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risk: add test case for account calculator

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This commit is contained in:
c9s 2022-07-22 14:42:30 +08:00
parent 3cf5175baa
commit b53da177c2
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2 changed files with 150 additions and 11 deletions
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48
pkg/risk/account_value.go
View File

@ -38,6 +38,10 @@ func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
currencies := balances.Currencies()
var symbols []string
for _, currency := range currencies {
if currency == c.quoteCurrency {
continue
}
symbol := currency + c.quoteCurrency
symbols = append(symbols, symbol)
}
@ -80,6 +84,34 @@ func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Valu
return debtValue, nil
}
func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Value, error) {
marketValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return marketValue, err
}
}
balances := c.session.Account.Balances()
for _, b := range balances {
if b.Currency == c.quoteCurrency {
marketValue = marketValue.Add(b.Total())
continue
}
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
continue
}
marketValue = marketValue.Add(b.Total().Mul(price))
}
return marketValue, nil
}
func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
accountValue := fixedpoint.Zero
@ -91,6 +123,11 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
balances := c.session.Account.Balances()
for _, b := range balances {
if b.Currency == c.quoteCurrency {
accountValue = accountValue.Add(b.Net())
continue
}
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
@ -103,17 +140,6 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
return accountValue, nil
}
func CalculateAccountNetValue(session *bbgo.ExchangeSession) (fixedpoint.Value, error) {
accountValue := fixedpoint.Zero
ctx := context.Background()
c := NewAccountValueCalculator(session, "USDT")
if err := c.UpdatePrices(ctx); err != nil {
return accountValue, err
}
return c.NetValue(ctx)
}
func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
// default leverage guard
if leverage.IsZero() {

113
pkg/risk/account_value_test.go Normal file
View File

@ -0,0 +1,113 @@
package risk
import (
"context"
"testing"
"time"
"github.com/golang/mock/gomock"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/types/mocks"
)
func newTestTicker() types.Ticker {
return types.Ticker{
Time: time.Now(),
Volume: fixedpoint.Zero,
Last: fixedpoint.NewFromFloat(19000.0),
Open: fixedpoint.NewFromFloat(19500.0),
High: fixedpoint.NewFromFloat(19900.0),
Low: fixedpoint.NewFromFloat(18800.0),
Buy: fixedpoint.NewFromFloat(19500.0),
Sell: fixedpoint.NewFromFloat(18900.0),
}
}
func TestAccountValueCalculator_NetValue(t *testing.T) {
t.Run("borrow and available", func(t *testing.T) {
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
mockEx := mocks.NewMockExchange(mockCtrl)
// for market data stream and user data stream
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
"BTCUSDT": newTestTicker(),
}, nil)
session := bbgo.NewExchangeSession("test", mockEx)
session.Account.UpdateBalances(types.BalanceMap{
"BTC": {
Currency: "BTC",
Available: fixedpoint.NewFromFloat(2.0),
Locked: fixedpoint.Zero,
Borrowed: fixedpoint.NewFromFloat(1.0),
Interest: fixedpoint.Zero,
NetAsset: fixedpoint.Zero,
},
"USDT": {
Currency: "USDT",
Available: fixedpoint.NewFromFloat(1000.0),
Locked: fixedpoint.Zero,
Borrowed: fixedpoint.Zero,
Interest: fixedpoint.Zero,
NetAsset: fixedpoint.Zero,
},
})
assert.NotNil(t, session)
cal := NewAccountValueCalculator(session, "USDT")
assert.NotNil(t, cal)
ctx := context.Background()
netValue, err := cal.NetValue(ctx)
assert.NoError(t, err)
assert.Equal(t, "20000", netValue.String())
})
t.Run("borrowed and sold", func(t *testing.T) {
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
mockEx := mocks.NewMockExchange(mockCtrl)
// for market data stream and user data stream
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
"BTCUSDT": newTestTicker(),
}, nil)
session := bbgo.NewExchangeSession("test", mockEx)
session.Account.UpdateBalances(types.BalanceMap{
"BTC": {
Currency: "BTC",
Available: fixedpoint.Zero,
Locked: fixedpoint.Zero,
Borrowed: fixedpoint.NewFromFloat(1.0),
Interest: fixedpoint.Zero,
NetAsset: fixedpoint.Zero,
},
"USDT": {
Currency: "USDT",
Available: fixedpoint.NewFromFloat(21000.0),
Locked: fixedpoint.Zero,
Borrowed: fixedpoint.Zero,
Interest: fixedpoint.Zero,
NetAsset: fixedpoint.Zero,
},
})
assert.NotNil(t, session)
cal := NewAccountValueCalculator(session, "USDT")
assert.NotNil(t, cal)
ctx := context.Background()
netValue, err := cal.NetValue(ctx)
assert.NoError(t, err)
assert.Equal(t, "2000", netValue.String()) // 21000-19000
})
}