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