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bbgo: add test case for calculateNetValueInQuote

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c9s 2022-09-14 02:08:14 +08:00
parent 7617679651
commit 809294b054
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3 changed files with 100 additions and 16 deletions
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31
pkg/bbgo/risk.go
View File

@ -115,32 +115,37 @@ func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Va
}
func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
accountValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return accountValue, err
return fixedpoint.Zero, err
}
}
balances := c.session.Account.Balances()
accountValue := calculateNetValueInQuote(balances, c.prices, c.quoteCurrency)
return accountValue, nil
}
func calculateNetValueInQuote(balances types.BalanceMap, prices map[string]fixedpoint.Value, quoteCurrency string) (accountValue fixedpoint.Value) {
accountValue = fixedpoint.Zero
for _, b := range balances {
if b.Currency == c.quoteCurrency {
if b.Currency == quoteCurrency {
accountValue = accountValue.Add(b.Net())
continue
}
symbol := b.Currency + c.quoteCurrency // for BTC/USDT, ETH/USDT pairs
symbolReverse := c.quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
if price, ok := c.prices[symbol]; ok {
symbol := b.Currency + quoteCurrency // for BTC/USDT, ETH/USDT pairs
symbolReverse := quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
if price, ok := prices[symbol]; ok {
accountValue = accountValue.Add(b.Net().Mul(price))
} else if priceReverse, ok2 := c.prices[symbolReverse]; ok2 {
} else if priceReverse, ok2 := prices[symbolReverse]; ok2 {
price2 := one.Div(priceReverse)
accountValue = accountValue.Add(b.Net().Mul(price2))
}
}
return accountValue, nil
return accountValue
}
func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint.Value, error) {
@ -189,7 +194,7 @@ func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Va
return marginLevel, nil
}
func aggregateUsdValue(balances types.BalanceMap) fixedpoint.Value {
func aggregateUsdNetValue(balances types.BalanceMap) fixedpoint.Value {
totalUsdValue := fixedpoint.Zero
// get all usd value if any
for currency, balance := range balances {
@ -247,7 +252,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
// for isolated margin we can calculate from these two pair
totalUsdValue := fixedpoint.Zero
if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
totalUsdValue = aggregateUsdValue(balances)
totalUsdValue = aggregateUsdNetValue(balances)
} else if len(restBalances) > 1 {
accountValue := NewAccountValueCalculator(session, "USDT")
netValue, err := accountValue.NetValue(context.Background())
@ -258,7 +263,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
totalUsdValue = netValue
} else {
// TODO: translate quote currency like BTC of ETH/BTC to usd value
totalUsdValue = aggregateUsdValue(usdBalances)
totalUsdValue = aggregateUsdNetValue(usdBalances)
}
if !quantity.IsZero() {
@ -270,7 +275,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
}
// using leverage -- starts from here
log.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
log.Infof("calculating available leveraged base quantity: base balance = %+v, total usd value %f", baseBalance, totalUsdValue.Float64())
// calculate the quantity automatically
if session.Margin || session.IsolatedMargin {

77
pkg/bbgo/risk_test.go
View File

@ -184,7 +184,7 @@ func Test_aggregateUsdValue(t *testing.T) {
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
assert.Equalf(t, tt.want, aggregateUsdValue(tt.args.balances), "aggregateUsdValue(%v)", tt.args.balances)
assert.Equalf(t, tt.want, aggregateUsdNetValue(tt.args.balances), "aggregateUsdNetValue(%v)", tt.args.balances)
})
}
}
@ -226,3 +226,78 @@ func Test_usdFiatBalances(t *testing.T) {
})
}
}
func Test_calculateNetValueInQuote(t *testing.T) {
type args struct {
balances types.BalanceMap
prices map[string]fixedpoint.Value
quoteCurrency string
}
tests := []struct {
name string
args args
wantAccountValue fixedpoint.Value
}{
{
name: "positive asset",
args: args{
balances: types.BalanceMap{
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
},
prices: map[string]fixedpoint.Value{
"USDCUSDT": number(1.0),
"BUSDUSDT": number(1.0),
"BTCUSDT": number(19000.0),
},
quoteCurrency: "USDT",
},
wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
},
{
name: "borrow base asset",
args: args{
balances: types.BalanceMap{
"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
},
prices: map[string]fixedpoint.Value{
"USDCUSDT": number(1.0),
"BUSDUSDT": number(1.0),
"BTCUSDT": number(19000.0),
},
quoteCurrency: "USDT",
},
wantAccountValue: number(19000.0*-2.0 + 20000.0*2 + 80.0 + 70.0),
},
{
name: "multi base asset",
args: args{
balances: types.BalanceMap{
"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"ETH": types.Balance{Currency: "ETH", Available: number(10.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
},
prices: map[string]fixedpoint.Value{
"USDCUSDT": number(1.0),
"BUSDUSDT": number(1.0),
"ETHUSDT": number(1700.0),
"BTCUSDT": number(19000.0),
},
quoteCurrency: "USDT",
},
wantAccountValue: number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
assert.Equalf(t, tt.wantAccountValue, calculateNetValueInQuote(tt.args.balances, tt.args.prices, tt.args.quoteCurrency), "calculateNetValueInQuote(%v, %v, %v)", tt.args.balances, tt.args.prices, tt.args.quoteCurrency)
})
}
}

8
pkg/types/balance.go
View File

@ -50,7 +50,7 @@ func (b Balance) Debt() fixedpoint.Value {
}
func (b Balance) ValueString() (o string) {
o = b.Available.String()
o = b.Net().String()
if b.Locked.Sign() > 0 {
o += fmt.Sprintf(" (locked %v)", b.Locked)
@ -64,7 +64,7 @@ func (b Balance) ValueString() (o string) {
}
func (b Balance) String() (o string) {
o = fmt.Sprintf("%s: %s", b.Currency, b.Available.String())
o = fmt.Sprintf("%s: %s", b.Currency, b.Net().String())
if b.Locked.Sign() > 0 {
o += fmt.Sprintf(" (locked %v)", b.Locked)
@ -74,6 +74,10 @@ func (b Balance) String() (o string) {
o += fmt.Sprintf(" (borrowed: %v)", b.Borrowed)
}
if b.Interest.Sign() > 0 {
o += fmt.Sprintf(" (interest: %v)", b.Interest)
}
return o
}