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https://github.com/c9s/bbgo.git
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Merge pull request #772 from c9s/fix/backtest-stop-order
backtest: fix stop order backtest, add more test cases and assertions
This commit is contained in:
commit
74d74a2d0f
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@ -311,8 +311,8 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if o.StopPrice.Compare(price) <= 0 {
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// the price is still lower than the stop price, we will put the order back to the list
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if price.Compare(o.StopPrice) < 0 {
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// not triggering it, put it back
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bidOrders = append(bidOrders, o)
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break
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@ -325,8 +325,8 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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closedOrders = append(closedOrders, o)
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case types.OrderTypeStopLimit:
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// should we trigger the order?
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if price.Compare(o.StopPrice) <= 0 {
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// the price is still lower than the stop price, we will put the order back to the list
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if price.Compare(o.StopPrice) < 0 {
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bidOrders = append(bidOrders, o)
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break
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}
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@ -338,7 +338,10 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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// is it a taker order?
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// higher than the current price, then it's a taker order
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if o.Price.Compare(price) >= 0 {
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// taker order, move it to the closed order
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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.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -358,7 +361,7 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if price.Compare(o.StopPrice) <= 0 {
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if price.Compare(o.StopPrice) < 0 {
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// not triggering it, put it back
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askOrders = append(askOrders, o)
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break
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@ -372,7 +375,7 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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case types.OrderTypeStopLimit:
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// should we trigger the order?
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if price.Compare(o.StopPrice) <= 0 {
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if price.Compare(o.StopPrice) < 0 {
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askOrders = append(askOrders, o)
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break
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}
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@ -381,11 +384,11 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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// is it a taker order?
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// higher than the current price, then it's a taker order
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if o.Price.Compare(price) >= 0 {
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// price protection, added by @zenix
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if o.Price.Compare(m.LastKLine.Low) < 0 {
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o.Price = m.LastKLine.Low
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}
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if o.Price.Compare(price) <= 0 {
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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.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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@ -397,9 +400,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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if price.Compare(o.Price) >= 0 {
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if o.Price.Compare(m.LastKLine.Low) < 0 {
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o.Price = m.LastKLine.Low
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}
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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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@ -432,40 +432,44 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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return closedOrders, trades
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}
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// SellToPrice simulates the price trend in down direction.
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// When price goes down, buy orders should be executed, and the stop orders should be triggered.
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func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
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klineMatchingLogger.Debugf("kline sell to price %s", price.String())
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var sellPrice = price
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// in this section we handle --- the price goes lower, and we trigger the stop sell
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var askOrders []types.Order
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for _, o := range m.askOrders {
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if o.StopPrice.Compare(sellPrice) >= 0 {
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o.Type = types.OrderTypeMarket
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o.ExecutedQuantity = o.Quantity
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o.Price = sellPrice
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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} else {
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if price.Compare(o.StopPrice) > 0 {
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askOrders = append(askOrders, o)
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break
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}
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o.Type = types.OrderTypeMarket
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o.ExecutedQuantity = o.Quantity
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o.Price = price
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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case types.OrderTypeStopLimit:
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// if the price is lower than the stop price
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// we should trigger the stop sell order
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if sellPrice.Compare(o.StopPrice) > 0 {
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if price.Compare(o.StopPrice) > 0 {
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askOrders = append(askOrders, o)
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break
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}
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o.Type = types.OrderTypeLimit
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// handle TAKER SELL
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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(sellPrice) <= 0 {
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if o.Price.Compare(price) <= 0 {
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o.Price = 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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@ -485,38 +489,39 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if o.StopPrice.Compare(sellPrice) >= 0 {
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o.Type = types.OrderTypeMarket
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if o.StopPrice.Compare(price) < 0 {
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bidOrders = append(bidOrders, o)
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break
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}
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o.Type = types.OrderTypeMarket
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o.ExecutedQuantity = o.Quantity
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o.Price = price
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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case types.OrderTypeStopLimit:
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// if the price is lower than the stop order price
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// we should trigger the stop order
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if o.StopPrice.Compare(price) < 0 {
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bidOrders = append(bidOrders, o)
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break
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}
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o.Type = types.OrderTypeLimit
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// taker order?
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if o.Price.Compare(price) >= 0 {
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o.Price = price
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o.ExecutedQuantity = o.Quantity
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o.Price = sellPrice
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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} else {
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bidOrders = append(bidOrders, o)
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}
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case types.OrderTypeStopLimit:
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// if the price is lower than the stop price
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// we should trigger the stop order
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if sellPrice.Compare(o.StopPrice) <= 0 {
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o.Type = types.OrderTypeLimit
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if o.Price.Compare(sellPrice) <= 0 {
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if o.Price.Compare(m.LastKLine.High) > 0 {
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o.Price = m.LastKLine.High
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}
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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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} else {
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bidOrders = append(bidOrders, o)
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}
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} else {
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bidOrders = append(bidOrders, o)
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}
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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if sellPrice.Compare(o.Price) <= 0 {
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if price.Compare(o.Price) <= 0 {
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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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@ -570,7 +575,6 @@ func (m *SimplePriceMatching) getOrder(orderID uint64) (types.Order, bool) {
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func (m *SimplePriceMatching) processKLine(kline types.KLine) {
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m.CurrentTime = kline.EndTime.Time()
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m.LastKLine = kline
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if m.LastPrice.IsZero() {
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m.LastPrice = kline.Open
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} else {
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@ -610,8 +614,9 @@ func (m *SimplePriceMatching) processKLine(kline types.KLine) {
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if m.LastPrice.IsZero() {
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m.BuyToPrice(kline.Close)
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}
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}
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m.LastKLine = kline
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}
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func (m *SimplePriceMatching) newOrder(o types.SubmitOrder, orderID uint64) types.Order {
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@ -187,7 +187,7 @@ func TestSimplePriceMatching_StopLimitOrderBuy(t *testing.T) {
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LastPrice: fixedpoint.NewFromFloat(19000.0),
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}
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stopOrder := types.SubmitOrder{
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stopBuyOrder := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeStopLimit,
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@ -196,14 +196,24 @@ func TestSimplePriceMatching_StopLimitOrderBuy(t *testing.T) {
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err := engine.PlaceOrder(stopOrder)
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createdOrder, trade, err := engine.PlaceOrder(stopBuyOrder)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop buy")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop buy")
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// place some limit orders, so we ensure that the remaining orders are not removed.
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_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeBuy, 18000, 0.01))
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assert.NoError(t, err)
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_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeSell, 32000, 0.01))
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assert.NoError(t, err)
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assert.Equal(t, 2, len(engine.bidOrders))
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assert.Equal(t, 1, len(engine.askOrders))
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closedOrders, trades := engine.BuyToPrice(fixedpoint.NewFromFloat(20000.0))
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assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
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assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
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assert.Equal(t, 2, len(engine.bidOrders), "bid orders should be the same")
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assert.Equal(t, 1, len(engine.askOrders), "ask orders should be the same")
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closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(21001.0))
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assert.Len(t, closedOrders, 1, "should trigger the stop buy order")
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@ -211,7 +221,30 @@ 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, stopOrder.Price, trades[0].Price)
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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, fixedpoint.NewFromFloat(21001.0).String(), engine.LastPrice.String())
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stopOrder2 := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeStopLimit,
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Quantity: fixedpoint.NewFromFloat(0.1),
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Price: fixedpoint.NewFromFloat(22000.0),
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err = engine.PlaceOrder(stopOrder2)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop buy")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop buy")
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assert.Len(t, engine.bidOrders, 2)
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closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(20500.0))
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assert.Len(t, closedOrders, 1, "should trigger the stop buy order")
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assert.Len(t, trades, 1, "should have stop order trade executed")
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assert.Len(t, engine.bidOrders, 1, "should left one bid order")
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}
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func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
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@ -224,7 +257,7 @@ func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
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LastPrice: fixedpoint.NewFromFloat(22000.0),
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}
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stopOrder := types.SubmitOrder{
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stopSellOrder := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopLimit,
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@ -233,22 +266,62 @@ func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err := engine.PlaceOrder(stopOrder)
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createdOrder, trade, err := engine.PlaceOrder(stopSellOrder)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop sell")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
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// place some limit orders, so we ensure that the remaining orders are not removed.
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_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeBuy, 18000, 0.01))
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assert.NoError(t, err)
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_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeSell, 32000, 0.01))
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assert.NoError(t, err)
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assert.Equal(t, 1, len(engine.bidOrders))
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assert.Equal(t, 2, len(engine.askOrders))
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closedOrders, trades := engine.SellToPrice(fixedpoint.NewFromFloat(21500.0))
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assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
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assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
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assert.Equal(t, 1, len(engine.bidOrders))
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assert.Equal(t, 2, len(engine.askOrders))
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closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(20990.0))
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assert.Len(t, closedOrders, 1, "should trigger the stop sell order")
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assert.Len(t, trades, 1, "should have stop order trade executed")
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assert.Equal(t, 1, len(engine.bidOrders))
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assert.Equal(t, 1, len(engine.askOrders))
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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, stopOrder.Price, trades[0].Price)
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assert.Equal(t, "20990", closedOrders[0].Price.String())
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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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// place a stop limit sell order with a higher price than the current price
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stopOrder2 := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopLimit,
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Quantity: fixedpoint.NewFromFloat(0.1),
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Price: fixedpoint.NewFromFloat(20000.0),
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err = engine.PlaceOrder(stopOrder2)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop sell")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
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closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(21000.0))
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if assert.Len(t, closedOrders, 1, "should trigger the stop sell order") {
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assert.Len(t, trades, 1, "should have stop order trade executed")
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assert.Equal(t, types.SideTypeSell, closedOrders[0].Side)
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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, "21000", trades[0].Price.String(), "trade price should be the kline price not the order price")
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assert.Equal(t, "21000", engine.LastPrice.String(), "engine last price should be updated correctly")
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}
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}
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func TestSimplePriceMatching_StopMarketOrderSell(t *testing.T) {
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@ -285,7 +358,7 @@ func TestSimplePriceMatching_StopMarketOrderSell(t *testing.T) {
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assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
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assert.Equal(t, types.OrderTypeMarket, closedOrders[0].Type)
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assert.Equal(t, fixedpoint.NewFromFloat(20990.0), trades[0].Price)
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assert.Equal(t, fixedpoint.NewFromFloat(20990.0), trades[0].Price, "trade price should be adjusted to the last price")
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}
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func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
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