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risk: add test case for account calculator
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parent
3cf5175baa
commit
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@ -38,6 +38,10 @@ func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
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currencies := balances.Currencies()
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var symbols []string
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for _, currency := range currencies {
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if currency == c.quoteCurrency {
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continue
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}
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symbol := currency + c.quoteCurrency
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symbols = append(symbols, symbol)
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}
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@ -80,6 +84,34 @@ func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Valu
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return debtValue, nil
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}
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func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Value, error) {
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marketValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return marketValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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if b.Currency == c.quoteCurrency {
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marketValue = marketValue.Add(b.Total())
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continue
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}
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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marketValue = marketValue.Add(b.Total().Mul(price))
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}
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return marketValue, nil
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}
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func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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@ -91,6 +123,11 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
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balances := c.session.Account.Balances()
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for _, b := range balances {
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if b.Currency == c.quoteCurrency {
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accountValue = accountValue.Add(b.Net())
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continue
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}
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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@ -103,17 +140,6 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
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return accountValue, nil
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}
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func CalculateAccountNetValue(session *bbgo.ExchangeSession) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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ctx := context.Background()
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c := NewAccountValueCalculator(session, "USDT")
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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}
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return c.NetValue(ctx)
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}
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func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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// default leverage guard
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if leverage.IsZero() {
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113
pkg/risk/account_value_test.go
Normal file
113
pkg/risk/account_value_test.go
Normal file
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@ -0,0 +1,113 @@
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package risk
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import (
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"context"
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"testing"
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"time"
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"github.com/golang/mock/gomock"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types/mocks"
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)
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func newTestTicker() types.Ticker {
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return types.Ticker{
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Time: time.Now(),
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Volume: fixedpoint.Zero,
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Last: fixedpoint.NewFromFloat(19000.0),
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Open: fixedpoint.NewFromFloat(19500.0),
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High: fixedpoint.NewFromFloat(19900.0),
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Low: fixedpoint.NewFromFloat(18800.0),
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Buy: fixedpoint.NewFromFloat(19500.0),
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Sell: fixedpoint.NewFromFloat(18900.0),
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}
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}
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func TestAccountValueCalculator_NetValue(t *testing.T) {
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t.Run("borrow and available", func(t *testing.T) {
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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mockEx := mocks.NewMockExchange(mockCtrl)
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// for market data stream and user data stream
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mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
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mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
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"BTCUSDT": newTestTicker(),
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}, nil)
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session := bbgo.NewExchangeSession("test", mockEx)
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session.Account.UpdateBalances(types.BalanceMap{
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"BTC": {
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Currency: "BTC",
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Available: fixedpoint.NewFromFloat(2.0),
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Locked: fixedpoint.Zero,
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Borrowed: fixedpoint.NewFromFloat(1.0),
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Interest: fixedpoint.Zero,
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NetAsset: fixedpoint.Zero,
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},
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"USDT": {
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Currency: "USDT",
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Available: fixedpoint.NewFromFloat(1000.0),
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Locked: fixedpoint.Zero,
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Borrowed: fixedpoint.Zero,
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Interest: fixedpoint.Zero,
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NetAsset: fixedpoint.Zero,
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},
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})
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assert.NotNil(t, session)
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cal := NewAccountValueCalculator(session, "USDT")
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assert.NotNil(t, cal)
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ctx := context.Background()
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netValue, err := cal.NetValue(ctx)
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assert.NoError(t, err)
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assert.Equal(t, "20000", netValue.String())
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})
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t.Run("borrowed and sold", func(t *testing.T) {
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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mockEx := mocks.NewMockExchange(mockCtrl)
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// for market data stream and user data stream
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mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
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mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
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"BTCUSDT": newTestTicker(),
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}, nil)
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session := bbgo.NewExchangeSession("test", mockEx)
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session.Account.UpdateBalances(types.BalanceMap{
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"BTC": {
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Currency: "BTC",
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Available: fixedpoint.Zero,
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Locked: fixedpoint.Zero,
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Borrowed: fixedpoint.NewFromFloat(1.0),
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Interest: fixedpoint.Zero,
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NetAsset: fixedpoint.Zero,
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},
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"USDT": {
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Currency: "USDT",
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Available: fixedpoint.NewFromFloat(21000.0),
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Locked: fixedpoint.Zero,
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Borrowed: fixedpoint.Zero,
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Interest: fixedpoint.Zero,
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NetAsset: fixedpoint.Zero,
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},
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})
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assert.NotNil(t, session)
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cal := NewAccountValueCalculator(session, "USDT")
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assert.NotNil(t, cal)
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ctx := context.Background()
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netValue, err := cal.NetValue(ctx)
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assert.NoError(t, err)
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assert.Equal(t, "2000", netValue.String()) // 21000-19000
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})
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}
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