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twap: implement twap mock testing

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This commit is contained in:
c9s 2024-08-19 17:58:25 +08:00
parent cec078f4bf
commit c8aea81505
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2 changed files with 246 additions and 38 deletions
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42
pkg/twap/v2/stream_executor.go
View File

@ -8,7 +8,6 @@ import (
"time"
"github.com/sirupsen/logrus"
"golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/core"
@ -238,7 +237,7 @@ func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
}
func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
updateLimiter := rate.NewLimiter(rate.Every(3*time.Second), 1)
// updateLimiter := rate.NewLimiter(rate.Every(3*time.Second), 2)
defer func() {
if err := e.cancelActiveOrders(ctx); err != nil {
@ -266,9 +265,11 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
}
// orderBook.C sends a signal when any price or quantity changes in the order book
if !updateLimiter.Allow() {
break
}
/*
if !updateLimiter.Allow() {
break
}
*/
if e.cancelContextIfTargetQuantityFilled() {
return
@ -286,9 +287,11 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
continue
}
if !updateLimiter.Allow() {
break
}
/*
if !updateLimiter.Allow() {
break
}
*/
if e.cancelContextIfTargetQuantityFilled() {
return
@ -321,7 +324,6 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
tickSpread := tickSize.Mul(numOfTicks)
// check and see if we need to cancel the existing active orders
for e.activeMakerOrders.NumOfOrders() > 0 {
orders := e.activeMakerOrders.Orders()
if len(orders) > 1 {
@ -371,6 +373,8 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
}
}
e.tradeCollector.Process()
orderForm, err := e.generateOrder()
if err != nil {
return err
@ -560,14 +564,10 @@ func (e *FixedQuantityExecutor) Start(ctx context.Context) error {
go e.connectUserData(e.userDataStreamCtx)
e.logger.Infof("waiting for connections ready...")
if !selectSignalOrTimeout(ctx, e.marketDataStreamConnectC, 10*time.Second) {
e.cancelExecution()
return fmt.Errorf("market data stream connection timeout")
}
if !selectSignalOrTimeout(ctx, e.userDataStreamConnectC, 10*time.Second) {
if err := e.WaitForConnection(ctx); err != nil {
e.cancelExecution()
return fmt.Errorf("user data stream connection timeout")
return err
}
e.logger.Infof("connections ready, starting order updater...")
@ -576,6 +576,18 @@ func (e *FixedQuantityExecutor) Start(ctx context.Context) error {
return nil
}
func (e *FixedQuantityExecutor) WaitForConnection(ctx context.Context) error {
if !selectSignalOrTimeout(ctx, e.marketDataStreamConnectC, 10*time.Second) {
return fmt.Errorf("market data stream connection timeout")
}
if !selectSignalOrTimeout(ctx, e.userDataStreamConnectC, 10*time.Second) {
return fmt.Errorf("user data stream connection timeout")
}
return nil
}
// Done returns a channel that emits a signal when the execution is done.
func (e *FixedQuantityExecutor) Done() <-chan struct{} {
return e.done.Chan()

242
pkg/twap/v2/stream_executor_test.go
View File

@ -2,6 +2,7 @@ package twap
import (
"context"
"fmt"
"testing"
"time"
@ -28,6 +29,29 @@ func getTestMarket() types.Market {
return market
}
type OrderMatcher struct {
Order types.Order
}
func MatchOrder(o types.Order) *OrderMatcher {
return &OrderMatcher{
Order: o,
}
}
func (m *OrderMatcher) Matches(x interface{}) bool {
order, ok := x.(types.Order)
if !ok {
return false
}
return m.Order.OrderID == order.OrderID && m.Order.Price.Compare(m.Order.Price) == 0
}
func (m *OrderMatcher) String() string {
return fmt.Sprintf("OrderMatcher expects %+v", m.Order)
}
type CatchMatcher struct {
f func(x any)
}
@ -47,10 +71,44 @@ func (m *CatchMatcher) String() string {
return "CatchMatcher"
}
func bindMockMarketDataStream(mockStream *mocks.MockStream, stream *types.StandardStream) {
mockStream.EXPECT().OnBookSnapshot(Catch(func(x any) {
stream.OnBookSnapshot(x.(func(book types.SliceOrderBook)))
})).AnyTimes()
mockStream.EXPECT().OnBookUpdate(Catch(func(x any) {
stream.OnBookUpdate(x.(func(book types.SliceOrderBook)))
})).AnyTimes()
mockStream.EXPECT().OnConnect(Catch(func(x any) {
stream.OnConnect(x.(func()))
})).AnyTimes()
}
func bindMockUserDataStream(mockStream *mocks.MockStream, stream *types.StandardStream) {
mockStream.EXPECT().OnOrderUpdate(Catch(func(x any) {
stream.OnOrderUpdate(x.(func(order types.Order)))
})).AnyTimes()
mockStream.EXPECT().OnTradeUpdate(Catch(func(x any) {
stream.OnTradeUpdate(x.(func(order types.Trade)))
})).AnyTimes()
mockStream.EXPECT().OnBalanceUpdate(Catch(func(x any) {
stream.OnBalanceUpdate(x.(func(m types.BalanceMap)))
})).AnyTimes()
mockStream.EXPECT().OnConnect(Catch(func(x any) {
stream.OnConnect(x.(func()))
})).AnyTimes()
mockStream.EXPECT().OnAuth(Catch(func(x any) {
stream.OnAuth(x.(func()))
}))
}
func TestNewStreamExecutor(t *testing.T) {
exchangeName := types.ExchangeBinance
symbol := "BTCUSDT"
market := getTestMarket()
targetQuantity := Number(100)
sliceQuantity := Number(1)
ctx, cancel := context.WithCancel(context.Background())
defer cancel()
@ -67,37 +125,53 @@ func TestNewStreamExecutor(t *testing.T) {
mockMarketDataStream.EXPECT().Subscribe(types.BookChannel, symbol, types.SubscribeOptions{
Depth: types.DepthLevelMedium,
})
mockMarketDataStream.EXPECT().OnBookSnapshot(Catch(func(x any) {
marketDataStream.OnBookSnapshot(x.(func(book types.SliceOrderBook)))
})).AnyTimes()
mockMarketDataStream.EXPECT().OnBookUpdate(Catch(func(x any) {
marketDataStream.OnBookUpdate(x.(func(book types.SliceOrderBook)))
})).AnyTimes()
mockMarketDataStream.EXPECT().OnConnect(Catch(func(x any) {
marketDataStream.OnConnect(x.(func()))
})).AnyTimes()
bindMockMarketDataStream(mockMarketDataStream, marketDataStream)
mockMarketDataStream.EXPECT().Connect(gomock.AssignableToTypeOf(ctx))
mockUserDataStream := mocks.NewMockStream(mockCtrl)
mockUserDataStream.EXPECT().OnOrderUpdate(Catch(func(x any) {
userDataStream.OnOrderUpdate(x.(func(order types.Order)))
})).AnyTimes()
mockUserDataStream.EXPECT().OnTradeUpdate(Catch(func(x any) {
userDataStream.OnTradeUpdate(x.(func(order types.Trade)))
})).AnyTimes()
mockUserDataStream.EXPECT().OnConnect(Catch(func(x any) {
userDataStream.OnConnect(x.(func()))
})).AnyTimes()
mockUserDataStream.EXPECT().OnAuth(Catch(func(x any) {
userDataStream.OnAuth(x.(func()))
}))
bindMockUserDataStream(mockUserDataStream, userDataStream)
mockUserDataStream.EXPECT().Connect(gomock.AssignableToTypeOf(ctx))
initialBalances := types.BalanceMap{
"BTC": types.Balance{
Available: Number(2),
},
"USDT": types.Balance{
Available: Number(20_000),
},
}
mockEx.EXPECT().NewStream().Return(mockMarketDataStream)
mockEx.EXPECT().NewStream().Return(mockUserDataStream)
mockEx.EXPECT().QueryAccountBalances(gomock.AssignableToTypeOf(ctx)).Return(initialBalances, nil)
executor := NewStreamExecutor(mockEx, symbol, market, types.SideTypeBuy, Number(100), Number(1))
executor.SetUpdateInterval(time.Second)
// first order
firstSubmitOrder := types.SubmitOrder{
Symbol: symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Quantity: Number(1),
Price: Number(19400),
Market: market,
TimeInForce: types.TimeInForceGTC,
}
firstSubmitOrderTime := time.Date(2021, 1, 1, 0, 0, 0, 0, time.UTC)
firstOrder := types.Order{
SubmitOrder: firstSubmitOrder,
Exchange: exchangeName,
OrderID: 1,
Status: types.OrderStatusNew,
ExecutedQuantity: Number(0.0),
IsWorking: true,
CreationTime: types.Time(firstSubmitOrderTime),
UpdateTime: types.Time(firstSubmitOrderTime),
}
mockEx.EXPECT().SubmitOrder(gomock.AssignableToTypeOf(ctx), firstSubmitOrder).Return(&firstOrder, nil)
executor := NewStreamExecutor(mockEx, symbol, market, types.SideTypeBuy, targetQuantity, sliceQuantity)
executor.SetUpdateInterval(200 * time.Millisecond)
go func() {
err := executor.Start(ctx)
@ -111,6 +185,128 @@ func TestNewStreamExecutor(t *testing.T) {
userDataStream.EmitAuth()
}()
err := executor.WaitForConnection(ctx)
assert.NoError(t, err)
t.Logf("sending book snapshot...")
snapshotTime := time.Date(2021, 1, 1, 0, 0, 0, 0, time.UTC)
marketDataStream.EmitBookSnapshot(types.SliceOrderBook{
Symbol: symbol,
Bids: types.PriceVolumeSlice{
{Price: Number(19400), Volume: Number(1)},
{Price: Number(19300), Volume: Number(2)},
{Price: Number(19200), Volume: Number(3)},
},
Asks: types.PriceVolumeSlice{
{Price: Number(19450), Volume: Number(1)},
{Price: Number(19550), Volume: Number(2)},
{Price: Number(19650), Volume: Number(3)},
},
Time: snapshotTime,
LastUpdateId: 101,
})
time.Sleep(500 * time.Millisecond)
t.Logf("sending book update...")
// we expect the second order will be placed when the order update is received
secondSubmitOrder := types.SubmitOrder{
Symbol: symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Quantity: Number(1),
Price: Number(19420),
Market: market,
TimeInForce: types.TimeInForceGTC,
}
secondSubmitOrderTime := time.Date(2021, 1, 1, 0, 1, 0, 0, time.UTC)
secondOrder := types.Order{
SubmitOrder: secondSubmitOrder,
Exchange: exchangeName,
OrderID: 2,
Status: types.OrderStatusNew,
ExecutedQuantity: Number(0.0),
IsWorking: true,
CreationTime: types.Time(secondSubmitOrderTime),
UpdateTime: types.Time(secondSubmitOrderTime),
}
mockEx.EXPECT().CancelOrders(context.Background(), MatchOrder(firstOrder)).DoAndReturn(func(
ctx context.Context, orders ...types.Order,
) error {
orderUpdate := firstOrder
orderUpdate.Status = types.OrderStatusCanceled
userDataStream.EmitOrderUpdate(orderUpdate)
t.Logf("emit order update: %+v", orderUpdate)
return nil
})
mockEx.EXPECT().QueryAccountBalances(gomock.AssignableToTypeOf(ctx)).Return(initialBalances, nil)
mockEx.EXPECT().SubmitOrder(gomock.AssignableToTypeOf(ctx), secondSubmitOrder).Return(&secondOrder, nil)
t.Logf("waiting for the order update...")
time.Sleep(500 * time.Millisecond)
{
orders := executor.orderStore.Orders()
assert.Len(t, orders, 1, "should have 1 order in the order store")
}
marketDataStream.EmitBookUpdate(types.SliceOrderBook{
Symbol: symbol,
Bids: types.PriceVolumeSlice{
{Price: Number(19420), Volume: Number(1)},
{Price: Number(19300), Volume: Number(2)},
{Price: Number(19200), Volume: Number(3)},
},
Asks: types.PriceVolumeSlice{
{Price: Number(19450), Volume: Number(1)},
{Price: Number(19550), Volume: Number(2)},
{Price: Number(19650), Volume: Number(3)},
},
Time: snapshotTime,
LastUpdateId: 101,
})
t.Logf("waiting for the next order update...")
time.Sleep(500 * time.Millisecond)
{
orders := executor.orderStore.Orders()
assert.Len(t, orders, 1, "should have 1 order in the order store")
}
t.Logf("emitting trade update...")
userDataStream.EmitTradeUpdate(types.Trade{
ID: 1,
OrderID: 2,
Exchange: exchangeName,
Price: Number(19420.0),
Quantity: Number(100.0),
QuoteQuantity: Number(100.0 * 19420.0),
Symbol: symbol,
Side: types.SideTypeBuy,
IsBuyer: true,
IsMaker: true,
Time: types.Time(secondSubmitOrderTime),
})
t.Logf("waiting for the trade callbacks...")
time.Sleep(500 * time.Millisecond)
executor.tradeCollector.Process()
assert.Equal(t, Number(100), executor.position.GetBase())
mockEx.EXPECT().CancelOrders(context.Background(), MatchOrder(secondOrder)).DoAndReturn(func(
ctx context.Context, orders ...types.Order,
) error {
orderUpdate := secondOrder
orderUpdate.Status = types.OrderStatusCanceled
userDataStream.EmitOrderUpdate(orderUpdate)
t.Logf("emit order #2 update: %+v", orderUpdate)
return nil
})
assert.True(t, executor.cancelContextIfTargetQuantityFilled(), "target quantity should be filled")
// finalizing and stop the executor
select {
case <-ctx.Done():
case <-time.After(10 * time.Second):