backtest: add fee mode function tests

pkg/backtest/fee.go

@@ -65,19 +65,3 @@ func getFeeModeFunction(feeMode bbgo.BackTestFeeMode) FeeModeFunction {
 		return feeModeFunctionNative
 	}
 }
-
-func calculateNativeOrderFee(order *types.Order, market types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string) {
-	switch order.Side {
-
-	case types.SideTypeBuy:
-		fee = order.Quantity.Mul(feeRate)
-		feeCurrency = market.BaseCurrency
-
-	case types.SideTypeSell:
-		quoteQuantity := order.Quantity.Mul(order.Price)
-		fee = quoteQuantity.Mul(feeRate)
-		feeCurrency = market.QuoteCurrency
-
-	}
-	return fee, feeCurrency
-}

pkg/backtest/fee_test.go

@@ -0,0 +1,124 @@
+package backtest
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func Test_feeModeFunctionToken(t *testing.T) {
+	market := getTestMarket()
+	t.Run("sellOrder", func(t *testing.T) {
+		order := types.Order{
+			SubmitOrder: types.SubmitOrder{
+				Symbol:      market.Symbol,
+				Side:        types.SideTypeSell,
+				Type:        types.OrderTypeLimit,
+				Quantity:    fixedpoint.NewFromFloat(0.1),
+				Price:       fixedpoint.NewFromFloat(20000.0),
+				TimeInForce: types.TimeInForceGTC,
+			},
+		}
+		feeRate := fixedpoint.MustNewFromString("0.075%")
+		fee, feeCurrency := feeModeFunctionToken(&order, &market, feeRate)
+		assert.Equal(t, "1.5", fee.String())
+		assert.Equal(t, "FEE", feeCurrency)
+	})
+
+	t.Run("buyOrder", func(t *testing.T) {
+		order := types.Order{
+			SubmitOrder: types.SubmitOrder{
+				Symbol:      market.Symbol,
+				Side:        types.SideTypeBuy,
+				Type:        types.OrderTypeLimit,
+				Quantity:    fixedpoint.NewFromFloat(0.1),
+				Price:       fixedpoint.NewFromFloat(20000.0),
+				TimeInForce: types.TimeInForceGTC,
+			},
+		}
+
+		feeRate := fixedpoint.MustNewFromString("0.075%")
+		fee, feeCurrency := feeModeFunctionToken(&order, &market, feeRate)
+		assert.Equal(t, "1.5", fee.String())
+		assert.Equal(t, "FEE", feeCurrency)
+	})
+}
+
+func Test_feeModeFunctionQuote(t *testing.T) {
+	market := getTestMarket()
+	t.Run("sellOrder", func(t *testing.T) {
+		order := types.Order{
+			SubmitOrder: types.SubmitOrder{
+				Symbol:      market.Symbol,
+				Side:        types.SideTypeSell,
+				Type:        types.OrderTypeLimit,
+				Quantity:    fixedpoint.NewFromFloat(0.1),
+				Price:       fixedpoint.NewFromFloat(20000.0),
+				TimeInForce: types.TimeInForceGTC,
+			},
+		}
+		feeRate := fixedpoint.MustNewFromString("0.075%")
+		fee, feeCurrency := feeModeFunctionQuote(&order, &market, feeRate)
+		assert.Equal(t, "1.5", fee.String())
+		assert.Equal(t, "USDT", feeCurrency)
+	})
+
+	t.Run("buyOrder", func(t *testing.T) {
+		order := types.Order{
+			SubmitOrder: types.SubmitOrder{
+				Symbol:      market.Symbol,
+				Side:        types.SideTypeBuy,
+				Type:        types.OrderTypeLimit,
+				Quantity:    fixedpoint.NewFromFloat(0.1),
+				Price:       fixedpoint.NewFromFloat(20000.0),
+				TimeInForce: types.TimeInForceGTC,
+			},
+		}
+
+		feeRate := fixedpoint.MustNewFromString("0.075%")
+		fee, feeCurrency := feeModeFunctionQuote(&order, &market, feeRate)
+		assert.Equal(t, "1.5", fee.String())
+		assert.Equal(t, "USDT", feeCurrency)
+	})
+}
+
+func Test_feeModeFunctionNative(t *testing.T) {
+	market := getTestMarket()
+	t.Run("sellOrder", func(t *testing.T) {
+		order := types.Order{
+			SubmitOrder: types.SubmitOrder{
+				Symbol:      market.Symbol,
+				Side:        types.SideTypeSell,
+				Type:        types.OrderTypeLimit,
+				Quantity:    fixedpoint.NewFromFloat(0.1),
+				Price:       fixedpoint.NewFromFloat(20000.0),
+				TimeInForce: types.TimeInForceGTC,
+			},
+		}
+		feeRate := fixedpoint.MustNewFromString("0.075%")
+		fee, feeCurrency := feeModeFunctionNative(&order, &market, feeRate)
+		assert.Equal(t, "1.5", fee.String())
+		assert.Equal(t, "USDT", feeCurrency)
+	})
+
+	t.Run("buyOrder", func(t *testing.T) {
+		order := types.Order{
+			SubmitOrder: types.SubmitOrder{
+				Symbol:      market.Symbol,
+				Side:        types.SideTypeBuy,
+				Type:        types.OrderTypeLimit,
+				Quantity:    fixedpoint.NewFromFloat(0.1),
+				Price:       fixedpoint.NewFromFloat(20000.0),
+				TimeInForce: types.TimeInForceGTC,
+			},
+		}
+
+		feeRate := fixedpoint.MustNewFromString("0.075%")
+		fee, feeCurrency := feeModeFunctionNative(&order, &market, feeRate)
+		assert.Equal(t, "0.000075", fee.String())
+		assert.Equal(t, "BTC", feeCurrency)
+	})
+}

pkg/backtest/matching_test.go

@@ -497,44 +497,6 @@ func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
 	assert.Len(t, trades, 4)
 }
 
-func Test_calculateNativeOrderFee(t *testing.T) {
-	market := getTestMarket()
-
-	t.Run("sellOrder", func(t *testing.T) {
-		order := types.Order{
-			SubmitOrder: types.SubmitOrder{
-				Symbol:      market.Symbol,
-				Side:        types.SideTypeSell,
-				Type:        types.OrderTypeLimit,
-				Quantity:    fixedpoint.NewFromFloat(0.1),
-				Price:       fixedpoint.NewFromFloat(20000.0),
-				TimeInForce: types.TimeInForceGTC,
-			},
-		}
-		feeRate := fixedpoint.MustNewFromString("0.075%")
-		fee, feeCurrency := calculateNativeOrderFee(&order, market, feeRate)
-		assert.Equal(t, "1.5", fee.String())
-		assert.Equal(t, "USDT", feeCurrency)
-	})
-
-	t.Run("buyOrder", func(t *testing.T) {
-		order := types.Order{
-			SubmitOrder: types.SubmitOrder{
-				Symbol:      market.Symbol,
-				Side:        types.SideTypeBuy,
-				Type:        types.OrderTypeLimit,
-				Quantity:    fixedpoint.NewFromFloat(0.1),
-				Price:       fixedpoint.NewFromFloat(20000.0),
-				TimeInForce: types.TimeInForceGTC,
-			},
-		}
-
-		feeRate := fixedpoint.MustNewFromString("0.075%")
-		fee, feeCurrency := calculateNativeOrderFee(&order, market, feeRate)
-		assert.Equal(t, "0.000075", fee.String())
-		assert.Equal(t, "BTC", feeCurrency)
-	})
-}
 
 func TestSimplePriceMatching_LimitTakerOrder(t *testing.T) {
 	account := getTestAccount()