package indicator import ( "encoding/json" "math" "testing" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) func Test_calculateVWAP(t *testing.T) { var trivialPrices = []byte(`[0]`) var trivialVolumes = []byte(`[1]`) var easyPrices = []byte(`[1, 2, 3]`) var easyVolumes = []byte(`[4, 5, 6]`) var windowPrices = []byte(`[1, 2, 3, 4]`) var windowVolumes = []byte(`[4, 5, 6, 7]`) var randomPrices = []byte(`[0.6046702879796195, 0.9405190880450124, 0.6645700532184904, 0.4377241871869802, 0.4246474970712657, 0.6868330728671094, 0.06564701921747622, 0.15652925473279125, 0.09697951891448456, 0.3009218605852871]`) var randomVolumes = []byte(`[0.5152226285020653, 0.8136499609900968, 0.21427387258237493, 0.380667189299686, 0.31806817433032986, 0.4688998449024232, 0.2830441511804452, 0.2931118573368158, 0.6790946759202162, 0.2185630525927643]`) buildKLines := func(pb, vb []byte) (kLines []types.KLine) { var prices, volumes []fixedpoint.Value _ = json.Unmarshal(pb, &prices) _ = json.Unmarshal(vb, &volumes) for i, p := range prices { kLines = append(kLines, types.KLine{High: p, Low: p, Close: p, Volume: volumes[i]}) } return kLines } tests := []struct { name string kLines []types.KLine window int want float64 }{ { name: "trivial_case", kLines: buildKLines(trivialPrices, trivialVolumes), window: 0, want: 0.0, }, { name: "easy_case", kLines: buildKLines(easyPrices, easyVolumes), window: 0, want: (1*4 + 2*5 + 3*6) / float64(4+5+6), }, { name: "window_case", kLines: buildKLines(windowPrices, windowVolumes), window: 3, want: (2*5 + 3*6 + 4*7) / float64(5+6+7), }, { name: "random_case", kLines: buildKLines(randomPrices, randomVolumes), window: 0, want: 0.48727133857423566, }, } for _, tt := range tests { t.Run(tt.name, func(t *testing.T) { priceF := types.KLineTypicalPriceMapper got := calculateVWAP(tt.kLines, priceF, tt.window) diff := math.Trunc((got-tt.want)*100) / 100 if diff != 0 { t.Errorf("calculateVWAP() = %v, want %v", got, tt.want) } }) } }