Merge pull request #140 from c9s/fix/orderbook-validation

fix: fix orderbook valudation logic

pkg/types/orderbook.go

@@ -154,7 +154,11 @@ func (b *OrderBook) IsValid() (bool, error) {
 		return false, errors.New("empty asks")
 	}
 
-	return bid.Price < ask.Price, fmt.Errorf("bid price %f > ask price %f", bid.Price.Float64(), ask.Price.Float64())
+	if bid.Price > ask.Price {
+		return false, fmt.Errorf("bid price %f > ask price %f", bid.Price.Float64(), ask.Price.Float64())
+	}
+
+	return true, nil
 }
 
 func (b *OrderBook) PriceVolumesBySide(side SideType) PriceVolumeSlice {

pkg/types/orderbook_test.go

@@ -0,0 +1,50 @@
+package types
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+func TestOrderBook_IsValid(t *testing.T) {
+	ob := OrderBook{
+		Bids: PriceVolumeSlice{
+			{fixedpoint.NewFromFloat(100.0), fixedpoint.NewFromFloat(1.5)},
+			{fixedpoint.NewFromFloat(90.0), fixedpoint.NewFromFloat(2.5)},
+		},
+
+		Asks: PriceVolumeSlice{
+			{fixedpoint.NewFromFloat(110.0), fixedpoint.NewFromFloat(1.5)},
+			{fixedpoint.NewFromFloat(120.0), fixedpoint.NewFromFloat(2.5)},
+		},
+	}
+
+	isValid, err := ob.IsValid()
+	assert.True(t, isValid)
+	assert.NoError(t, err)
+
+	ob.Bids = nil
+	isValid, err = ob.IsValid()
+	assert.False(t, isValid)
+	assert.EqualError(t, err, "empty bids")
+
+	ob.Bids = PriceVolumeSlice{
+		{fixedpoint.NewFromFloat(80000.0), fixedpoint.NewFromFloat(1.5)},
+		{fixedpoint.NewFromFloat(120.0), fixedpoint.NewFromFloat(2.5)},
+	}
+
+	ob.Asks = nil
+	isValid, err = ob.IsValid()
+	assert.False(t, isValid)
+	assert.EqualError(t, err, "empty asks")
+
+	ob.Asks = PriceVolumeSlice{
+		{fixedpoint.NewFromFloat(100.0), fixedpoint.NewFromFloat(1.5)},
+		{fixedpoint.NewFromFloat(90.0), fixedpoint.NewFromFloat(2.5)},
+	}
+	isValid, err = ob.IsValid()
+	assert.False(t, isValid)
+	assert.EqualError(t, err, "bid price 80000.000000 > ask price 100.000000")
+}