Merge pull request #1593 from c9s/c9s/xalign-add-test-cases

FIX: [xalign] add more complex test case for xalign strategy

pkg/bbgo/session.go

@@ -659,6 +659,10 @@ func (session *ExchangeSession) Markets() types.MarketMap {
 	return session.markets
 }
 
+func (session *ExchangeSession) SetMarkets(markets types.MarketMap) {
+	session.markets = markets
+}
+
 func (session *ExchangeSession) OrderStore(symbol string) (store *core.OrderStore, ok bool) {
 	store, ok = session.orderStores[symbol]
 	return store, ok

pkg/strategy/xalign/strategy.go

@@ -138,15 +138,16 @@ func (s *Strategy) selectSessionForCurrency(
 			}
 
 			// check both fromQuoteCurrency/currency and currency/fromQuoteCurrency
+			reversed := false
 			baseCurrency := currency
 			quoteCurrency := fromQuoteCurrency
-			symbol := currency + fromQuoteCurrency
+			symbol := currency + quoteCurrency
 			market, ok := session.Market(symbol)
 			if !ok {
 				// for TWD in USDT/TWD market, buy TWD means sell USDT
 				baseCurrency = fromQuoteCurrency
 				quoteCurrency = currency
-				symbol = fromQuoteCurrency + currency
+				symbol = baseCurrency + currency
 				market, ok = session.Market(symbol)
 				if !ok {
 					continue
@@ -154,6 +155,7 @@ func (s *Strategy) selectSessionForCurrency(
 
 				// reverse side
 				side = side.Reverse()
+				reversed = true
 			}
 
 			ticker, err := session.Exchange.QueryTicker(ctx, symbol)
@@ -169,9 +171,16 @@ func (s *Strategy) selectSessionForCurrency(
 			q := changeQuantity.Abs()
 
 			// a fast filtering
-			if q.Compare(market.MinQuantity) < 0 {
+			if reversed {
-				log.Debugf("skip dust quantity: %f", q.Float64())
+				if q.Compare(market.MinNotional) < 0 {
-				continue
+					log.Debugf("skip dust notional: %f", q.Float64())
+					continue
+				}
+			} else {
+				if q.Compare(market.MinQuantity) < 0 {
+					log.Debugf("skip dust quantity: %f", q.Float64())
+					continue
+				}
 			}
 
 			log.Infof("%s changeQuantity: %f ticker: %+v market: %+v", symbol, changeQuantity.Float64(), ticker, market)
@@ -193,7 +202,13 @@ func (s *Strategy) selectSessionForCurrency(
 					continue
 				}
 
-				requiredQuoteAmount := q.Mul(price)
+				requiredQuoteAmount := fixedpoint.Zero
+				if reversed {
+					requiredQuoteAmount = q
+				} else {
+					requiredQuoteAmount = q.Mul(price)
+				}
+
 				requiredQuoteAmount = requiredQuoteAmount.Round(market.PricePrecision, fixedpoint.Up)
 				if requiredQuoteAmount.Compare(quoteBalance.Available) > 0 {
 					log.Warnf("required quote amount %f > quote balance %v, skip", requiredQuoteAmount.Float64(), quoteBalance)
@@ -243,6 +258,10 @@ func (s *Strategy) selectSessionForCurrency(
 					price = ticker.Sell
 				}
 
+				if reversed {
+					q = q.Div(price)
+				}
+
 				baseBalance, ok := session.Account.Balance(baseCurrency)
 				if !ok {
 					continue

pkg/strategy/xalign/strategy_test.go

@@ -0,0 +1,216 @@
+//go:build !dnum
+
+package xalign
+
+import (
+	"context"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"go.uber.org/mock/gomock"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/types/mocks"
+)
+
+// cat ~/.bbgo/cache/max-markets.json  | jq '.[] | select(.symbol == "USDTTWD")'
+func getTestMarkets() types.MarketMap {
+	return map[string]types.Market{
+		"ETHBTC": {
+			Exchange:        types.ExchangeMax,
+			Symbol:          "ETHBTC",
+			LocalSymbol:     "ETHBTC",
+			PricePrecision:  6,
+			VolumePrecision: 4,
+			BaseCurrency:    "ETH",
+			QuoteCurrency:   "BTC",
+			MinNotional:     Number(0.00030000),
+			MinAmount:       Number(0.00030000),
+			MinQuantity:     Number(0.00460000),
+			StepSize:        Number(0.00010000),
+			TickSize:        Number(0.00000100),
+		},
+		"BTCUSDT": {
+			Exchange:        types.ExchangeMax,
+			Symbol:          "BTCUSDT",
+			LocalSymbol:     "BTCUSDT",
+			PricePrecision:  2,
+			VolumePrecision: 6,
+			BaseCurrency:    "BTC",
+			QuoteCurrency:   "USDT",
+			MinNotional:     Number(8.00000000),
+			MinAmount:       Number(8.00000000),
+			MinQuantity:     Number(0.00030000),
+			StepSize:        Number(0.00000100),
+			TickSize:        Number(0.01000000),
+		},
+		"BTCTWD": {
+			Exchange:        types.ExchangeMax,
+			Symbol:          "BTCTWD",
+			LocalSymbol:     "BTCTWD",
+			PricePrecision:  1,
+			VolumePrecision: 8,
+			BaseCurrency:    "BTC",
+			QuoteCurrency:   "TWD",
+			MinNotional:     Number(250.00000000),
+			MinAmount:       Number(250.00000000),
+			MinQuantity:     Number(0.00030000),
+			StepSize:        Number(0.00000001),
+			TickSize:        Number(0.01000000),
+		},
+		"ETHUSDT": {
+			Exchange:        types.ExchangeMax,
+			Symbol:          "ETHUSDT",
+			LocalSymbol:     "ETHUSDT",
+			PricePrecision:  2,
+			VolumePrecision: 6,
+			BaseCurrency:    "ETH",
+			QuoteCurrency:   "USDT",
+			MinNotional:     Number(8.00000000),
+			MinAmount:       Number(8.00000000),
+			MinQuantity:     Number(0.00460000),
+			StepSize:        Number(0.00001000),
+			TickSize:        Number(0.01000000),
+		},
+		"ETHTWD": {
+			Exchange:        types.ExchangeMax,
+			Symbol:          "ETHTWD",
+			LocalSymbol:     "ETHTWD",
+			PricePrecision:  1,
+			VolumePrecision: 6,
+			BaseCurrency:    "ETH",
+			QuoteCurrency:   "TWD",
+			MinNotional:     Number(250.00000000),
+			MinAmount:       Number(250.00000000),
+			MinQuantity:     Number(0.00460000),
+			StepSize:        Number(0.00000100),
+			TickSize:        Number(0.10000000),
+		},
+		"USDTTWD": {
+			Exchange:        types.ExchangeMax,
+			Symbol:          "USDTTWD",
+			LocalSymbol:     "USDTTWD",
+			PricePrecision:  3,
+			VolumePrecision: 2,
+			BaseCurrency:    "USDT",
+			QuoteCurrency:   "TWD",
+			MinNotional:     Number(250.00000000),
+			MinAmount:       Number(250.00000000),
+			MinQuantity:     Number(8.00000000),
+			StepSize:        Number(0.01000000),
+			TickSize:        Number(0.00100000),
+		},
+	}
+}
+
+func TestStrategy(t *testing.T) {
+	mockCtrl := gomock.NewController(t)
+	defer mockCtrl.Finish()
+
+	ctx := context.Background()
+	s := &Strategy{
+		ExpectedBalances: map[string]fixedpoint.Value{
+			"TWD": Number(10_000),
+		},
+		PreferredQuoteCurrencies: &QuoteCurrencyPreference{
+			Buy:  []string{"TWD", "USDT"},
+			Sell: []string{"USDT"},
+		},
+		PreferredSessions: []string{"max"},
+		UseTakerOrder:     true,
+	}
+
+	testMarkets := getTestMarkets()
+
+	t.Run("buy TWD", func(t *testing.T) {
+		mockEx := mocks.NewMockExchange(mockCtrl)
+		mockEx.EXPECT().QueryTicker(ctx, "USDTTWD").Return(&types.Ticker{
+			Buy:  Number(32.0),
+			Sell: Number(33.0),
+		}, nil)
+
+		account := types.NewAccount()
+		account.AddBalance("TWD", Number(20_000))
+		account.AddBalance("USDT", Number(80_000))
+
+		session := &bbgo.ExchangeSession{
+			Exchange: mockEx,
+			Account:  account,
+		}
+		session.SetMarkets(testMarkets)
+		sessions := map[string]*bbgo.ExchangeSession{}
+		sessions["max"] = session
+
+		_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "TWD", Number(70_000))
+		assert.NotNil(t, submitOrder)
+		assert.Equal(t, types.SideTypeSell, submitOrder.Side)
+		assert.Equal(t, Number(32).String(), submitOrder.Price.String())
+		assert.Equal(t, "2187.5", submitOrder.Quantity.String(), "70_000 / 32 best bid = 2187.5")
+	})
+
+	t.Run("sell TWD", func(t *testing.T) {
+		mockEx := mocks.NewMockExchange(mockCtrl)
+		mockEx.EXPECT().QueryTicker(ctx, "USDTTWD").Return(&types.Ticker{
+			Buy:  Number(32.0),
+			Sell: Number(33.0),
+		}, nil)
+
+		account := types.NewAccount()
+		account.AddBalance("TWD", Number(20_000))
+		account.AddBalance("USDT", Number(80_000))
+
+		session := &bbgo.ExchangeSession{
+			Exchange: mockEx,
+			Account:  account,
+		}
+		session.SetMarkets(testMarkets)
+		sessions := map[string]*bbgo.ExchangeSession{}
+		sessions["max"] = session
+
+		_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "TWD", Number(-10_000))
+		assert.NotNil(t, submitOrder)
+		assert.Equal(t, types.SideTypeBuy, submitOrder.Side)
+		assert.Equal(t, Number(33).String(), submitOrder.Price.String())
+		assert.Equal(t, "303.03", submitOrder.Quantity.String(), "10_000 / 33 best ask = 303.0303030303")
+	})
+
+	t.Run("buy BTC with USDT instead of TWD", func(t *testing.T) {
+		mockEx := mocks.NewMockExchange(mockCtrl)
+
+		mockEx.EXPECT().QueryTicker(ctx, "BTCTWD").Return(&types.Ticker{
+			Sell: Number(36000.0 * 32),
+			Buy:  Number(35000.0 * 31),
+		}, nil)
+
+		mockEx.EXPECT().QueryTicker(ctx, "BTCUSDT").Return(&types.Ticker{
+			Sell: Number(36000.0),
+			Buy:  Number(35000.0),
+		}, nil)
+
+		account := types.NewAccount()
+		account.AddBalance("BTC", Number(0.955))
+		account.AddBalance("TWD", Number(60_000))
+		account.AddBalance("USDT", Number(80_000))
+
+		// 36000.0 * 32 * 0.045
+
+		session := &bbgo.ExchangeSession{
+			Exchange: mockEx,
+			Account:  account,
+		}
+
+		session.SetMarkets(testMarkets)
+		sessions := map[string]*bbgo.ExchangeSession{}
+		sessions["max"] = session
+
+		_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "BTC", Number(0.045))
+		assert.NotNil(t, submitOrder)
+		assert.Equal(t, types.SideTypeBuy, submitOrder.Side)
+		assert.Equal(t, "36000", submitOrder.Price.String())
+		assert.Equal(t, "0.045", submitOrder.Quantity.String())
+	})
+}