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backtest: add test case for testing order update callbacks

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c9s 2022-06-07 19:36:55 +08:00
parent 8770557e2a
commit 7e92e6592a
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1 changed files with 66 additions and 0 deletions
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66
pkg/backtest/matching_test.go
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@ -21,6 +21,72 @@ func newLimitOrder(symbol string, side types.SideType, price, quantity float64)
} }
} }
func TestSimplePriceMatching_orderUpdate(t *testing.T) {
account := &types.Account{
MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
}
account.UpdateBalances(types.BalanceMap{
"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(10000.0)},
})
market := types.Market{
Symbol: "BTCUSDT",
PricePrecision: 8,
VolumePrecision: 8,
QuoteCurrency: "USDT",
BaseCurrency: "BTC",
MinNotional: fixedpoint.MustNewFromString("0.001"),
MinAmount: fixedpoint.MustNewFromString("10.0"),
MinQuantity: fixedpoint.MustNewFromString("0.001"),
}
t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
engine := &SimplePriceMatching{
Account: account,
Market: market,
CurrentTime: t1,
}
orderUpdateCnt := 0
orderUpdateNewStatusCnt := 0
orderUpdateFilledStatusCnt := 0
var lastOrder types.Order
engine.OnOrderUpdate(func(order types.Order) {
lastOrder = order
orderUpdateCnt++
switch order.Status {
case types.OrderStatusNew:
orderUpdateNewStatusCnt++
case types.OrderStatusFilled:
orderUpdateFilledStatusCnt++
}
})
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 24000.0, 0.1))
assert.NoError(t, err)
assert.Equal(t, 1, orderUpdateCnt) // should got new status
assert.Equal(t, 1, orderUpdateNewStatusCnt) // should got new status
assert.Equal(t, 0, orderUpdateFilledStatusCnt) // should got new status
assert.Equal(t, types.OrderStatusNew, lastOrder.Status)
assert.Equal(t, fixedpoint.NewFromFloat(0.0), lastOrder.ExecutedQuantity)
t2 := t1.Add(time.Minute)
// should match 25000, 24000
k := newKLine("BTCUSDT", types.Interval1m, t2, 26000, 27000, 23000, 25000)
engine.processKLine(k)
assert.Equal(t, 2, orderUpdateCnt) // should got new and filled
assert.Equal(t, 1, orderUpdateNewStatusCnt) // should got new status
assert.Equal(t, 1, orderUpdateFilledStatusCnt) // should got new status
assert.Equal(t, types.OrderStatusFilled, lastOrder.Status)
assert.Equal(t, "0.1", lastOrder.ExecutedQuantity.String())
assert.Equal(t, lastOrder.Quantity.String(), lastOrder.ExecutedQuantity.String())
}
func TestSimplePriceMatching_processKLine(t *testing.T) { func TestSimplePriceMatching_processKLine(t *testing.T) {
account := &types.Account{ account := &types.Account{
MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01), MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),