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backtest: fix execution price for stop limit taker orders
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@ -366,8 +366,7 @@ func (m *SimplePriceMatching) buyToPrice(price fixedpoint.Value) (closedOrders [
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if o.Price.Compare(price) >= 0 {
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// limit buy taker order, move it to the closed order
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// we assume that we have no price slippage here, so the latest price will be the executed price
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// TODO: simulate slippage here
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o.Price = price
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o.AveragePrice = price
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -414,8 +413,7 @@ func (m *SimplePriceMatching) buyToPrice(price fixedpoint.Value) (closedOrders [
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// limit sell order as taker, move it to the closed order
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// we assume that we have no price slippage here, so the latest price will be the executed price
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// TODO: simulate slippage here
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o.Price = price
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o.AveragePrice = price
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -444,7 +442,12 @@ func (m *SimplePriceMatching) buyToPrice(price fixedpoint.Value) (closedOrders [
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for i := range closedOrders {
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o := closedOrders[i]
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trade := m.newTradeFromOrder(&o, true, o.Price)
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executedPrice := o.Price
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if !o.AveragePrice.IsZero() {
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executedPrice = o.AveragePrice
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}
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trade := m.newTradeFromOrder(&o, !isTakerOrder(o), executedPrice)
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m.executeTrade(trade)
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closedOrders[i] = o
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@ -495,7 +498,7 @@ func (m *SimplePriceMatching) sellToPrice(price fixedpoint.Value) (closedOrders
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// if the order price is lower than the current price
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// it's a taker order
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if o.Price.Compare(price) <= 0 {
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o.Price = price
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o.AveragePrice = price
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -539,9 +542,9 @@ func (m *SimplePriceMatching) sellToPrice(price fixedpoint.Value) (closedOrders
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o.Type = types.OrderTypeLimit
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// taker order?
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// handle TAKER order
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if o.Price.Compare(price) >= 0 {
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o.Price = price
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o.AveragePrice = price
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -568,7 +571,12 @@ func (m *SimplePriceMatching) sellToPrice(price fixedpoint.Value) (closedOrders
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for i := range closedOrders {
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o := closedOrders[i]
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trade := m.newTradeFromOrder(&o, true, o.Price)
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executedPrice := o.Price
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if !o.AveragePrice.IsZero() {
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executedPrice = o.AveragePrice
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}
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trade := m.newTradeFromOrder(&o, !isTakerOrder(o), executedPrice)
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m.executeTrade(trade)
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closedOrders[i] = o
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@ -678,6 +686,22 @@ func calculateNativeOrderFee(order *types.Order, market types.Market, feeRate fi
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return fee, feeCurrency
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}
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func isTakerOrder(o types.Order) bool {
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if o.AveragePrice.IsZero() {
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return false
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}
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switch o.Side {
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case types.SideTypeBuy:
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return o.AveragePrice.Compare(o.Price) < 0
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case types.SideTypeSell:
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return o.AveragePrice.Compare(o.Price) > 0
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}
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return false
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}
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func isLimitTakerOrder(o types.SubmitOrder, currentPrice fixedpoint.Value) bool {
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if currentPrice.IsZero() {
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return false
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@ -293,7 +293,7 @@ func TestSimplePriceMatching_StopLimitOrderBuy(t *testing.T) {
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assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
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assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
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assert.Equal(t, "21001", trades[0].Price.String())
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assert.Equal(t, "21001", closedOrders[0].Price.String(), "order.Price should be adjusted")
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assert.Equal(t, "22000", closedOrders[0].Price.String(), "order.Price should not be adjusted")
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assert.Equal(t, fixedpoint.NewFromFloat(21001.0).String(), engine.LastPrice.String())
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@ -364,7 +364,7 @@ func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
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assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
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assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
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assert.Equal(t, "20990", closedOrders[0].Price.String())
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assert.Equal(t, "20000", closedOrders[0].Price.String(), "limit order price should not be changed")
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assert.Equal(t, "20990", trades[0].Price.String())
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assert.Equal(t, "20990", engine.LastPrice.String())
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