mirror of
https://github.com/c9s/bbgo.git
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Merge pull request #1022 from c9s/feature/grid2
strategy: grid2: more refactoring, fix bugs and add more tests
This commit is contained in:
Yo-An Lin
GitHub
commit
37f4435aba
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@ -36,7 +36,7 @@ exchangeStrategies:
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symbol: BTCUSDT
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upperPrice: 18_000.0
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lowerPrice: 16_000.0
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gridNumber: 200
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gridNumber: 100
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## compound is used for buying more inventory when the profit is made by the filled SELL order.
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## when compound is disabled, fixed quantity is used for each grid order.
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@ -70,12 +70,12 @@ exchangeStrategies:
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# amount: 10.0
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## 2) fixed quantity: it will use your balance to place orders with the fixed quantity. e.g. 0.001 BTC
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# quantity: 0.001
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quantity: 0.001
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## 3) quoteInvestment and baseInvestment: when using quoteInvestment, the strategy will automatically calculate your best quantity for the whole grid.
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## quoteInvestment is required, and baseInvestment is optional (could be zero)
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## if you have existing BTC position and want to reuse it you can set the baseInvestment.
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quoteInvestment: 10_000
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# quoteInvestment: 10_000
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# baseInvestment: 1.0
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feeRate: 0.075%
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95
pkg/strategy/grid2/mocks/order_executor.go
Normal file
95
pkg/strategy/grid2/mocks/order_executor.go
Normal file
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@ -0,0 +1,95 @@
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// Code generated by MockGen. DO NOT EDIT.
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// Source: github.com/c9s/bbgo/pkg/strategy/grid2 (interfaces: OrderExecutor)
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// Package mocks is a generated GoMock package.
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package mocks
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import (
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context "context"
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reflect "reflect"
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fixedpoint "github.com/c9s/bbgo/pkg/fixedpoint"
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types "github.com/c9s/bbgo/pkg/types"
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gomock "github.com/golang/mock/gomock"
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)
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// MockOrderExecutor is a mock of OrderExecutor interface.
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type MockOrderExecutor struct {
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ctrl *gomock.Controller
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recorder *MockOrderExecutorMockRecorder
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}
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// MockOrderExecutorMockRecorder is the mock recorder for MockOrderExecutor.
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type MockOrderExecutorMockRecorder struct {
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mock *MockOrderExecutor
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}
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// NewMockOrderExecutor creates a new mock instance.
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func NewMockOrderExecutor(ctrl *gomock.Controller) *MockOrderExecutor {
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mock := &MockOrderExecutor{ctrl: ctrl}
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mock.recorder = &MockOrderExecutorMockRecorder{mock}
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return mock
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}
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// EXPECT returns an object that allows the caller to indicate expected use.
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func (m *MockOrderExecutor) EXPECT() *MockOrderExecutorMockRecorder {
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return m.recorder
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}
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// ClosePosition mocks base method.
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func (m *MockOrderExecutor) ClosePosition(arg0 context.Context, arg1 fixedpoint.Value, arg2 ...string) error {
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m.ctrl.T.Helper()
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varargs := []interface{}{arg0, arg1}
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for _, a := range arg2 {
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varargs = append(varargs, a)
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}
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ret := m.ctrl.Call(m, "ClosePosition", varargs...)
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ret0, _ := ret[0].(error)
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return ret0
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}
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// ClosePosition indicates an expected call of ClosePosition.
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func (mr *MockOrderExecutorMockRecorder) ClosePosition(arg0, arg1 interface{}, arg2 ...interface{}) *gomock.Call {
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mr.mock.ctrl.T.Helper()
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varargs := append([]interface{}{arg0, arg1}, arg2...)
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "ClosePosition", reflect.TypeOf((*MockOrderExecutor)(nil).ClosePosition), varargs...)
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}
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// GracefulCancel mocks base method.
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func (m *MockOrderExecutor) GracefulCancel(arg0 context.Context, arg1 ...types.Order) error {
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m.ctrl.T.Helper()
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varargs := []interface{}{arg0}
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for _, a := range arg1 {
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varargs = append(varargs, a)
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}
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ret := m.ctrl.Call(m, "GracefulCancel", varargs...)
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ret0, _ := ret[0].(error)
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return ret0
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}
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// GracefulCancel indicates an expected call of GracefulCancel.
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func (mr *MockOrderExecutorMockRecorder) GracefulCancel(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
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mr.mock.ctrl.T.Helper()
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varargs := append([]interface{}{arg0}, arg1...)
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "GracefulCancel", reflect.TypeOf((*MockOrderExecutor)(nil).GracefulCancel), varargs...)
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}
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// SubmitOrders mocks base method.
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func (m *MockOrderExecutor) SubmitOrders(arg0 context.Context, arg1 ...types.SubmitOrder) (types.OrderSlice, error) {
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m.ctrl.T.Helper()
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varargs := []interface{}{arg0}
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for _, a := range arg1 {
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varargs = append(varargs, a)
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}
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ret := m.ctrl.Call(m, "SubmitOrders", varargs...)
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ret0, _ := ret[0].(types.OrderSlice)
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ret1, _ := ret[1].(error)
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return ret0, ret1
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}
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// SubmitOrders indicates an expected call of SubmitOrders.
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func (mr *MockOrderExecutorMockRecorder) SubmitOrders(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
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mr.mock.ctrl.T.Helper()
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varargs := append([]interface{}{arg0}, arg1...)
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "SubmitOrders", reflect.TypeOf((*MockOrderExecutor)(nil).SubmitOrders), varargs...)
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}
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@ -28,6 +28,13 @@ func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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//go:generate mockgen -destination=mocks/order_executor.go -package=mocks . OrderExecutor
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type OrderExecutor interface {
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SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error)
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ClosePosition(ctx context.Context, percentage fixedpoint.Value, tags ...string) error
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GracefulCancel(ctx context.Context, orders ...types.Order) error
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}
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type Strategy struct {
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Environment *bbgo.Environment
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@ -102,7 +109,7 @@ type Strategy struct {
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session *bbgo.ExchangeSession
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orderQueryService types.ExchangeOrderQueryService
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orderExecutor *bbgo.GeneralOrderExecutor
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orderExecutor OrderExecutor
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historicalTrades *bbgo.TradeStore
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// groupID is the group ID used for the strategy instance for canceling orders
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@ -132,31 +139,12 @@ func (s *Strategy) Validate() error {
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return fmt.Errorf("gridNum can not be zero")
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}
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if s.FeeRate.IsZero() {
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s.FeeRate = fixedpoint.NewFromFloat(0.1 * 0.01) // 0.1%, 0.075% with BNB
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if err := s.checkSpread(); err != nil {
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return errors.Wrapf(err, "spread is too small, please try to reduce your gridNum or increase the price range (upperPrice and lowerPrice)")
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}
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if !s.ProfitSpread.IsZero() {
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// the min fee rate from 2 maker/taker orders (with 0.1 rate for profit)
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gridFeeRate := s.FeeRate.Mul(fixedpoint.NewFromFloat(2.01))
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if s.ProfitSpread.Div(s.LowerPrice).Compare(gridFeeRate) < 0 {
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return fmt.Errorf("profitSpread %f %s is too small for lower price, less than the fee rate: %s", s.ProfitSpread.Float64(), s.ProfitSpread.Div(s.LowerPrice).Percentage(), s.FeeRate.Percentage())
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}
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if s.ProfitSpread.Div(s.UpperPrice).Compare(gridFeeRate) < 0 {
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return fmt.Errorf("profitSpread %f %s is too small for upper price, less than the fee rate: %s", s.ProfitSpread.Float64(), s.ProfitSpread.Div(s.UpperPrice).Percentage(), s.FeeRate.Percentage())
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}
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}
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if err := s.QuantityOrAmount.Validate(); err != nil {
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if s.QuoteInvestment.IsZero() && s.BaseInvestment.IsZero() {
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return err
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}
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}
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if !s.QuantityOrAmount.IsSet() && s.QuoteInvestment.IsZero() && s.BaseInvestment.IsZero() {
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return fmt.Errorf("one of quantity, amount, quoteInvestment must be set")
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if !s.QuantityOrAmount.IsSet() && s.QuoteInvestment.IsZero() {
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return fmt.Errorf("either quantity, amount or quoteInvestment must be set")
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}
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return nil
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@ -171,6 +159,32 @@ func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s-%s-%d-%d-%d", ID, s.Symbol, s.GridNum, s.UpperPrice.Int(), s.LowerPrice.Int())
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}
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func (s *Strategy) checkSpread() error {
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gridNum := fixedpoint.NewFromInt(s.GridNum)
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spread := s.ProfitSpread
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if spread.IsZero() {
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spread = s.UpperPrice.Sub(s.LowerPrice).Div(gridNum)
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}
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feeRate := s.FeeRate
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if feeRate.IsZero() {
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feeRate = fixedpoint.NewFromFloat(0.075 * 0.01)
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}
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// the min fee rate from 2 maker/taker orders (with 0.1 rate for profit)
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gridFeeRate := feeRate.Mul(fixedpoint.NewFromFloat(2.01))
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if spread.Div(s.LowerPrice).Compare(gridFeeRate) < 0 {
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return fmt.Errorf("profitSpread %f %s is too small for lower price, less than the grid fee rate: %s", spread.Float64(), spread.Div(s.LowerPrice).Percentage(), gridFeeRate.Percentage())
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}
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if spread.Div(s.UpperPrice).Compare(gridFeeRate) < 0 {
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return fmt.Errorf("profitSpread %f %s is too small for upper price, less than the grid fee rate: %s", spread.Float64(), spread.Div(s.UpperPrice).Percentage(), gridFeeRate.Percentage())
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}
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return nil
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}
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func (s *Strategy) handleOrderCanceled(o types.Order) {
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s.logger.Infof("GRID ORDER CANCELED: %s", o.String())
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@ -606,7 +620,7 @@ func (s *Strategy) calculateQuoteBaseInvestmentQuantity(quoteInvestment, baseInv
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quoteSideQuantity := quoteInvestment.Div(totalQuotePrice)
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if maxNumberOfSellOrders > 0 {
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return fixedpoint.Max(quoteSideQuantity, maxBaseQuantity), nil
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return fixedpoint.Min(quoteSideQuantity, maxBaseQuantity), nil
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}
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return quoteSideQuantity, nil
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@ -698,6 +712,12 @@ func (s *Strategy) closeGrid(ctx context.Context) error {
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return nil
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}
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func (s *Strategy) newGrid() *Grid {
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grid := NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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grid.CalculateArithmeticPins()
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return grid
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}
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// openGrid
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// 1) if quantity or amount is set, we should use quantity/amount directly instead of using investment amount to calculate.
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// 2) if baseInvestment, quoteInvestment is set, then we should calculate the quantity from the given base investment and quote investment.
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@ -708,9 +728,7 @@ func (s *Strategy) openGrid(ctx context.Context, session *bbgo.ExchangeSession)
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return nil
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}
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s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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s.grid.CalculateArithmeticPins()
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s.grid = s.newGrid()
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s.logger.Info("OPENING GRID: ", s.grid.String())
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lastPrice, err := s.getLastTradePrice(ctx, session)
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@ -950,7 +968,7 @@ func (s *Strategy) checkMinimalQuoteInvestment() error {
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return nil
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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instanceID := s.InstanceID()
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s.session = session
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@ -997,19 +1015,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.historicalTrades.EnablePrune = true
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s.historicalTrades.BindStream(session.UserDataStream)
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.Bind()
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s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _, _ fixedpoint.Value) {
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orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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orderExecutor.BindEnvironment(s.Environment)
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orderExecutor.BindProfitStats(s.ProfitStats)
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orderExecutor.Bind()
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orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _, _ fixedpoint.Value) {
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s.GridProfitStats.AddTrade(trade)
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})
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(ctx, s)
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})
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s.orderExecutor.ActiveMakerOrders().OnFilled(s.handleOrderFilled)
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orderExecutor.ActiveMakerOrders().OnFilled(s.handleOrderFilled)
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s.orderExecutor = orderExecutor
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// TODO: detect if there are previous grid orders on the order book
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if s.ClearOpenOrdersWhenStart {
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@ -15,6 +15,8 @@ import (
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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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gridmocks "github.com/c9s/bbgo/pkg/strategy/grid2/mocks"
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)
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func TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
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@ -269,6 +271,7 @@ func newTestStrategy() *Strategy {
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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Symbol: "BTCUSDT",
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Market: market,
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GridProfitStats: newGridProfitStats(market),
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UpperPrice: number(20_000),
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@ -397,6 +400,326 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
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assert.Equal(t, "0.01", baseFee.String())
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}
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func TestStrategy_handleOrderFilled(t *testing.T) {
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ctx := context.Background()
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t.Run("no fee token", func(t *testing.T) {
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gridQuantity := number(0.1)
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orderID := uint64(1)
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s := newTestStrategy()
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s.Quantity = gridQuantity
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s.grid = s.newGrid()
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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mockService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
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Symbol: "BTCUSDT",
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OrderID: "1",
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}).Return([]types.Trade{
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{
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ID: 1,
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OrderID: orderID,
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Exchange: "binance",
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Price: number(11000.0),
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Quantity: gridQuantity,
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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IsBuyer: true,
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FeeCurrency: "BTC",
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Fee: number(gridQuantity.Float64() * 0.1 * 0.01),
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},
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}, nil)
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s.orderQueryService = mockService
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expectedSubmitOrder := types.SubmitOrder{
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Symbol: "BTCUSDT",
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Type: types.OrderTypeLimit,
|
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Price: number(12_000.0),
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Quantity: number(0.0999),
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Side: types.SideTypeSell,
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TimeInForce: types.TimeInForceGTC,
|
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Market: s.Market,
|
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Tag: "grid",
|
||||
}
|
||||
|
||||
orderExecutor := gridmocks.NewMockOrderExecutor(mockCtrl)
|
||||
orderExecutor.EXPECT().SubmitOrders(ctx, expectedSubmitOrder).Return([]types.Order{
|
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{SubmitOrder: expectedSubmitOrder},
|
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}, nil)
|
||||
s.orderExecutor = orderExecutor
|
||||
|
||||
s.handleOrderFilled(types.Order{
|
||||
SubmitOrder: types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
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Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Quantity: gridQuantity,
|
||||
Price: number(11000.0),
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
},
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||||
Exchange: "binance",
|
||||
OrderID: orderID,
|
||||
Status: types.OrderStatusFilled,
|
||||
ExecutedQuantity: gridQuantity,
|
||||
})
|
||||
})
|
||||
|
||||
t.Run("with fee token", func(t *testing.T) {
|
||||
gridQuantity := number(0.1)
|
||||
orderID := uint64(1)
|
||||
|
||||
s := newTestStrategy()
|
||||
s.Quantity = gridQuantity
|
||||
s.grid = s.newGrid()
|
||||
|
||||
mockCtrl := gomock.NewController(t)
|
||||
defer mockCtrl.Finish()
|
||||
|
||||
mockService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
|
||||
mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
|
||||
Symbol: "BTCUSDT",
|
||||
OrderID: "1",
|
||||
}).Return([]types.Trade{
|
||||
{
|
||||
ID: 1,
|
||||
OrderID: orderID,
|
||||
Exchange: "binance",
|
||||
Price: number(11000.0),
|
||||
Quantity: gridQuantity,
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
IsBuyer: true,
|
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FeeCurrency: "BTC",
|
||||
Fee: fixedpoint.Zero,
|
||||
},
|
||||
}, nil)
|
||||
|
||||
s.orderQueryService = mockService
|
||||
|
||||
expectedSubmitOrder := types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: number(12_000.0),
|
||||
Quantity: gridQuantity,
|
||||
Side: types.SideTypeSell,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
Tag: "grid",
|
||||
}
|
||||
|
||||
orderExecutor := gridmocks.NewMockOrderExecutor(mockCtrl)
|
||||
orderExecutor.EXPECT().SubmitOrders(ctx, expectedSubmitOrder).Return([]types.Order{
|
||||
{SubmitOrder: expectedSubmitOrder},
|
||||
}, nil)
|
||||
s.orderExecutor = orderExecutor
|
||||
|
||||
s.handleOrderFilled(types.Order{
|
||||
SubmitOrder: types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Quantity: gridQuantity,
|
||||
Price: number(11000.0),
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
},
|
||||
Exchange: "binance",
|
||||
OrderID: orderID,
|
||||
Status: types.OrderStatusFilled,
|
||||
ExecutedQuantity: gridQuantity,
|
||||
})
|
||||
})
|
||||
|
||||
t.Run("with fee token and EarnBase", func(t *testing.T) {
|
||||
gridQuantity := number(0.1)
|
||||
orderID := uint64(1)
|
||||
|
||||
s := newTestStrategy()
|
||||
s.Quantity = gridQuantity
|
||||
s.EarnBase = true
|
||||
s.grid = s.newGrid()
|
||||
|
||||
mockCtrl := gomock.NewController(t)
|
||||
defer mockCtrl.Finish()
|
||||
|
||||
mockService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
|
||||
mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
|
||||
Symbol: "BTCUSDT",
|
||||
OrderID: "1",
|
||||
}).Return([]types.Trade{
|
||||
{
|
||||
ID: 1,
|
||||
OrderID: orderID,
|
||||
Exchange: "binance",
|
||||
Price: number(11000.0),
|
||||
Quantity: gridQuantity,
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
IsBuyer: true,
|
||||
FeeCurrency: "BTC",
|
||||
Fee: fixedpoint.Zero,
|
||||
},
|
||||
}, nil)
|
||||
|
||||
s.orderQueryService = mockService
|
||||
|
||||
orderExecutor := gridmocks.NewMockOrderExecutor(mockCtrl)
|
||||
|
||||
expectedSubmitOrder := types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Type: types.OrderTypeLimit,
|
||||
Side: types.SideTypeSell,
|
||||
Price: number(12_000.0),
|
||||
Quantity: number(0.09166666),
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
Tag: "grid",
|
||||
}
|
||||
orderExecutor.EXPECT().SubmitOrders(ctx, expectedSubmitOrder).Return([]types.Order{
|
||||
{SubmitOrder: expectedSubmitOrder},
|
||||
}, nil)
|
||||
|
||||
expectedSubmitOrder2 := types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Type: types.OrderTypeLimit,
|
||||
Side: types.SideTypeBuy,
|
||||
Price: number(11_000.0),
|
||||
Quantity: number(0.09999999),
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
Tag: "grid",
|
||||
}
|
||||
orderExecutor.EXPECT().SubmitOrders(ctx, expectedSubmitOrder2).Return([]types.Order{
|
||||
{SubmitOrder: expectedSubmitOrder2},
|
||||
}, nil)
|
||||
|
||||
s.orderExecutor = orderExecutor
|
||||
|
||||
s.handleOrderFilled(types.Order{
|
||||
SubmitOrder: types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Quantity: gridQuantity,
|
||||
Price: number(11000.0),
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
},
|
||||
Exchange: "binance",
|
||||
OrderID: 1,
|
||||
Status: types.OrderStatusFilled,
|
||||
ExecutedQuantity: gridQuantity,
|
||||
})
|
||||
|
||||
s.handleOrderFilled(types.Order{
|
||||
SubmitOrder: expectedSubmitOrder,
|
||||
Exchange: "binance",
|
||||
OrderID: 2,
|
||||
Status: types.OrderStatusFilled,
|
||||
ExecutedQuantity: expectedSubmitOrder.Quantity,
|
||||
})
|
||||
})
|
||||
|
||||
t.Run("with fee token and compound", func(t *testing.T) {
|
||||
gridQuantity := number(0.1)
|
||||
orderID := uint64(1)
|
||||
|
||||
s := newTestStrategy()
|
||||
s.Quantity = gridQuantity
|
||||
s.Compound = true
|
||||
s.grid = s.newGrid()
|
||||
|
||||
mockCtrl := gomock.NewController(t)
|
||||
defer mockCtrl.Finish()
|
||||
|
||||
mockService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
|
||||
mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
|
||||
Symbol: "BTCUSDT",
|
||||
OrderID: "1",
|
||||
}).Return([]types.Trade{
|
||||
{
|
||||
ID: 1,
|
||||
OrderID: orderID,
|
||||
Exchange: "binance",
|
||||
Price: number(11000.0),
|
||||
Quantity: gridQuantity,
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
IsBuyer: true,
|
||||
FeeCurrency: "BTC",
|
||||
Fee: fixedpoint.Zero,
|
||||
},
|
||||
}, nil)
|
||||
|
||||
s.orderQueryService = mockService
|
||||
|
||||
expectedSubmitOrder := types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: number(12_000.0),
|
||||
Quantity: gridQuantity,
|
||||
Side: types.SideTypeSell,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
Tag: "grid",
|
||||
}
|
||||
|
||||
orderExecutor := gridmocks.NewMockOrderExecutor(mockCtrl)
|
||||
orderExecutor.EXPECT().SubmitOrders(ctx, expectedSubmitOrder).Return([]types.Order{
|
||||
{SubmitOrder: expectedSubmitOrder},
|
||||
}, nil)
|
||||
|
||||
expectedSubmitOrder2 := types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: number(11_000.0),
|
||||
Quantity: number(0.1090909),
|
||||
Side: types.SideTypeBuy,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
Tag: "grid",
|
||||
}
|
||||
|
||||
orderExecutor.EXPECT().SubmitOrders(ctx, expectedSubmitOrder2).Return([]types.Order{
|
||||
{SubmitOrder: expectedSubmitOrder2},
|
||||
}, nil)
|
||||
s.orderExecutor = orderExecutor
|
||||
|
||||
s.handleOrderFilled(types.Order{
|
||||
SubmitOrder: types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Quantity: gridQuantity,
|
||||
Price: number(11000.0),
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
},
|
||||
Exchange: "binance",
|
||||
OrderID: 1,
|
||||
Status: types.OrderStatusFilled,
|
||||
ExecutedQuantity: gridQuantity,
|
||||
})
|
||||
|
||||
s.handleOrderFilled(types.Order{
|
||||
SubmitOrder: types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeLimit,
|
||||
Quantity: gridQuantity,
|
||||
Price: number(12000.0),
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
},
|
||||
Exchange: "binance",
|
||||
OrderID: 2,
|
||||
Status: types.OrderStatusFilled,
|
||||
ExecutedQuantity: gridQuantity,
|
||||
})
|
||||
|
||||
})
|
||||
}
|
||||
|
||||
func TestStrategy_aggregateOrderBaseFeeRetry(t *testing.T) {
|
||||
s := newTestStrategy()
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user