT",
|
||||
PricePrecision: 2,
|
||||
VolumePrecision: 8,
|
||||
QuoteCurrency: "USDT",
|
||||
BaseCurrency: "BTC",
|
||||
MinNotional: fixedpoint.MustNewFromString("0.001"),
|
||||
MinNotional: fixedpoint.MustNewFromString("10.0"),
|
||||
MinAmount: fixedpoint.MustNewFromString("10.0"),
|
||||
MinQuantity: fixedpoint.MustNewFromString("0.001"),
|
||||
TickSize: fixedpoint.MustNewFromString("0.01"),
|
||||
},
|
||||
|
||||
"ETHUSDT": {
|
||||
Symbol: "ETH",
|
||||
Symbol: "ETHUSDT",
|
||||
PricePrecision: 2,
|
||||
VolumePrecision: 8,
|
||||
QuoteCurrency: "USDT",
|
||||
BaseCurrency: "ETH",
|
||||
MinNotional: fixedpoint.MustNewFromString("0.005"),
|
||||
MinNotional: fixedpoint.MustNewFromString("10.0"),
|
||||
MinAmount: fixedpoint.MustNewFromString("10.0"),
|
||||
MinQuantity: fixedpoint.MustNewFromString("0.001"),
|
||||
TickSize: fixedpoint.MustNewFromString("0.01"),
|
||||
},
|
||||
|
||||
"USDCUSDT": {
|
||||
Symbol: "USDCUSDT",
|
||||
PricePrecision: 5,
|
||||
VolumePrecision: 2,
|
||||
QuoteCurrency: "USDT",
|
||||
BaseCurrency: "USDC",
|
||||
MinNotional: fixedpoint.MustNewFromString("10.0"),
|
||||
MinAmount: fixedpoint.MustNewFromString("10.0"),
|
||||
MinQuantity: fixedpoint.MustNewFromString("10.0"),
|
||||
TickSize: fixedpoint.MustNewFromString("0.0001"),
|
||||
},
|
||||
|
||||
"USDTTWD": {
|
||||
Symbol: "USDTTWD",
|
||||
PricePrecision: 2,
|
||||
VolumePrecision: 1,
|
||||
QuoteCurrency: "TWD",
|
||||
BaseCurrency: "USDT",
|
||||
MinNotional: fixedpoint.MustNewFromString("10.0"),
|
||||
MinAmount: fixedpoint.MustNewFromString("10.0"),
|
||||
MinQuantity: fixedpoint.MustNewFromString("10.0"),
|
||||
TickSize: fixedpoint.MustNewFromString("0.01"),
|
||||
},
|
||||
}
|
||||
|
||||
func AllMarkets() types.MarketMap {
|
||||
return _markets
|
||||
}
|
||||
|
||||
func Market(symbol string) types.Market {
|
||||
market, ok := markets[symbol]
|
||||
market, ok := _markets[symbol]
|
||||
if !ok {
|
||||
panic(fmt.Errorf("%s market not found, valid markets: %+v", symbol, markets))
|
||||
panic(fmt.Errorf("%s test market not found, valid markets: %+v", symbol, _markets))
|
||||
}
|
||||
|
||||
return market
|
||||
|
|
|
|||
|
|
@ -8,7 +8,7 @@ import (
|
|||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
var tickers = map[string]types.Ticker{
|
||||
var _tickers = map[string]types.Ticker{
|
||||
"BTCUSDT": {
|
||||
Time: time.Now(),
|
||||
Volume: fixedpoint.Zero,
|
||||
|
|
@ -33,7 +33,7 @@ var tickers = map[string]types.Ticker{
|
|||
}
|
||||
|
||||
func Ticker(symbol string) types.Ticker {
|
||||
ticker, ok := tickers[symbol]
|
||||
ticker, ok := _tickers[symbol]
|
||||
if !ok {
|
||||
panic(fmt.Errorf("%s test ticker not found, valid tickers: %+v", symbol, []string{"BTCUSDT", "ETHUSDT"}))
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user